-
作者：Hasler, Michael; Khapko, Mariana
作者单位：University of Texas System; University of Texas Dallas; University of Toronto; University Toronto Scarborough; University of Toronto
摘要：The term structure of equity risk premium is moderately downward-sloping unconditionally, markedly downward-sloping in good times, and markedly upward-sloping in bad times. An asset-pricing model featuring time-varying correlation between realized and expected cashflow shocks explains these puzzling empirical findings. Indeed, the model-implied slope of the equity term structure is in line with the data, both conditionally and unconditionally, because the estimated cashflow shock correlation i...
-
作者：Aragon, George O.; Chung, Ji-Woong; Kang, Byoung Uk
作者单位：Arizona State University; Arizona State University-Tempe; Korea University; Hong Kong Polytechnic University
摘要：Using the setting of funds of hedge funds (FoFs), we show that prime brokers (PBs) facilitate investors' search for informed hedge fund managers. We find that FoFs exhibit PB bias, a disproportionate preference for hedge funds serviced by their connected PBs. This PB bias is strongerwhen the cost of hedge fund due diligence is higher relative to capital and when the FoF's management firm generates higher prime brokerage fees. PB bias also predicts FoF performance: the highest PB-bias quartile ...
-
作者：Chan, Tian Heong; Lim, Shi-Ying
作者单位：Emory University; National University of Singapore
摘要：Exaptation refers to the emergence of novel functionalities in existing products. Exaptations frequently arise in the context of users who creatively modify (or hack) existing products to accommodate new needs. Here, we examine how product-first (compared with problem-first) search affects the occurrence of exaptations. In a product-first search, the user identifies the product to be hacked before seeking a viable need. In a problem-first search, the user has a defined problem before seeking a...
-
作者：Fischetti, Martina; Fischetti, Matteo
作者单位：University of Padua
摘要：We address a very important problem in offshore wind farm design, namely, the combined optimization of the turbine location and of the connection cables required to bring the electrical power produced by the turbines to a given substation, and eventually to shore. We first describe a mixed-integer linear programming model that combines previous proposals from the literature. Then we improve it by a number of additional inequalities intended to strengthen its linear programming relaxation. In p...
-
作者：Arnosti, Nick
作者单位：University of Minnesota System; University of Minnesota Twin Cities
摘要：This paper studies outcomes of the deferred acceptance algorithm in large random matching markets where priorities are generated either by a single lottery or by independent lotteries. In contrast to prior work, my model permits students to submit lists of varying lengths and schools to vary in their popularity and number of seats. In a limiting regime where the number of students and schools grow while the length of student lists and number of seats at each school remain bounded, I provide ex...
-
作者：Frick, Thomas W.; Belo, Rodrigo; Telang, Rahul
作者单位：Universidade Nova de Lisboa; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Carnegie Mellon University
摘要：In programmatic advertising, firms outsource the bidding for ad impressions to ad platforms. Although firms are interested in targeting consumers that respond positively to advertising, ad platforms are usually rewarded for targeting consumers with high overall purchase probability. We develop a theoretical model that shows if consumers with high baseline purchase probability respond more positively to advertising, then firms and ad platforms agree on which consumers to target. If, conversely,...
-
作者：Bretschera, Lorenzo
作者单位：University of Lausanne; Swiss Finance Institute (SFI)
摘要：Industries differ in the extent to which they can offshore their production. I document that industries with low offshoring potential carry a sizeable risk premium compared with industries with high offshoring potential, suggesting that the possibility to offshore affects industry risk. A two-country dynamic trade model in which offshoring allows firms to securemarket share against foreign competitors can rationalize the empirical findings.
-
作者：Zalewska, Anna (Ania)
作者单位：University of Bath
摘要：The quality of services provided by institutional investors has attracted considerable attention. This paper adds to the debate by showing that institutional differences in setting up defined contribution personal schemes have an economically and statistically significant impact on the returns. Using a sample of 10,326 UK defined contribution personal pension funds over July 1990-June 2019, I show that pension funds that have a third party involved in contract setting and subsequent oversight ...
-
作者：Ebbes, Peter; Netzer, Oded
作者单位：Hautes Etudes Commerciales (HEC) Paris; Columbia University
摘要：An important challenge for many firms is to identify the life transitions of its customers, such as job searching, expecting a child, or purchasing a home. Inferring such transitions, which are generally unobserved to the firm, can offer the firms opportunities to be more relevant to their customers. In this paper, we demonstrate how a social network platform can leverage its longitudinal user data to identify which of its users are likely to be job seekers. Identifying job seekers is at the h...
-
作者：Dwenger, Nadja; Treber, Lukas
作者单位：University Hohenheim; Centre for Economic Policy Research - UK
摘要：We investigate company reactions to the threat of reputational losses. To do so, we leverage the introduction of a naming-and-shaming policy for tax debt enforcement in Slovenia in 2012. The policy was announced four months before its implementation, which allows us to separate responses to the threat of shaming from the responses to actual shaming. Our extensive administrative tax data cover taxes owed and paid for the universe of taxpayers in Slovenia. Based on a quasi-experimental research ...
