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作者：Feunou, Bruno; Fontaine, Jean-Sebastien; Le, Anh; Lundblad, Christian
作者单位：Bank of Canada; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of North Carolina; University of North Carolina Chapel Hill
摘要：We introduce a new framework that facilitates term structure modeling with both positive interest rates and flexible time series dynamics but that is also tractable, meaning amenable to quick and robust estimation. Using both simulations and U.S. historical data, we compare our approach with benchmark Gaussian and stochastic volatility models as well as a shadow rate model that enforces positive interest rates. Our approach, which remains arbitrarily close to arbitrage free, offers a more accu...
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作者：Ma, Song; Tong, Joy Tianjiao; Wang, Wei
作者单位：Yale University; National Bureau of Economic Research; Western University (University of Western Ontario); Queens University - Canada
摘要：We study how innovative firms manage their innovation portfolios after filing for Chapter 11 reorganization using three decades of data. We find that they sell off core (i.e., technologically critical and valuable), rather than peripheral, patents in bankruptcy. The selling pattern is driven almost entirely by firms with greater use of secured debt, and the mechanism is secured creditors exercising their control rights on collateralized patents. Creditor-driven patent sales in bankruptcy have ...
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作者：Li, Zhao; Ma, Kebin
作者单位：Zhongnan University of Economics & Law; University of Warwick
摘要：In a crisis, regulators and private investors can find it difficult, if not impossible, to tell whether banks facing runs are insolvent or merely illiquid. We introduce such an information constraint into a global-games-based bank run model with multiple banks and aggregate uncertainties. The information constraint creates a vicious cycle between contagious bank runs and falling asset prices and limits the effectiveness of traditional emergency liquidity assistance programs. We explain how a r...
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作者：Girotti, Mattia; Salvade, Federica
作者单位：European Central Bank; Bank of France
摘要：This paper studies whether greater competition can mitigate agency problems within banks. We measure the intensity of the agency conflict within a bank by the volume of loans that the bank lends to its insiders (e.g., executives). We first check that these loans are a form of private benefit. By exploiting interstate branching deregulation, we then show that banks react to greater competition by reducing insider lending, especially when the entry of new competitors may more strongly affect ban...
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作者：Capponi, Agostino; Olafsson, Sveinn; Zariphopoulou, Thaleia
作者单位：Columbia University; University of Texas System; University of Texas Austin; University of Texas System; University of Texas Austin; University of Oxford
摘要：Automated investment managers, or robo-advisors, have emerged as an alternative to traditional financial advisors. The viability of robo-advisors crucially depends on their ability to offer personalized financial advice. We introduce a novel framework in which a robo-advisor interacts with a client to solve an adaptive mean-variance portfolio optimization problem. The risk-return tradeoff adapts to the client???s risk profile, which depends on idiosyncratic characteristics, market returns, and...
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作者：Bobroske, Katherine; Freeman, Michael; Huan, Lawrence; Cattrell, Anita; Scholtes, Stefan
作者单位：University of Cambridge; INSEAD Business School
摘要：Although medical research has addressed the clinical management of chronic opioid users, little is known about how operational interventions shortly after opioid initiation can impact a patient's likelihood of long-term opioid use. Using a nationwide U.S. database of medical and pharmaceutical claims, we investigate the care delivery process at the most common entry point to opioid use: the primary care setting. For patients who return to primary care for a follow-up appointment within 30 days...
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作者：Chang, Pao-Li; Fujii, Tomoki; Jin, Wei
作者单位：Singapore Management University; Nankai University; Nankai University
摘要：This paper estimates the effects of time-varying consumer preference bias on trade flows and welfare. We use a unique data set from the BBC World Service Poll, which surveys (annually during 2005-2017 with some gaps) the populations of a wide array of countries on their views of whether an evaluated country is having a mainly positive or negative influence in the world. We identify the effects on consumer preference parameters due to shifts in these country image perceptions and quantify their...
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作者：Zhou, Ying
作者单位：University of Connecticut
摘要：The mandated increase in segment disaggregation under SFAS 131 could have harmed shareholders by revealing proprietary information or benefited them by reducing agency problems. Using a sample of firms that lobbied against SFAS 131 on the grounds of competitive harm, I examine whether concerns about proprietary costs, a much-cited reason for nondisclosure, motivate firms to lobby against reporting mandates to protect firms??? competitive position or are used as an excuse to disguise managers??...
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作者：Singal, Raghav; Besbes, Omar; Desir, Antoine; Goyal, Vineet; Iyengar, Garud
作者单位：Dartmouth College; Columbia University; INSEAD Business School; Columbia University
摘要：One of the central challenges in online advertising is attribution, namely, assessing the contribution of individual advertiser actions such as emails, display ads, and search ads to eventual conversion. Several heuristics are used for attribution in practice; however, most do not have any formal justification. The main contribution in this work is to propose an axiomatic framework for attribution in online advertising. We show that the most common heuristics can be cast under the framework an...
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作者：Callander, Steven; Matouschek, Niko
作者单位：Stanford University; Northwestern University
摘要：We develop a model to capture the novelty of innovation and explore what it means for the nature of market competition and quality of innovations. An innovator decides not only whether to innovate but how boldly to innovate, where the more novel is the innovation-the more different it is from what has come before-the more uncertain is the outcome. We show in this environment that a variant of the Arrow replacement effect holds in that new entrants pursue more innovative technologies than do in...
