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作者：Yuan, Peixuan
作者单位：Hong Kong Baptist University
摘要：Analyzing the specifications of pricing models for the joint valuation of S&P 500 and VIX options, I find that the existing models cannot adequately represent the two options markets. I introduce a new factor that controls the higher-order moments of the risk-neutral return distribution. The model I propose significantly outperforms all other alternatives, and particularly improves on the benchmark two-variance-factor model with cojumps by 23.66% in-sample and 31.64% out-of-sample. The perform...
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作者：Jannati, Sima; Kumar, Alok; Niessen-Ruenzi, Alexandra; Wolfers, Justin
作者单位：University of Texas System; University of Texas Arlington; University of Miami; University of Mannheim; University of Michigan System; University of Michigan
摘要：Using gender to identify analyst groups, we examine whether in-group bias affects the behavior of sell-side equity analysts and the information dissemination process. We find that analysts hold more optimistic and less accurate earnings expectations for firms with same-gender CEOs, where in-group bias is stronger among men. Greater exposure to out-of-group individuals weakens in-group bias, and the bias is also weaker among analysts located in U.S. states with greater gender equality. Group de...
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作者：Foros, Oystein; Kind, Hans Jarle; Staehler, Frank
作者单位：Norwegian School of Economics (NHH); Eberhard Karls University of Tubingen
摘要：Competition between firms that sell incompatible varieties of network products can be fierce because it is important for each of them to attract a large number of users. The literature, therefore, predicts that stronger network effects decrease prices and profits. We show that this prediction hinges critically on an implicit or explicit assumption that each consumer buys only one of the varieties available in the market (singlehoming consumers). We show that multihoming (some consumers buying ...
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作者：Ivanov, Ivan T.; Zimmermann, Tom; Heinrich, Nathan W.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Chicago; University of Cologne; University of Cologne; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We examine the effectiveness of recent federal disclosure regulation aiming to improve transparency in the $4 trillion municipal bond market. Governments fail to disclose material private placements 50%-60% of the time and, conditional on disclosure, filings often omit contract details essential for bond pricing. Noncompliant issuers are significantly riskier than compliers, with disclosure decreasing in the potential of privately placed debt to adversely affect bondholders. We show that discl...
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作者：Gong, Zheng; Huang, Jin
作者单位：The Chinese University of Hong Kong, Shenzhen; New York University; NYU Shanghai
摘要：This paper examines a widely observed yet theoretically underexplored sales tactic: the limited time offer. By focusing on price-directed search markets, we offer a novel perspective on the application of limited time offers by firms and their implications for social welfare. We build a search model where firms advertise dynamic pricing to influence a consumer's search order. Across various model settings, we demonstrate that limited time offers serve as the most effective pricing tool for fir...
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作者：Cheng, Guang; Xie, Jingui; Zheng, Zhichao; Luo, Haidong; Ooi, Oon Cheong
作者单位：National University of Singapore; Technical University of Munich; Technical University of Munich; Singapore Management University; National University of Singapore
摘要：Weaning patients from mechanical ventilators is a crucial decision in intensive care units (ICUs), significantly affecting patient outcomes and the throughput of ICUs. This study aims to improve the current extubation protocols by incorporating predictive information on patient health conditions. We develop a discrete-time, finite-horizon Markov decision process with predictions of future state to support extubation decisions. We characterize the structure of the optimal policy and provide imp...
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作者：Lian, Zhen; van Ryzin, Garrett
作者单位：Yale University; Amazon.com
摘要：We develop an economic model of autonomous vehicle (AV) ride-hailing markets, in which uncertain aggregate demand is served with a combination of a fixed fleet of AVs and a flexible pool of human drivers (HVs). Dispatch efficiencies increase with scale because of density effects. We analyze market outcomes in this setting under four market configurations, defined by two dispatch platform structures (common platform versus independent platforms) and two levels of supply competition (monopoly AV...
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作者：Liu, Yu; Wang, Hao; Wang, Tan; Zhang, Lihong
作者单位：Jinan University; Jinan University; Tsinghua University; Shanghai Jiao Tong University
摘要：This paper develops a new approach to volatility ambiguity and studies its implications for equilibrium consumption, portfolio choice, and asset prices. Our approach does not require equivalence between priors. The measure of ambiguity is based on the statistical confidence in the reference model that can be assessed with sample statistics. The approach is analytically tractable and amenable to empirical/calibration analysis. A stochastic discount pricing formula is given. At sensible levels o...
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作者：Sheng, Lifei; Zhao, Xuying; Ryan, Christopher Thomas
作者单位：University of Houston System; University of Houston; University of Houston Clear Lake; Texas A&M University System; Texas A&M University College Station; University of British Columbia
摘要：In the mobile video games industry, a common in-app purchase is for additional moves or time in single-player puzzle games. We call these in-app purchases bonus actions . In some games, bonus actions can only be purchased in advance of attempting a level of the game (pure advance sales (PAS)), yet in other games, bonus actions can only be purchased in a spot market that appears when an initial attempt to pass the level fails (pure spot sales). Some games offer both advance and spot purchases (...
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作者：Dimant, Eugen; Gelfand, Michele; Hochleitner, Anna; Sonderegger, Silvia
作者单位：University of Pennsylvania; Stanford University; University of Nottingham
摘要：Descriptive norms, the behavior of other individuals in one's reference group, play a key role in shaping individual decisions in managerial contexts and beyond. Organizations are increasingly using information about descriptive norms to nudge positive behavior change. When characterizing peer decisions, a standard approach in the literature is to focus on average behavior. In this paper, we argue both theoretically and empirically that not only averages but also the shape of the whole distrib...
