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作者：Penasse, Julien
作者单位：University of Luxembourg
摘要：I study the importance of alpha decay for the measurement of realized and conditional expected returns in asset pricing studies. Alpha decay refers to the reduction in abnormal expected returns (relative to an asset pricing model) in response to an anomaly becoming widely known among market participants. As decreases in alpha are associated (ceteris paribus) with positive realized returns, the econometrician may misinterpret these repricing returns as evidence that the anomaly will persist in ...
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作者：Fabra, Natalia; Montero, Juan-Pablo
作者单位：Universidad Carlos III de Madrid; Centre for Economic Policy Research - UK; Pontificia Universidad Catolica de Chile
摘要：A well-known principle in economics is that firms differentiate their product offerings in order to relax competition. However, in this paper we show that information frictions can invalidate this principle. We build a duopolistic competition model of seconddegree price discrimination with information frictions in which (i) an equilibrium always exists with overlapping product qualities, whereas (ii) an equilibrium with nonoverlapping product qualities exists only if both information frictions...
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作者：Jindal, Pranav; Newberry, Peter
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University System of Georgia; University of Georgia
摘要：We study how the presence of a monthly revenue-based quota impacts a retailer's profits when prices are negotiated by a salesperson. Using transaction level data for refrigerators, we first provide reduced-form evidence that prices are impacted by the quota: the negotiated discounts are approximately 3.8% higher if the salesperson is 10% closer to reaching the quota in the final week of the month. Guided by this result, we specify and estimate a demand model that identifies the impact of the q...
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作者：Yan, Zhenzhen; Natarajan, Karthik; Teo, Chung Piaw; Cheng, Cong
作者单位：Nanyang Technological University; Singapore University of Technology & Design; National University of Singapore; Hebei University of Technology
摘要：We develop a data-driven approach for the multiproduct pricing problem, using the theory of a representative consumer in discrete choice. We establish a set ofmathematical relationships between product prices and demand for each product in the system, including that of the outside option. We provide identification conditions to recover the underlying representative consumer model and show that, with sufficient pricing experiments, the approach can identify the underlying demand model (more pre...
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作者：Ekholm, Tommi; Baker, Erin
作者单位：Finnish Meteorological Institute; Aalto University; University of Massachusetts System; University of Massachusetts Amherst
摘要：This paper investigates multiperiod decisions under multiple beliefs. We explore the dynamic consistency of both complete and incomplete orderings. We focus on a dominance concept that supports decision-making under multiple characterizations of uncertainty by ruling out strategies that are dominated across a set of beliefs. We uncover a distinction between two types of dynamic inconsistency, which we label fallacious and fallible inconsistency. Fallacious inconsistency occurs when an a priori...
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作者：Li, Jun; Wu, Di (Andrew)
作者单位：University of Michigan System; University of Michigan
摘要：Policy makers in many developing countries use maximum price or markup policies to control pharmaceutical costs, which represent 20%-60% of their overall healthcare expenditure. We study the price effect of price ceiling policies by exploiting a major policy shift in China: the elimination of longstanding ceilings on retail drug prices. We collect weekly price and characteristics data on more than 4,500 drug stock keeping units (SKUs) from a leading pharmacy chain. By comparing the rate of dis...
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作者：Baruch, Shmuel; Zhang, Xiaodi
作者单位：University of Rome Tor Vergata; Shanghai University of Finance & Economics
摘要：In the capital asset pricing model (CAPM), it is ex post optimal to index. To examine the implications of market indexing, we develop a conditional CAPM with costless private information in which some investors are, for exogenous reasons, ex ante indexers. We show that, as more nonindexers become indexers, the price efficiency of stocks diminishes, asset prices comove, and the statistical fit (measured by R-2) of the CAPMregression decreases. We also report asset prices at the limit, when 100%...
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作者：Grieser, William; LeSage, James; Zekhnini, Morad
作者单位：Texas Christian University; Texas State University System; Texas State University San Marcos; Michigan State University
摘要：Using a network approach that circumvents well-known challenges in estimating peer effects, we show that interactions with a firm's geographic neighbors play a significant causal role in corporate investment behavior and a modest role in financial policies and firm performance. Moreover, these geography network effects are almost entirely driven by propagation effects through product market and supply chain networks. We corroborate our findings in a quasi-experimental framework that allows for...
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作者：Du, Longyuan; Hu, Ming; Wu, Jiahua
作者单位：University of San Francisco; University of Toronto; Imperial College London
摘要：We consider a sales effort management problem under an all-or-nothing constraint. The seller will receive no bonus/revenue if the sales volume fails to reach a predetermined target at the end of the sales horizon. Throughout the sales horizon, the sales process can be moderated by the seller through costly effort. We show that the optimal sales rate is nonmonotonic with respect to the remaining time or the outstanding sales volume required to reach the target. Generally, it has a watershed str...
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作者：Huang, Dashan; Jiang, Fuwei; Li, Kunpeng; Tong, Guoshi; Zhou, Guofu
作者单位：Singapore Management University; Central University of Finance & Economics; Capital University of Economics & Business; Fudan University; Washington University (WUSTL)
摘要：This paper proposes a novel supervised learning technique for forecasting: scaled principal component analysis (sPCA). The sPCA improves the traditional principal component analysis (PCA) by scaling each predictor with its predictive slope on the target to be forecasted. Unlike the PCA that maximizes the common variation of the predictors, the sPCA assigns more weight to those predictors with stronger forecasting power. In a general factor framework, we show that, under some appropriate condit...
