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作者：Huang, Zihong; Liu, De
作者单位：Texas Tech University System; Texas Tech University; University of Minnesota System; University of Minnesota Twin Cities
摘要：Amid the rise of the influencer economy, fake social media accounts have become prevalent on many social media platforms. Yet the problem of fake accounts is still poorly understood, and so is the effectiveness of coping strategies. This research models the ecosystem of fake accounts in an influencer economy and obtains insights on fake account purchasing behaviors, the impact of antifake efforts, and the roles of various contextual factors. We show that as the antifake effort increases, the e...
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作者：Kormylo, Cameron; Adjerid, Idris; Ball, Sheryl; Dogan, Can
作者单位：University of Notre Dame; Virginia Polytechnic Institute & State University; Virginia Polytechnic Institute & State University; Radford University
摘要：Failing to follow expert advice can have real and dangerous consequences. While any number of factors may lead a decision maker to refuse expert advice, the proliferation of algorithmic experts has further complicated the issue. One potential mechanism that restricts the acceptance of expert advice is betrayal aversion, or the strong dislike for the violation of trust norms. This study explores whether the introduction of expert algorithms in place of human experts can attenuate betrayal avers...
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作者：Kumar, Vineet; Sudhir, K.
作者单位：Yale University
摘要：A critical element of word of mouth (WOM) or buzz marketing is to identify seeds, often central actors with high degree in the social network. Seed identification typically requires data on the relevant network structure, which is often unavailable. We examine the impact of WOM seeding strategies motivated by the friendship paradox, which can obtain more central nodes without knowing network structure. Higher degree nodes may be less effective as seeds if these nodes communicate less with neig...
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作者：Chen, Zhong; Liu, Yi; Rossi, Stefano
作者单位：University of London; King's College London; Southwestern University of Finance & Economics - China; Bocconi University
摘要：We document the frequent use of stock lockup agreements in mergers and acquisitions (M&As) paid in stock and examine the corporate determinants and consequences of the use and duration of lockups. Lockup agreements prohibit target shareholders from selling shares issued by the acquirer as a means of payment for a prespecified period. We find support for the hypothesis that target shareholders agree to lockups to precommit to hold on to the acquirer's stock if they believe the merger's long-ter...
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作者：Huang, Shiyang; Song, Yang; Xiang, Hong
作者单位：University of Hong Kong; University of Washington; University of Washington Seattle; Hong Kong Polytechnic University
摘要：We demonstrate that a broad set of asset pricing factors/anomalies are significantly exposed to noise trader risk, and the noise trader risk is priced in factor premia. We first confirm that mutual funds' flow-induced trading of factors are uninformed, as they generate a large price impact on factor returns, followed by a complete reversal. We then show that asset pricing factors are subject to flow-driven noise trader risk in that expected variation (covariation) of flow-induced noise trading...
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作者：Chabi-Yo, Fousseni; Goncalves, Andrei S.; Loudis, Johnathan A.
作者单位：University of Massachusetts System; University of Massachusetts Amherst; University System of Ohio; Ohio State University; University of Notre Dame
摘要：Prominent factor models are based on tradable factors that do not represent theoretically relevant risks. To address this issue, we develop a factor model that captures the risks to long-term investors present in the intertemporal capital asset pricing model (ICAPM). Empirically, we construct intertemporal risk factors as long-short portfolios based on stock exposures to dividend yield and realized variance. These tradable factors mimic news to long-term expected returns and volatility, and th...
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作者：Wang, Xue; Wei, Mike Mingcheng; Yao, Tao
作者单位：Alibaba Group; State University of New York (SUNY) System; University at Buffalo, SUNY; Shanghai Jiao Tong University
摘要：We propose a minimax concave penalized multiarmed bandit algorithm under the generalized linear model (G-MCP-Bandit) for decision-makers facing high-dimensional data in an online learning and decision-making environment. We demonstrate that in the data-rich regime, the G-MCP-Bandit algorithm attains the optimal cumulative regret in the sample size dimension and a tight bound in the covariate dimension and the significant covariate dimension. In the data-poor regime, the G-MCP-Bandit algorithm ...
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作者：Ham, Charles; Hann, Rebecca N.; Rabier, Maryjane; Wang, Wenfeng
作者单位：Indiana University System; Indiana University Bloomington; IU Kelley School of Business; University System of Maryland; University of Maryland College Park; Washington University (WUSTL); Southern University of Science & Technology
摘要：This study empirically examines the relation between audit quality and auditors' cognitive and social skills. Using a novel data set of online job postings by accounting firms, we document substantial variation in the stated demand for auditors' cognitive and social skills, suggesting that audit offices are not homogeneous in their preferences for such skills. We find a positive relation between audit quality and the prevalence of cognitive and social skills within an audit office's job postin...
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作者：Huang, Shiyang; Schneemeier, Jan; Subrahmanyam, Avanidhar; Yang, Liyan
作者单位：University of Hong Kong; Michigan State University; Michigan State University's Broad College of Business; University of California System; University of California Los Angeles; University of Toronto
摘要：We analyze a single-factor setting in which there is private information regarding cash flows as well as their betas. Private information about betas, together with market makers' risk aversion and mean betas' nonnegativity, implies a nonlinear price schedule whose stochastic slope covaries positively with order flow when the expected factor payoff is positive and vice versa. We predict a negative relation between the covariance and expected returns and an attenuation of the beta anomaly in as...
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作者：Lin, Chen; Ma, Chicheng; Sun, Yuchen; Xu, Yuchen
作者单位：University of Hong Kong; University of International Business & Economics; University of New South Wales Sydney
摘要：We examine how the supply of talent affected financial development based on an experiment that abruptly changed the allocation of talent in historical China. Under the meritocratic civil examination system, government service was the main employment for the Chinese intellectuals. The abolition of this system in 1905 reduced the status and wealth attached to government service, which led the intellectuals to turn to modern banking as a high-status sector of employment. We find that regions wher...
