Vanderbilt University - Owen Graduate School of Management Research Paper Series最新文献

Ownership: A Perennial Prize or a Fading Goal? A Curation, Framework, and Agenda for Future Research 所有权:永恒的奖励还是逐渐消失的目标?未来研究的策展、框架和议程

Vanderbilt University - Owen Graduate School of Management Research Paper Series Pub Date : 2020-05-27 DOI: 10.2139/ssrn.3651156

Cait Lamberton, Kelly Goldsmith

引用次数: 16

Clustering Structure of Microstructure Measures 微观结构测度的聚类结构

Vanderbilt University - Owen Graduate School of Management Research Paper Series Pub Date : 2019-03-15 DOI: 10.2139/ssrn.3880751

Liao Zhu, Ningning Sun, M. Wells

引用次数: 14

Volatility Creates Additional Returns: Flat Exposure is A Better Investment Approach than Buy-and-Hold 波动创造额外回报:持平敞口是比买入并持有更好的投资方式

Vanderbilt University - Owen Graduate School of Management Research Paper Series Pub Date : 2018-12-19 DOI: 10.2139/ssrn.3303593

K. Miyamoto

{"title":"Volatility Creates Additional Returns: Flat Exposure is A Better Investment Approach than Buy-and-Hold","authors":"K. Miyamoto","doi":"10.2139/ssrn.3303593","DOIUrl":"https://doi.org/10.2139/ssrn.3303593","url":null,"abstract":"The expected returns have to be converged to the single rate in the same equity market through arbitrage as the return difference provides an arbitrage opportunity, which recurs to narrow any differentials. The beta is eventually unnecessary as a composition of the equity cost computation through this mechanism. However, the volatility is still a risk to the equity investment in terms of the convention to cut a loss when the stock price plunges out of the predestined range. The combination of those notions implies that the lower risk portfolio yields a better return with the same expected return, such as the value-tilted strategy. There is a way to enhance the return with the volatility, which is named as “Flat Exposure”, to fix the portfolio exposure to the flat rate, rebalancing it at the end of each term. I set up 50% equity and 50% cash for the backtest, where the equity portion might expand to 54% or shrink to 45%, which is rebalanced back to the 50% each at the end of the term. The test confirms that the flat exposure portfolio yields more return than Buy-and-hold. This outcome is pivotal as both strategies are based on exactly the same asset, indicating that there is a structural way to enhance the portfolio performance with a utilization of the beta. Actually, the more volatility, the more returns the flat exposure creates at the same security and return, which is partially against Sharpe ratio. We need always to reexamine our conventional wisdom to create a better future.","PeriodicalId":112243,"journal":{"name":"Vanderbilt University - Owen Graduate School of Management Research Paper Series","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-12-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127960961","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Forecasting Product Life Cycle Curves: Practical Approach and Empirical Analysis 产品生命周期曲线预测:实用方法与实证分析

Vanderbilt University - Owen Graduate School of Management Research Paper Series Pub Date : 2017-07-19 DOI: 10.2139/ssrn.2867528

K. Hu, Jason Acimovic, Francisco Erize, Douglas J. Thomas, Jan A. Van Mieghem

引用次数: 15

Benchmarking Commodity Investments 基准商品投资

Vanderbilt University - Owen Graduate School of Management Research Paper Series Pub Date : 2017-06-15 DOI: 10.2139/ssrn.2744766

J. Blocher, Ricky Cooper, Marat Molyboga

引用次数: 7

The Shape of Cooperative Communication 合作沟通的形态

Vanderbilt University - Owen Graduate School of Management Research Paper Series Pub Date : 2016-05-26 DOI: 10.2139/ssrn.2464406

Jordan M. Martel, Edward Dickersin Van Wesep

{"title":"The Shape of Cooperative Communication","authors":"Jordan M. Martel, Edward Dickersin Van Wesep","doi":"10.2139/ssrn.2464406","DOIUrl":"https://doi.org/10.2139/ssrn.2464406","url":null,"abstract":"It is common for one who has information to share it cooperatively with one who needs it. Perhaps surprisingly, this information is often not communicated in the simplest possible way. For example, Standard and Poor's assigns ratings of at least \"B-\" to 97% of corporate issues, and segments these issues into 16 categories (AAA, AA, AA-, etc.). A full 7 of these 16 categories are devoted to issues with nearly identical default probabilities, leaving only 9 categories to cover the wide variety of default probabilities found in speculative corporate debt. Equally concerning, Yelp restaurant reviews are predominantly positive, with an average of 3.8 stars out of 5. This limits the site's usefulness in distinguishing the highest quality fare. I show that the purpose of a reviewer generates the optimal distribution of reviews. If it is most important to separate great from good, then reviews will tend to be harsh, in the sense that most reviews will be below average. If it is most important to separate bad from worst, then reviews will tend to be polite, in the sense that most reviews will be above average. Importantly, politeness and harshness are emergent properties of the optimal messaging rule. Results are consistent with casual observation, and provide testable implications across a variety of settings, including credit reports, analyst ratings, credit ratings, wine ratings, referee reports, customer reviews, grade inflation, and letters of recommendation.","PeriodicalId":112243,"journal":{"name":"Vanderbilt University - Owen Graduate School of Management Research Paper Series","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127119677","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

How Much for a Haircut? Illiquidity, Secondary Markets, and the Value of Private Equity 理一次发要多少钱?非流动性、二级市场和私募股权的价值

Vanderbilt University - Owen Graduate School of Management Research Paper Series Pub Date : 2016-03-02 DOI: 10.2139/ssrn.2608549

Nicolas P. B. Bollen, Berk A. Sensoy

引用次数: 11

The Quality of Expertise 专业知识的质量

Vanderbilt University - Owen Graduate School of Management Research Paper Series Pub Date : 2015-05-28 DOI: 10.2139/ssrn.2257995

Edward Dickersin Van Wesep

{"title":"The Quality of Expertise","authors":"Edward Dickersin Van Wesep","doi":"10.2139/ssrn.2257995","DOIUrl":"https://doi.org/10.2139/ssrn.2257995","url":null,"abstract":"Policy-makers and managers often turn to experts when in need of information: because they are more informed than others of the content and quality of current and past research, they should provide the best advice. I show, however, that we should expect experts to be systematically biased, potentially to the point that they are less reliable sources of information than non-experts. This is because the decision to research a question implies a belief that research will be fruitful. If priors about the impact of current work are correct, on average, then those who select into researching a question are optimistic about the quality of current work. In areas that are new, or feature new research technologies (e.g., data sources, technical methods, or paradigms), the selection problem is less important than the benefit of greater knowledge: experts will indeed be experts. In areas that are old and lack new research technologies, there will be significant bias. Furthermore, consistent with a large body of empirical research, this selection problem implies that experts who express greater confidence in their beliefs will be, on average, less accurate. This paper provides many empirical implications for expert accuracy, as well as mechanism design implications for hiring, task assignment, and referee assignment.","PeriodicalId":112243,"journal":{"name":"Vanderbilt University - Owen Graduate School of Management Research Paper Series","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124909528","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Money Market Fund Capital Buffers 货币市场基金资本缓冲

Vanderbilt University - Owen Graduate School of Management Research Paper Series Pub Date : 2015-04-06 DOI: 10.2139/ssrn.2388676

C. Lewis

引用次数: 1

How Attitudes Toward Product Categories Drive Individual Brand Attitudes and Choice 对产品类别的态度如何驱动个人品牌的态度和选择

Vanderbilt University - Owen Graduate School of Management Research Paper Series Pub Date : 2015-04-01 DOI: 10.2139/ssrn.2595682

S. Posavac, D. Sanbonmatsu, Joon Young Seo, D. Iacobucci

引用次数: 11