ERN: Other IO: Empirical Studies of Firms & Markets (Topic)最新文献

{"title":"The Network Effects of Agency Conflicts","authors":"R. Vohra, Yiqing Xing, Wu Zhu","doi":"10.2139/ssrn.3556298","DOIUrl":"https://doi.org/10.2139/ssrn.3556298","url":null,"abstract":"It is customary to focus on the network of interdependencies between firms to understand how and whether a shock to one firm will propagate to others. This paper argues that agency conflicts at the firm-level and not just the network structure, play a crucial role in amplifying or muting the propagation of exogenous shocks. If firms can take investment decisions in response to an exogenous shock, whether their choices amplify or mute the propagation of the shock will depend on the nature of the agency conflict. When agents in our model are subject to default costs or limited liability, they make investment choices that serve to mitigate the spread of an initial shock. In the face of interest conflicts or moral hazard, however, shocks are amplified by firm-level investment choices. <br><br>The presence of these agency conflicts counters the role of network structure in the propagation of shocks. For example, prior work argues that denser or more integrated networks facilitate the propagation of shocks. We show that in the presence of interest conflicts, this effect can be reversed. Under some conditions, the aggregate effect of an idiosyncratic shock via propagation does not diminish. This suggests a potentially important role that corporate governance plays in macro fluctuations.","PeriodicalId":11837,"journal":{"name":"ERN: Other IO: Empirical Studies of Firms & Markets (Topic)","volume":"35 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74454616","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}

{"title":"The Hedge Fund Industry Is Bigger (and Has Performed Better) Than You Think","authors":"D. Barth, Juha Joenväärä, Mikko Kauppila, Russ Wermers","doi":"10.2139/ssrn.3544181","DOIUrl":"https://doi.org/10.2139/ssrn.3544181","url":null,"abstract":"Of first-order importance to the study of potential systemic risks in hedge funds is the aggregate size of the industry. The worldwide hedge fund industry has been estimated by regulators and industry experts as having total net assets under management of $2.3-3.7 trillion as of the end of 2016. Using a newly combined database of several hedge fund information vendors, augmented by the first detailed, systematic regulatory collection of data on large hedge funds in the United States, we estimate that the worldwide net assets under management were at least $5.2 trillion in 2016, over 40% larger than the most generous estimate. Gross assets, which represent the balance sheet value of hedge fund assets, exceeds $8.5 trillion. We further decompose hedge fund assets by their self-reported strategy and by fund domicile. We also show that the total returns earned by funds that report to the public databases are significantly lower than the returns of funds that report only on regulatory filings, both in aggregate and within nearly every fund strategy. This difference appears to be driven entirely by alpha, rather than by differences in exposures to systematic risk factors. However, net investor flows are considerably higher for funds reporting publicly, suggesting previous estimates of the flow-performance relationship are likely biased. Our new, and much larger, estimates of the size of the hedge fund industry should help regulators and prudential authorities to better gauge the systemic risks posed by the industry, and to better evaluate potential data gaps in private funds. Our results also suggest that systematic risk is roughly similar in publicly and non-publicly reporting funds.","PeriodicalId":11837,"journal":{"name":"ERN: Other IO: Empirical Studies of Firms & Markets (Topic)","volume":"42 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-02-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85775015","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}

{"title":"SHIFT: A Highly Realistic Financial Market Simulation Platform","authors":"Thiago W. Alves, I. Florescu, G. Calhoun, Dragoş Bozdog","doi":"10.2139/ssrn.3544308","DOIUrl":"https://doi.org/10.2139/ssrn.3544308","url":null,"abstract":"This paper presents a new financial market simulator that may be used as a tool in both industry and academia for research in market microstructure. It allows multiple automated traders and/or researchers to simultaneously connect to an exchange-like environment, where they are able to asynchronously trade several financial assets at the same time. In its current iteration, this order-driven market implements the basic rules of U.S. equity markets, supporting both market and limit orders, and executing them in a first-in-first-out fashion. We overview the system architecture and we present possible use cases. We demonstrate how a set of automated agents is capable of producing a price process with characteristics similar to the statistics of real price from financial markets. Finally, we detail a market stress scenario and we draw, what we believe to be, interesting conclusions about crash events.","PeriodicalId":11837,"journal":{"name":"ERN: Other IO: Empirical Studies of Firms & Markets (Topic)","volume":"30 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-02-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83703671","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}

{"title":"Toward Understanding FinTech and its Industry","authors":"Heather S. Knewtson, Zachary Rosenbaum","doi":"10.1108/mf-01-2020-0024","DOIUrl":"https://doi.org/10.1108/mf-01-2020-0024","url":null,"abstract":"The purpose of this study is to define FinTech, differentiating it from financial technology and use the definition to develop an industry framework.,Using the existing literature on FinTech and incorporating these contributions into a traditional financial structure, characteristics are outlined and placed into a framework that describes the FinTech industry.,FinTech is a specific type of Financial Technology, defined as technology used to provide financial markets a financial product or financial service, characterized by sophisticated technology relative to existing technology in that market. Firms that primarily use FinTech are classified as FinTech firms. Using these definitions, the paper provides a structure for the FinTech industry, classifying each type of FinTech firm by FinTech characteristics.,Research that would inform the economic importance of FinTech would be served with an increased understanding of FinTech firms and the FinTech industry.,This paper contributes by defining FinTech and developing a comprehensive framework to describe the emerging FinTech industry.","PeriodicalId":11837,"journal":{"name":"ERN: Other IO: Empirical Studies of Firms & Markets (Topic)","volume":"24 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-01-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90060200","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}

{"title":"Do Firm Effects Drift? Evidence from Washington Administrative Data","authors":"Marta Lachowska, Alexandre Mas, Raffaele Saggio, Stephen A. Woodbury","doi":"10.3386/w26653","DOIUrl":"https://doi.org/10.3386/w26653","url":null,"abstract":"We study the time-series properties of firm effects in the two-way fixed effects models popularized by Abowd, Kramarz, and Margolis (1999) (AKM) using two approaches. The first—the rolling AKM approach (R-AKM)—estimates AKM models separately for successive two-year intervals. The second—the time-varying AKM approach (TV-AKM)—is an extension of the original AKM model that allows for unrestricted interactions of year and firm indicators. We apply to both approaches the leave-one-out methodology of Kline, Saggio and Solvsten (2019) to correct for biases in the resulting variance components. Using administrative wage records from Washington State, we find, first, that firm effects for hourly wage rates and earnings are highly persistent. Specifically, the autocorrelation coefficient between firm effects in 2002 and 2014 is 0.74 for wages and 0.82 for earnings. Second, the R-AKM approach uncovers cyclicality in firm effects and worker-firm sorting. During the Great Recession the variability in firm effects increased, while the degree of worker-firm sorting decreased. Third, we document an increase in wage dispersion between 2002–2003 and 2013–2014. This increase in wage dispersion is driven by increases in the variance of worker effects and sorting, with an accompanying decrease in the variance of firm wage effects. Auxiliary analyses suggest that the misspecification of standard AKM models resulting from restricting firm effects to be fixed over time is a second-order concern.","PeriodicalId":11837,"journal":{"name":"ERN: Other IO: Empirical Studies of Firms & Markets (Topic)","volume":"131 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73429165","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}

{"title":"Inventory Commitment and Monetary Compensation under Competition","authors":"Junfei Lei, Fuqiang Zhang, Renyu (Philip) Zhang, Yugang Yu","doi":"10.2139/ssrn.3292199","DOIUrl":"https://doi.org/10.2139/ssrn.3292199","url":null,"abstract":"Problem definition: Inventory commitment and monetary compensation are widely recognized as effective strategies in monopoly settings when customers are concerned about stockouts. To attract more customer traffic, a firm reveals its inventory availability information to customers before the sales season or offers monetary compensation to placate customers if the product is out of stock. This paper investigates these two strategies when retailers compete on both price and inventory availability. Methodology/results: We develop a game-theoretic framework to analyze the strategic interactions among the retailers and customers and draw the following insights. First, both inventory commitment and monetary compensation may lead to a prisoner’s dilemma. Although these strategies are preferred regardless of the competitor’s price and inventory decisions, the equilibrium profit of each retailer could be lower in the presence of inventory commitment or monetary compensation because they intensify the competition between the retailers. Second, we find that market competition may hurt social welfare compared with a centralized setting by reducing the product availability in equilibrium. The inventory commitment and monetary compensation strategies further intensify the competition between the retailers, therefore causing an even lower social welfare. Managerial implications: Our study shows that, although inventory commitment and monetary compensation improve retailers’ profit and social welfare under monopoly, these strategies should be used with caution under competition. Funding: F. Zhang is grateful for the financial support from the National Natural Science Foundation of China [Grants 71929201, 72131004]. R. Zhang is grateful for the financial support from the Hong Kong Research Grants Council General Research Fund [Grant 14502722] and the National Natural Science Foundation of China [Grant 72293560/72293565]. Y. Yu is grateful for the financial support from the National Natural Science Foundation of China [Grant 71921001]. Supplemental Material: The online appendix is available at https://doi.org/10.1287/msom.2021.0411 .","PeriodicalId":11837,"journal":{"name":"ERN: Other IO: Empirical Studies of Firms & Markets (Topic)","volume":"13 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88840553","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}

{"title":"Prioritization vs. Neutrality on Platforms: Evidence from Amazon’s Twitch.tv","authors":"José Tudón","doi":"10.2139/ssrn.3049371","DOIUrl":"https://doi.org/10.2139/ssrn.3049371","url":null,"abstract":"This paper studies the efficient use of prioritization in Amazon’s Twitch.tv, taking into account the trade-off between entry and congestion. I specify and estimate supply and demand models for live video, and a congestion model. Using technological shocks, I identify congestion costs for content providers and their consumers. Using shocks in prioritization, I identify its benefits. With estimated preferences and technological parameters, I construct counterfactuals. Without congestion, demand potentially doubles. A supply-side Pigouvian tax is preferred to a demand-side one. Without prioritization, consumer welfare drops up to 10%. I consider a rent-extractive platform, and discuss parallels with net-neutrality policy.","PeriodicalId":11837,"journal":{"name":"ERN: Other IO: Empirical Studies of Firms & Markets (Topic)","volume":"22 2","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91441028","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}

{"title":"Reputation as a Key Resource for Market Success in the Banking Sector","authors":"Berislava Starešinić, M. Omazić, A. Aleksić","doi":"10.2139/ssrn.3490616","DOIUrl":"https://doi.org/10.2139/ssrn.3490616","url":null,"abstract":"Acknowledging the importance and role of corporate reputation as a unique intangible and specific organizational resource, in this paper, we analyze its role and importance for the market success of contemporary banks. Furthermore, the paper provides an overview of the existing research regarding bank reputation in the Republic of Croatia. As corporate social responsibility aspect of a business is one of the most widely studied aspects of corporate reputation, we investigate the corporate social responsibility practice of two major banks in Croatia. By using publicly available data, we analyse the internal and external dimensions of their CSR and their relation to a bank’s reputation.","PeriodicalId":11837,"journal":{"name":"ERN: Other IO: Empirical Studies of Firms & Markets (Topic)","volume":"40 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88687341","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}

{"title":"What&Apos;S the Big Idea? Multi-Function Products, Firm Scope and Firm Boundaries","authors":"Mengxi (Maggie) Liu, Daniel Trefler","doi":"10.3386/w26320","DOIUrl":"https://doi.org/10.3386/w26320","url":null,"abstract":"Products often bundle together many functions e.g., smartphones. The firm develops the big idea (which functions to bundle) and then chooses one supplier per function. We develop a model featuring holdup in which the firm's bargaining power declines in the number of suppliers. Greater scope as measured by the number of suppliers exacerbates holdup, but this is partially offset by the appropriate choice of vertical integration or outsourcing. Our main result flows from the empirical observation that the number of functions varies across products within an industry (firm heterogeneity). We introduce the notion of an 'ideas-oriented' industry in which more productive firms have higher marginal returns to introducing a new function. We show that more productive firms will (1) have more suppliers and (2) be more likely to integrate those suppliers. We take this to the data using a neural network to predict whether or not each of 29 million PATSTAT patent applications involves new/improved functions. We merge these patents with Capital IQ data on 55,000 companies and their supplier networks. We show that in industries where patents are skewed towards new or improved functions, more productive firms have more suppliers and are more likely to integrate these suppliers.","PeriodicalId":11837,"journal":{"name":"ERN: Other IO: Empirical Studies of Firms & Markets (Topic)","volume":"11 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73677508","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}

{"title":"Survival or Die: A Survival Analysis on Peer‐To‐Peer Lending Platforms in China","authors":"Qigui Liu, Luxi Zou, Xiaoling Yang, Jinghua Tang","doi":"10.1111/acfi.12513","DOIUrl":"https://doi.org/10.1111/acfi.12513","url":null,"abstract":"This study examines the probability of survival of online peer&#8208;to&#8208;peer (P2P) lending platforms in China. Our empirical findings show that shareholder's background, platforms&#8217; risk management and institutional environment are three major factors that influence the probability of survival of P2P platforms in China. In addition, the effects of risk control and institutional environment are less pronounced in state&#8208;owned P2P platforms. We also show that platforms that die from abscondence of owners tend to be more short&#8208;lived than others, while platforms that die from liquidity problems are usually due to lack of high&#8208;quality risk management techniques.","PeriodicalId":11837,"journal":{"name":"ERN: Other IO: Empirical Studies of Firms & Markets (Topic)","volume":"49 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77674473","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}