B. Bollinger, D. Hammond, E. Hobin, Eli Liebman, J. Sacco
{"title":"Do Educational Campaigns for On-Shelf Nutritional Labeling Work?","authors":"B. Bollinger, D. Hammond, E. Hobin, Eli Liebman, J. Sacco","doi":"10.2139/ssrn.3500981","DOIUrl":"https://doi.org/10.2139/ssrn.3500981","url":null,"abstract":"Front-of-package and on-shelf nutrition labelling systems in supermarkets, such as Guiding Stars, have been shown to lead to only modest increases in the purchase of more nutritious foods. Educational campaigns may increase their use if there is 1) a lack of consumer awareness and/or understanding of the labels, and 2) the information provided lead consumers to prefer different products. We study a large-scale, national campaign for Guiding Stars conducted by a grocery retailer in Canada who implemented the program. Using detailed transaction data, we find only a small increase in the purchase of higher star-rated foods during the campaign, driven by consumers who were already purchasing healthy products, and 40-50% of the effect disappears after the campaign’s conclusion. To explain the limited response, exit surveys were conducted outside of stores before and after the campaign. Awareness and understanding of the nutrition labelling system increased marginally after the campaign, with no increases in self-reported use. To have impact, on-shelf labelling programs must achieve higher levels of awareness and understanding and increase desired usage of the information.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"57 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114487046","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}
Mario Bellia, L. Pelizzon, M. Subrahmanyam, Darya Yuferova
{"title":"Designated Market Makers: Competition and Incentives","authors":"Mario Bellia, L. Pelizzon, M. Subrahmanyam, Darya Yuferova","doi":"10.2139/SSRN.3354400","DOIUrl":"https://doi.org/10.2139/SSRN.3354400","url":null,"abstract":"Do competition and incentives offered to designated market makers (DMMs) improve market liquidity? Using data from NYSE Euronext Paris, we show that an exogenous increase in competition among DMMs leads to a significant decrease in quoted and effective spreads, mainly through a reduction in adverse selection costs. In contrast, changes in incentives, through small changes in rebates and requirements for DMMs, do not have any tangible effect on market liquidity. Our results are of relevance for designing optimal contracts between exchanges and DMMs and for regulatory market oversight.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114469095","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":"Pre-Announcement Risk","authors":"Toomas Laarits","doi":"10.2139/ssrn.3443886","DOIUrl":"https://doi.org/10.2139/ssrn.3443886","url":null,"abstract":"I propose and test a new explanation for the pre-FOMC announcement drift puzzle. I show that such a drift arises in a model where investors interpret a given FOMC action differently based on recent news. If recent news has been good, FOMC announcements are seen as signals about economic conditions; if recent news has been poor, they are seen as signals about the Fed's own policy stance. Consistent with the model, I demonstrate that the market return prior to the announcement—a proxy for recent news—predicts the interpretation of Fed action. In the model the pre-FOMC drift represents a risk premium associated with the resolution of uncertainty about announcement type. The model does not require informational leaks or biased beliefs and can account for the seasonality of aggregate returns over the FOMC calendar.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128070325","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}
Abhilash Babu, A. Levine, Yao Hua Ooi, L. Pedersen, Erik Stamelos
{"title":"Trends Everywhere","authors":"Abhilash Babu, A. Levine, Yao Hua Ooi, L. Pedersen, Erik Stamelos","doi":"10.2139/ssrn.3386035","DOIUrl":"https://doi.org/10.2139/ssrn.3386035","url":null,"abstract":"We provide new out-of-sample evidence on trend-following investing by studying its performance for 82 securities not previously examined and 16 long-short equity factors. Specifically, we study the performance of time series momentum for emerging market equity index futures, fixed income swaps, emerging market currencies, exotic commodity futures, credit default swap indices, volatility futures, and long-short equity factors. We find that time series momentum has worked across these asset classes and across several trend horizons. We examine the co-movement of trends across asset classes and factors, the performance during different market environments, and discuss the implications for investors.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115749667","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}
Jitendra Aswani, Sudip Gupta, I. Hasan, A. Saunders
{"title":"The Impact of JOBS Act on M&As","authors":"Jitendra Aswani, Sudip Gupta, I. Hasan, A. Saunders","doi":"10.2139/ssrn.3512491","DOIUrl":"https://doi.org/10.2139/ssrn.3512491","url":null,"abstract":"Do changes in the IPO regulatory environment affect private firms’ exit choices, bargaining abilities, and valuations? Using the JOBS Act as an exogenous shock to the exit decisions among private firms, we observe that their valuations as M&A targets increase by 36% after the Act, negatively affecting acquirer wealth gains. These results are more prominent for VC-backed targets. We also find that stock (cash) deals decrease (increase) for private firms after the Act. Our results are robust to endogeneity concerns, alternative measures, placebo tests, and other robustness tests.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"368 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125317028","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}
Mario Bellia, L. Pelizzon, M. Subrahmanyam, Junko Uno, Darya Yuferova
{"title":"Coming Early to the Party","authors":"Mario Bellia, L. Pelizzon, M. Subrahmanyam, Junko Uno, Darya Yuferova","doi":"10.2139/ssrn.3628305","DOIUrl":"https://doi.org/10.2139/ssrn.3628305","url":null,"abstract":"We examine the strategic behavior of High Frequency Traders (HFTs) during the pre-opening phase and the opening auction of the NYSE-Euronext Paris exchange. HFTs actively participate, and profitably extract information from the order flow. They also post \"flash crash\" orders, to gain time priority. They make profits on their last-second orders; however, so do others, suggesting that there is no speed advantage. HFTs lead price discovery, and neither harm nor improve liquidity. They \"come early to the party\", and enjoy it (make profits); however, they also help others enjoy the party (improve market quality) and do not have privileges (their speed advantage is not crucial).","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"75 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124733833","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":"Explaining Data-Driven Document Classifications","authors":"David Martens, F. Provost","doi":"10.25300/MISQ/2014/38.1.04","DOIUrl":"https://doi.org/10.25300/MISQ/2014/38.1.04","url":null,"abstract":"Many document classification applications require human understanding of the reasons for data-driven classification decisions by managers, client-facing employees, and the technical team. Predictive models treat documents as data to be classified, and document data are characterized by very high dimensionality, often with tens of thousands to millions of variables (words). Unfortunately, due to the high dimensionality, understanding the decisions made by document classifiers is very difficult. This paper begins by extending the most relevant prior theoretical model of explanations for intelligent systems to account for some missing elements. The main theoretical contribution is the definition of a new sort of explanation as a minimal set of words (terms, generally), such that removing all words within this set from the document changes the predicted class from the class of interest. We present an algorithm to find such explanations, as well as a framework to assess such an algorithm's performance. We demonstrate the value of the new approach with a case study from a real-world document classification task: classifying web pages as containing objectionable content, with the goal of allowing advertisers to choose not to have their ads appear on those pages. A second empirical demonstration on news-story topic classification shows the explanations to be concise and document-specific, and to be capable of providing understanding of the exact reasons for the classification decisions, of the workings of the classification models, and of the business application itself. We also illustrate how explaining the classifications of documents can help to improve data quality and model performance.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"57 10","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121014811","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":"Mutual Fund's R^2 as Predictor of Performance","authors":"Y. Amihud, Ruslan Goyenko","doi":"10.1093/RFS/HHS182","DOIUrl":"https://doi.org/10.1093/RFS/HHS182","url":null,"abstract":"We propose that fund performance can be predicted by its R-super-2, obtained from a regression of its returns on a multifactor benchmark model. Lower R-super-2 indicates greater selectivity, and it significantly predicts better performance. Stock funds sorted into lowest-quintile lagged R-super-2 and highest-quintile lagged alpha produce significant annual alpha of 3.8%. Across funds, R-super-2 is positively associated with fund size and negatively associated with its expenses and manager's tenure. The Author 2013. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oup.com., Oxford University Press.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132424928","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":"CDS Credit-Event Auctions","authors":"Sudip Gupta, R. Sundaram","doi":"10.2139/ssrn.2023243","DOIUrl":"https://doi.org/10.2139/ssrn.2023243","url":null,"abstract":"Credit-event auctions were introduced in 2005 to facilitate cash settlement in the credit default swap market following a credit event. They have a novel two-stage structure that makes them distinct from other auction forms. This paper studies outcomes in credit-event auctions over the period 2008-10.Our analysis is in three parts. In the first part, we look at the efficacy of price discovery in the auction. We find that the auction price has a significant bias relative to the pre- and post-auction market prices for the same instruments, and that volatility of market prices often increases after the auction; nonetheless, we find that information generated in the auction has considerable impact on post-auction market prices. In the second part of the analysis, we look at behavior within and across auctions and the factors that influence it. We find, among other things, that “winner’s curse” concerns play a central role, affecting liquidity provision in the auction, the pricing bias, and bidders’ within-auction updating of their private information based on information revealed in the auction’s first stage. In the final part of the paper, under some simplifying assumptions, we carry out a structural estimation to recover the underlying distribution of signals. Using these estimates, we find that the alternative auction formats could reduce the amount of bias in the auction final price.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127680153","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":"De-Regulating Markets for Financial Information","authors":"Laura L. Veldkamp, Pablo Kurlat","doi":"10.2139/ssrn.1787619","DOIUrl":"https://doi.org/10.2139/ssrn.1787619","url":null,"abstract":"In October 2009, the house financial services committee voted to study the effects of removing ratings requirements for credit products. Eliminating such requirements would allow the issuers of credit products to decide whether or not to pay a ratings agency to rate their asset. If such a rating was not provided by the asset issuer, investors themselves might purchase a rating. This paper studies the circumstances under which free markets for information will provide information, in the absence of government mandates and the efficiency properties of each regime. Although government regulation requires too much information for some assets and too little for others, private markets also suffer from inefficiencies stemming from the non-concave nature of information production. The results inform the debate about how and when to require information provision for a wide range of financial and non-financial products.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"330 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122744931","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}