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Financial Jeorpardy 金融Jeorpardy
Robert H. Smith School of Business Research Paper Series Pub Date : 2016-12-21 DOI: 10.2139/ssrn.2635635
D. Madan
{"title":"Financial Jeorpardy","authors":"D. Madan","doi":"10.2139/ssrn.2635635","DOIUrl":"https://doi.org/10.2139/ssrn.2635635","url":null,"abstract":"Learning the pre limited liability value process of equity claims and its relationship to the stock price is an answer to the financial jeorpardy question when observed option prices are the answer being given by the market. Constant dollar equity holder values, prior to the imposition of limited liability, are the signed conditional expectations of the integral of discounted net residual equity claims through all time. The stock is modeled as a limitied liability claim imputing positive dividend flows to shareholders in certain circumstances coupled with a call option written on the integral of all discounted net residual equity claims.The underlying signed value has a known characteristic function when revenues and expenses are modeled as independent gamma processes. The stock price is a positive function of this signed underlying value, given by the solution of a partial integro differential equation. Options on the stock are then options on this function of the signed underlying value and are solved for using its density obtained by Fourier inversion of the characteristic function. The calibration of model parameters, the imputed dividend function and the terminal call strike is conducted on option prices at a single maturity for four underliers, AMZN, SPY, GOOG and JNJ. In all these cases it is observed that risk neutrally, up moves arrive more frequently and are generally smaller while down moves are less frequent and are larger. The terminal option strikes were in the money for SPY and JNJ and out of the money for AMZN and GOOG.","PeriodicalId":145189,"journal":{"name":"Robert H. Smith School of Business Research Paper Series","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130856304","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
Relativities in Financial Markets 金融市场中的相关性
Robert H. Smith School of Business Research Paper Series Pub Date : 2016-02-15 DOI: 10.2139/ssrn.2732825
D. Madan
{"title":"Relativities in Financial Markets","authors":"D. Madan","doi":"10.2139/ssrn.2732825","DOIUrl":"https://doi.org/10.2139/ssrn.2732825","url":null,"abstract":"No arbitrage for two price economies with no locally risk free asset implies that suitably deflated prices are nonlinear martingales. However, both the deflating process and the measure change depend on the process being deflated. Further assumptions allow the nonlinear martingales in discrete time to become expectations with respect to a nonadditive probability. Such nonlinear expectations that distort probabilities are imminently reasonable given the lack of experience with tail events on both sides of the gain loss spectrum. Continuous time extensions replace probability distortions with measure distortions that distort the arrival rates of jumps. The general valuation of economic activities and the leveraging of stability in deflated price processes is then addressed. Applications include the pricing of options on relativities and the asset pricing theory for relativities in a limiting stationary state.","PeriodicalId":145189,"journal":{"name":"Robert H. Smith School of Business Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129906916","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: 4
What's your Identification Strategy? Innovation in Corporate Finance Research 你的认同策略是什么?公司财务研究的创新
Robert H. Smith School of Business Research Paper Series Pub Date : 2015-10-27 DOI: 10.2139/ssrn.2378460
D. E. Bowen, L. Frésard, Jérôme P. Taillard
{"title":"What's your Identification Strategy? Innovation in Corporate Finance Research","authors":"D. E. Bowen, L. Frésard, Jérôme P. Taillard","doi":"10.2139/ssrn.2378460","DOIUrl":"https://doi.org/10.2139/ssrn.2378460","url":null,"abstract":"We study the diffusion of techniques designed to identify causal relationships in corporate finance research. We estimate the diffusion started in the mid-nineties, lags twenty years compared to economics, and is now used in the majority of corporate finance articles. Consistent with recent theories of technology diffusion, the adoption varies across researchers based on individuals' expected net benefits of adoption. Younger scholars, holders of PhDs in economics, and those working at top institutions adopt faster. Adoption is accelerated through networks of colleagues and alumnis and is also facilitated by straddlers who cross-over from economics to finance. Our findings highlight new forces that explain the diffusion of innovation and shape the norms of academic research.","PeriodicalId":145189,"journal":{"name":"Robert H. Smith School of Business Research Paper Series","volume":"461 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-10-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132932016","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: 30
Scheduling Promotion Vehicles to Boost Profits 安排促销工具以提高利润
Robert H. Smith School of Business Research Paper Series Pub Date : 2015-07-31 DOI: 10.2139/ssrn.2638396
Lennart Baardman, Maxime C. Cohen, Kiran Panchamgam, G. Perakis, D. Segev
{"title":"Scheduling Promotion Vehicles to Boost Profits","authors":"Lennart Baardman, Maxime C. Cohen, Kiran Panchamgam, G. Perakis, D. Segev","doi":"10.2139/ssrn.2638396","DOIUrl":"https://doi.org/10.2139/ssrn.2638396","url":null,"abstract":"We model the problem of scheduling promotion vehicles to maximize profits as a non-linear bipartite matching-type problem, where promotion vehicles should be assigned to time periods, subject to capacity constraints. Our model is motivated and calibrated using actual data in collaboration with Oracle Retail. We introduce and study a class of models for which the boost effects of promotion vehicles on demand are multiplicative. We show that the general setting of the promotion vehicle scheduling problem is computationally intractable. Nevertheless, we develop approximation algorithms and propose a compact integer programming formulation. In particular, we show how to obtain a (1-e) - approximation using an integer program of polynomial size and derive an efficient polynomial time algorithm under a mild assumption on one of the input parameters. In addition, we investigate analytically and computationally the performance of a greedy procedure. Then, we discuss an interesting extension that includes cross-term effects to capture the cannibalization aspect of using several vehicles simultaneously. Finally, we validate and test our methods on actual data and quantify the impact of our models.","PeriodicalId":145189,"journal":{"name":"Robert H. Smith School of Business Research Paper Series","volume":"51 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116005180","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: 27
On Dynamic Spectral Risk Measures and a Limit Theorem 动态谱风险测度及其极限定理
Robert H. Smith School of Business Research Paper Series Pub Date : 2015-07-24 DOI: 10.2139/ssrn.2635636
D. Madan, M. Pistorius, M. Stadje
{"title":"On Dynamic Spectral Risk Measures and a Limit Theorem","authors":"D. Madan, M. Pistorius, M. Stadje","doi":"10.2139/ssrn.2635636","DOIUrl":"https://doi.org/10.2139/ssrn.2635636","url":null,"abstract":"In this paper we explore a novel way to combine the dynamic notion of time-consistency with the static notion of quantile-based coherent risk-measure or spectral risk measure, of which Expected Shortfall is a prime example. We introduce a class of dynamic risk measures in terms of a certain family of g-expectations driven by Wiener and Poisson point processes. In analogy with the static case, we show that these risk measures, which we label dynamic spectral risk measures, are locally law-invariant and additive on the set of pathwise increasing random variables. We substantiate the link between dynamic spectral risk measures and their static counterparts by establishing a limit theorem for general path-functionals which shows that such dynamic risk measures arise as limits under vanishing time-step of iterated spectral risk measures driven by approximating lattice random walks. This involves a certain non-standard scaling of the corresponding spectral weight-measures that we identify explicitly.","PeriodicalId":145189,"journal":{"name":"Robert H. Smith School of Business Research Paper Series","volume":"96 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-07-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124401378","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: 16
Conic Portfolio Theory 经济投资组合理论
Robert H. Smith School of Business Research Paper Series Pub Date : 2015-06-07 DOI: 10.2139/ssrn.2635615
D. Madan
{"title":"Conic Portfolio Theory","authors":"D. Madan","doi":"10.2139/ssrn.2635615","DOIUrl":"https://doi.org/10.2139/ssrn.2635615","url":null,"abstract":"Portfolios are designed to maximize a conservative market value or bid price for the portfolio. Theoretically this bid price is modeled as reflecting a convex cone of acceptable risks supporting an arbitrage free equilibrium of a two price economy. When risk acceptability is completely defined by the risk distribution function and bid prices are additive for comonotone risks, then these prices may be evaluated by a distorted expectation. The concavity of the distortion calibrates market risk attitudes. Procedures are outlined for observing the economic magnitudes for diversification benefits reflected in conservative valuation schemes. Optimal portfolios are formed for long only, long short and volatility constrained portfolios. Comparison with mean variance portfolios reflects lower concentration in conic portfolios that have comparable out of sample upside performance coupled with higher downside outcomes. Additionally the optimization problems are robust, employing directionally sensitive risk measures that are in the same units as the rewards. A further contribution is the ability to construct volatility constrained portfolios that attractively combine other dimensions of risk with rewards.","PeriodicalId":145189,"journal":{"name":"Robert H. Smith School of Business Research Paper Series","volume":"83 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124124270","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: 19
How Facial Cues of Models Affect Attention to Websites in Asian and American Cultures 模特的面部线索如何影响亚洲和美国文化对网站的关注
Robert H. Smith School of Business Research Paper Series Pub Date : 2014-11-07 DOI: 10.2139/ssrn.2539253
Qiuzhen Wang, M. Wedel, Xuan Liu
{"title":"How Facial Cues of Models Affect Attention to Websites in Asian and American Cultures","authors":"Qiuzhen Wang, M. Wedel, Xuan Liu","doi":"10.2139/ssrn.2539253","DOIUrl":"https://doi.org/10.2139/ssrn.2539253","url":null,"abstract":"Gaze direction and the facial expression of emotion are the two most important facial cues in non-verbal communication. This research involves three eye tracking experiments to investigate the joint effects of facial expression (neutral/happy) and gaze direction (direct/averted) of models on websites on visual attention among American and Chinese participants. They reveal that among both cultures a gaze cue primes initial attention to the product or brand and show that positive affect from the happy expression when a model looks at the viewer carries over to the product or brand. For American participants, a model that looks at the viewer with a happy expression draws more attention to the brand, while for Chinese participants a model that looks at the product with a happy expression draws more attention to the brand. These differences are explained from a cultural difference in using the eyes and mouth as cues to recognize and interpret smiles in Asian and Western cultures, respectively. Further, the match in ethnicity between a model and the viewer exacerbated the attention effects of facial expression.","PeriodicalId":145189,"journal":{"name":"Robert H. Smith School of Business Research Paper Series","volume":"2002 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131386115","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
BANOVA: An R Package for Hierarchical Bayesian ANOVA BANOVA:一个R包的层次贝叶斯方差分析
Robert H. Smith School of Business Research Paper Series Pub Date : 2014-06-28 DOI: 10.18637/JSS.V081.I09
Chen Dong, M. Wedel
{"title":"BANOVA: An R Package for Hierarchical Bayesian ANOVA","authors":"Chen Dong, M. Wedel","doi":"10.18637/JSS.V081.I09","DOIUrl":"https://doi.org/10.18637/JSS.V081.I09","url":null,"abstract":"In this paper, we develop generalized hierarchical Bayesian ANOVA, to assist experimental researchers in the behavioral and social sciences in the analysis of the effects of experimentally manipulated within- and between-subjects factors. The method alleviates several limitations of classical ANOVA, still commonly employed in those fields. An accompanying R Package for hierarchical Bayesian ANOVA is developed. It offers statistical routines and several easy-to-use functions for estimation of hierarchical Bayesian ANOVA models that are tailored to the analysis of experimental research. Markov Chain Monte Carlo (MCMC) simulation is used to simulate posterior samples of the parameters of each model specified by the user. The core program of all models is written in R and JAGS. After preparing the data in the required format, users simply select an appropriate model, and estimate it without any advanced coding. The main aim of the R package is to offer freely accessible resources for hierarchical Bayesian ANOVA analysis, which makes it easy to use for behavioral researchers.","PeriodicalId":145189,"journal":{"name":"Robert H. Smith School of Business Research Paper Series","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-06-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114434325","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: 16
Lateral Hiring and Firm Performance: The Effects of Leverage Ratio, International Journal of Human Resource Management 横向招聘与企业绩效:杠杆率的影响，人力资源管理学报
Robert H. Smith School of Business Research Paper Series Pub Date : 2013-11-01 DOI: 10.2139/SSRN.2360368
Kwang-Ho Kim, Tae-Hyun Kim, Tae-Yeol Kim, Heejung Byun
{"title":"Lateral Hiring and Firm Performance: The Effects of Leverage Ratio, International Journal of Human Resource Management","authors":"Kwang-Ho Kim, Tae-Hyun Kim, Tae-Yeol Kim, Heejung Byun","doi":"10.2139/SSRN.2360368","DOIUrl":"https://doi.org/10.2139/SSRN.2360368","url":null,"abstract":"We theorized and tested the performance implications of the lateral hiring by professional service firms (i.e. law firms). Using a longitudinal dataset of lateral partner hires in 148 US law firms between the years of 2004 and 2008, the results indicated that the size of lateral hiring had a reversed U-shape relationship with the financial performance of a firm. In addition, the leverage ratio (i.e. the ratio between associate lawyers and partners) significantly moderated the reversed U-shape relationship between lateral hiring and firm performance, such that the placement of the bend in the curvilinear relationship, that is, the threshold, occurred more quickly at a low than at a high leverage ratio. This study contributes to the literature on strategic human resource management in professional service firms by providing empirical evidence on the effect of lateral hires and by emphasizing that lateral partner hiring should be considered with other important HR issues to fully capitalize lateral partners.","PeriodicalId":145189,"journal":{"name":"Robert H. Smith School of Business Research Paper Series","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127030302","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
Confidence via Correction: The Effect of Judgment Correction on Consumer Confidence 修正中的信心:判断修正对消费者信心的影响
Robert H. Smith School of Business Research Paper Series Pub Date : 2013-07-16 DOI: 10.2139/ssrn.2294973
Francine Espinoza Petersen, Rebecca W. Hamilton
{"title":"Confidence via Correction: The Effect of Judgment Correction on Consumer Confidence","authors":"Francine Espinoza Petersen, Rebecca W. Hamilton","doi":"10.2139/ssrn.2294973","DOIUrl":"https://doi.org/10.2139/ssrn.2294973","url":null,"abstract":"At times, consumers are motivated to reduce the influence of a product recommendation on their judgments. Based on previous research, it is unclear whether this correction process will increase or decrease consumers’ confidence in their judgments. We find that source credibility moderates the effect of correction on confidence: correction decreases confidence when a product recommendation comes from a high credibility source but increases confidence when the same message comes from a low credibility source. As a result, correction increases the effectiveness of recommendations from low credibility sources on purchase intentions. Notably, this “confidence via correction�? effect is further moderated by elaboration, such that the effect is attenuated for high elaboration consumers. Our results have implications for understanding consumers’ reactions to persuasive messages and for both marketing practitioners and consumer protection agencies using correction cues to influence message persuasiveness.","PeriodicalId":145189,"journal":{"name":"Robert H. Smith School of Business Research Paper Series","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-07-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114547380","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: 7
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