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Corporate Risk Management: Integrating Liquidity, Hedging, and Operating Policies 企业风险管理:整合流动性、套期保值和经营政策
Robert H. Smith School of Business Research Paper Series Pub Date : 2013-03-08 DOI: 10.1287/mnsc.2013.1752
Andrea Gamba, Alexander J. Triantis
{"title":"Corporate Risk Management: Integrating Liquidity, Hedging, and Operating Policies","authors":"Andrea Gamba, Alexander J. Triantis","doi":"10.1287/mnsc.2013.1752","DOIUrl":"https://doi.org/10.1287/mnsc.2013.1752","url":null,"abstract":"We analyze the value created by a dynamic integrated risk management strategy involving liquidity management, derivatives hedging, and operating flexibility, in the presence of several frictions. We show that liquidity serves a critical and distinct role in risk management, justifying high levels of cash. We find that the marginal value associated with derivatives hedging is likely to be low, though we explain why some empirical studies find a higher value. We explore the complex interactions between operating flexibility and financial risk management, finding that substitution effects are nonmonotonic and are affected by operating leverage, the nature of operating flexibility, and the effectiveness of the hedging instrument. \u0000 \u0000This paper was accepted by Jerome Detemple, finance.","PeriodicalId":145189,"journal":{"name":"Robert H. Smith School of Business Research Paper Series","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127503006","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: 74
Transcending Knowledge Differences in Cross-Functional Teams 跨越跨职能团队的知识差异
Robert H. Smith School of Business Research Paper Series Pub Date : 2012-07-01 DOI: 10.1287/orsc.1110.0677
A. Majchrzak, Philip H. B. More, Samer Faraj
{"title":"Transcending Knowledge Differences in Cross-Functional Teams","authors":"A. Majchrzak, Philip H. B. More, Samer Faraj","doi":"10.1287/orsc.1110.0677","DOIUrl":"https://doi.org/10.1287/orsc.1110.0677","url":null,"abstract":"Knowledge differences impede the work of cross-functional teams by making knowledge integration difficult, especially when the teams are faced with novelty. One approach in the literature for overcoming these difficulties, which we refer to as the traverse approach, is for team members to identify, elaborate, and then explicitly confront the differences and dependencies across the knowledge boundaries. This approach emphasizes deep dialogue and requires significant resources and time. In an exploratory in-depth longitudinal study of three quite different cross-functional teams, we found that the teams were able to cogenerate a solution without needing to identify, elaborate, and confront differences and dependencies between the specialty areas. Our analysis of the extensive team data collected over time surfaced practices that minimized members' differences during the problem-solving process. We suggest that these practices helped the team to transcend knowledge differences rather than traverse them. Characteristic of these practices is that they avoided interpersonal conflict, fostered the rapid cocreation of intermediate scaffolds, encouraged continued creative engagement and flexibility to repeatedly modify solution ideas, and fostered personal responsibility for translating personal knowledge to collective knowledge. The contrast between these two approaches to knowledge integration—traverse versus transcend—suggests the need for more nuanced theorizing about the use of boundary objects, the nature of dialogue, and the role of organizational embeddedness in understanding how knowledge differences are integrated.","PeriodicalId":145189,"journal":{"name":"Robert H. Smith School of Business Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129430762","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: 300
Coordination Experience and Team Performance: Evidence from the Electronic Games Industry 协调经验与团队绩效:来自电子游戏产业的证据
Robert H. Smith School of Business Research Paper Series Pub Date : 2012-05-03 DOI: 10.2139/ssrn.1632612
Cristian L. Dezső, Thorsten Grohsjean, T. Kretschmer
{"title":"Coordination Experience and Team Performance: Evidence from the Electronic Games Industry","authors":"Cristian L. Dezső, Thorsten Grohsjean, T. Kretschmer","doi":"10.2139/ssrn.1632612","DOIUrl":"https://doi.org/10.2139/ssrn.1632612","url":null,"abstract":"In cross-functional teams, team performance depends on how skillfully function managers carry out the cross-function coordination of team members’ complementary expertise and activities. In this paper, we argue (i) that function managers’ coordination skills develop in part through the coordination experience gained from interacting with managers from other function, (ii) that coordination experience has general and firm-specific dimensions, and (iii) that coordination experience leads to better team performance. Using data on development teams in the electronic games industry, we show that coordination experience and its general and firm-specific components have a positive impact on the commercial success of electronic games, and that this effect is robust to tests for omitted variables and reverse causality. Our results have implications for the theory of learning and coordination in teams and for the strategy and practice of team design in project-based organizations.","PeriodicalId":145189,"journal":{"name":"Robert H. Smith School of Business Research Paper Series","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132347867","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: 8
Future Link Prediction in the Blogosphere for Recommendation 未来链接预测在博客圈推荐
Robert H. Smith School of Business Research Paper Series Pub Date : 2011-05-17 DOI: 10.2139/ssrn.1906467
Shanchan Wu, L. Raschid, W. Rand
{"title":"Future Link Prediction in the Blogosphere for Recommendation","authors":"Shanchan Wu, L. Raschid, W. Rand","doi":"10.2139/ssrn.1906467","DOIUrl":"https://doi.org/10.2139/ssrn.1906467","url":null,"abstract":"\u0000 \u0000 The phenomenal growth in both scale and importance of social media such as blogs, micro-blogs and user-generated content, has created a need for tools that monitor information diffusion and make recommendations within these platforms. An essential element of social media, particularly blogs, is the hyperlink graph that connects various pieces of content. There are two types of links within the blogosphere; one from blog post to blog post, and another from blog post to blog channel (an event stream of blog posts). These links can be viewed as a proxy for the flow of information between blog channels and to reflect influence. Given this assumption about links, the ability to predict future links can facilitate the monitoring of information diffusion, making recommendations, and word-of-mouth (WOM) marketing. We propose different methods for link predictions and we evaluate these methods on an extensive blog dataset.\u0000 \u0000","PeriodicalId":145189,"journal":{"name":"Robert H. Smith School of Business Research Paper Series","volume":"595 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-05-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116174266","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: 9
Evolving viral marketing strategies 不断发展的病毒式营销策略
Robert H. Smith School of Business Research Paper Series Pub Date : 2010-07-01 DOI: 10.1145/1830483.1830701
F. Stonedahl, W. Rand, U. Wilensky
{"title":"Evolving viral marketing strategies","authors":"F. Stonedahl, W. Rand, U. Wilensky","doi":"10.1145/1830483.1830701","DOIUrl":"https://doi.org/10.1145/1830483.1830701","url":null,"abstract":"One method of viral marketing involves seeding certain consumers within a population to encourage faster adoption of the product throughout the entire population. However, determining how many and which consumers within a particular social network should be seeded to maximize adoption is challenging. We define a strategy space for consumer seeding by weighting a combination of network characteristics such as average path length, clustering coefficient, and degree. We measure strategy effectiveness by simulating adoption on a Bass-like agent-based model, with five different social network structures: four classic theoretical models (random, lattice, small-world, and preferential attachment) and one empirical (extracted from Twitter friendship data). To discover good seeding strategies, we have developed a new tool, called BehaviorSearch, which uses genetic algorithms to search through the parameter-space of agent-based models. This evolutionary search also provides insight into the interaction between strategies and network structure. Our results show that one simple strategy (ranking by node degree) is near-optimal for the four theoretical networks, but that a more nuanced strategy performs significantly better on the empirical Twitter-based network. We also find a correlation between the optimal seeding budget for a network, and the inequality of the degree distribution.","PeriodicalId":145189,"journal":{"name":"Robert H. Smith School of Business Research Paper Series","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132931750","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: 82
Local Volatility Enhanced by a Jump to Default 跳转到默认值增强了本地波动性
Robert H. Smith School of Business Research Paper Series Pub Date : 2010-01-22 DOI: 10.2139/ssrn.1540874
P. Carr, D. Madan
{"title":"Local Volatility Enhanced by a Jump to Default","authors":"P. Carr, D. Madan","doi":"10.2139/ssrn.1540874","DOIUrl":"https://doi.org/10.2139/ssrn.1540874","url":null,"abstract":"A local volatility model is enhanced by the possibility of a single jump to default. The jump has a hazard rate that is the product of the stock price raised to a prespecified negative power and a deterministic function of time. The empirical work uses a power of $-1.5$. It is shown how one may simultaneously recover from the prices of credit default swap contracts and equity option prices both the deterministic component of the hazard rate function and revised local volatility. The procedure is implemented on prices of credit default swaps and equity options for General Motors and the Ford Motor Company over the period October 2004 to September 2007.","PeriodicalId":145189,"journal":{"name":"Robert H. Smith School of Business Research Paper Series","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-01-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121164253","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: 36
The Distribution of Returns at Longer Horizons 长线投资的回报分布
Robert H. Smith School of Business Research Paper Series Pub Date : 2010-01-09 DOI: 10.2139/ssrn.1540777
E. Eberlein, D. Madan
{"title":"The Distribution of Returns at Longer Horizons","authors":"E. Eberlein, D. Madan","doi":"10.2139/ssrn.1540777","DOIUrl":"https://doi.org/10.2139/ssrn.1540777","url":null,"abstract":"AbstractLonger horizon returns are constructed from data on daily returns. Observed drawbacks of a Levy process are a sharp decrease in skewness and excess kurtosis. Drawbacks to scaling are a flat term structure of skewness and excess kurtosis. A strategy that combines some exposure to independent increments and some exposure to scaling is developed in the context of self decomposable daily return distributions. Estimations are conducted on 400 stocks and we report that a good strategy for constructing longer horizon returns can be that of accumulating as i.i.d. half the daily return while scaling the remainder at rate one half.","PeriodicalId":145189,"journal":{"name":"Robert H. Smith School of Business Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124399831","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: 24
On Correlating Lévy Processes 关于关联lsamvy过程
Robert H. Smith School of Business Research Paper Series Pub Date : 2009-09-08 DOI: 10.2139/ssrn.1540809
E. Eberlein, D. Madan
{"title":"On Correlating Lévy Processes","authors":"E. Eberlein, D. Madan","doi":"10.2139/ssrn.1540809","DOIUrl":"https://doi.org/10.2139/ssrn.1540809","url":null,"abstract":"A relatively simple approach to correlating unit period returns of Levy processes is developed. We write the Levy process as a time changed Brownian motion and correlate the Brownian motions. It is shown that sample correlations understate the required correlation between the Brownian motions and we show how to correct for this. Pairwise tests illustrate the adequacy of the model and the significant improvement offered over the Gaussian alternative. We therefore advocate that the correlated time change model is a simple basic alternative to dependence modeling. From the perspective of explaining portfolio returns in higher dimensions we find adequacy for long-short portfolios. The long only portfolios appear to require a more complex modeling of dependency. We leave these questions for future research.","PeriodicalId":145189,"journal":{"name":"Robert H. Smith School of Business Research Paper Series","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-09-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124627619","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: 61
On Pricing Risky Loans and Collateralized Fund Obligations 风险贷款和基金抵押债券定价研究
Robert H. Smith School of Business Research Paper Series Pub Date : 2009-07-07 DOI: 10.2139/ssrn.1540810
E. Eberlein, H. Geman, D. Madan
{"title":"On Pricing Risky Loans and Collateralized Fund Obligations","authors":"E. Eberlein, H. Geman, D. Madan","doi":"10.2139/ssrn.1540810","DOIUrl":"https://doi.org/10.2139/ssrn.1540810","url":null,"abstract":"Loan spreads are analysed for two types of loans. The first takes losses at maturity only; the second one follows the formulation of CFOs (Collateralized Fund Obligations), with losses registered over the lifetime of the contract. In both cases, the implementation requires the choice of a process for the underlying asset value and the identification of the parameters. The parameters of the process are inferred from the option volatility surface by treating equity options as compound options with equity itself being viewed as an option on the asset value with a strike set at the debt level following Merton (1974). Using data on General Motors stock during the year 2002/2003, we show that the use of spectrally negative Levy processes is capable of delivering realistic spreads without inflating debt levels, deflating debt maturities or deviating from the estimated probability laws.","PeriodicalId":145189,"journal":{"name":"Robert H. Smith School of Business Research Paper Series","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128446157","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
Transformations for Semi-Continuous Data 半连续数据的变换
Robert H. Smith School of Business Research Paper Series Pub Date : 2006-11-01 DOI: 10.2139/ssrn.956938
Galit Shmueli, Wolfgang Jank, Valerie Hyde
{"title":"Transformations for Semi-Continuous Data","authors":"Galit Shmueli, Wolfgang Jank, Valerie Hyde","doi":"10.2139/ssrn.956938","DOIUrl":"https://doi.org/10.2139/ssrn.956938","url":null,"abstract":"Semi-continuous data arise in many applications where naturally-continuous data become contaminated by the data generating mechanism. The resulting data contain several values that are ''too frequent'', and in that sense are a hybrid between discrete and continuous data. The main problem is that standard statistical methods, which are geared towards continuous or discrete data, cannot be applied adequately to semi-continuous data. We propose a new set of two transformations for semi-continuous data that ''iron out'' the too-frequent values thereby transforming the data to completely continuous. We show that the transformed data maintain the properties of the original data, but are suitable for standard analysis. The transformations and their performance are illustrated using simulated data and real auction data from the online auction site eBay.","PeriodicalId":145189,"journal":{"name":"Robert H. Smith School of Business Research Paper Series","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128331623","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: 3
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