Ohio State University最新文献

{"title":"An Integrative Model for Complex Conjoint Analysis","authors":"Yichun Liu, Jeff D. Brazell, Greg M. Allenby","doi":"10.2139/ssrn.3696526","DOIUrl":"https://doi.org/10.2139/ssrn.3696526","url":null,"abstract":"Product complexity can challenge the use of conjoint analysis when the number of product features under study becomes large. A complex product exists whenever a marketplace offering is made up of simpler, component products. Tables and chairs make up dining room sets, and hotels offer rooms (size, layout, location) with beds, bathrooms, restaurants, exercise rooms and parking options. The challenge in modeling demand for complex products lies in simultaneously studying the major drivers of a purchase decision and also the components that comprise the offering. Demands on data increases as more product features are included in an analysis, and at some point, it becomes necessary to study some component product features separately. This paper proposes an integrative model for studying product features for a complex product utilizing multiple conjoint exercises within a single structure. We show that the integration of a focused analysis with an aggregate analysis of marketplace offerings requires adjustment beyond that expected from simple changes due to the scale of random utility error or estimates of price sensitivity. Our model is illustrated with data from the automobile industry where various option packages are available.","PeriodicalId":166116,"journal":{"name":"Ohio State University","volume":"85 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116971560","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":"Dissecting Currency Momentum","authors":"Shaojun Zhang","doi":"10.2139/ssrn.3759017","DOIUrl":"https://doi.org/10.2139/ssrn.3759017","url":null,"abstract":"This paper shows that currency momentum, which cannot be explained by carry and dollar factors, summarizes the autocorrelation of these factors. Carry and dollar factors are strongly autocorrelated and only earn significantly positive excess returns following positive factor returns. Currency momentum longs the factors following positive factor returns and shorts them following losses. Factor momentum not only outperforms currency momentum but also explains it, whereas idiosyncratic returns do not contain or explain momentum. Further evidence shows that factor momentum is inconsistent with the time-varying risk premium but supports mispricing. In particular, the mispricing prevails across markets.","PeriodicalId":166116,"journal":{"name":"Ohio State University","volume":"254 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-07-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114395312","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":"Reusing Natural Experiments","authors":"D. Heath, Matthew C. Ringgenberg, M. Samadi, Ingrid M. Werner","doi":"10.2139/ssrn.3457525","DOIUrl":"https://doi.org/10.2139/ssrn.3457525","url":null,"abstract":"After a natural experiment is first used, other researchers often reuse the setting, examining different outcome variables. We use simulations based on real data to illustrate the multiple hypothesis testing problem that arises when researchers reuse natural experiments. We then provide guidance for future inference based on popular empirical settings including difference-in-differences regressions, instrumental variables regressions, and regression discontinuity designs. When we apply our guidance to two extensively studied natural experiments, business combination laws and the Regulation SHO pilot, we find that many results that were statistically significant using single hypothesis testing do not survive corrections for multiple hypothesis testing.","PeriodicalId":166116,"journal":{"name":"Ohio State University","volume":"985 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124603925","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":"Decreasing Returns or Reversion to the Mean? The Case of Private Equity Fund Growth","authors":"Andrea Rossi","doi":"10.2139/ssrn.3511348","DOIUrl":"https://doi.org/10.2139/ssrn.3511348","url":null,"abstract":"When a private equity firm raises a larger fund, performance tends to decline. This pattern is usually interpreted as evidence of decreasing returns. I propose a more innocuous explanation: high-growth private equity firms were on average lucky in the past and therefore are expected to experience reversion to the mean. Controlling for this expectation, the effect of fund growth on performance is 80% to 90% smaller and statistically insignificant. The silver lining is that, historically, fund managers have been able to keep decreasing returns at bay. Additional analysis highlights important differences between buyout funds and venture capital funds.","PeriodicalId":166116,"journal":{"name":"Ohio State University","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122793305","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":"Why is There a Secular Decline in Idiosyncratic Risk in the 2000s?","authors":"Söhnke M. Bartram, Gregory W. Brown, René M. Stulz","doi":"10.2139/ssrn.3450845","DOIUrl":"https://doi.org/10.2139/ssrn.3450845","url":null,"abstract":"Except for relatively short but intense episodes of high market risk, average idiosyncratic risk (IR) falls steadily after 2000 until almost the end of our sample period in 2017. The decrease has been such that from 2012 to 2017 average IR was lower than any time since 1965. The secular decline can be explained by the fact that U.S. publicly listed firms have become larger, older, and their stock more liquid. The same changes that bring about historically low IR lead to increasingly high market-model R-squareds.","PeriodicalId":166116,"journal":{"name":"Ohio State University","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-09-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129858910","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":"Costs of Natural Disasters in Public Financing","authors":"Benjamin Bennett, Zexi Wang","doi":"10.2139/ssrn.3359694","DOIUrl":"https://doi.org/10.2139/ssrn.3359694","url":null,"abstract":"We document the dynamics of primary municipal bond (muni) markets after severe natural disasters. We find that yields of muni issuance increase significantly in the first three months after disasters. Disasters have little effect on issuers’ credit risk but can temporarily reduce investors’ demand, which is consistent with the salience theory of choice (Bordalo, Gennaioli, and Shleifer, 2012). Natural disasters significantly increase the proceeds from muni issuances. Reacting to the larger financing costs, muni issuers use shorter maturity and a less complex structure to offset the larger financing costs. The higher yields after disasters provide speculation opportunities.","PeriodicalId":166116,"journal":{"name":"Ohio State University","volume":"111 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133738185","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":"U.S. Tick Size Pilot","authors":"B. Rindi, Ingrid M. Werner","doi":"10.2139/ssrn.3041644","DOIUrl":"https://doi.org/10.2139/ssrn.3041644","url":null,"abstract":"The U.S. equity markets are currently conducting a pilot study of the effects of a larger tick size on market quality and on the rewards for liquidity provision. We show that the larger tick size causes quoted and effective spreads, but also depth, to increase. This raises the cost for retail-sized liquidity demanding orders by almost fifty percent. However, average trade size increases, suggesting that institutions may benefit from the deeper quotes. The larger tick size translates into forty percent higher profits to liquidity providers despite larger price impacts. We attribute these changes mainly to the changes in tick size for displayed quotes, while there are modest or no effects of requiring all trades to execute on a coarser price grid. Moreover, the bulk of the effects occur for tick-constrained stocks which trading costs more than double. By contrast, trading costs for unconstrained stocks decline by more than ten percent. Finally, we document significant spillovers to stocks with unchanged tick size. Our evidence suggests that some market makers left stocks trading in decimals for the more lucrative pilot stocks, and that the reduced competition causes quoted spreads and rewards for liquidity provision to increase also for stocks trading in decimals.","PeriodicalId":166116,"journal":{"name":"Ohio State University","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130176372","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":"How Important Was Contagion Through Banks During the European Sovereign Crisis?","authors":"A. Beltratti, René M. Stulz","doi":"10.2139/ssrn.2983274","DOIUrl":"https://doi.org/10.2139/ssrn.2983274","url":null,"abstract":"We use days with tail sovereign CDS spread changes of peripheral countries to identify the effects of shocks to the cost of borrowing of these countries on stock returns of banks from other countries. We find that tail sovereign GIIPS CDS changes have an asymmetric impact in that bank stocks benefit more from negative CDS spread shocks than they are hurt by positive shocks, which creates moral hazard and is best explained by a \"too-systemic-to-fail\" effect. The contagion effects are stronger for more pervasive shocks, so that idiosyncratic shocks to small countries, such as Greece, do not have an economically significant impact, but shocks involving large GIIPS countries or multiple GIIPS countries have such an impact. In our benchmark specification, holdings of peripheral country bonds by banks from other countries do not constitute a statistically or economically significant contagion channel for tail spread increases.","PeriodicalId":166116,"journal":{"name":"Ohio State University","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131909596","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 Determinants of Capital Structure of Nigerian Quoted Firms","authors":"Oluseun A. Paseda","doi":"10.2139/SSRN.2890900","DOIUrl":"https://doi.org/10.2139/SSRN.2890900","url":null,"abstract":"Empirical work on capital structure in emerging markets like Nigeria has been limited and met with low explanatory power. This study investigates the determinants of capital structure in Nigeria. Unlike prior work, the study investigates capital structure determinants along five dimensions namely: firm-specific and industry factors; taxes; non-financial stakeholders; supply-side factors; and the maturity structure of corporate liabilities. The population of study comprises all non-financial corporations quoted on the Nigerian Stock Exchange (NSE) for the period 1999-2014 out of which 50 companies that met the minimum data criteria were utilized. Using panel data least squares regression, modified to weighted (cross section- and period-) models, the research documents the following findings. First, the factors that exert positive influence on corporate borrowing include asset intangibility, firm age and expected inflation while those factors that exert negative influence on capital structure include asset tangibility, growth, size, volatility of earnings, profitability, liquidity, dividend-paying status and uniqueness of industry. Second, there is weak evidence that tax considerations are crucial in capital structure choice. The results were, at best, mixed with respect to the portability of pecking order, target adjustment, trade-off, agency and market conditions models. The pecking order beats the trade-off model based on the signs of coefficients of firm-specific characteristics including the marginal tax rate. In order words, asymmetric information explains why smaller, less profitable, less liquid firms with more risky intangible assets and which are low dividend-payers end up relying primarily on debt financing and vice versa. The study also supports the target adjustment and market conditions models. Third, this study provides new evidence that financing decisions interact with non-financial stakeholders. Specifically, the results support the use of capital structure as a possible bargaining variable by employees, suppliers and customers. Highly levered firms exert pressure on themselves to treat non-financial stakeholders decently. Fourth, there is strong evidence in support of supply-side of capital as leverage increases with debt market access but behaves counter-cyclically as it declines with equity market conditions, term spread and GDP growth rate. The study recommends the use of leases for financially- and collateral-constrained firms, non-debt tax shelters for corporate tax planning, government simplification of tax administration, cautious use of debt for industries with production technologies that place NFS at risk and macroeconomic policies that promote prudent use of debt and debt maturity.","PeriodicalId":166116,"journal":{"name":"Ohio State University","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134492271","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":"Municipal Bond Liquidity and Default Risk","authors":"Michael Schwert","doi":"10.2139/ssrn.2408867","DOIUrl":"https://doi.org/10.2139/ssrn.2408867","url":null,"abstract":"This paper examines the pricing of bonds issued by states and local governments. I use three distinct, complementary approaches to decompose municipal bond spreads into default and liquidity components, finding that default risk accounts for 74% to 84% of the average municipal bond spread after adjusting for tax-exempt status. The first approach estimates the liquidity component using transaction data, the second measures the default component with credit default swap data, and the third is a quasi-natural experiment that estimates changes in default risk around pre-refunding events. The price of default risk is high given the rare incidence of municipal default and implies a high risk premium.","PeriodicalId":166116,"journal":{"name":"Ohio State University","volume":"81 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123712405","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}