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Leveraging Quality Information in Stock-Outs 在缺货中利用质量信息
Chicago Booth Research Paper Series Pub Date : 2013-05-22 DOI: 10.2139/ssrn.2274214
L. Debo, G. V. van Ryzin
{"title":"Leveraging Quality Information in Stock-Outs","authors":"L. Debo, G. V. van Ryzin","doi":"10.2139/ssrn.2274214","DOIUrl":"https://doi.org/10.2139/ssrn.2274214","url":null,"abstract":"We study the informational role stock-outs may play when consumers have heterogeneous information about the quality of a firm’s product. Typically, in a newsvendor world, matching uncertain demand with inventory leads inevitably to stock-outs. When, in addition, consumers are heterogeneously informed about the quality of the firm’s product, stock-outs caused early in the season by savvy consumers may be an indication of high quality for the less savvy consumers later in the season. The firm can leverage their increased willingness to pay after a stock-out via increased prices. As a consequence, in the presence of quality uncertainty, a firm may want to manipulate inventory early in the season to create stock-outs in order to take advantage of increased willingness to pay later in the season. In our model, stock-outs can thus be caused either by the firm’s inventory manipulations, or by market uncertainty. We find conditions under which stock-outs are an indication of high quality. Our model provides an explanation for frequently reported stock-outs of consumer electronic products or toys, whose potential markets are characterized by significant market uncertainty, but, also, whose quality may not be fully known by all consumers in the market. Compared to the case in which consumers do not observe stock-out information, we find that the firm rationally underinvests in inventory, which causes backorder costs early in the season that are leveraged later in the season via increased sales revenues. Interestingly, we find that the difference in price after a stock-out versus after no stock-out, and the equilibrium stock-out probability, can either increase or decrease with more-savvy early-season consumers.","PeriodicalId":224732,"journal":{"name":"Chicago Booth Research Paper Series","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122039844","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
Performance Evaluation of Chinese Actively Managed Stock Mutual Funds 中国积极管理型股票型共同基金的绩效评价
Chicago Booth Research Paper Series Pub Date : 2013-05-21 DOI: 10.2139/ssrn.2268773
Yeguang Chi
{"title":"Performance Evaluation of Chinese Actively Managed Stock Mutual Funds","authors":"Yeguang Chi","doi":"10.2139/ssrn.2268773","DOIUrl":"https://doi.org/10.2139/ssrn.2268773","url":null,"abstract":"The aggregate portfolio of Chinese actively managed stock mutual funds exhibits a large and significantly positive alpha. Results from bootstrap simulations indicate that most Chinese active stock mutual fund managers have skill. A substantial amount of their outperformance can be attributed to the fund managers’ stock picking abilities. Using a Chinese insider trading dataset, I show that the large shareholding companies (including stock mutual funds) possess information that generates significant abnormal returns. Furthermore, I find evidence that stock fund managers trade in accordance with insiders. Finally, I find Chinese institutional investors outperform the market. As institutional ownership of the stock market grows, performance erodes among stock mutual funds.","PeriodicalId":224732,"journal":{"name":"Chicago Booth Research Paper Series","volume":"119 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134380037","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: 11
A Study of Challenges Towards Risk Assessment and Management Strategies in the IT Sector Due to Global Recession 全球经济衰退对IT行业风险评估与管理策略的挑战研究
Chicago Booth Research Paper Series Pub Date : 2011-12-08 DOI: 10.2139/ssrn.1969811
M. Malik
{"title":"A Study of Challenges Towards Risk Assessment and Management Strategies in the IT Sector Due to Global Recession","authors":"M. Malik","doi":"10.2139/ssrn.1969811","DOIUrl":"https://doi.org/10.2139/ssrn.1969811","url":null,"abstract":"Risk Assessment has always been a cornerstone to a prudent IT practice. An understanding of risk and the application of risk assessment methodology is essential to being able to efficiently and effectively create a secure computing environment. Unfortunately, this is still a challenging area for information professionals due to the rate of change in technology, the relatively recent advent and explosive growth of the Internet, and perhaps the prevalence of the attitude (or reality) that assessing risk and identifying return on investment is simply too hard to do. Undoubtedly all IT companies are prone to the risk atmosphere which may threaten the companies’ survival and success. For this reason, efficient risk management is absolutely required. The process of assessing risk is to determine the likelihood of the threat being exercised against the vulnerability and the resulting impact from a successful compromise. The purpose of IT companies is to ensure timely security, maximize revenues and offer the most value to shareholders by offering a variety of IT services, and especially by administering risks. The essence for the effective risk management either in non-banking firms or in banking entities is to enhance the value of the firm and shareholder wealth. The purpose of this article is to highlight on how IT Companies in India cold effectively manage risk during this global economic downturn or recession by implementing risk management strategies and practices.","PeriodicalId":224732,"journal":{"name":"Chicago Booth Research Paper Series","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-12-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115548809","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
The Determinants of Attitudes towards Strategic Default on Mortgages 对抵押贷款战略性违约态度的决定因素
Chicago Booth Research Paper Series Pub Date : 2011-03-01 DOI: 10.2139/ssrn.1573328
L. Guiso, Paola Sapienza, Luigi Zingales
{"title":"The Determinants of Attitudes towards Strategic Default on Mortgages","authors":"L. Guiso, Paola Sapienza, Luigi Zingales","doi":"10.2139/ssrn.1573328","DOIUrl":"https://doi.org/10.2139/ssrn.1573328","url":null,"abstract":"We use survey data to measure households’ propensity to default on mortgages even if they can afford to pay them (strategic default) when the value of the mortgage exceeds the value of the house. The willingness to default increases in both the absolute and the relative size of the home-equity shortfall. Our evidence suggests that this willingness is affected by both pecuniary and non-pecuniary factors, such as views about fairness and morality. We also find that exposure to other people who strategically defaulted increases the propensity to default strategically because it conveys information about the probability of being sued.","PeriodicalId":224732,"journal":{"name":"Chicago Booth Research Paper Series","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129692344","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: 535
Statistical Properties of Derivatives: A Journey in Term Structures 衍生品的统计性质:期限结构之旅
Chicago Booth Research Paper Series Pub Date : 2010-10-28 DOI: 10.2139/ssrn.1701761
D. Lautier, F. Raynaud
{"title":"Statistical Properties of Derivatives: A Journey in Term Structures","authors":"D. Lautier, F. Raynaud","doi":"10.2139/ssrn.1701761","DOIUrl":"https://doi.org/10.2139/ssrn.1701761","url":null,"abstract":"This article presents an empirical study of 13 derivative markets for commodities and financial assets. The study goes beyond statistical analysis by including the maturity as a variable for the daily returns of futures contracts from 1998 to 2010, and for delivery dates up to 120 months. We observe that the mean and variance of the commodities follow a scaling behavior in the maturity dimension with an exponent characteristic of the Samuelson effect. The comparison between the tails of the probability distribution according to the expiration dates shows that there is a segmentation in the fat tails exponent term structure above the Levy stable region. Finally, we compute the average tail exponent for each maturity, and we observe two regimes of extreme events for derivative markets, reminiscent of a phase diagram with a sharp transition at the 18th delivery month.","PeriodicalId":224732,"journal":{"name":"Chicago Booth Research Paper Series","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-10-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123993327","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: 21
Corporate Credit Spreads under Parameter Uncertainty 参数不确定性下的企业信用息差
Chicago Booth Research Paper Series Pub Date : 2009-11-27 DOI: 10.2139/ssrn.884100
Arthur Korteweg, Nicholas G. Polson
{"title":"Corporate Credit Spreads under Parameter Uncertainty","authors":"Arthur Korteweg, Nicholas G. Polson","doi":"10.2139/ssrn.884100","DOIUrl":"https://doi.org/10.2139/ssrn.884100","url":null,"abstract":"This paper assesses the impact of parameter uncertainty on corporate bondcredit spreads. Using data for 5,300 firm-years between 1994 and 2008, wefind that investors’ uncertainty about model parameters explains up to 40% ofthe credit spread that is typically attributed to liquidity, taxes and jump risk,without significantly raising bankruptcy probabilities. Spreads on firms withlarge intangible assets and volatile earnings growth are the most affected byparameter uncertainty. Uncertainty about asset values and volatilities increasessignificantly during times of market stress. In particular, the credit crisis of 2008is characterized by high uncertainty about asset valuations, and parameteruncertainty alone raised credit spreads by as much as 50 basis points. Ourmeasures appear to capture a component of uncertainty that is not capturedby proxies used in the literature.","PeriodicalId":224732,"journal":{"name":"Chicago Booth Research Paper Series","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-11-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128495297","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: 41
The Relation Between Voluntary Disclosure and Financial Reporting: Evidence from Synthetic Leases 自愿披露与财务报告的关系:来自综合租赁的证据
Chicago Booth Research Paper Series Pub Date : 2009-11-01 DOI: 10.2139/ssrn.1302931
Sarah L. C. Zechman
{"title":"The Relation Between Voluntary Disclosure and Financial Reporting: Evidence from Synthetic Leases","authors":"Sarah L. C. Zechman","doi":"10.2139/ssrn.1302931","DOIUrl":"https://doi.org/10.2139/ssrn.1302931","url":null,"abstract":"I investigate how the use and voluntary disclosure of synthetic leases is affected by incentives to defer cash outflows and manage the financial statements by keeping debt off the balance sheet. I find that managers of cash-constrained firms with incentives to defer cash payments are more likely to finance asset purchases with synthetic leases. The mandated reporting for synthetic leases allows managers to avoid disclosing the financial consequences of these transactions. Managers of firms with incentives to use off-balance-sheet financing do not provide transparent disclosure about their synthetic leases. However, managers of cash-constrained firms, which are less likely to use synthetic leases for financial reporting reasons, do voluntarily disclose the existence and financial consequences of these contracts. Alternative tests around FIN 46 adoption corroborate these findings.","PeriodicalId":224732,"journal":{"name":"Chicago Booth Research Paper Series","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126382822","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: 62
The Expectations Clock: A Unified Model for Over- and Under-Reaction 期望时钟:反应过度和反应不足的统一模型
Chicago Booth Research Paper Series Pub Date : 2009-09-12 DOI: 10.2139/ssrn.1472502
G. Spellman
{"title":"The Expectations Clock: A Unified Model for Over- and Under-Reaction","authors":"G. Spellman","doi":"10.2139/ssrn.1472502","DOIUrl":"https://doi.org/10.2139/ssrn.1472502","url":null,"abstract":"The expectations clock illustrates how expectations of future performance are driven by human biases tied to current and past changes in performance. Performance changes over time, so expectations may cycle between improving and declining and high and low. Expectations may be highest when current and past changes in performance are above average, and may be lowest when current and past changes in performance are below average. The clock is a model of over- and under-reaction, and hence, of reversion and momentum. Over- and under-reaction refer to reactions to negative circumstances. Depending on initial expectations, negative events may be disregarded or accentuated in the decision-making process. When expectations are high, negative events may be ignored, resulting in under-reaction and short-term momentum, and when expectations are low, negative circumstances may be over-emphasized, causing over-reaction and long-term reversion.","PeriodicalId":224732,"journal":{"name":"Chicago Booth Research Paper Series","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124337253","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
Stickiness, Synchronization, and Exchange Rate Passthrough in Intrafirm Trade Prices 企业内部贸易价格的粘性、同步性与汇率传递
Chicago Booth Research Paper Series Pub Date : 2009-09-01 DOI: 10.2139/ssrn.1476860
Brent Neiman
{"title":"Stickiness, Synchronization, and Exchange Rate Passthrough in Intrafirm Trade Prices","authors":"Brent Neiman","doi":"10.2139/ssrn.1476860","DOIUrl":"https://doi.org/10.2139/ssrn.1476860","url":null,"abstract":"About forty percent of all U.S. international trades occurs between related parties, or intrafirm, such as trades between a parent and subsidiary of the same multinational corporation. Using a good-level dataset that distinguishes arm’s length from intrafirm trades, I demonstrate that for the set of differentiated products, intrafim prices are characterized by 1) less stickiness, 2) less synchronization, and 3) greater exchange rate passthrough. These differences emerge in a simulated dynamic model in which input exporters that are integrated, unlike arm’s length exporters, seek to maximize combined manufacturer and distributor profits.","PeriodicalId":224732,"journal":{"name":"Chicago Booth Research Paper Series","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124310940","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
Bayesian Applications in Marketing 贝叶斯在市场营销中的应用
Chicago Booth Research Paper Series Pub Date : 2009-03-09 DOI: 10.2139/ssrn.1356062
Greg M. Allenby, Peter E. Rossi
{"title":"Bayesian Applications in Marketing","authors":"Greg M. Allenby, Peter E. Rossi","doi":"10.2139/ssrn.1356062","DOIUrl":"https://doi.org/10.2139/ssrn.1356062","url":null,"abstract":"We review applications of Bayesian methods to marketing problems. Key aspects of marketing applications include the discreteness of response or outcome data and relatively large numbers of cross-sectional units, each with possibly low information content. The use of informative priors including hierarchical models is essential for successful Bayesian applications in marketing. Given the importance of the prior, it is important to assure flexibility in the prior specification. Non-standard likelihoods and flexible priors make marketing a very challenging area for Bayesian applications.","PeriodicalId":224732,"journal":{"name":"Chicago Booth Research Paper Series","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-03-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132948870","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: 10
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