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Does Inventory Productivity Predict Future Stock Returns? A Retailing Industry Perspective 存货生产率能预测未来股票收益吗?零售业视角
Samuel Curtis Johnson Graduate School of Management at Cornell University Research Paper Series Pub Date : 2013-12-13 DOI: 10.2139/ssrn.1971774
Yasin Alan, George P. Gao, V. Gaur
{"title":"Does Inventory Productivity Predict Future Stock Returns? A Retailing Industry Perspective","authors":"Yasin Alan, George P. Gao, V. Gaur","doi":"10.2139/ssrn.1971774","DOIUrl":"https://doi.org/10.2139/ssrn.1971774","url":null,"abstract":"We find that inventory productivity strongly predicts future stock returns among a sample of publicly listed U.S. retailers during the period from 1985 to 2010. A zero-cost portfolio investment strategy, which consists of buying from the two highest and selling from the two lowest quintiles formed on inventory turnover, earns more than 1% average monthly abnormal return benchmarked to the Fama-French-Carhart four-factor model. Our results are robust to different measures of inventory productivity, distinct from the well-known firm characteristics known to generate abnormal returns, and not driven by a particular sub-sample period. A longitudinal analysis of portfolio returns over longer holding periods shows that, while inventory productivity is predictive of stock returns, its information dissipates about 1-2 years after release.","PeriodicalId":309400,"journal":{"name":"Samuel Curtis Johnson Graduate School of Management at Cornell University Research Paper Series","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-12-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124973786","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: 95
Low-Latency Trading 低延迟交易
Samuel Curtis Johnson Graduate School of Management at Cornell University Research Paper Series Pub Date : 2013-05-22 DOI: 10.2139/ssrn.1695460
Joel Hasbrouck, Gideon Saar
{"title":"Low-Latency Trading","authors":"Joel Hasbrouck, Gideon Saar","doi":"10.2139/ssrn.1695460","DOIUrl":"https://doi.org/10.2139/ssrn.1695460","url":null,"abstract":"We define low-latency activity as strategies that respond to market events in the millisecond environment, the hallmark of proprietary trading by high-frequency trading firms. We propose a new measure of low-latency activity that can be constructed from publicly-available NASDAQ data to investigate the impact of high-frequency trading on the market environment. Our measure is highly correlated with NASDAQ-constructed estimates of high-frequency trading, but it can be computed from data that are more widely-available. We use this measure to study how low-latency activity affects market quality both during normal market conditions and during a period of declining prices and heightened economic uncertainty. Our conclusion is that increased low-latency activity improves traditional market quality measures — lowering short-term volatility, decreasing spreads, and increasing displayed depth in the limit order book. Of particular importance is that our findings suggest that increased low-latency activity need not work to the detriment of long-term investors in the current market structure for U.S. equities.","PeriodicalId":309400,"journal":{"name":"Samuel Curtis Johnson Graduate School of Management at Cornell University Research Paper Series","volume":"24 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":"126157730","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
Can Marginal Rates of Substitution Be Inferred from Happiness Data? Evidence from Residency Choices 边际替代率能否从幸福数据中推断出来?来自住院医师选择的证据
Samuel Curtis Johnson Graduate School of Management at Cornell University Research Paper Series Pub Date : 2013-03-01 DOI: 10.2139/ssrn.2221538
D. Benjamin, Ori Heffetz, Miles S. Kimball, A. Rees-Jones
{"title":"Can Marginal Rates of Substitution Be Inferred from Happiness Data? Evidence from Residency Choices","authors":"D. Benjamin, Ori Heffetz, Miles S. Kimball, A. Rees-Jones","doi":"10.2139/ssrn.2221538","DOIUrl":"https://doi.org/10.2139/ssrn.2221538","url":null,"abstract":"We survey 561 students from U.S. medical schools shortly after they submit choice rankings over residencies to the National Resident Matching Program. We elicit (a) these choice rankings, (b) anticipated subjective well-being (SWB) rankings, and (c) expected features of the residencies (such as prestige). We find substantial differences between choice and anticipated-SWB rankings in the implied tradeoffs between residency features. In our data, evaluative SWB measures (life satisfaction and Cantril's ladder) imply tradeoffs closer to choice than does affective happiness (even time-integrated), and as close as do multi-measure SWB indices. We discuss implications for using SWB data in applied work.","PeriodicalId":309400,"journal":{"name":"Samuel Curtis Johnson Graduate School of Management at Cornell University Research Paper Series","volume":"85 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125501863","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: 135
Relative Performance Evaluation in CEO Compensation: Evidence from the 2006 Disclosure Rules CEO薪酬中的相对绩效评估:来自2006年披露规则的证据
Samuel Curtis Johnson Graduate School of Management at Cornell University Research Paper Series Pub Date : 2011-12-07 DOI: 10.2139/ssrn.1710386
David De Angelis, Yaniv Grinstein
{"title":"Relative Performance Evaluation in CEO Compensation: Evidence from the 2006 Disclosure Rules","authors":"David De Angelis, Yaniv Grinstein","doi":"10.2139/ssrn.1710386","DOIUrl":"https://doi.org/10.2139/ssrn.1710386","url":null,"abstract":"In December 2006, the Securities and Exchange Commission issued new rules that require the disclosure of the use of relative performance evaluation (RPE) in CEO compensation contracts. We find that about a third of the sample firms use RPE in the CEO compensation contract. On average, RPE users tie about half of the estimated value of the awards to RPE. Firms tie a larger fraction of their awards to RPE when they face less uncertainty regarding the right performance benchmark. We find little evidence to support hypotheses based on product market competition, CEO hedging constraints, or managerial power.","PeriodicalId":309400,"journal":{"name":"Samuel Curtis Johnson Graduate School of Management at Cornell University Research Paper Series","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-12-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130994805","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: 31
What is Advertising Content Worth? Evidence from the Motion Pictures Industry 广告内容的价值是什么?来自电影行业的证据
Samuel Curtis Johnson Graduate School of Management at Cornell University Research Paper Series Pub Date : 2011-09-11 DOI: 10.2139/ssrn.1954007
Suman Basuroy, V. Rao, S. Ravid
{"title":"What is Advertising Content Worth? Evidence from the Motion Pictures Industry","authors":"Suman Basuroy, V. Rao, S. Ravid","doi":"10.2139/ssrn.1954007","DOIUrl":"https://doi.org/10.2139/ssrn.1954007","url":null,"abstract":"The large literature on the impact of advertising on consumers and firm behavior in marketing and economics has tried to distinguish between the informative and the persuasive roles of advertising. The extant literature typically uses advertising expenditure and implicitly assumes that advertising content is homogeneous. We analyze the contents of print ads in the motion picture industry to see whether the persuasive content or the informative content is more impactful on revenues. We estimate a simultaneous equation system via the GMM method and find that the persuasive content (role) of advertising is more significant than the informative content (role). Overall, we find that content elements matter in different ways. External validation components – persuasive contents, are much more important than other ad contents for predicting revenues and returns. Thus, we provide an interesting insight to this debate.","PeriodicalId":309400,"journal":{"name":"Samuel Curtis Johnson Graduate School of Management at Cornell University Research Paper Series","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-09-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125352536","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
What’s Not There: The Odd-Lot Bias in TAQ Data 不存在的东西:TAQ数据中的奇数偏差
Samuel Curtis Johnson Graduate School of Management at Cornell University Research Paper Series Pub Date : 2011-07-22 DOI: 10.2139/ssrn.1892972
Maureen O'Hara, Chengxi Yao, Mao Ye
{"title":"What’s Not There: The Odd-Lot Bias in TAQ Data","authors":"Maureen O'Hara, Chengxi Yao, Mao Ye","doi":"10.2139/ssrn.1892972","DOIUrl":"https://doi.org/10.2139/ssrn.1892972","url":null,"abstract":"We investigate the systematic bias that arises from the exclusion of trades for less than 100 shares from TAQ data. In our sample, we find that the median number of missing trades per stock is 19%, but for some stocks missing trades are as high as 66% of total transactions. Missing trades are more pervasive for stocks with higher prices, lower liquidity, higher levels of information asymmetry and when volatility is low. We show that odd lot trades contribute 30 % of price discovery and trades of 100 shares contribute another 50%, consistent with informed traders splitting orders into odd-lots and smaller trade sizes. The truncation of odd-lot trades leads to a significant bias for empirical measures such as order imbalance, challenges the literature using trade size to proxy individual trades, and biases measures of individual sentiment. Because odd-lot trades are more likely to arise from high frequency traders, we argue their exclusion from TAQ and the consolidated tape raises important regulatory issues.","PeriodicalId":309400,"journal":{"name":"Samuel Curtis Johnson Graduate School of Management at Cornell University Research Paper Series","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134111722","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: 55
How to Detect an Asset Bubble 如何发现资产泡沫
Samuel Curtis Johnson Graduate School of Management at Cornell University Research Paper Series Pub Date : 2011-02-01 DOI: 10.2139/ssrn.1621728
R. Jarrow, Younes Kchia, P. Protter
{"title":"How to Detect an Asset Bubble","authors":"R. Jarrow, Younes Kchia, P. Protter","doi":"10.2139/ssrn.1621728","DOIUrl":"https://doi.org/10.2139/ssrn.1621728","url":null,"abstract":"After the 2007 credit crisis, financial bubbles have once again emerged as a topic of current concern. An open problem is to determine in real time whether or not a given asset's price process exhibits a bubble. Due to recent progress in the characterization of asset price bubbles using the arbitrage-free martingale pricing technology, we are able to propose a new methodology for answering this question based on the asset's price volatility. We limit ourselves to the special case of a risky asset's price being modeled by a Brownian driven stochastic differential equation. Such models are ubiquitous both in theory and in practice. Our methods use sophisticated volatility estimation techniques combined with the method of reproducing kernel Hilbert spaces. We illustrate these techniques using several stocks from the alleged Internet dot-com episode of 1998-2001, where price bubbles were widely thought to have existed. Our results confirm the suspicions of the presence of bubbles in many of the dot-com stocks of 1998-2001.","PeriodicalId":309400,"journal":{"name":"Samuel Curtis Johnson Graduate School of Management at Cornell University Research Paper Series","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125063230","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: 96
Behavioral Tendencies in Newsvendor Decision Making: Capturing the Chinese Perspective 报贩决策中的行为倾向:捕捉中国人的视角
Samuel Curtis Johnson Graduate School of Management at Cornell University Research Paper Series Pub Date : 2011-01-09 DOI: 10.2139/ssrn.1737479
Yin Cui, L. Chen, Jian Chen, S. Gavirneni
{"title":"Behavioral Tendencies in Newsvendor Decision Making: Capturing the Chinese Perspective","authors":"Yin Cui, L. Chen, Jian Chen, S. Gavirneni","doi":"10.2139/ssrn.1737479","DOIUrl":"https://doi.org/10.2139/ssrn.1737479","url":null,"abstract":"After many decades on focusing only on quantitative approaches for making decisions in manufacturing and supply chain management, researchers in operations management have recently acknowledged the importance of understanding the human behavior tendencies underlying these decisions. The result is a new stream of research in operations management focused on experiments using human subjects. However, most of these experiments were conducted in the US and Europe with the subject pool (students as well as practitioners) with western cultural and educational backgrounds. As the students and practitioners in China are culturally and educationally different from their western counterparts, it is conceivable that their behavioral tendencies are very different. Given that a large portion of the world’s industrial output comes from China, an understanding of the behavioral tendencies specific to those geographical regions is essential to achieve significant efficiency gains in the world economy. We compare results from experiments conducted in the US and China and observe that Chinese decision makers (i) ask a lot more questions before reaching their decision indicating that they are more worried about making the wrong decision; (ii) are more frequently able to come up with a new number as their decision whereas the American decision makers tend to use one of the given numbers as their decision; and (iii) are more cognizant of salvage values and as a result order more than the American decision makers.","PeriodicalId":309400,"journal":{"name":"Samuel Curtis Johnson Graduate School of Management at Cornell University Research Paper Series","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125446116","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: 2
World of Bizcraft 《商业世界》
Samuel Curtis Johnson Graduate School of Management at Cornell University Research Paper Series Pub Date : 2009-10-09 DOI: 10.4101/JVWR.V2I3.743
R. Bloomfield
{"title":"World of Bizcraft","authors":"R. Bloomfield","doi":"10.4101/JVWR.V2I3.743","DOIUrl":"https://doi.org/10.4101/JVWR.V2I3.743","url":null,"abstract":"This article sketches the features required of a platform (which I refer to as ‘World of Bizcraft’) that supports virtual worlds dedicated to research and education on business-related topics. Key features include progressivity of content and challenges, which is a standard feature in most educational processes; certification of players’ achievements, rather than the achievements of the players’ characters; the ability to control participant interaction, collaboration and creation of game assets; implementation of induced value, which forms the foundation of experimental research in economics; production functions that capture the realities of real businesses; sophisticated property rights that support complex software-enforced contracts; and comprehensive systems for business reporting.","PeriodicalId":309400,"journal":{"name":"Samuel Curtis Johnson Graduate School of Management at Cornell University Research Paper Series","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-10-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117328326","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
Margin Trading, Overpricing, and Synchronization Risk 保证金交易、定价过高和同步风险
Samuel Curtis Johnson Graduate School of Management at Cornell University Research Paper Series Pub Date : 2009-05-01 DOI: 10.2139/ssrn.786008
Sanjeev Bhojraj, R. Bloomfield, W. B. Tayler
{"title":"Margin Trading, Overpricing, and Synchronization Risk","authors":"Sanjeev Bhojraj, R. Bloomfield, W. B. Tayler","doi":"10.2139/ssrn.786008","DOIUrl":"https://doi.org/10.2139/ssrn.786008","url":null,"abstract":"We provide experimental evidence that relaxing margin restrictions to allow more short selling can exacerbate overpricing, even though it reduces equilibrium price levels. This is because smart-money traders initially profit more by front-running optimistic investor sentiment than by disciplining prices. When short selling is not possible, competitive pressures among arbitrageurs rapidly drive prices to the equilibrium. However, the risk of margin calls slows the convergence process, because arbitrageurs who sell short too early face substantial losses if they are unable to synchronize their trades with other arbitrageurs (as in Abreu and Brunnermeier. 2002. Journal of Financial Economics 66(2--3):341--60; 2003. Econometrica 71(1):173--204). The Author 2008. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oxfordjournals.org., Oxford University Press.","PeriodicalId":309400,"journal":{"name":"Samuel Curtis Johnson Graduate School of Management at Cornell University Research Paper Series","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114642504","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
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