University of Toronto - Rotman School of Management Research Paper Series最新文献

{"title":"Product and Pricing Decisions in Crowdfunding","authors":"Ming Hu, Xi Li, M. Shi","doi":"10.2139/ssrn.2405552","DOIUrl":"https://doi.org/10.2139/ssrn.2405552","url":null,"abstract":"This paper studies the optimal product and pricing decisions in a crowdfunding mechanism by which a project between a creator and many buyers will be realized only if the total funds committed by the buyers reach a specified goal. When the buyers are sufficiently heterogeneous in their product valuations, the creator should offer a line of products with different levels of product quality. Compared to the traditional situation where orders are placed and fulfilled individually, with the crowdfunding mechanism, a product line is more likely than a single product to be optimal and the quality gap between products is smaller. This paper also shows the effect of the crowdfunding mechanism on pricing dynamics over time. Together, these results underscore the substantial influence of the emerging crowdfunding mechanisms on common marketing decisions.","PeriodicalId":370944,"journal":{"name":"University of Toronto - Rotman School of Management Research Paper Series","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114300848","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":"Threshold Effects in Online Group Buying","authors":"Jiahua Wu, M. Shi, Ming Hu","doi":"10.2139/ssrn.2176554","DOIUrl":"https://doi.org/10.2139/ssrn.2176554","url":null,"abstract":"This paper studies two types of threshold-induced effects: a surge of new sign-ups around the time when the thresholds of group-buying deals are reached, and a stronger positive relation between the number of new sign-ups and the cumulative number of sign-ups before the thresholds are reached than afterward. This empirical study uses a data set that records the intertemporal cumulative number of sign-ups for group-buying deals in 86 city markets covered by Groupon, during a period of 71 days when Groupon predominantly used \"a deal a day\" format for each local market and posted the number of sign-ups in real time. We find that the first type of threshold effect is significant in all product categories and in all markets. The second type of threshold effect varies across product categories and markets. Our results underscore the importance of considering product and market characteristics in threshold design decisions for online group buying. \u0000 \u0000Data, as supplemental material, are available at http://dx.doi.org/10.1287/mnsc.2014.2015 . \u0000 \u0000This paper was accepted by Pradeep Chintagunta, marketing.","PeriodicalId":370944,"journal":{"name":"University of Toronto - Rotman School of Management Research Paper Series","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124684113","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":"Tick Size Regulation and Sub-Penny Trading","authors":"Sabrina Buti, B. Rindi, Yuanji Wen, Ingrid M. Werner","doi":"10.2139/ssrn.2324862","DOIUrl":"https://doi.org/10.2139/ssrn.2324862","url":null,"abstract":"We show that following a tick size reduction in a decimal public limit order book (PLB) market quality and welfare fall for illiquid but increase for liquid stocks. If a Sub-Penny Venue (SPV) starts competing with a penny-quoting PLB, market quality deteriorates for illiquid, low priced stocks, while it improves for liquid, high priced stocks. As all traders can demand liquidity on the SPV, traders' welfare increases. If the PLB facing competition from a SPV lowers its tick size, PLB spread and depth decline and total volume and welfare increase irrespective of stock liquidity.","PeriodicalId":370944,"journal":{"name":"University of Toronto - Rotman School of Management Research Paper Series","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124636236","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":"Correlation Dynamics and International Diversification Benefits","authors":"Peter F. Christoffersen, V. Errunza, Kris Jacobs, Xisong Jin","doi":"10.2139/ssrn.2313954","DOIUrl":"https://doi.org/10.2139/ssrn.2313954","url":null,"abstract":"Forecasting the evolution of security co-movements is critical for asset pricing and portfolio allocation. Hence, we investigate patterns and trends in correlations over time using weekly returns for developed markets (DMs) and emerging markets (EMs) during the period 1973-2012. We show that it is possible to model co-movements for many countries simultaneously using BEKK, DCC, and DECO models. Empirically, we ?find that correlations have significantly trended upward for both DMs and EMs. Based on a time-varying measure of diversification benefit, we ?find that it is not possible in a long-only portfolio to circumvent the increasing correlations by adjusting the portfolio weights over time. However, we do find some evidence that adding EMs to a DM-only portfolio increases diversification benefits.","PeriodicalId":370944,"journal":{"name":"University of Toronto - Rotman School of Management Research Paper Series","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116524001","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 Effect of Income on the Importance of Money: Survey and Experimental Evidence","authors":"Sanford E. DeVoe, J. Pfeffer, Byron Y. Lee","doi":"10.2139/ssrn.2188645","DOIUrl":"https://doi.org/10.2139/ssrn.2188645","url":null,"abstract":"The authors investigate how both the amount and source of income affects the importance placed on money using a longitudinal analysis of the British Household Panel Survey and evidence from two laboratory experiments. Larger amounts of money received for labor were associated with individuals placing greater importance on money, but this effect did not hold for money unrelated to work. The longitudinal survey analysis demonstrated these differential effects of the source of income on money's importance while holding constant stable individual differences. The experiments provide evidence that the source of income has a causal effect on the importance of money as well as on the effort expended to earn more money. Even as individual differences in the importance placed on money may affect peoples' income, our results suggests that, depending upon its source, income can also affect the importance people place on money.","PeriodicalId":370944,"journal":{"name":"University of Toronto - Rotman School of Management Research Paper Series","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129106581","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":"Empirical Analysis of Accounting Estimates When Predictions are Poor","authors":"U. Menzefricke, Wally J. Smieliauskas","doi":"10.2139/ssrn.2230691","DOIUrl":"https://doi.org/10.2139/ssrn.2230691","url":null,"abstract":"This study empirically analyzes the reliability of a significant class of accounting estimates by focusing on forecast errors in estimated pension returns for the period 2001-2010. These estimates have a major impact on the reporting of pension costs and income for even the largest and most solvent of plan sponsors, and hence they are a good example of the effect of accounting estimates on financial reporting. We find substantial evidence that these estimates are frequently not a faithful representation of actual returns in a given year, management’s reasonable ranges concerning them are poorly calibrated, the resulting accounting risk from forecast errors is unacceptably high in many instances, and, consequently, auditors cannot provide reasonable assurance on them. This has major implications for the use of these and similar estimates in financial reporting and accounting standards, and their verification by auditors.","PeriodicalId":370944,"journal":{"name":"University of Toronto - Rotman School of Management Research Paper Series","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-11-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122254085","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":"VATs in Federations and Common Markets","authors":"R. Bird","doi":"10.2139/ssrn.2115616","DOIUrl":"https://doi.org/10.2139/ssrn.2115616","url":null,"abstract":"The most striking tax development of the last half century has been the worldwide rise of the VAT. Most countries now have national VATs. In addition, several large federal countries – Brazil, Canada, and India – also have regional (state or provincial) VATs that, like national VATs, are general consumption taxes administered in principle through a transaction-based credit-invoice approach. Although these three countries are very different, and each established such a tax for its own reasons, in different ways, and with varying degrees of success, on the whole these regional VATs appear to work. While the taxes in Brazil and India are by no means perfect, they appear to be less economically distorting than the taxes they replaced – gross receipts taxes in Brazil and pre-retail stage sales taxes in India – while being little or no more difficult to administer. The experience with better designed and administered regional VATs in Canada shows clearly that dual VATs can work well in a federal country. Canadian experience may offer some useful lessons for VATs in common markets like the European Union (EU).","PeriodicalId":370944,"journal":{"name":"University of Toronto - Rotman School of Management Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120951481","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":"Urban Governance and Finance in India","authors":"M. Rao, R. Bird","doi":"10.2139/ssrn.1568858","DOIUrl":"https://doi.org/10.2139/ssrn.1568858","url":null,"abstract":"Over 330 million people live in India's cities; 35 cities have a population of over a million and three (Mumbai, Delhi, and Kolkata) of the 10 largest metropolises in the world are in India. India's cities are large, economically important, and growing. However, neither urban infrastructure nor the level of urban public services is adequate for current needs, let alone to meet growing demands. Dealing with this problem is a formidable challenge. Not only must adequate finance for the provision of services be found but it is critical to ensure that the money spent results in desired outputs and outcomes. To do so, local governance structures also need to be reformed and strengthened. This paper attempts to point the way towards some possible solutions by analysing urban governance and finance in India in the context of lessons drawn from fiscal federalism theory and experiences of governance institutions and financing systems both in India and around the world. No one system of urban governance is likely to work equally well for all urban local bodies. However, the paper identifies some key reforms required to realise both the constitutional intent to encourage citizen participation in urban governance and the economic and politically desirable goal of ensuring greater accountability of urban governments. For example, the paper draws attention to existing ambiguities in the assignment system and underlines the need to undertake activity mapping to ensure clarity as well as to make independent agencies significantly accountable to elected governments in urban areas. The paper also discusses a variety of ways of augmenting the resources of the municipal bodies in the country including essential reforms in the property tax system and adequate exploitation of user charges and fees for various services delivered as well as ways of strengthening and improving Central and State transfers to urban local governments. With respect to financing urban infrastructure, development charges should be used more effectively. More should also be done to utilise public lands more effectively. In addition, to a considerable extent capital expenditure requirements will have to be financed through borrowing so further development of the municipal bond market is important, as is more and more effective use of public private partnerships in some areas.","PeriodicalId":370944,"journal":{"name":"University of Toronto - Rotman School of Management Research Paper Series","volume":"103 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-03-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124623823","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":"Tests of Mean-Variance Spanning","authors":"Raymond Kan, Guofu Zhou","doi":"10.2139/ssrn.231522","DOIUrl":"https://doi.org/10.2139/ssrn.231522","url":null,"abstract":"In this paper, we conduct a comprehensive study of tests for mean-variance spanning. Under the regression framework of Huberman and Kandel (1987), we provide geometric interpretations not only for the popular likelihood ratio test, but also for two new spanning tests based on the Wald and Lagrange multiplier principles. Under normality assumption, we present the exact distributions of the three tests, analyze their power comprehensively. We find that the power is most driven by the difference of the global minimum-variance portfolios of the two minimum-variance frontiers, and it does not always align well with the economic significance. As an alternative, we provide a step-down test to allow better assessment of the power. Under general distributional assumptions, we provide a new spanning test based on the generalized method of moments (GMM), and evaluate its performance along with other GMM tests by simulation.","PeriodicalId":370944,"journal":{"name":"University of Toronto - Rotman School of Management Research Paper Series","volume":"187 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114184404","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":"Exact Variance Ratio Test with Overlapping Data","authors":"Raymond Kan","doi":"10.2139/ssrn.891680","DOIUrl":"https://doi.org/10.2139/ssrn.891680","url":null,"abstract":"Variance ratio test is popular in finance for testing whether stock prices follow random walk or not. However, this test is typically conducted based on its asymptotic distribution, making it difficult to draw exact inference. Under the multivariate elliptical distribution assumption but allowing for arbitrary variance-covariance matrix of returns, we provide analysis of the exact moments and distribution of the variance ratio test as well as delivering an efficient procedure to compute the exact p-value of the test statistic. Our results allow us to study the optimal length of multi-period return for detecting different alternatives to the random walk hypothesis of stock prices.","PeriodicalId":370944,"journal":{"name":"University of Toronto - Rotman School of Management Research Paper Series","volume":"138 12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126995820","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}