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We study the intra-horizon value at risk (iVaR) in a general jump diffusion setup and propose a new model of asset returns called displaced mixed-exponential model, which can arbitrarily closely approximate finite-activity jump-diffusions and completely monotone Levy processes. We derive analytical results for the iVaR and disentangle the risk contribution of jumps from diffusion. Estimating the iVaR for several popular jump models using on S&P 100 option data, we find that option-implied estima...
#1Valentina Bruno (UW: University of Washington)H-Index: 15
#2H Song Shin (BIS: Bank for International Settlements)H-Index: 62
How do emerging market corporates fare during periods of currency depreciation? We find that non-financial firms that exploit favorable global financing conditions to issue US dollar bonds and build cash balances are also those whose share price is most vulnerable to local currency depreciation. In particular, firms' vulnerability to currency depreciation derives less from the foreign currency debt as such, but from the cash balances that are built up by using foreign currency debt. Overall, our...
1 CitationsSource
#1Daniel Andrei (Desautels Faculty of Management)H-Index: 3
#2Michael Hasler (U of T: University of Toronto)H-Index: 4
We investigate the dynamic problem of how much attention an investor should pay to news in order to learn about stock-return predictability and maximize expected lifetime utility. We show that the ...
2 CitationsSource
#1Guofang Huang (Purdue University)H-Index: 4
#2Hong Luo (Harvard University)H-Index: 4
Last.Jing Xia (Harvard University)H-Index: 1
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Pricing idiosyncratic products is often challenging because the seller, ex ante, lacks information about the demand for individual items. This paper develops a model of dynamic pricing for idiosyncratic products that features the optimal stopping structure and a seller that learns about item-specific demand through the selling process. The model is estimated using novel panel data of a leading used-car dealership. Policy experiments are conducted to quantify the value of the demand information t...
4 CitationsSource
#1Assaf Eisdorfer (UConn: University of Connecticut)H-Index: 6
#2Efdal Ulas Misirli (Federal Reserve System)
Financially distressed stocks do not underperform healthy stocks when the entire economy is in distress. The asset beta and financial leverage of distressed stocks rise significantly after market downturns, resulting in a dramatic increase in equity beta. Hence, a long/short healthy-minus-distressed trading strategy leads to significant losses when the market rebounds. Managing this risk mitigates the severe losses of financial-distress strategies and significantly improves their Sharpe ratios. ...
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#1Xiaoyang Long (UW: University of Wisconsin-Madison)
#2Javad Nasiry (HKUST: Hong Kong University of Science and Technology)H-Index: 6
Last.Yaozhong Wu (NUS: National University of Singapore)H-Index: 8
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In uncertain environments, project reviews provide an opportunity to make “continue or abandon” decisions and thereby maximize a project’s expected payoff. We experimentally investigate continue/ab...
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#1Choonsik Lee (URI: University of Rhode Island)H-Index: 2
#2Matthew E. Souther (USC: University of South Carolina)H-Index: 2
Recent studies document the increasing effectiveness of shareholder voting as a monitoring mechanism. Because both directors and the market respond to shareholder votes, management has stronger inc...
1 CitationsSource
#1Mariana Carrera (MSU: Montana State University)H-Index: 4
#2Heather Royer (UCSB: University of California, Santa Barbara)H-Index: 12
Last.Justin R. Sydnor (UW: University of Wisconsin-Madison)H-Index: 12
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The use of incentives to encourage healthy behaviors is increasingly widespread, but we have little evidence about how best to structure these programs. We explore how different incentive designs affect behavior on the extensive and intensive margins through an experiment offering incentives to employees of a Fortune 500 company to use their workplace gym. Overall the likelihood of joining the gym was not strongly affected by the incentive design. Notably, front-loading incentives to encourage i...
2 CitationsSource
#1Jiayi Joey Yu (THU: Tsinghua University)H-Index: 1
#2Christopher S. Tang (UCLA: University of California, Los Angeles)H-Index: 48
Last.Xiqun Michael Chen (ZJU: Zhejiang University)H-Index: 1
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Regulating on-demand ride-hailing services (e.g., Uber and DiDi) requires a balance of multiple competing objectives: encouraging innovative business models (e.g., DiDi), sustaining traditional ind...
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#1J. Miguel Villas-Boas (University of California, Berkeley)H-Index: 23
Many of the activities performed in firms are done by teams, where a common output is observed, but outsiders cannot observe the individual contributions of each team member. This leads to the poss...
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