Informed Options Trading Prior to Takeover Announcements: Insider Trading?
Authors: Patrick Augustin, Menachem Brenner, Marti G. Subrahmanyam
Publication: Management Science, May 21, 2019
Abstract:
We quantify the pervasiveness of informed trading activity in target companies' equity options before the announcements of 1,859 U.S. takeovers between 1996 and 2012. About 25% of all takeovers have positive abnormal volumes, which are greater for short-dated out-of-the-money calls, consistent with bullish directional trading before the announcement. Over half of this abnormal activity is unlikely due to speculation, news and rumors, trading by corporate insiders, leakage in the stock market, deal predictability, or beneficial ownership filings by activist investors. We also examine the characteristics of option trades litigated by the SEC for alleged illegal insider trading. While the characteristics of such trades closely resemble the patterns of abnormal option volume in the U.S. takeover sample, we find that the SEC litigates only about 8% of all deals in it.
Inspiration from the 'Biggest Loser': Social Interactions in a Weight Loss Program
Authors: Kosuke Uetake, Nathan Yang聽
Publication: Marketing Science, Forthcoming
础产蝉迟谤补肠迟:听
We investigate the role of heterogeneous peer effects in encouraging healthy lifestyles. Our analysis revolves around one of the largest and most extensive databases about weight loss that track individual participants' meeting attendance and progress in a large national weight loss program. The main finding is that while weight loss among average performing peers has a negative effect on an individual's weight loss, the corresponding effect for the top performer among peers is positive. Furthermore, we demonstrate that our results are robust to potential issues related to selection into meetings, endogenous peer outcomes, individual unobserved heterogeneity, lagged dependent variables, and contextual effects. Ultimately, these results provide guidance about how the weight loss program should identify role models.
A Large-Scale Approach for Evaluating Asset Pricing Models
Author: Laurent Barras
Publication: Journal of Financial Economics, Forthcoming
Abstract:
Recent studies show that the standard test portfolios do not contain sufficient information to discriminate between asset pricing models. To address this issue, we develop a large-scale approach that expands the cross-section to several thousand portfolios. Our novel approach is simple, widely applicable, and allows for formal evaluation/comparison tests. Its benefits are confirmed in empirical tests of CAPM- and characteristic-based models. While these models are all misspecified, we uncover striking performance differences between them. In particular, the human capital and conditional CAPMs largely outperform the CAPM which suggests that labor income and time-varying recession risks are primary concerns for investors.
Ruslan Goyenko paper "Illiquidity Premia in Equity Option Markets" selected Editor's Choice in Review of Financial Studies
Professor Ruslan Goyenko's paper "Illiquidity Premia in Equity Option Markets" with Peter Christoffersen, Kris Jacobs and Mehdi Karoui was selected as Editor's Choice article in the March 2018 issue of Review of Financial Studies.
Asset Pricing with Countercyclical Household Consumption Risk
Authors: George M. Constantinides and Anisha Ghosh
Publication: Journal of Finance, Vol. 72, No. 1, February 2017
Abstract:
We show that shocks to household consumption growth are negatively skewed, persistent, countercyclical, and drive asset prices. We construct a parsimonious model where heterogeneous households have recursive preferences. A single state variable drives the conditional cross-sectional moments of household consumption growth. The estimated model 铿乼s well the unconditional cross-sectional moments of household consumption growth and the moments of the risk-free rate, equity premium, price-dividend ratio, and aggregate dividend and consumption growth. The model-implied risk-free rate and price-dividend ratio are procyclical, while the market return has countercyclical mean and variance. Finally, household consumption risk explains the cross section of excess returns.
Read article: Journal of Finance
What Is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models
Authors:聽Anisha Ghosh, Christian Julliard, Alex P. Taylor
Publication:聽The Review of Financial Studies, Volume 30, No. 2, February 2017
础产蝉迟谤补肠迟:听
We consider asset pricing models in which the SDF can be factorized into an observable component and a potentially unobservable one. Using a relative entropy minimization approach, we nonparametrically estimate the SDF and its components. Empirically, we find the SDF has a business-cycle pattern and significant correlations with market crashes and the Fama-French factors. Moreover, we derive novel bounds for the SDF that are tighter and have higher information content than existing ones. We show that commonly used consumption-based SDFs correlate poorly with the estimated one, require high risk aversion to satisfy the bounds and understate market crash risk.
Read article: The Review of Financial Studies
The Effects of Asymmetric Social Ties, Structural Embeddedness and Tie Strength on Online Content Contribution Behavior
Authors: Rishika Rishika and Jui Ramaprasad
Publication: Management Science, Forthcoming
Abstract:
For a social media community to thrive and grow, it is critical that users of the site interact with each other and contribute content to the site. We study the role of social ties in motivating user preference expression, a form of user content contribution, in an online social media community. We examine the role of three types of ties, reciprocated, follower and followee ties, and assess whether the structural and relational properties of a user鈥檚 social network moderate the social influence effect in user contribution. A unique disaggregate level panel dataset of users鈥� contributions and social tie formation activities from an online music platform is employed to study the impact of social ties. To address identification issues, we adopt a quasi-experimental approach based on dynamic propensity score matching. The results provide strong evidence of the influence of online network ties in online contribution behavior. We find that the influence of reciprocated ties is the greatest, followed by influence from followee ties and then follower ties. Additional analysis reveals that reciprocated and followee ties have even greater influence when they contribute new information for a focal user. Structural embeddedness and tie strength among network ties are found to amplify the effect of social contagion in online contribution. We conduct several sensitivity and robustness checks that lend credible support to our findings. The results add to the greater understanding of social influence in online contribution and provide valuable managerial insights into designs of online communities to enable greater user participation.
Love Unshackled: Identifying the Effect of Mobile App Adoption in Online Dating
Authors: JaeHwuen Jung, Ravi Bapna, Jui Ramaprasad and Akhmed Umyarov
Publication: MIS Quarterly, Forthcoming
Abstract:
The proliferation of smartphones and other mobile devices has led to numerous companies investing significant resources in developing mobile applications, in every imaginable domain. As apps proliferate, understanding the impact of app adoption on key outcomes of interest and linking this understanding to the the underlying mechanisms that drive these results is imperative. In this paper, we explore the changes in user behavior induced by adoption of a mobile application, in terms of engagement and matching outcomes in the online dating context. We also identify three mechanisms that are somewhat unique to the mobile environment, but are hitherto unestablished in the literature, that drive this shift in behavior 鈥� ubiquity, impulsivity and disinhibition. Our main identification strategy uses propensity score matching combined with difference-in-differences, coupled with a rigorous falsification test to confirm the validity of our identification strategy. Our results demonstrate that mobile app adoption induces users to become more socially engaged as measured by key engagement metrics such as visiting significantly more profiles, sending significantly more messages, and importantly, achieving more matches. We also discover various mechanisms facilitating this increased engagement: ubiquity of mobile use 鈥� users login more, and login across wider range of hours in the day. We find that men act more impulsively, in that they are less likely to check the profile of a user who messaged them before replying to them. This effect is not visible for women who continue to be deliberate in their checking before replying even after adoption of the mobile app. Finally, we find that both men and women exhibit disinhibition, in that users initiate actions to a more diverse set of potential partners than they did before on dimensions of race, education and height.
Designing Risk-Adjusted Therapy for Patients with Hypertension
Authors: Manaf Zargoush, Mehmet Gumus, Vedat Verter, Stella Daskalopoulou
Journal Name: Production and Operations Management, Forthcoming
Abstract:
Hypertension has not been well studied by operations researchers from a clinical decision support perspective. Moreover, little personalized (i.e. patient-centric) guidance is available regarding the number and combination of antihypertensive medications. To fill this gap, we develop a Markov Decision Process (MDP) to characterize the optimal sequence (and combination) of antihypertensive medications under the standard medication dose. Our model is patient-centric as it takes into account a set of relevant patient characteristics such as age, gender, blood pressure level, smoking habits, diabetes status, and cholesterol level. Based on a set of intuitive assumptions, we prove that our model yields a series of structured optimal policies. Having calibrated our model based on real data and medical literature, we analyze these optimal policies and discuss their insights to the real practice. We also compare the benefits, in terms of quality adjusted life expectancy, QALE, obtained from our results with those obtained from British Hypertension Society (BHS) guideline.
Did Europe Move in the Right Direction on E-Waste Legislation?
Authors: Shumail Mazahir, Vedat Verter, Tamer Boyaci and Luk van Wassenhove
Publication: Production and Operations Management, Forthcoming
Abstract:
This paper presents an analytical framework of the product take back legislation in the context of product reuse. We characterize existing and proposed forms of E-waste legislation and compare their environmental and economic performance. Using stylized models, we analyze an OEM鈥檚 decision about new and remanufactured product quantity in response to the legislative mechanism. We focus on the 2012 waste electrical and electronic equipment directive in Europe, where the policy-makers intended to create additional incentives for the product reuse. Through a comparison to the original 2002 version of the directive, we find that these incentives translate into improved environmental outcomes only for a limited set of products. We also study a proposed policy that advocates a separate target for the product reuse. Our analysis reveals that from an environmental standpoint, the recast version is always dominated either by the original policy or by the one that advocates a separate target for the product reuse. We show that the benefits of a separate reuse target scheme can be fully replicated with the aid of fiscal levers. Our main message is that there cannot be a single best environmental policy that is suitable for all products. Therefore, the consideration of product attributes is essential in identification of the most appropriate policy tool. This can be done either by the implementation of different policies on each product category or by implementation of product based target levels.
Juan Serpa's article featured in Management Science
Professor Juan Serpa's paper "The Impact of Supply Chains on Firm-Level Productivity," together with Harish Krishnan was selected by the Editor-in-Chief of Management Science one of the three Featured Articles for the February 2018 issue.
Management Science聽is a scholarly journal that publishes scientific research on the practice of management. Within our scope are all aspects of management related to strategy, entrepreneurship, innovation, information technology, and organizations as well as all functional areas of business, such as accounting, finance, marketing, and operations. We include studies on organizational, managerial, and individual decision making, from both normative and descriptive perspectives.
Influential Chief Marketing Officers and Management Revenue Forecasts
Authors: David S. Koo and Dongyoung Lee
Publication: The Accounting Review, Forthcoming
Abstract:
We examine the role of the chief marketing officer (CMO) in corporate voluntary disclosure of future revenues. Using a sample of S&P 1500 firms for the period from 2003 to 2011, we find that the presence of an influential CMO in top management is positively associated with the likelihood of a firm's issuing a management revenue forecast. We also find that firms with an influential CMO provide more accurate revenue forecasts than other firms. These findings extend to long-window change analyses and are robust to the use of a propensity-score matched-pair approach. Overall, the results are consistent with the notion that CMO influence in top management appears to play an important role in voluntary revenue disclosures.
Read abstract: The Accounting Review
Strategy processes and practices: Dialogues and intersections
Authors: Robert Burgelman, Steven Floyd, Tomi Laamanen, Saku Mantere, Eero Vaara and Richard Whittington
Publication: Strategic Management Journal, Vol. 39, No. 3 (SI), 2018, pp. 531-558.
Abstract:
Building on our review of the strategy process and practice research, we identify three ways to see the relationships between the two research traditions: complementary, critical, and combinatory views. We adopt in this special issue the combinatory view, in which activities and processes are seen as closely intertwined aspects of the same phenomena. It is this view that we argue offers both strategy practice and strategy process scholars some of the greatest opportunities for joint research going forward. We develop a combinatory framework for understanding strategy processes and practices (SAPP) and based on that call for more research on (a) temporality, (b) actors and agency, (c) cognition and emotionality, (d) materiality and tools, (e) structures and systems, and (f) language and meaning.
Read article: Strategic Management Journal
The Club Store Effect: Impact of Shopping in Warehouse Club Stores on Consumers' Packaged Food Purchases
Authors: Kusum L. Ailawadi, Yu Ma and Dhruv Grewal
Publication: Journal of Marketing Research, Vol. 55, No. 2, 2018, pp. 193-207.
础产蝉迟谤补肠迟:听
This article studies the impact of shopping at the warehouse club format on households' packaged food-for-home purchases. In addition to low prices, this format has several unique characteristics that can influence packaged food purchases. The empirical analysis uses a combination of households' longitudinal grocery purchase information, rich survey data, and detailed item-level nutrition information. After accounting for selection on observables and unobservables, the authors find a substantial increase in the total quantity (servings per capita) of purchases attributable to shopping at this format. Because there is no effect on quality of purchases, this translates into a substantial increase in calories, sugar, and saturated fat per capita. The increase comes primarily from storable and impulse foods and it is drawn equally from foods that have positive and negative health halos. The results have important implications for how marketers can create win鈥搘in opportunities for themselves and for consumers.
Read abstract: Journal of Marketing Research
Bridging Practice and Process Research to Study Transient Manifestations of Strategy
Authors: Laurent Mirabeau, Steve Maguire and Cynthia Hardy
Publication: Strategic Management Journal, Vol. 39, No. 3 (SI), March 2018
础产蝉迟谤补肠迟:听
At the intersection of Strategy Process (SP) and Strategy-as-Practice (SAP) research lies the focal phenomenon they share 鈥� strategy, which manifests itself in a variety of ways: intended, realized, deliberate, emergent, unrealized, and ephemeral strategy.
We present a methodology comprised of three stages that, when integrated in the manner we suggest, permit a rich operationalization and tracking of strategy content for all manifestations. We illustrate the utility of our methodology for bridging SP and SAP research by theorizing practices that are more likely to give rise to unrealized and ephemeral strategy, identifying their likely consequences, and presenting a research agenda for studying these transient manifestations.
