学术论文

We introduce the concept of risk entanglement in a preference-free setting to jointly explain the exchange rate volatility, cyclicality, and currency risk premia in the data. Risk entanglement specifies a subset of incomplete market models, in which nondiffusive or nonlog-normal shocks to exchange rates are not fully spanned by asset returns. When risks are entangled, there exist multiple pricing-consistent exchange rates, but none of them are equal to the ratio of the stochastic discount factors (SDFs) or their projections. Decoupling the exchange rate from the SDFs allows us to address key FX market patterns that are puzzling in international finance.

We provide a psychological explanation for the delayed price response to news about economically linked firms. We show that the return predictability of economically linked firms depends on the nearness to the 52-week high stock price. The interaction between news about economically linked firms and the nearness to the 52-week high can partially explain the underreaction to news about customers, geographic neighbors, industry peers, or foreign industries. We also find that analysts react to news about economically linked firms but the 52-week high effect reduces such reactions, providing direct evidence that the 52-week high affects the belief-updating process.

We study the transmission of financial news and opinions through social interactions among retail investors in the United States. We identify a series of plausibly exogenous shocks, which cause “treated investors” to trade abnormally. We then trace the “contagion” of abnormal trading activity from the treated investors to their neighbors and their neighbors’ neighbors. Coupled with methodology drawn from epidemiology, our setting allows us to estimate the rate of communication and how it varies with the characteristics of the underlying investor population.

We evaluate the connection between corporate characteristics and the reaction of stock returns to COVID-19 cases using data on more than 6,700 firms across 61 economies. The pandemic-induced drop in stock returns was milder among firms with stronger pre-2020 finances (more cash and undrawn credit, less total and short-term debt, and larger profits), less exposure to COVID-19 through global supply chains and customer locations, more corporate social responsibility activities, and less entrenched executives. Furthermore, the stock returns of firms controlled by families (especially through direct holdings and with non-family managers), large corporations, and governments performed better, and those with greater ownership by hedge funds and other asset management companies performed worse. Stock markets positively price small amounts of managerial ownership but negatively price high levels of managerial ownership during the pandemic.

The telegraph was introduced to China in the late 19th century, a time when China also saw the rise of modern banks. Based on this historical context, this paper documents the importance of information technology in banking development. We construct a data set on the distributions of telegraph stations and banks across 287 prefectures between 1881 and 1936. The results show that the telegraph significantly expanded banks’ branch networks in terms of both number and geographic scope. The effect of the telegraph remains robust when we instrument it using proximity to the early military telegraph trunk.

Organizations frequently rely on peer performance ratings to capture employees’ unique and difficult to observe contributions at work. Though useful, peers exhibit meaningful variance in the accuracy and informational utility they offer about ratees. In this research, we develop and test theory which suggests that raters’ social network positions explains this variance in systematic ways. Drawing from information processing theory, we posit that members who occupy core (peripheral) positions in the network have greater (less) access to firsthand and secondhand performance information about ratees, which is in turn associated with more (less) accurate performance ratings. To overcome difficulties in obtaining a “true” performance score in interdependent field settings, we employ an external criterion comparison method to benchmark our arguments, such that larger validity coefficients between established predictors of performance (i.e., a ratee’s general mental ability [GMA] and conscientiousness) and peer performance ratings should reflect more (less) accurate ratings for core (peripheral) members. In Study 1, we use an organization-wide network in a technology startup company to examine the validity coefficient of a ratee’s GMA on performance as rated by central versus peripheral members. In Study 2, we attempt to replicate and extend Study 1’s conclusions in team networks using ratee conscientiousness as a benchmark indicator. Findings from both studies generally support the hypotheses that core network members provide distinct, and presumably more accurate, peer performance ratings than peripheral network members.

We propose and estimate a quantitative model of exchange rates in which participants in the foreign exchange market are intermediaries subject to value-at-risk (VaR) constraints. Higher volatility translates into tighter VaR constraints, and intermediaries require higher returns to hold foreign assets. Therefore, the foreign currency is expected to appreciate. The model quantitatively resolves the Backus–Smith puzzle, the forward premium puzzle, and the exchange rate volatility puzzle and explains deviations from the covered interest rate parity. Moreover, the model implies both contemporaneous and predictive relations between proxies of leverage constraint tightness and exchange rates. These implications are supported in the data.

In social networks, social foci are physical or virtual entities around which social individuals organize joint activities, for example, places and products (physical form) or opinions and services (virtual form). Forecasting which social foci will diffuse to more social individuals is important for managerial functions such as marketing and public management operations. In terms of diffusive social adoptions, prior studies on user adoptive behavior in social networks have focused on single-item adoption in homogeneous networks. We advance this body of research by modeling scenarios with multi-item adoption and learning the relative propagation of social foci in concurrent social diffusions for online social networking platforms. In particular, we distinguish two types of social nodes in our two-mode social network model: social foci and social actors. Based on social network theories, we identify and operationalize factors that drive social adoption within the two-mode social network. We also capture the interdependencies between social actors and social foci using a bilateral recursive process—specifically, a mutual reinforcement process that converges to an analytical form. Thus, we develop a gradient learning method based on a mutual reinforcement process that targets the optimal parameter configuration for pairwise ranking of social diffusions. Further, we demonstrate analytical properties of the proposed method such as guaranteed convergence and the convergence rate. In the evaluation, we benchmark the proposed method against prevalent methods, and we demonstrate its superior performance using three real-world data sets that cover the adoption of both physical and virtual entities in online social networking platforms.

Online auction markets host a large number of transactions every day. The transaction data in auction markets are useful for understanding the buyers and sellers in the market. Previous research has shown that sellers with different levels of reputation, as shown by the ratings and comments left in feedback systems, enjoy different levels of price premiums for their transactions. Feedback scores and feedback texts have been shown to correlate with buyers’ level of trust in a seller and the price premium that buyers are willing to pay (Ba and Pavlou 2002; Pavlou and Dimoka 2006). However, existing models do not consider the time-order effect, which means that feedback posted more recently may be considered more important than feedback posted less recently. This paper addresses this shortcoming by (1) testing the existence of the time-order effect, and (2) proposing a Bayesian updating model to represent buyers’ perceived reputation considering the time-order effect and assessing how well it can explain the variation in buyers’ trust and price premiums. In order to validate the time-order effect and evaluate the proposed model, we conducted a user experiment and collected real-life transaction data from the eBay online auction market. Our results confirm the existence of the time-order effect and the proposed model explains the variation in price premiums better than the benchmark models. The contribution of this research is threefold. First, we verify the time-order effect in the feedback mechanism on price premiums in online markets. Second, we propose a model that provides better explanatory power for price premiums in online auction markets than existing models by incorporating the time-order effect. Third, we provide further evidence for trust building via textual feedback in online auction markets. The study advances the understanding of the feedback mechanism in online auction markets.