学术论文

Transaction costs have a first-order effect on the performance of currency portfolios. Proportional costs based on quoted bid–ask spread are relatively small, but when a fund is large, costs due to the trading volume price impact are sizable and quickly erode returns, leaving many popular strategies unprofitable. A mean–variance-transaction-cost optimized approach (MVTC) that accounts for costs in the optimization efficiently tackles the problem with only relatively minor negative implications on before-cost profitability. MVTC is robust even when the price impact of trading is severe. Finally, we introduce an accurate extrapolation approach to expand the sample of the realized Amihud measure of Ranaldo and Santucci de Magistris (2022) from 12 to 26 currencies and from 2012 back in time to 1986.

Washington policy research analysts (WAs) monitor political developments and produce research to interpret the impact of these events. We find institutional clients channel more commissions to brokerages providing policy research and commission-allocating institutional clients generate superior returns on their politically sensitive trades. We find that WA policy research reports are associated with significant price and volume reactions. Finally, we find sell-side analysts with access to WA issue superior stock recommendations on politically sensitive stocks. These effects are particularly acute during periods of high political uncertainty. Overall, we uncover a unique and an important conduit through which political information filters into asset prices.

The Securities and Exchange Commission’s 2016 Tick Size Pilot Program was a natural experiment that imposed increases in tick size for randomly selected small-cap firms. Using a difference-in-differences research design, we examine the effect of this increase in tick size on earnings guidance. We find that after initiation of the program, treatment firms provide significantly less earnings guidance. We provide further evidence that this decrease is driven by increases in investors’ fundamental information acquisition and in firms’ financial reporting quality, consistent with firms reducing earnings guidance when investors are already more informed. The decrease is stronger for firms with higher proprietary costs of disclosure, consistent with firms being more likely to reduce costly disclosure when investors are more informed. In contrast, the decrease is weaker for firms with greater external financing needs, consistent with these firms continuing to seek the benefits of disclosure, even when investors are more informed. Taken together, our results suggest that an increase in tick size makes investors more informed, which, in turn, reduces the need for firms to provide earnings guidance, though the extent of the reduction depends on the costs and benefits of providing earnings guidance.

Low-beta stocks deliver high average returns and low risk relative to high-beta stocks, an opportunity for professional investors to “arbitrage” away. We argue that beta-arbitrage activity generates booms and busts in the strategy’s abnormal trading profits. In times of low arbitrage activity, the beta-arbitrage strategy exhibits delayed correction, taking up to three years for abnormal returns to be realized. In contrast, when arbitrage activity is high, prices overshoot and then revert in the long run. We document a novel positive-feedback channel operating through firm leverage that facilitates these boom-and-bust cycles.

Although food waste is an urgent issue with widespread economic, societal, and environmental impacts, it remains understudied in the marketing discipline. This is surprising since most food waste occurs at the retail and consumption stages of the food life cycle. This research fills this gap by examining how resource mindset and self-construal jointly shape consumer food waste. Specifically, inducing a scarcity mindset signals no resource to waste, mitigating consumer food waste regardless of self-construal. In contrast, under an abundance mindset where there is resource to waste, activating an interdependent (vs. independent) self-construal can effectively reduce consumer food waste. Sharing obligation, the tendency to share with in-groups, is identified as a key mechanism behind the effect. Supporting this mechanism, enhancing sharing obligation (e.g., highlighting the sharing concept, highlighting others’ food needs) or diminishing it (e.g., highlighting family resource abundance) attenuates the effect of self-construal on consumer food waste under an abundance mindset. The results from one large-scale field study, four controlled experiments, and a country-level secondary dataset provide convergent support for the proposed framework. This research not only contributes to the related literature but also provides actionable strategies for mitigating consumer food waste.

There has been a continuing and growing concern over the relevance of the articles published in the Journal of Consumer Research (JCR). “Relevance” has been addressed in a number of editorials over time: Mick (2003), Deighton (2007), Dahl et al. (2014), Inman et al. (2018), and Schmitt et al. (2002). There is an opinion that, over many years, the articles in JCR have trended toward the interests of academics and do not address the actual problems faced by consumers, firms, and public policy-makers (Inman et al. 2018). Also, there has been concern that much of what appears in JCR is narrow in scope, both in terms of theory and the empirical methods employed. Further, the dependent variables investigated are often lacking in real-world significance. These concerns have led to calls to increase relevance in consumer research. For example, Wells (1993) argued that “any given piece of research should be designed from the start with a consideration of how it will be useful to audiences it seeks to address” (Dahl et al. 2014, iii). According to Dahl et al. (2014), a single mantra for JCR should be to “make it meaningful” to its audience. The audience includes academics from the founding fields as well as scholars in other fields, consumers, marketing managers, and public policy-makers. Nevertheless, despite these calls, JCR was recently rated the lowest of the premier academic marketing journals on one measure of practical relevance (Jedidi et al. 2021). In light of this long-lasting dialogue, it is not clear to us that JCR stakeholders possess a good understanding of what “relevance” actually means. For example, Dahl et al. (2014, iv) argued “there is no single formula or paradigm for producing meaningful consumer research, and we therefore encourage a wide variety of approaches across papers.” Later, Inman et al. (2018, 955) claimed “Despite long-lasting and heartful ambitions to create a big tent for impactful, consumer-relevant research, we are still far from obtaining that goal.” Finally, according to the current editorial team (Schmitt et al. 2002, 753), “the mere fact that it [relevance] is revisited with such frequency makes us wonder if speaking about the need for consumer research to be relevant has not been enough. What more can be said?” Moreover, Schmitt et al. (2002, 754) state “As a field, we need to push ourselves to see how the areas we find personally fascinating link to real-world problems or serious important decisions that people have to make in the marketplace.” The goal of this article is to introduce a framework for increasing practical relevance in consumer research and illustrate it with recent articles published in JCR. We see this as a necessary (and long overdue) first step in gaining clarity on this issue and advancing the debate. Our framework focuses primarily on experimental research with empirical data. However, we believe it can also be applied to qualitative research. To accomplish this, we begin with a review of the literature on practical relevance. We then present our framework, explain its key dimensions, and identify representative examples from recently published articles. Finally, we close with several recommendations for marketing scholars keen on improving the relevance of their work.

Adverse market events can affect credit supply not only by hurting financial fundamentals but also by changing the risk-taking behaviors of individual decision makers. We provide micro-level evidence of this individual decision-making channel in the U.S. mortgage market. We find that mortgage application rejection rates are more sensitive to foreclosure intensity when loan officers are more exposed to foreclosure news, despite the same housing market and bank fundamentals. Loans originated from the affected branches have lower ex-post default rates, consistent with higher lending standards being applied. In the aggregate, this effect results in tighter credit supply during housing market downturns.

Consumers generally prefer natural to synthetic drugs; a phenomenon known as the “natural preference”. Through six experiments and one archival study, the current research shows that while consumers have a general preference for natural drugs over synthetic drugs, this preference is stronger when the goal is to treat psychological rather than physical conditions. Process evidence indicates an important mechanism that explains the amplified natural preference for treating psychological conditions: consumers are more concerned about their true selves being altered when treating psychological conditions, and they perceive natural drugs to be less likely than synthetic drugs to affect their true selves. The current research provides novel insights into the natural preference. It also offers policy and managerial implications for marketing natural remedies and pharmacological treatments for mental health conditions.

If a financial asset’s price movement impacts a firm’s product demand, the firm can respond to the impact by adjusting its operational decisions. For example, in the automotive industry, automakers decrease the selling prices of fuel-inefficient cars when the oil price rises. Meanwhile, the firm can implement a risk-hedging strategy using the financial asset jointly with its operational decisions. Motivated by this, we develop and solve a general risk-management model integrating risk hedging into a price-setting newsvendor. The optimal hedging strategy is calculated analytically, which leads to an explicit objective function for optimizing price and “virtual production quantity” (VPQ). (The latter determines the service level—that is, the demand-fulfillment probability.) We find that hedging generally reduces the optimal price when the firm sets the target mean return as its production-only maximum expected profit. With the same condition on the target mean return, hedging also reduces the optimal VPQ when the asset price trend positively impacts product demand; meanwhile, it may increase the VPQ by a small margin when the impact is negative. We construct the return-risk efficient frontier that characterizes the optimal return-risk trade-off. Our numerical study using data from a prominent automotive manufacturer shows that the markdowns in price and reduction in VPQ are small under our model and that the hedging strategy substantially reduces risk without materially reducing operational profit.