- Desautels research
Authors: George M. Constantinides and Anisha Ghosh
Publication: Journal of Finance, Vol. 72, No. 1, February 2017
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 ﬁts 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: Anisha Ghosh, Christian Julliard, Alex P. Taylor
Publication: The Review of Financial Studies, Volume 30, No. 2, February 2017
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
Author: Hamid Etemad
Publication: Journal of International Entrepreneurship, Vol. 15, No. 3, September 2017
The emergence of online global market place and the multilayered view of international entrepreneurship
Author: Hamid Etemad
Publication: Journal of International Entrepreneurship, Vol. 15, No. 4, December 2017
Authors: Wei Qi, Bo Shen, Hongcai Zhang, Zuo-Jun Max Shen
Publication: Energy, Vol. 135, September 2017
Authors: Pedro Piccoli, Mo Chaudhury, Alceu Souza
Publication: Research in International Business and Finance, Vol. 42, December 2017
Authors: Mo Chaudhury
Publication: Economics Letter, Vol. 152, March 2017
We show analytically that the relationship between asset volatility and expected option return is ambiguous. Numerical results elaborate how the direction and magnitude of the relationship depend on asset beta and volatility levels, and option moneyness and maturity....
“I am Not a Feminist, but. . .”: Hegemony of a Meritocratic Ideology and the Limits of Critique Among Women in Engineering
Authors: Carroll Seron, Susan Silbey, Erin Cech, Brian Rubineau
Publication: Work and Occupations, Forthcoming
Authors: Brian Rubineau, Nazampal Jaswal
Publication: Education Law Journal, Vol. 27, No. 1, 2017
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
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’s social network moderate the social influence effect in user contribution. A unique disaggregate level panel dataset of users’ 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.
Authors: JaeHwuen Jung, Ravi Bapna, Jui Ramaprasad and Akhmed Umyarov
Publication: MIS Quarterly, Forthcoming
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 – 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 – 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.
Social value, content value, and brand equity in social media brand communities: A comparison of Chinese and US consumers
Authors: Yongbing Jiao, Myriam Ertz, Myung-Soo Jo and Emine Sarigöllü
Publication: International Marketing Review, Vol. 35, No. 1, 2018
Authors: Manaf Zargoush, Mehmet Gumus, Vedat Verter, Stella Daskalopoulou
Journal Name: Production and Operations Management, Forthcoming
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.
Authors: Shumail Mazahir, Vedat Verter, Tamer Boyaci and Luk van Wassenhove
Publication: Production and Operations Management, Forthcoming
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’s 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.
Convergent Innovation in Food through Big Data and Artificial Intelligence for Societal-Scale Inclusive Growth
Authors: Laurette Dubé, Pan Du, Cameron McRae, Neha Sharma, Srinivasan Jayaraman, Jian-Yun Nie
Publication: Technology Innovation Management Review, Vol. 8, No. 2, February 2018