Dépouillements

Is noise trading cancelled out by aggregation? / Hongjun Yan in Management science, Vol. 56 N° 7 (Juillet 2010) 

Public ISBD [article]  in Management science > Vol. 56 N° 7 (Juillet 2010) . - pp. 1047-1059 Titre : Is noise trading cancelled out by aggregation? Type de document : texte imprimé Auteurs : Hongjun Yan, Auteur Année de publication : 2010 Article en page(s) : pp. 1047-1059 Note générale : Management Langues : Anglais (eng) Mots-clés : Aggregation  Bias  Noise  trading  Behavioral  finance Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : Conventional wisdom suggests that investors' independent biases should cancel each other out and have little impact on equilibrium at the aggregate level. In contrast to this intuition, this paper analyzes models with biased investors and finds that biases often have a significant impact on the equilibrium even if they are independent across investors. First, independent biases affect the equilibrium asset price if investor demand for the asset is a nonlinear function of the bias. Second, even if the demand function is linear in the bias, it may still have a significant impact on the equilibrium because of the fluctuation of the wealth distribution. An initial run-up of the stock price makes optimistic investors richer, which then further pushes the stock price up and leads to lower future returns. This effect can lead to price overshooting, i.e., a negative expected future return. Similarly, an initial drop of the stock price leads to higher future returns. Simple calibrations show that a modest amount of biases can have a large impact on the equilibrium. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/7.toc [article] Is noise trading cancelled out by aggregation? [texte imprimé] / Hongjun Yan, Auteur . - 2010 . - pp. 1047-1059. Management Langues : Anglais (eng) in Management science > Vol. 56 N° 7 (Juillet 2010) . - pp. 1047-1059 Mots-clés : Aggregation  Bias  Noise  trading  Behavioral  finance Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : Conventional wisdom suggests that investors' independent biases should cancel each other out and have little impact on equilibrium at the aggregate level. In contrast to this intuition, this paper analyzes models with biased investors and finds that biases often have a significant impact on the equilibrium even if they are independent across investors. First, independent biases affect the equilibrium asset price if investor demand for the asset is a nonlinear function of the bias. Second, even if the demand function is linear in the bias, it may still have a significant impact on the equilibrium because of the fluctuation of the wealth distribution. An initial run-up of the stock price makes optimistic investors richer, which then further pushes the stock price up and leads to lower future returns. This effect can lead to price overshooting, i.e., a negative expected future return. Similarly, an initial drop of the stock price leads to higher future returns. Simple calibrations show that a modest amount of biases can have a large impact on the equilibrium. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/7.toc

eBay's crowded evenings / Uri Simonsohn in Management science, Vol. 56 N° 7 (Juillet 2010) 

Public ISBD [article]  in Management science > Vol. 56 N° 7 (Juillet 2010) . - pp. 1060-1073 Titre : eBay's crowded evenings : Competition neglect in market entry decisions Type de document : texte imprimé Auteurs : Uri Simonsohn, Auteur Année de publication : 2010 Article en page(s) : pp. 1060-1073 Note générale : Management Langues : Anglais (eng) Mots-clés : Market  entry  Marketing  Competitive  strategy  Behavioral  economics Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : Do firms neglect competition when making entry decisions? This paper addresses this question analyzing the time of day at which eBay sellers set their auctions to end. Consistent with competition neglect, it is found that (i) a disproportionate share of auctions end during peak bidding hours, (ii) such hours exhibit lower selling rates and prices, and (iii) peak listing is more prevalent among sellers likely to have chosen ending time strategically, suggesting disproportionate entry is a mistake driven by bounded rationality rather than mindlessness. The results highlight the importance for marketing researchers of assessing rather than assuming the rationality of firm behavior. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/7.toc [article] eBay's crowded evenings : Competition neglect in market entry decisions [texte imprimé] / Uri Simonsohn, Auteur . - 2010 . - pp. 1060-1073. Management Langues : Anglais (eng) in Management science > Vol. 56 N° 7 (Juillet 2010) . - pp. 1060-1073 Mots-clés : Market  entry  Marketing  Competitive  strategy  Behavioral  economics Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : Do firms neglect competition when making entry decisions? This paper addresses this question analyzing the time of day at which eBay sellers set their auctions to end. Consistent with competition neglect, it is found that (i) a disproportionate share of auctions end during peak bidding hours, (ii) such hours exhibit lower selling rates and prices, and (iii) peak listing is more prevalent among sellers likely to have chosen ending time strategically, suggesting disproportionate entry is a mistake driven by bounded rationality rather than mindlessness. The results highlight the importance for marketing researchers of assessing rather than assuming the rationality of firm behavior. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/7.toc

Vertically differentiated simultaneous vickrey auctions / Ravi Bapna in Management science, Vol. 56 N° 7 (Juillet 2010) 

Public ISBD [article]  in Management science > Vol. 56 N° 7 (Juillet 2010) . - pp. 1074-1092 Titre : Vertically differentiated simultaneous vickrey auctions : Theory and experimental evidence Type de document : texte imprimé Auteurs : Ravi Bapna, Auteur ; Chrysanthos Dellarocas, Auteur ; Sarah Rice, Auteur Année de publication : 2010 Article en page(s) : pp. 1074-1092 Note générale : Management Langues : Anglais (eng) Mots-clés : Competing  auctions  Simultaneous  auctions  Vertical  differentiation  Reputation  Game  theory  Laboratory  experiment Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We study settings where a number of sellers simultaneously offer vertically differentiated Vickrey auctions for imperfect substitute goods to unit-demand buyers. Vertical differentiation can arise from differences in item quality, item value certainty, seller reliability, or a combination of these factors. We characterize the form of the bidding equilibria and derive expressions for the corresponding allocative efficiency and expected seller revenue. When bidders are restricted to submit at most one bid, our theory predicts the existence of a unique Bayes-Nash equilibrium that resembles a form of probabilistic “mating-of-likes.” Allowing unit-demand bidders to place an arbitrary number of bids induces complex strategy profiles where bidders place positive bids in all available auctions. Higher bidder types tend to follow more targeted strategies, focusing their “serious” bids on fewer and, generally, higher quality auctions. The nature of the bidding equilibria introduces allocative inefficiencies that arise from the lack of coordination in auction selection among bidders. We test our theoretical propositions in a controlled laboratory experiment while also utilizing a domain specific risk score to help assess how the bidders' risk type affects their bidding behavior. In support of our theory we find evidence of a probabilistic assortative matching between bidder and auction types. We also find that low risk type bidders tend to crowd on the highest auction and will pay a premium for the certainty it offers, whereas high risk type bidders fail to appropriately adjust for risk associated with the lowest auction, leading to overbidding. These lead to an interesting focal anomaly whereby bids are concentrated on the highest and lowest auctions, bypassing intermediate auctions. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/7.toc [article] Vertically differentiated simultaneous vickrey auctions : Theory and experimental evidence [texte imprimé] / Ravi Bapna, Auteur ; Chrysanthos Dellarocas, Auteur ; Sarah Rice, Auteur . - 2010 . - pp. 1074-1092. Management Langues : Anglais (eng) in Management science > Vol. 56 N° 7 (Juillet 2010) . - pp. 1074-1092 Mots-clés : Competing  auctions  Simultaneous  auctions  Vertical  differentiation  Reputation  Game  theory  Laboratory  experiment Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We study settings where a number of sellers simultaneously offer vertically differentiated Vickrey auctions for imperfect substitute goods to unit-demand buyers. Vertical differentiation can arise from differences in item quality, item value certainty, seller reliability, or a combination of these factors. We characterize the form of the bidding equilibria and derive expressions for the corresponding allocative efficiency and expected seller revenue. When bidders are restricted to submit at most one bid, our theory predicts the existence of a unique Bayes-Nash equilibrium that resembles a form of probabilistic “mating-of-likes.” Allowing unit-demand bidders to place an arbitrary number of bids induces complex strategy profiles where bidders place positive bids in all available auctions. Higher bidder types tend to follow more targeted strategies, focusing their “serious” bids on fewer and, generally, higher quality auctions. The nature of the bidding equilibria introduces allocative inefficiencies that arise from the lack of coordination in auction selection among bidders. We test our theoretical propositions in a controlled laboratory experiment while also utilizing a domain specific risk score to help assess how the bidders' risk type affects their bidding behavior. In support of our theory we find evidence of a probabilistic assortative matching between bidder and auction types. We also find that low risk type bidders tend to crowd on the highest auction and will pay a premium for the certainty it offers, whereas high risk type bidders fail to appropriately adjust for risk associated with the lowest auction, leading to overbidding. These lead to an interesting focal anomaly whereby bids are concentrated on the highest and lowest auctions, bypassing intermediate auctions. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/7.toc

Staffing call centers with uncertain demand forecasts / Gurvich Itai in Management science, Vol. 56 N° 7 (Juillet 2010) 

Public ISBD [article]  in Management science > Vol. 56 N° 7 (Juillet 2010) . - pp. 1093-1115 Titre : Staffing call centers with uncertain demand forecasts : A chance-constrained optimization approach Type de document : texte imprimé Auteurs : Gurvich Itai, Auteur ; James Luedtke, Auteur ; Tolga Tezcan, Auteur Année de publication : 2010 Article en page(s) : pp. 1093-1115 Note générale : Management Langues : Anglais (eng) Mots-clés : Call  centers  Chance-constrained  optimization  Queueing Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We consider the problem of staffing call centers with multiple customer classes and agent types operating under quality-of-service (QoS) constraints and demand rate uncertainty. We introduce a formulation of the staffing problem that requires that the QoS constraints are met with high probability with respect to the uncertainty in the demand rate. We contrast this chance-constrained formulation with the average-performance constraints that have been used so far in the literature. We then propose a two-step solution for the staffing problem under chance constraints. In the first step, we introduce a random static planning problem (RSPP) and discuss how it can be solved using two different methods. The RSPP provides us with a first-order (or fluid) approximation for the true optimal staffing levels and a staffing frontier. In the second step, we solve a finite number of staffing problems with known arrival rates—the arrival rates on the optimal staffing frontier. Hence, our formulation and solution approach has the important property that it translates the problem with uncertain demand rates to one with known arrival rates. The output of our procedure is a solution that is feasible with respect to the chance constraint and nearly optimal for large call centers. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/7.toc [article] Staffing call centers with uncertain demand forecasts : A chance-constrained optimization approach [texte imprimé] / Gurvich Itai, Auteur ; James Luedtke, Auteur ; Tolga Tezcan, Auteur . - 2010 . - pp. 1093-1115. Management Langues : Anglais (eng) in Management science > Vol. 56 N° 7 (Juillet 2010) . - pp. 1093-1115 Mots-clés : Call  centers  Chance-constrained  optimization  Queueing Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We consider the problem of staffing call centers with multiple customer classes and agent types operating under quality-of-service (QoS) constraints and demand rate uncertainty. We introduce a formulation of the staffing problem that requires that the QoS constraints are met with high probability with respect to the uncertainty in the demand rate. We contrast this chance-constrained formulation with the average-performance constraints that have been used so far in the literature. We then propose a two-step solution for the staffing problem under chance constraints. In the first step, we introduce a random static planning problem (RSPP) and discuss how it can be solved using two different methods. The RSPP provides us with a first-order (or fluid) approximation for the true optimal staffing levels and a staffing frontier. In the second step, we solve a finite number of staffing problems with known arrival rates—the arrival rates on the optimal staffing frontier. Hence, our formulation and solution approach has the important property that it translates the problem with uncertain demand rates to one with known arrival rates. The output of our procedure is a solution that is feasible with respect to the chance constraint and nearly optimal for large call centers. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/7.toc

Workplace peers and entrepreneurship / Ramana Nanda in Management science, Vol. 56 N° 7 (Juillet 2010) 

Public ISBD [article]  in Management science > Vol. 56 N° 7 (Juillet 2010) . - pp. 1116-1126 Titre : Workplace peers and entrepreneurship Type de document : texte imprimé Auteurs : Ramana Nanda, Auteur ; Jesper B. Sørensen, Auteur Année de publication : 2010 Article en page(s) : pp. 1116-1126 Note générale : Management Langues : Anglais (eng) Mots-clés : Entrepreneurship  Peers  Organizational  studies  Personnel Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We examine whether the likelihood of entrepreneurial activity is related to the prior career experiences of an individual's coworkers, using a unique matched employer–employee panel data set. We argue that coworkers can increase the likelihood that an individual will perceive entrepreneurial opportunities as well as increase his or her motivation to pursue those opportunities. We find that an individual is more likely to become an entrepreneur if his or her coworkers have been entrepreneurs before. Peer influences also appear to be substitutes for other sources of entrepreneurial influence: we find that peer influences are strongest for those who have less exposure to entrepreneurship in other aspects of their lives. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/7.toc [article] Workplace peers and entrepreneurship [texte imprimé] / Ramana Nanda, Auteur ; Jesper B. Sørensen, Auteur . - 2010 . - pp. 1116-1126. Management Langues : Anglais (eng) in Management science > Vol. 56 N° 7 (Juillet 2010) . - pp. 1116-1126 Mots-clés : Entrepreneurship  Peers  Organizational  studies  Personnel Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We examine whether the likelihood of entrepreneurial activity is related to the prior career experiences of an individual's coworkers, using a unique matched employer–employee panel data set. We argue that coworkers can increase the likelihood that an individual will perceive entrepreneurial opportunities as well as increase his or her motivation to pursue those opportunities. We find that an individual is more likely to become an entrepreneur if his or her coworkers have been entrepreneurs before. Peer influences also appear to be substitutes for other sources of entrepreneurial influence: we find that peer influences are strongest for those who have less exposure to entrepreneurship in other aspects of their lives. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/7.toc

Efficient structures for innovative social networks / William S. Lovejoy in Management science, Vol. 56 N° 7 (Juillet 2010) 

Public ISBD [article]  in Management science > Vol. 56 N° 7 (Juillet 2010) . - pp. 1127-1145 Titre : Efficient structures for innovative social networks Type de document : texte imprimé Auteurs : William S. Lovejoy, Auteur ; Amitabh Sinha, Auteur Année de publication : 2010 Article en page(s) : pp. 1127-1145 Note générale : Management Langues : Anglais (eng) Mots-clés : Innovation  Ideation  Social  networks Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : What lines of communication among members of an organization are most productive in the early, ideation phase of innovation? We investigate this question with a recombination and selection model of knowledge transfer operating through a social network. We find that ideation is accelerated when people in the organization dynamically churn through a large (ideally the entire population) set of conversational partners over time, which naturally begets short path lengths and eliminates information bottlenecks. Group meetings, in which the content of conversations is available to all for consideration, are another way to learn in parallel and accelerate the ideation process, although for complex problems they may not offer significant advantages over the best decentralized networks. The idealized core-periphery graphs emerge as an important family on the time–cost efficient frontier. New sociometrics for the analyses of innovation processes emerge from this investigation. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/7.toc [article] Efficient structures for innovative social networks [texte imprimé] / William S. Lovejoy, Auteur ; Amitabh Sinha, Auteur . - 2010 . - pp. 1127-1145. Management Langues : Anglais (eng) in Management science > Vol. 56 N° 7 (Juillet 2010) . - pp. 1127-1145 Mots-clés : Innovation  Ideation  Social  networks Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : What lines of communication among members of an organization are most productive in the early, ideation phase of innovation? We investigate this question with a recombination and selection model of knowledge transfer operating through a social network. We find that ideation is accelerated when people in the organization dynamically churn through a large (ideally the entire population) set of conversational partners over time, which naturally begets short path lengths and eliminates information bottlenecks. Group meetings, in which the content of conversations is available to all for consideration, are another way to learn in parallel and accelerate the ideation process, although for complex problems they may not offer significant advantages over the best decentralized networks. The idealized core-periphery graphs emerge as an important family on the time–cost efficient frontier. New sociometrics for the analyses of innovation processes emerge from this investigation. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/7.toc

Detecting management fraud in public companies / Mark Cecchini in Management science, Vol. 56 N° 7 (Juillet 2010) 

Public ISBD [article]  in Management science > Vol. 56 N° 7 (Juillet 2010) . - pp. 1146-1160 Titre : Detecting management fraud in public companies Type de document : texte imprimé Auteurs : Mark Cecchini, Auteur ; Haldun Aytug, Auteur ; Gary J. Koehler, Auteur Année de publication : 2010 Article en page(s) : pp. 1146-1160 Note générale : Management Langues : Anglais (eng) Mots-clés : Management  fraud  Classification  Support  vector  machines  Financial  event  detection  Kernel  methods Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : This paper provides a methodology for detecting management fraud using basic financial data. The methodology is based on support vector machines. An important aspect therein is a kernel that increases the power of the learning machine by allowing an implicit and generally nonlinear mapping of points, usually into a higher dimensional feature space. A kernel specific to the domain of finance is developed. This financial kernel constructs features shown in prior research to be helpful in detecting management fraud. A large empirical data set was collected, which included quantitative financial attributes for fraudulent and nonfraudulent public companies. Support vector machines using the financial kernel correctly labeled 80% of the fraudulent cases and 90.6% of the nonfraudulent cases on a holdout set. Furthermore, we replicate other leading fraud research studies using our data and find that our method has the highest accuracy on fraudulent cases and competitive accuracy on nonfraudulent cases. The results validate the financial kernel together with support vector machines as a useful method for discriminating between fraudulent and nonfraudulent companies using only publicly available quantitative financial attributes. The results also show that the methodology has predictive value because, using only historical data, it was able to distinguish fraudulent from nonfraudulent companies in subsequent years. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/7.toc [article] Detecting management fraud in public companies [texte imprimé] / Mark Cecchini, Auteur ; Haldun Aytug, Auteur ; Gary J. Koehler, Auteur . - 2010 . - pp. 1146-1160. Management Langues : Anglais (eng) in Management science > Vol. 56 N° 7 (Juillet 2010) . - pp. 1146-1160 Mots-clés : Management  fraud  Classification  Support  vector  machines  Financial  event  detection  Kernel  methods Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : This paper provides a methodology for detecting management fraud using basic financial data. The methodology is based on support vector machines. An important aspect therein is a kernel that increases the power of the learning machine by allowing an implicit and generally nonlinear mapping of points, usually into a higher dimensional feature space. A kernel specific to the domain of finance is developed. This financial kernel constructs features shown in prior research to be helpful in detecting management fraud. A large empirical data set was collected, which included quantitative financial attributes for fraudulent and nonfraudulent public companies. Support vector machines using the financial kernel correctly labeled 80% of the fraudulent cases and 90.6% of the nonfraudulent cases on a holdout set. Furthermore, we replicate other leading fraud research studies using our data and find that our method has the highest accuracy on fraudulent cases and competitive accuracy on nonfraudulent cases. The results validate the financial kernel together with support vector machines as a useful method for discriminating between fraudulent and nonfraudulent companies using only publicly available quantitative financial attributes. The results also show that the methodology has predictive value because, using only historical data, it was able to distinguish fraudulent from nonfraudulent companies in subsequent years. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/7.toc

Why are bad products so hard to kill? / Duncan Simester in Management science, Vol. 56 N° 7 (Juillet 2010) 

Public ISBD [article]  in Management science > Vol. 56 N° 7 (Juillet 2010) . - pp. 1161-1179 Titre : Why are bad products so hard to kill? Type de document : texte imprimé Auteurs : Duncan Simester, Auteur ; Juanjuan Zhang, Auteur Année de publication : 2010 Article en page(s) : pp. 1161-1179 Note générale : Management Langues : Anglais (eng) Mots-clés : Product  development  Managerial  incentives  Moral  hazard  Adverse  selection  Information  acquisition Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : It is puzzling that firms often continue to invest in product development projects when they should know that demand will be low. We argue that bad products are hard to kill because firms face an inherent conflict when designing managers' incentives. Rewarding success encourages managers to forge ahead even when demand is low. To avoid investing in low-demand products, the firm must also reward decisions to kill products. However, rewarding managers for killing products effectively undermines the rewards for success. The inability to resolve this tension forces the firm to choose between paying an even larger bonus for success and accepting continued investment in low-demand products. We explore the boundaries of this argument by analyzing how the timing of demand information affects product investment decisions. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/7.toc [article] Why are bad products so hard to kill? [texte imprimé] / Duncan Simester, Auteur ; Juanjuan Zhang, Auteur . - 2010 . - pp. 1161-1179. Management Langues : Anglais (eng) in Management science > Vol. 56 N° 7 (Juillet 2010) . - pp. 1161-1179 Mots-clés : Product  development  Managerial  incentives  Moral  hazard  Adverse  selection  Information  acquisition Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : It is puzzling that firms often continue to invest in product development projects when they should know that demand will be low. We argue that bad products are hard to kill because firms face an inherent conflict when designing managers' incentives. Rewarding success encourages managers to forge ahead even when demand is low. To avoid investing in low-demand products, the firm must also reward decisions to kill products. However, rewarding managers for killing products effectively undermines the rewards for success. The inability to resolve this tension forces the firm to choose between paying an even larger bonus for success and accepting continued investment in low-demand products. We explore the boundaries of this argument by analyzing how the timing of demand information affects product investment decisions. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/7.toc

Structural estimation of the effect of out-of-stocks / Andrés Musalem in Management science, Vol. 56 N° 7 (Juillet 2010) 

Public ISBD [article]  in Management science > Vol. 56 N° 7 (Juillet 2010) . - pp. 1180-1197 Titre : Structural estimation of the effect of out-of-stocks Type de document : texte imprimé Auteurs : Andrés Musalem, Auteur ; Marcelo Olivares, Auteur ; Eric T. Bradlow, Auteur Année de publication : 2010 Article en page(s) : pp. 1180-1197 Note générale : Management Langues : Anglais (eng) Mots-clés : Aggregate  demand  estimation  Bayesian  methods  Choice  models  Data  augmentation  Inventory  management  Out-of-stocks  Retailing Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We develop a structural demand model that endogenously captures the effect of out-of-stocks on customer choice by simulating a time-varying set of available alternatives. Our estimation method uses store-level data on sales and partial information on product availability. Our model allows for flexible substitution patterns, which are based on utility maximization principles and can accommodate categorical and continuous product characteristics. The methodology can be applied to data from multiple markets and in categories with a relatively large number of alternatives, slow-moving products, and frequent out-of-stocks (unlike many existing approaches). In addition, we illustrate how the model can be used to assist the decisions of a store manager in two ways. First, we show how to quantify the lost sales induced by out-of-stock products. Second, we provide insights on the financial consequences of out-of-stocks and suggest price promotion policies that can be used to help mitigate their negative economic impact, which run counter to simple commonly used heuristics. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/7.toc [article] Structural estimation of the effect of out-of-stocks [texte imprimé] / Andrés Musalem, Auteur ; Marcelo Olivares, Auteur ; Eric T. Bradlow, Auteur . - 2010 . - pp. 1180-1197. Management Langues : Anglais (eng) in Management science > Vol. 56 N° 7 (Juillet 2010) . - pp. 1180-1197 Mots-clés : Aggregate  demand  estimation  Bayesian  methods  Choice  models  Data  augmentation  Inventory  management  Out-of-stocks  Retailing Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We develop a structural demand model that endogenously captures the effect of out-of-stocks on customer choice by simulating a time-varying set of available alternatives. Our estimation method uses store-level data on sales and partial information on product availability. Our model allows for flexible substitution patterns, which are based on utility maximization principles and can accommodate categorical and continuous product characteristics. The methodology can be applied to data from multiple markets and in categories with a relatively large number of alternatives, slow-moving products, and frequent out-of-stocks (unlike many existing approaches). In addition, we illustrate how the model can be used to assist the decisions of a store manager in two ways. First, we show how to quantify the lost sales induced by out-of-stock products. Second, we provide insights on the financial consequences of out-of-stocks and suggest price promotion policies that can be used to help mitigate their negative economic impact, which run counter to simple commonly used heuristics. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/7.toc

Is regime switching in stock returns important in portfolio decisions? / Jun Tu in Management science, Vol. 56 N° 7 (Juillet 2010) 

Public ISBD [article]  in Management science > Vol. 56 N° 7 (Juillet 2010) . - pp. 1198-1215 Titre : Is regime switching in stock returns important in portfolio decisions? Type de document : texte imprimé Auteurs : Jun Tu, Auteur Année de publication : 2010 Article en page(s) : pp. 1198-1215 Note générale : Management Langues : Anglais (eng) Mots-clés : Investments  Regime  switching  Model  uncertainty  Parameter  uncertainty  Bayesian  analysis Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : The stock market displays regime switching between upturns and downturns. This paper provides a Bayesian framework for making portfolio decisions that takes this regime switching into account, together with asset pricing model uncertainty and parameter uncertainty. The findings reveal that the economic value of accounting for regimes is substantially independent of whether or not model and parameter uncertainties are incorporated: the certainty-equivalent losses associated with ignoring regime switching are generally above 2% per year and can be as high as 10%. These results suggest that the more realistic regime switching model is fundamentally different from the commonly used single-state model, and hence should be employed instead in portfolio decisions irrespective of concerns about model or parameter uncertainty. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/7.toc [article] Is regime switching in stock returns important in portfolio decisions? [texte imprimé] / Jun Tu, Auteur . - 2010 . - pp. 1198-1215. Management Langues : Anglais (eng) in Management science > Vol. 56 N° 7 (Juillet 2010) . - pp. 1198-1215 Mots-clés : Investments  Regime  switching  Model  uncertainty  Parameter  uncertainty  Bayesian  analysis Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : The stock market displays regime switching between upturns and downturns. This paper provides a Bayesian framework for making portfolio decisions that takes this regime switching into account, together with asset pricing model uncertainty and parameter uncertainty. The findings reveal that the economic value of accounting for regimes is substantially independent of whether or not model and parameter uncertainties are incorporated: the certainty-equivalent losses associated with ignoring regime switching are generally above 2% per year and can be as high as 10%. These results suggest that the more realistic regime switching model is fundamentally different from the commonly used single-state model, and hence should be employed instead in portfolio decisions irrespective of concerns about model or parameter uncertainty. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/7.toc

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