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Ajouter le résultat dans votre panierGoing, going, gone? the apparent demise of the accruals anomaly / Jeremiah Green in Management science, Vol. 57 N° 5 (Mai 2011)
in Management science > Vol. 57 N° 5 (Mai 2011) . - pp. 797-816
Titre : Going, going, gone? the apparent demise of the accruals anomaly Type de document : texte imprimé Auteurs : Jeremiah Green, Auteur ; John R. M. Hand, Auteur ; Mark T. Soliman, Auteur Année de publication : 2011 Article en page(s) : pp. 797-816 Note générale : Management Langues : Anglais (eng) Mots-clés : Accruals anomaly Market efficiency Hedge funds Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : Consistent with public statements made by sophisticated practitioners, we document that the hedge returns to Sloan's (Sloan, R. G. 1996. Do stock prices fully reflect information in accruals and cash flows about future earnings? Accounting Rev. 71(3) 289–315) accruals anomaly appear to have decayed in U.S. stock markets to the point that they are, on average, no longer reliably positive. We explore some potential reasons why this has happened. Our empirical analyses suggest that the anomaly's demise stems in part from an increase in the amount of capital invested by hedge funds into exploiting it, as measured by hedge fund assets under management and trading volume in extreme accrual firms. A decline in the size of the accrual mispricing signal, as measured by the magnitude of extreme decile accruals and the relative persistence of cash flows and accruals, may also play a (weaker) role. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/57/5/797 [article] Going, going, gone? the apparent demise of the accruals anomaly [texte imprimé] / Jeremiah Green, Auteur ; John R. M. Hand, Auteur ; Mark T. Soliman, Auteur . - 2011 . - pp. 797-816.
Management
Langues : Anglais (eng)
in Management science > Vol. 57 N° 5 (Mai 2011) . - pp. 797-816
Mots-clés : Accruals anomaly Market efficiency Hedge funds Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : Consistent with public statements made by sophisticated practitioners, we document that the hedge returns to Sloan's (Sloan, R. G. 1996. Do stock prices fully reflect information in accruals and cash flows about future earnings? Accounting Rev. 71(3) 289–315) accruals anomaly appear to have decayed in U.S. stock markets to the point that they are, on average, no longer reliably positive. We explore some potential reasons why this has happened. Our empirical analyses suggest that the anomaly's demise stems in part from an increase in the amount of capital invested by hedge funds into exploiting it, as measured by hedge fund assets under management and trading volume in extreme accrual firms. A decline in the size of the accrual mispricing signal, as measured by the magnitude of extreme decile accruals and the relative persistence of cash flows and accruals, may also play a (weaker) role. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/57/5/797
in Management science > Vol. 57 N° 5 (Mai 2011) . - pp. 817-827
Titre : Can losing lead to winning? Type de document : texte imprimé Auteurs : Jonah Berger, Auteur ; Devin Pope, Auteur Année de publication : 2011 Article en page(s) : pp. 817-827 Note générale : Management Langues : Anglais (eng) Mots-clés : Competition Motivation Performance Prospect theory Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : Individuals, groups, and teams who are behind their opponents in competition tend to be more likely to lose. In contrast, we show that through increasing motivation, being slightly behind can actually increase success. Analysis of more than 18,000 professional basketball games illustrates that being slightly behind at halftime leads to a discontinuous increase in winning percentage. Teams behind by a point at halftime, for example, actually win more often than teams ahead by one, or approximately six percentage points more often than expected. This psychological effect is roughly half the size of the proverbial home-team advantage. Analysis of more than 45,000 collegiate basketball games finds consistent, though smaller, results. Experiments corroborate the field data and generalize their findings, providing direct causal evidence that being slightly behind increases effort and casting doubt on alternative explanations for the results. Taken together, these findings illustrate that losing can sometimes lead to winning. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/57/5/817 [article] Can losing lead to winning? [texte imprimé] / Jonah Berger, Auteur ; Devin Pope, Auteur . - 2011 . - pp. 817-827.
Management
Langues : Anglais (eng)
in Management science > Vol. 57 N° 5 (Mai 2011) . - pp. 817-827
Mots-clés : Competition Motivation Performance Prospect theory Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : Individuals, groups, and teams who are behind their opponents in competition tend to be more likely to lose. In contrast, we show that through increasing motivation, being slightly behind can actually increase success. Analysis of more than 18,000 professional basketball games illustrates that being slightly behind at halftime leads to a discontinuous increase in winning percentage. Teams behind by a point at halftime, for example, actually win more often than teams ahead by one, or approximately six percentage points more often than expected. This psychological effect is roughly half the size of the proverbial home-team advantage. Analysis of more than 45,000 collegiate basketball games finds consistent, though smaller, results. Experiments corroborate the field data and generalize their findings, providing direct causal evidence that being slightly behind increases effort and casting doubt on alternative explanations for the results. Taken together, these findings illustrate that losing can sometimes lead to winning. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/57/5/817
in Management science > Vol. 57 N° 5 (Mai 2011) . - pp. 828-842
Titre : How does popularity information affect choices? : A field experiment Type de document : texte imprimé Auteurs : Catherine Tucker, Auteur ; Juanjuan Zhang, Auteur Année de publication : 2011 Article en page(s) : pp. 828-842 Note générale : Management Langues : Anglais (eng) Mots-clés : Popularity information Observational learning Field experiment Internet marketing Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : Popularity information is usually thought to reinforce existing sales trends by encouraging customers to flock to mainstream products with broad appeal. We suggest a countervailing market force: popularity information may benefit niche products with narrow appeal disproportionately, because the same level of popularity implies higher quality for narrow-appeal products than for broad-appeal products. We examine this hypothesis empirically using field experiment data from a website that lists wedding service vendors. Our findings are consistent with this hypothesis: narrow-appeal vendors receive more visits than equally popular broad-appeal vendors after the introduction of popularity information. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/57/5/828 [article] How does popularity information affect choices? : A field experiment [texte imprimé] / Catherine Tucker, Auteur ; Juanjuan Zhang, Auteur . - 2011 . - pp. 828-842.
Management
Langues : Anglais (eng)
in Management science > Vol. 57 N° 5 (Mai 2011) . - pp. 828-842
Mots-clés : Popularity information Observational learning Field experiment Internet marketing Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : Popularity information is usually thought to reinforce existing sales trends by encouraging customers to flock to mainstream products with broad appeal. We suggest a countervailing market force: popularity information may benefit niche products with narrow appeal disproportionately, because the same level of popularity implies higher quality for narrow-appeal products than for broad-appeal products. We examine this hypothesis empirically using field experiment data from a website that lists wedding service vendors. Our findings are consistent with this hypothesis: narrow-appeal vendors receive more visits than equally popular broad-appeal vendors after the introduction of popularity information. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/57/5/828
in Management science > Vol. 57 N° 5 (Mai 2011) . - pp. 843-863
Titre : Incentives and problem uncertainty in innovation contests : An empirical analysis Type de document : texte imprimé Auteurs : Kevin J. Boudreau, Auteur ; Nicola Lacetera, Auteur ; Karim R. Lakhani, Auteur Année de publication : 2011 Article en page(s) : pp. 843-863 Note générale : Management Langues : Anglais (eng) Mots-clés : Innovation contests Uncertainty Innovation Problem solving Tournaments Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : Contests are a historically important and increasingly popular mechanism for encouraging innovation. A central concern in designing innovation contests is how many competitors to admit. Using a unique data set of 9,661 software contests, we provide evidence of two coexisting and opposing forces that operate when the number of competitors increases. Greater rivalry reduces the incentives of all competitors in a contest to exert effort and make investments. At the same time, adding competitors increases the likelihood that at least one competitor will find an extreme-value solution. We show that the effort-reducing effect of greater rivalry dominates for less uncertain problems, whereas the effect on the extreme value prevails for more uncertain problems. Adding competitors thus systematically increases overall contest performance for high-uncertainty problems. We also find that higher uncertainty reduces the negative effect of added competitors on incentives. Thus, uncertainty and the nature of the problem should be explicitly considered in the design of innovation tournaments. We explore the implications of our findings for the theory and practice of innovation contests. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/57/5/843 [article] Incentives and problem uncertainty in innovation contests : An empirical analysis [texte imprimé] / Kevin J. Boudreau, Auteur ; Nicola Lacetera, Auteur ; Karim R. Lakhani, Auteur . - 2011 . - pp. 843-863.
Management
Langues : Anglais (eng)
in Management science > Vol. 57 N° 5 (Mai 2011) . - pp. 843-863
Mots-clés : Innovation contests Uncertainty Innovation Problem solving Tournaments Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : Contests are a historically important and increasingly popular mechanism for encouraging innovation. A central concern in designing innovation contests is how many competitors to admit. Using a unique data set of 9,661 software contests, we provide evidence of two coexisting and opposing forces that operate when the number of competitors increases. Greater rivalry reduces the incentives of all competitors in a contest to exert effort and make investments. At the same time, adding competitors increases the likelihood that at least one competitor will find an extreme-value solution. We show that the effort-reducing effect of greater rivalry dominates for less uncertain problems, whereas the effect on the extreme value prevails for more uncertain problems. Adding competitors thus systematically increases overall contest performance for high-uncertainty problems. We also find that higher uncertainty reduces the negative effect of added competitors on incentives. Thus, uncertainty and the nature of the problem should be explicitly considered in the design of innovation tournaments. We explore the implications of our findings for the theory and practice of innovation contests. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/57/5/843
in Management science > Vol. 57 N° 5 (Mai 2011) . - pp. 864-883
Titre : Designing multiperson tournaments with asymmetric contestants : An experimental study Type de document : texte imprimé Auteurs : Hua Chen, Auteur ; Sung H. Ham, Auteur ; Noah Lim, Auteur Année de publication : 2011 Article en page(s) : pp. 864-883 Note générale : Management Langues : Anglais (eng) Mots-clés : Tournaments Compensation Sales management Experimental economics Behavioral economics Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : Is the right amount of effort exerted in multiperson tournaments where contestants have two different levels of initial endowments (termed "favorites" and "underdogs")? We develop theoretical predictions for the level of effort and the effect of varying the prize structure. We test these predictions for three-person tournaments using an economic experiment in a social environment where contest outcomes are publicly announced. We find that both favorites and underdogs overexert effort relative to the theoretical point predictions. Moreover, in the treatment with two favorites and one underdog, favorites increase their effort when the number of prizes is increased from one to two, contrary to the theory prediction. We show that a generalized model that allows for psychological losses from losing for favorites and psychological gains from winning for underdogs because of social comparisons tracks the experimental results better than the standard theoretical model. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/57/5/864 [article] Designing multiperson tournaments with asymmetric contestants : An experimental study [texte imprimé] / Hua Chen, Auteur ; Sung H. Ham, Auteur ; Noah Lim, Auteur . - 2011 . - pp. 864-883.
Management
Langues : Anglais (eng)
in Management science > Vol. 57 N° 5 (Mai 2011) . - pp. 864-883
Mots-clés : Tournaments Compensation Sales management Experimental economics Behavioral economics Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : Is the right amount of effort exerted in multiperson tournaments where contestants have two different levels of initial endowments (termed "favorites" and "underdogs")? We develop theoretical predictions for the level of effort and the effect of varying the prize structure. We test these predictions for three-person tournaments using an economic experiment in a social environment where contest outcomes are publicly announced. We find that both favorites and underdogs overexert effort relative to the theoretical point predictions. Moreover, in the treatment with two favorites and one underdog, favorites increase their effort when the number of prizes is increased from one to two, contrary to the theory prediction. We show that a generalized model that allows for psychological losses from losing for favorites and psychological gains from winning for underdogs because of social comparisons tracks the experimental results better than the standard theoretical model. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/57/5/864
in Management science > Vol. 57 N° 5 (Mai 2011) . - pp. 884-896
Titre : Overconfidence by bayesian-rational agents Type de document : texte imprimé Auteurs : Eric Van den Steen, Auteur Année de publication : 2011 Article en page(s) : pp. 884-896 Note générale : Management Langues : Anglais (eng) Mots-clés : Overconfidence Decision analysis Risk Bayesian updating Differing priors Heterogeneous priors Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : his paper derives two mechanisms through which Bayesian-rational individuals with differing priors will tend to be relatively overconfident about their estimates and predictions, in the sense of overestimating the precision of these estimates. The intuition behind one mechanism is slightly ironic: In trying to update optimally, Bayesian agents overweight information of which they overestimate the precision and underweight in the opposite case. This causes overall an overestimation of the precision of the final estimate, which tends to increase as agents get more data. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/57/5/884 [article] Overconfidence by bayesian-rational agents [texte imprimé] / Eric Van den Steen, Auteur . - 2011 . - pp. 884-896.
Management
Langues : Anglais (eng)
in Management science > Vol. 57 N° 5 (Mai 2011) . - pp. 884-896
Mots-clés : Overconfidence Decision analysis Risk Bayesian updating Differing priors Heterogeneous priors Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : his paper derives two mechanisms through which Bayesian-rational individuals with differing priors will tend to be relatively overconfident about their estimates and predictions, in the sense of overestimating the precision of these estimates. The intuition behind one mechanism is slightly ironic: In trying to update optimally, Bayesian agents overweight information of which they overestimate the precision and underweight in the opposite case. This causes overall an overestimation of the precision of the final estimate, which tends to increase as agents get more data. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/57/5/884
in Management science > Vol. 57 N° 5 (Mai 2011) . - pp. 897-914
Titre : Retail channel structure impact on strategic engineering product design Type de document : texte imprimé Auteurs : Nathan Williams, Auteur ; P. K. Kannan, Auteur ; Shapour Azarm, Auteur Année de publication : 2011 Article en page(s) : pp. 897-914 Note générale : Management Langues : Anglais (eng) Mots-clés : New product design Engineering design Research and development Retail channels Marketing Game theory Genetic algorithms Latent class models Structural models Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We examine, in a strategic setting, the broad issue of how retail channel structures—retail monopoly versus retail duopoly—impact a manufacturer's optimal new product design, both in terms of engineering design specifications as well as manufacturer and retailer profits. Our strategic framework enables manufacturers in specific contexts to anticipate the reactions of the retailers and competitive manufacturers to new designs in terms of the retail and wholesale pricing and to understand how different channel structures and channel strategies (such as an exclusive channel strategy) impact the engineering design of the new product, conditional on consumer preference distributions and competitor product attributes. Based on a simple numerical and a power tool design example, we illustrate how the insight from the framework translates to design guidelines; specifically, understanding which designs are optimal under differing channel structure conditions, and which design variables need precise targeting given their profit sensitivity. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/57/5/897 [article] Retail channel structure impact on strategic engineering product design [texte imprimé] / Nathan Williams, Auteur ; P. K. Kannan, Auteur ; Shapour Azarm, Auteur . - 2011 . - pp. 897-914.
Management
Langues : Anglais (eng)
in Management science > Vol. 57 N° 5 (Mai 2011) . - pp. 897-914
Mots-clés : New product design Engineering design Research and development Retail channels Marketing Game theory Genetic algorithms Latent class models Structural models Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We examine, in a strategic setting, the broad issue of how retail channel structures—retail monopoly versus retail duopoly—impact a manufacturer's optimal new product design, both in terms of engineering design specifications as well as manufacturer and retailer profits. Our strategic framework enables manufacturers in specific contexts to anticipate the reactions of the retailers and competitive manufacturers to new designs in terms of the retail and wholesale pricing and to understand how different channel structures and channel strategies (such as an exclusive channel strategy) impact the engineering design of the new product, conditional on consumer preference distributions and competitor product attributes. Based on a simple numerical and a power tool design example, we illustrate how the insight from the framework translates to design guidelines; specifically, understanding which designs are optimal under differing channel structure conditions, and which design variables need precise targeting given their profit sensitivity. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/57/5/897
in Management science > Vol. 57 N° 5 (Mai 2011) . - pp. 915-933
Titre : Entry and patenting in the software industry Type de document : texte imprimé Auteurs : Iain M. Cockburn, Auteur ; Megan J. MacGarvie, Auteur Année de publication : 2011 Article en page(s) : pp. 915-933 Note générale : Management Langues : Anglais (eng) Mots-clés : Innovation Intellectual property rights Software patents Entry Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : To what extent are firms kept out of a market by patents covering related technologies? Do patents held by potential entrants make it easier to enter markets? We estimate the empirical relationship between market entry and patents for 27 narrowly defined categories of software products during the period 1990–2004. Controlling for demand, market structure, average patent quality, and other factors, we find that a 10% increase in the number of patents relevant to market reduces the rate of entry by 3%–8%, and this relationship intensified following expansions in the patentability of software in the mid-1990s. However, potential entrants with patent applications relevant to a market are more likely to enter it. Finally, patents appear to substitute for complementary assets in the entry process, because patents have both greater entry-deterring and entry-promoting effects for firms without prior experience in other markets. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/57/5/915 [article] Entry and patenting in the software industry [texte imprimé] / Iain M. Cockburn, Auteur ; Megan J. MacGarvie, Auteur . - 2011 . - pp. 915-933.
Management
Langues : Anglais (eng)
in Management science > Vol. 57 N° 5 (Mai 2011) . - pp. 915-933
Mots-clés : Innovation Intellectual property rights Software patents Entry Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : To what extent are firms kept out of a market by patents covering related technologies? Do patents held by potential entrants make it easier to enter markets? We estimate the empirical relationship between market entry and patents for 27 narrowly defined categories of software products during the period 1990–2004. Controlling for demand, market structure, average patent quality, and other factors, we find that a 10% increase in the number of patents relevant to market reduces the rate of entry by 3%–8%, and this relationship intensified following expansions in the patentability of software in the mid-1990s. However, potential entrants with patent applications relevant to a market are more likely to enter it. Finally, patents appear to substitute for complementary assets in the entry process, because patents have both greater entry-deterring and entry-promoting effects for firms without prior experience in other markets. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/57/5/915
in Management science > Vol. 57 N° 5 (Mai 2011) . - pp. 934-959
Titre : Who should be responsible for software security? : A comparative analysis of liability policies in network environments Type de document : texte imprimé Auteurs : Terrence August, Auteur ; Tunay I. Tunca, Auteur Année de publication : 2011 Article en page(s) : pp. 934-959 Note générale : Management Langues : Anglais (eng) Mots-clés : IT policy and management Economics of IS Network economics Enabling technologies Software Liability Zero-day Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : In recent years, vendor liability for software security vulnerabilities has been the center of an important debate in the software community and a topic gaining government attention in legislative committees and hearings. The importance of this question surrounding vendor security liability is amplified when one considers the increasing emergence of zero-day attacks where hackers take advantage of vulnerabilities before the software vendor has a chance to release protective patches. In this paper, we compare the effectiveness of three software liability policies: vendor liability for damages, vendor liability for patching costs, and government imposed security standards. We find that vendor liability for losses is not effective in improving social welfare in the short run, while liability for patching costs can be effective if either patching costs are large and the likelihood of a zero-day attack is low, or patching costs are small and zero-day likelihood is high. In the long run, when the vendor can invest in reducing the likelihood of security vulnerabilities, loss liability is still ineffective when the zero-day attack probability is high but can increase both vendor investment in security and social welfare when zero-day attack likelihood is sufficiently low. When the zero-day attack probability is high, patch liability is ineffective if user patching costs are large, but partial patch liability can boost vendor investment and improve welfare when patching costs are small. In contrast, in an environment with low zero-day attack probability, full vendor patch liability can be optimal. Finally, comparing the effectiveness of the three liability policies under study, we find that government imposed standards on software security investment can be preferable to both patching and loss liability on the vendor, if zero-day attack likelihood is sufficiently low. However, if zero-day attacks are a common occurrence and patching costs are not too high, partial patch liability is the most effective policy. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/57/5/934 [article] Who should be responsible for software security? : A comparative analysis of liability policies in network environments [texte imprimé] / Terrence August, Auteur ; Tunay I. Tunca, Auteur . - 2011 . - pp. 934-959.
Management
Langues : Anglais (eng)
in Management science > Vol. 57 N° 5 (Mai 2011) . - pp. 934-959
Mots-clés : IT policy and management Economics of IS Network economics Enabling technologies Software Liability Zero-day Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : In recent years, vendor liability for software security vulnerabilities has been the center of an important debate in the software community and a topic gaining government attention in legislative committees and hearings. The importance of this question surrounding vendor security liability is amplified when one considers the increasing emergence of zero-day attacks where hackers take advantage of vulnerabilities before the software vendor has a chance to release protective patches. In this paper, we compare the effectiveness of three software liability policies: vendor liability for damages, vendor liability for patching costs, and government imposed security standards. We find that vendor liability for losses is not effective in improving social welfare in the short run, while liability for patching costs can be effective if either patching costs are large and the likelihood of a zero-day attack is low, or patching costs are small and zero-day likelihood is high. In the long run, when the vendor can invest in reducing the likelihood of security vulnerabilities, loss liability is still ineffective when the zero-day attack probability is high but can increase both vendor investment in security and social welfare when zero-day attack likelihood is sufficiently low. When the zero-day attack probability is high, patch liability is ineffective if user patching costs are large, but partial patch liability can boost vendor investment and improve welfare when patching costs are small. In contrast, in an environment with low zero-day attack probability, full vendor patch liability can be optimal. Finally, comparing the effectiveness of the three liability policies under study, we find that government imposed standards on software security investment can be preferable to both patching and loss liability on the vendor, if zero-day attack likelihood is sufficiently low. However, if zero-day attacks are a common occurrence and patching costs are not too high, partial patch liability is the most effective policy. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/57/5/934
in Management science > Vol. 57 N° 5 (Mai 2011) . - pp. 960-974
Titre : Monte carlo bounds for game options including convertible bonds Type de document : texte imprimé Auteurs : Christopher Beveridge, Auteur ; Mark Joshi, Auteur Année de publication : 2011 Article en page(s) : pp. 960-974 Note générale : Management Langues : Anglais (eng) Mots-clés : Finance Asset pricing Games-group decisions Stochastic Probability Stochastic model applications Monte carlo simulation Bermudan optionality Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We introduce two new methods to calculate bounds for zero-sum game options using Monte Carlo simulation. These extend and generalize upper-bound duality results to the case where both parties of a contract have Bermudan optionality. It is shown that the primal-dual simulation method can still be used as a generic way to obtain bounds in the extended framework, and we apply the new results to the pricing of convertible bonds by simulation. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/57/5/960 [article] Monte carlo bounds for game options including convertible bonds [texte imprimé] / Christopher Beveridge, Auteur ; Mark Joshi, Auteur . - 2011 . - pp. 960-974.
Management
Langues : Anglais (eng)
in Management science > Vol. 57 N° 5 (Mai 2011) . - pp. 960-974
Mots-clés : Finance Asset pricing Games-group decisions Stochastic Probability Stochastic model applications Monte carlo simulation Bermudan optionality Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We introduce two new methods to calculate bounds for zero-sum game options using Monte Carlo simulation. These extend and generalize upper-bound duality results to the case where both parties of a contract have Bermudan optionality. It is shown that the primal-dual simulation method can still be used as a generic way to obtain bounds in the extended framework, and we apply the new results to the pricing of convertible bonds by simulation. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/57/5/960
in Management science > Vol. 57 N° 5 (Mai 2011) . - pp. 975-987
Titre : Risk preferences at different time periods : An experimental investigation Type de document : texte imprimé Auteurs : Mohammed Abdellaoui, Auteur ; Enrico Diecidue, Auteur ; Ayse Öncüler, Auteur Année de publication : 2011 Article en page(s) : pp. 975-987 Note générale : Management Langues : Anglais (eng) Mots-clés : Time preferences Risk preferences Delayed lotteries Attitude toward risk Utility Decision weights Optimism Sensitivity to probabilities Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : Intertemporal decision making under risk involves two dimensions: time preferences and risk preferences. This paper focuses on the impact of time on risk preferences, independent of the intertemporal trade-off of outcomes, i.e., time preferences. It reports the results of an experimental study that examines how delayed resolution and payment of risky options influence individual choice. We used a simple experimental design based on the comparison of two-outcome monetary lotteries with the same delay. Raw data clearly reveal that subjects become more risk tolerant for delayed lotteries. Assuming a prospect theory–like model under risk, we analyze the impact of time on utility and decision weights, independent of time preferences. We show that the subjective treatment of outcomes (i.e., utility) is not significantly affected by time. In fact, the impact of time is completely absorbed by the probability weighting function. The effect of time on risk preferences was found to generate probabilistic optimism resulting in a higher risk tolerance for delayed lotteries. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/57/5/975 [article] Risk preferences at different time periods : An experimental investigation [texte imprimé] / Mohammed Abdellaoui, Auteur ; Enrico Diecidue, Auteur ; Ayse Öncüler, Auteur . - 2011 . - pp. 975-987.
Management
Langues : Anglais (eng)
in Management science > Vol. 57 N° 5 (Mai 2011) . - pp. 975-987
Mots-clés : Time preferences Risk preferences Delayed lotteries Attitude toward risk Utility Decision weights Optimism Sensitivity to probabilities Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : Intertemporal decision making under risk involves two dimensions: time preferences and risk preferences. This paper focuses on the impact of time on risk preferences, independent of the intertemporal trade-off of outcomes, i.e., time preferences. It reports the results of an experimental study that examines how delayed resolution and payment of risky options influence individual choice. We used a simple experimental design based on the comparison of two-outcome monetary lotteries with the same delay. Raw data clearly reveal that subjects become more risk tolerant for delayed lotteries. Assuming a prospect theory–like model under risk, we analyze the impact of time on utility and decision weights, independent of time preferences. We show that the subjective treatment of outcomes (i.e., utility) is not significantly affected by time. In fact, the impact of time is completely absorbed by the probability weighting function. The effect of time on risk preferences was found to generate probabilistic optimism resulting in a higher risk tolerance for delayed lotteries. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/57/5/975
Exemplaires
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|---|---|---|---|---|---|
| aucun exemplaire | |||||
