Dépouillements

Local religious beliefs and mutual fund risk-taking behaviors / Tao Shu in Management science, Vol. 58 N° 10 (Octobre 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 10 (Octobre 2012) . - pp. 1779-1796 Titre : Local religious beliefs and mutual fund risk-taking behaviors Type de document : texte imprimé Auteurs : Tao Shu, Auteur ; Johan Sulaeman, Auteur ; P. Eric Yeung, Auteur Année de publication : 2012 Article en page(s) : pp. 1779-1796 Note générale : Management Langues : Anglais (eng) Mots-clés : Risk-taking  Mutual  funds  Geographic  location  Religion Résumé : We study the effects of local religious beliefs on mutual fund risk-taking behaviors. Funds located in low-Protestant or high-Catholic areas exhibit significantly higher fund return volatilities. Similar differences persist when we use the religiosity ratios at fund managers' college locations. Risk-taking associated with local religious beliefs manifests in higher portfolio concentrations, higher portfolio turnover, more aggressive interim trading, and more “tournament” risk-shifting behaviors, but not over-weighting risky individual stocks. Overall, our results suggest that local religious beliefs have significant influences on mutual fund behaviors. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/10/1779.abstract [article] Local religious beliefs and mutual fund risk-taking behaviors [texte imprimé] / Tao Shu, Auteur ; Johan Sulaeman, Auteur ; P. Eric Yeung, Auteur . - 2012 . - pp. 1779-1796. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 10 (Octobre 2012) . - pp. 1779-1796 Mots-clés : Risk-taking  Mutual  funds  Geographic  location  Religion Résumé : We study the effects of local religious beliefs on mutual fund risk-taking behaviors. Funds located in low-Protestant or high-Catholic areas exhibit significantly higher fund return volatilities. Similar differences persist when we use the religiosity ratios at fund managers' college locations. Risk-taking associated with local religious beliefs manifests in higher portfolio concentrations, higher portfolio turnover, more aggressive interim trading, and more “tournament” risk-shifting behaviors, but not over-weighting risky individual stocks. Overall, our results suggest that local religious beliefs have significant influences on mutual fund behaviors. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/10/1779.abstract

Corporate strategy, analyst coverage, and the uniqueness paradox / Lubomir P. Litov in Management science, Vol. 58 N° 10 (Octobre 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 10 (Octobre 2012) . - pp. 1797-1815 Titre : Corporate strategy, analyst coverage, and the uniqueness paradox Type de document : texte imprimé Auteurs : Lubomir P. Litov, Auteur ; Patrick Moreton, Auteur ; Todd R. Zenger, Auteur Année de publication : 2012 Article en page(s) : pp. 1797-1815 Note générale : Management Langues : Anglais (eng) Mots-clés : Corporate  strategy  Analyst  coverage  Strategic  uniqueness  Diversification Résumé : In this paper, we argue that managers confront a paradox in selecting strategy. On one hand, capital markets systematically discount uniqueness in the strategy choices of firms. Uniqueness in strategy heightens the cost of collecting and analyzing information to evaluate a firm's future value. These greater costs in strategy evaluation discourage the collection and analysis of information regarding the firm, and result in a valuation discount. On the other hand, uniqueness in strategy is a necessary condition for creating economic rents and should, except for this information cost, be positively associated with firm value. We find empirical support for both propositions using a novel measure of strategy uniqueness in a firm panel data set between 1985 and 2007. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/10/1797.abstract [article] Corporate strategy, analyst coverage, and the uniqueness paradox [texte imprimé] / Lubomir P. Litov, Auteur ; Patrick Moreton, Auteur ; Todd R. Zenger, Auteur . - 2012 . - pp. 1797-1815. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 10 (Octobre 2012) . - pp. 1797-1815 Mots-clés : Corporate  strategy  Analyst  coverage  Strategic  uniqueness  Diversification Résumé : In this paper, we argue that managers confront a paradox in selecting strategy. On one hand, capital markets systematically discount uniqueness in the strategy choices of firms. Uniqueness in strategy heightens the cost of collecting and analyzing information to evaluate a firm's future value. These greater costs in strategy evaluation discourage the collection and analysis of information regarding the firm, and result in a valuation discount. On the other hand, uniqueness in strategy is a necessary condition for creating economic rents and should, except for this information cost, be positively associated with firm value. We find empirical support for both propositions using a novel measure of strategy uniqueness in a firm panel data set between 1985 and 2007. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/10/1797.abstract

Contingent capital with a capital-ratio trigger / Paul Glasserman in Management science, Vol. 58 N° 10 (Octobre 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 10 (Octobre 2012) . - pp. 1816-1833 Titre : Contingent capital with a capital-ratio trigger Type de document : texte imprimé Auteurs : Paul Glasserman, Auteur ; Behzad Nouri, Auteur Année de publication : 2012 Article en page(s) : pp. 1816-1833 Note générale : Management Langues : Anglais (eng) Mots-clés : Probability  Diffusion  Stochastic  model  applications  Finance  Asset  pricing Résumé : Contingent capital in the form of debt that converts to equity when a bank faces financial distress has been proposed as a mechanism to enhance financial stability and avoid costly government rescues. Specific proposals vary in their choice of conversion trigger and conversion mechanism. We analyze the case of contingent capital with a capital-ratio trigger and partial and ongoing conversion. The capital ratio we use is based on accounting or book values to approximate the regulatory ratios that determine capital requirements for banks. The conversion process is partial and ongoing in the sense that each time a bank's capital ratio reaches the minimum threshold, just enough debt is converted to equity to meet the capital requirement, so long as the contingent capital has not been depleted. We derive closed-form expressions for the market value of such securities when the firm's asset value is modeled as geometric Brownian motion, and from these we get formulas for the fair yield spread on the convertible debt. A key step in the analysis is an explicit expression for the fraction of equity held by the original shareholders and the fraction held by converted investors in the contingent capital. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/10/1816.abstract [article] Contingent capital with a capital-ratio trigger [texte imprimé] / Paul Glasserman, Auteur ; Behzad Nouri, Auteur . - 2012 . - pp. 1816-1833. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 10 (Octobre 2012) . - pp. 1816-1833 Mots-clés : Probability  Diffusion  Stochastic  model  applications  Finance  Asset  pricing Résumé : Contingent capital in the form of debt that converts to equity when a bank faces financial distress has been proposed as a mechanism to enhance financial stability and avoid costly government rescues. Specific proposals vary in their choice of conversion trigger and conversion mechanism. We analyze the case of contingent capital with a capital-ratio trigger and partial and ongoing conversion. The capital ratio we use is based on accounting or book values to approximate the regulatory ratios that determine capital requirements for banks. The conversion process is partial and ongoing in the sense that each time a bank's capital ratio reaches the minimum threshold, just enough debt is converted to equity to meet the capital requirement, so long as the contingent capital has not been depleted. We derive closed-form expressions for the market value of such securities when the firm's asset value is modeled as geometric Brownian motion, and from these we get formulas for the fair yield spread on the convertible debt. A key step in the analysis is an explicit expression for the fraction of equity held by the original shareholders and the fraction held by converted investors in the contingent capital. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/10/1816.abstract

Dividend smoothing and predictability / Long Chen in Management science, Vol. 58 N° 10 (Octobre 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 10 (Octobre 2012) . - pp. 1834-1853 Titre : Dividend smoothing and predictability Type de document : texte imprimé Auteurs : Long Chen, Auteur ; Zhi Da, Auteur ; Richard Priestley, Auteur Année de publication : 2012 Article en page(s) : pp. 1834-1853 Note générale : Management Langues : Anglais (eng) Mots-clés : Dividend-price  ratio  Earning-price  ratio  Dividend  growth  Earnings  growth  Return  Predictability  Dividend  smoothing Résumé : The relative predictability of returns and dividends is a central issue because it forms the paradigm to interpret asset price variation. A little studied question is how dividend smoothing, as a choice of corporate policy, affects predictability. We show that even if dividends are supposed to be predictable without smoothing, dividend smoothing can bury this predictability. Because aggregate dividends are dramatically more smoothed in the postwar period than before, the lack of dividend growth predictability in the postwar period does not necessarily mean that there is no cash flow news in stock price variations; rather, a more plausible interpretation is that dividends are smoothed. Using two alternative measures that are less subject to dividend smoothing—net payout and earnings—we reach the consistent conclusion that cash flow news plays a more important role than discount rate news in price variations in the postwar period. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/10/1834.abstract [article] Dividend smoothing and predictability [texte imprimé] / Long Chen, Auteur ; Zhi Da, Auteur ; Richard Priestley, Auteur . - 2012 . - pp. 1834-1853. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 10 (Octobre 2012) . - pp. 1834-1853 Mots-clés : Dividend-price  ratio  Earning-price  ratio  Dividend  growth  Earnings  growth  Return  Predictability  Dividend  smoothing Résumé : The relative predictability of returns and dividends is a central issue because it forms the paradigm to interpret asset price variation. A little studied question is how dividend smoothing, as a choice of corporate policy, affects predictability. We show that even if dividends are supposed to be predictable without smoothing, dividend smoothing can bury this predictability. Because aggregate dividends are dramatically more smoothed in the postwar period than before, the lack of dividend growth predictability in the postwar period does not necessarily mean that there is no cash flow news in stock price variations; rather, a more plausible interpretation is that dividends are smoothed. Using two alternative measures that are less subject to dividend smoothing—net payout and earnings—we reach the consistent conclusion that cash flow news plays a more important role than discount rate news in price variations in the postwar period. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/10/1834.abstract

Large-scale service marketplaces / Gad Allon in Management science, Vol. 58 N° 10 (Octobre 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 10 (Octobre 2012) . - pp. 1854-1872 Titre : Large-scale service marketplaces : The role of the moderating firm Type de document : texte imprimé Auteurs : Gad Allon, Auteur ; Achal Bassamboo, Auteur ; Eren B. Çil, Auteur Année de publication : 2012 Article en page(s) : pp. 1854-1872 Note générale : Management Langues : Anglais (eng) Mots-clés : Service  operations  Fluid  models  Asymptotic  analysis  Large  games  Noncooperative  game  theory Résumé : Recently, large-scale, Web-based service marketplaces, where many small service providers compete among themselves in catering to customers with diverse needs, have emerged. Customers who frequent these marketplaces seek quick resolutions and thus are usually willing to trade prices with waiting times. The main goal of this paper is to discuss the role of the moderating firm in facilitating information gathering, operational efficiency, and communication among agents in service marketplaces. Surprisingly, we show that operational efficiency may be detrimental to the overall efficiency of the marketplace. Furthermore, we establish that to reap the “expected” gains of operational efficiency, the moderating firm may need to complement the operational efficiency by enabling communication among its agents. The study emphasizes the scale of such marketplaces and the impact it has on the outcomes. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/10/1854.abstract [article] Large-scale service marketplaces : The role of the moderating firm [texte imprimé] / Gad Allon, Auteur ; Achal Bassamboo, Auteur ; Eren B. Çil, Auteur . - 2012 . - pp. 1854-1872. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 10 (Octobre 2012) . - pp. 1854-1872 Mots-clés : Service  operations  Fluid  models  Asymptotic  analysis  Large  games  Noncooperative  game  theory Résumé : Recently, large-scale, Web-based service marketplaces, where many small service providers compete among themselves in catering to customers with diverse needs, have emerged. Customers who frequent these marketplaces seek quick resolutions and thus are usually willing to trade prices with waiting times. The main goal of this paper is to discuss the role of the moderating firm in facilitating information gathering, operational efficiency, and communication among agents in service marketplaces. Surprisingly, we show that operational efficiency may be detrimental to the overall efficiency of the marketplace. Furthermore, we establish that to reap the “expected” gains of operational efficiency, the moderating firm may need to complement the operational efficiency by enabling communication among its agents. The study emphasizes the scale of such marketplaces and the impact it has on the outcomes. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/10/1854.abstract

Hierarchies and the survival of prisoners of war during world war II / Clifford G. Holderness in Management science, Vol. 58 N° 10 (Octobre 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 10 (Octobre 2012) . - pp. 1873-1886 Titre : Hierarchies and the survival of prisoners of war during world war II Type de document : texte imprimé Auteurs : Clifford G. Holderness, Auteur ; Jeffrey Pontiff, Auteur Année de publication : 2012 Article en page(s) : pp. 1873-1886 Note générale : Management Langues : Anglais (eng) Mots-clés : Hierarchy  Markets  Centralization  Decentralization  Organizational  structure Résumé : Using a comprehensive database of American prisoners of war during World War II, we find that survival from captivity generally declines as the hierarchy of a prisoner's group becomes steeper or more closely matches the military's established hierarchy. There is no evidence that survival is enhanced by being held in more hierarchical groups. One interpretation of these findings that is consistent with survivors' accounts is that the military's hierarchy was too inflexible to adapt from the battlefield to captivity and this inflexibility impeded trading among the prisoners. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/10/1873.abstract [article] Hierarchies and the survival of prisoners of war during world war II [texte imprimé] / Clifford G. Holderness, Auteur ; Jeffrey Pontiff, Auteur . - 2012 . - pp. 1873-1886. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 10 (Octobre 2012) . - pp. 1873-1886 Mots-clés : Hierarchy  Markets  Centralization  Decentralization  Organizational  structure Résumé : Using a comprehensive database of American prisoners of war during World War II, we find that survival from captivity generally declines as the hierarchy of a prisoner's group becomes steeper or more closely matches the military's established hierarchy. There is no evidence that survival is enhanced by being held in more hierarchical groups. One interpretation of these findings that is consistent with survivors' accounts is that the military's hierarchy was too inflexible to adapt from the battlefield to captivity and this inflexibility impeded trading among the prisoners. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/10/1873.abstract

A generalized norton–bass model for multigeneration diffusion / Zhengrui Jiang in Management science, Vol. 58 N° 10 (Octobre 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 10 (Octobre 2012) . - pp. 1887-1897 Titre : A generalized norton–bass model for multigeneration diffusion Type de document : texte imprimé Auteurs : Zhengrui Jiang, Auteur ; Dipak C. Jain, Auteur Année de publication : 2012 Article en page(s) : pp. 1887-1897 Note générale : Management Langues : Anglais (eng) Mots-clés : Norton–Bass  model  Multigeneration  diffusion  Leapfrogging  Switching Résumé : The Norton–Bass (NB) model is often credited as the pioneering multigeneration diffusion model in marketing. However, as acknowledged by the authors, when counting the number of adopters who substitute an old product generation with a new generation, the NB model does not differentiate those who have already adopted the old generation from those who have not. In this study, we develop a generalized Norton–Bass (GNB) model that separates the two different types of substitutions. The GNB model provides closed-form expressions for both the number of units in use and the adoption rate, and offers greater flexibility in parameter estimation, forecasting, and revenue projection. An appealing aspect of the GNB model is that it uses exactly the same set of parameters as the NB model and is mathematically consistent with the later. Empirical results show that the GNB model delivers better overall performance than previous models both in terms of model fit and forecasting performance. The analyses also show that differentiating leapfrogging and switching adoptions based on the GNB model can help gain additional insights into the process of multigeneration diffusion. Furthermore, we demonstrate that the GNB model can incorporate the effect of marketing mix variables on the speed of diffusion for all product generations. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/10/1887.abstract [article] A generalized norton–bass model for multigeneration diffusion [texte imprimé] / Zhengrui Jiang, Auteur ; Dipak C. Jain, Auteur . - 2012 . - pp. 1887-1897. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 10 (Octobre 2012) . - pp. 1887-1897 Mots-clés : Norton–Bass  model  Multigeneration  diffusion  Leapfrogging  Switching Résumé : The Norton–Bass (NB) model is often credited as the pioneering multigeneration diffusion model in marketing. However, as acknowledged by the authors, when counting the number of adopters who substitute an old product generation with a new generation, the NB model does not differentiate those who have already adopted the old generation from those who have not. In this study, we develop a generalized Norton–Bass (GNB) model that separates the two different types of substitutions. The GNB model provides closed-form expressions for both the number of units in use and the adoption rate, and offers greater flexibility in parameter estimation, forecasting, and revenue projection. An appealing aspect of the GNB model is that it uses exactly the same set of parameters as the NB model and is mathematically consistent with the later. Empirical results show that the GNB model delivers better overall performance than previous models both in terms of model fit and forecasting performance. The analyses also show that differentiating leapfrogging and switching adoptions based on the GNB model can help gain additional insights into the process of multigeneration diffusion. Furthermore, we demonstrate that the GNB model can incorporate the effect of marketing mix variables on the speed of diffusion for all product generations. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/10/1887.abstract

Managing disruption risk / Lingxiu Dong in Management science, Vol. 58 N° 10 (Octobre 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 10 (Octobre 2012) . - pp. 1898-1915 Titre : Managing disruption risk : The interplay between operations and insurance Type de document : texte imprimé Auteurs : Lingxiu Dong, Auteur ; Brian Tomlin, Auteur Année de publication : 2012 Article en page(s) : pp. 1898-1915 Note générale : Management Langues : Anglais (eng) Mots-clés : Disruptions  Inventory  Insurance Résumé : Disruptive events that halt production can have severe business consequences if not appropriately managed. Business interruption (BI) insurance offers firms a financial mechanism for managing their exposure to disruption risk. Firms can also avail of operational measures to manage the risk. In this paper, we explore the relationship between BI insurance and operational measures. We model a manufacturing firm that can purchase BI insurance, invest in inventory, and avail of emergency sourcing. Allowing the insurance premium to depend on the firm's insurance and operational decisions, we characterize the optimal insurance deductible and coverage limit as well as the optimal inventory level. We prove that insurance and operational measures are not always substitutes, and we establish conditions under which they can be complements; that is, insurance can increase the marginal value of inventory and can increase the overall value of emergency sourcing. We also find that the value of insurance is higher for those firms less able to absorb financially significant disruptions. As disruptions become longer but rarer, the value of emergency sourcing increases, and the value of inventory and the value of insurance increase before eventually decreasing. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/10/1898.abstract [article] Managing disruption risk : The interplay between operations and insurance [texte imprimé] / Lingxiu Dong, Auteur ; Brian Tomlin, Auteur . - 2012 . - pp. 1898-1915. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 10 (Octobre 2012) . - pp. 1898-1915 Mots-clés : Disruptions  Inventory  Insurance Résumé : Disruptive events that halt production can have severe business consequences if not appropriately managed. Business interruption (BI) insurance offers firms a financial mechanism for managing their exposure to disruption risk. Firms can also avail of operational measures to manage the risk. In this paper, we explore the relationship between BI insurance and operational measures. We model a manufacturing firm that can purchase BI insurance, invest in inventory, and avail of emergency sourcing. Allowing the insurance premium to depend on the firm's insurance and operational decisions, we characterize the optimal insurance deductible and coverage limit as well as the optimal inventory level. We prove that insurance and operational measures are not always substitutes, and we establish conditions under which they can be complements; that is, insurance can increase the marginal value of inventory and can increase the overall value of emergency sourcing. We also find that the value of insurance is higher for those firms less able to absorb financially significant disruptions. As disruptions become longer but rarer, the value of emergency sourcing increases, and the value of inventory and the value of insurance increase before eventually decreasing. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/10/1898.abstract

Asset pricing restrictions on predictability / Frans de Roon in Management science, Vol. 58 N° 10 (Octobre 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 10 (Octobre 2012) . - pp. 1916-1932 Titre : Asset pricing restrictions on predictability : Frictions matter Type de document : texte imprimé Auteurs : Frans de Roon, Auteur ; Marta Szymanowska, Auteur Année de publication : 2012 Article en page(s) : pp. 1916-1932 Note générale : Management Langues : Anglais (eng) Mots-clés : Time-series  predictability  Cross-sectional  predictability  Asset  pricing  tests  Market  frictions Résumé : U.S. stock portfolios sorted on size; momentum; transaction costs; market-to-book, investment-to-assets, and return-on-assets (ROA) ratios; and industry classification show considerable levels and variation of return predictability, inconsistent with asset pricing models. This means that a predictable risk premium is not equal to compensation for systematic risk as implied by asset pricing theory. We show that introducing market frictions relaxes these asset pricing moments from a strict equality to a range. Empirically, it is not short sales constraints but transaction costs (below 35 basis points) that help to reconcile the observed predictability with linear portfolio return-based factor models, and partly with the durable consumption model. Across the sorts, predictability in industry returns can be reconciled with all models considered with only a 25 basis point transaction cost, whereas for momentum and ROA portfolios, up to 115 basis points are needed. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/10/1916.abstract [article] Asset pricing restrictions on predictability : Frictions matter [texte imprimé] / Frans de Roon, Auteur ; Marta Szymanowska, Auteur . - 2012 . - pp. 1916-1932. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 10 (Octobre 2012) . - pp. 1916-1932 Mots-clés : Time-series  predictability  Cross-sectional  predictability  Asset  pricing  tests  Market  frictions Résumé : U.S. stock portfolios sorted on size; momentum; transaction costs; market-to-book, investment-to-assets, and return-on-assets (ROA) ratios; and industry classification show considerable levels and variation of return predictability, inconsistent with asset pricing models. This means that a predictable risk premium is not equal to compensation for systematic risk as implied by asset pricing theory. We show that introducing market frictions relaxes these asset pricing moments from a strict equality to a range. Empirically, it is not short sales constraints but transaction costs (below 35 basis points) that help to reconcile the observed predictability with linear portfolio return-based factor models, and partly with the durable consumption model. Across the sorts, predictability in industry returns can be reconciled with all models considered with only a 25 basis point transaction cost, whereas for momentum and ROA portfolios, up to 115 basis points are needed. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/10/1916.abstract

Supply chain performance under market valuation / Guoming Lai in Management science, Vol. 58 N° 10 (Octobre 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 10 (Octobre 2012) . - pp. 1933-1951 Titre : Supply chain performance under market valuation Type de document : texte imprimé Auteurs : Guoming Lai, Auteur ; Wenqiang Xiao, Auteur ; Jun Yang, Auteur Année de publication : 2012 Article en page(s) : pp. 1933-1951 Note générale : Management Langues : Anglais (eng) Mots-clés : Supply  chain  Newsvendor  Capital  market  valuation Résumé : Based on a supply chain framework, we study the stocking decision of a downstream buyer who receives private demand information and has the incentive to influence her capital market valuation. We first characterize a market equilibrium under a general, single buyback contract. We show that the buyer's stocking decision can be distorted in equilibrium. Such a downstream stocking distortion hurts the buyer firm's own performance, and it also influences the performances of the supplier and the supply chain. We further reveal scenarios where full supply chain efficiency cannot be reached under any single buyback contract. Then, focusing on contract design, we characterize conditions under which a menu of buyback contracts can prevent downstream stocking distortion and restore full efficiency in the supply chain. Our study demonstrates that in a supply chain context, a firm's incentive to undertake real economic activities to influence capital market valuation can potentially be resolved through operational means. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/10/1933.abstract [article] Supply chain performance under market valuation [texte imprimé] / Guoming Lai, Auteur ; Wenqiang Xiao, Auteur ; Jun Yang, Auteur . - 2012 . - pp. 1933-1951. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 10 (Octobre 2012) . - pp. 1933-1951 Mots-clés : Supply  chain  Newsvendor  Capital  market  valuation Résumé : Based on a supply chain framework, we study the stocking decision of a downstream buyer who receives private demand information and has the incentive to influence her capital market valuation. We first characterize a market equilibrium under a general, single buyback contract. We show that the buyer's stocking decision can be distorted in equilibrium. Such a downstream stocking distortion hurts the buyer firm's own performance, and it also influences the performances of the supplier and the supply chain. We further reveal scenarios where full supply chain efficiency cannot be reached under any single buyback contract. Then, focusing on contract design, we characterize conditions under which a menu of buyback contracts can prevent downstream stocking distortion and restore full efficiency in the supply chain. Our study demonstrates that in a supply chain context, a firm's incentive to undertake real economic activities to influence capital market valuation can potentially be resolved through operational means. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/10/1933.abstract

Modeling bounded rationality in capacity allocation games with the quantal response equilibrium / Yefen Chen in Management science, Vol. 58 N° 10 (Octobre 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 10 (Octobre 2012) . - pp. 1952-1962 Titre : Modeling bounded rationality in capacity allocation games with the quantal response equilibrium Type de document : texte imprimé Auteurs : Yefen Chen, Auteur ; Xuanming Su, Auteur ; Xiaobo Zhao, Auteur Année de publication : 2012 Article en page(s) : pp. 1952-1962 Note générale : Management Langues : Anglais (eng) Mots-clés : Bounded  rationality  Capacity  allocation  Supply  chain  Quantal  response  equilibrium  Nash  equilibrium Résumé : We consider a supply chain with a single supplier and two retailers. The retailers choose their orders strategically, and if their orders exceed the supplier's capacity, quantities are allocated proportionally to the orders. We experimentally study the capacity allocation game using subjects motivated by financial incentives. We find that the Nash equilibrium, which assumes that players are perfectly rational, substantially exaggerates retailers' tendency to strategically order more than they need. We propose a model of bounded rationality based on the quantal response equilibrium, in which players are not perfect optimizers and they face uncertainty in their opponents' actions. We structurally estimate model parameters using the maximum-likelihood method. Our results confirm that retailers exhibit bounded rationality, become more rational through repeated game play, but may not converge to perfect rationality as assumed by the Nash equilibrium. Finally, we consider several alternative behavioral theories and show that they do not explain our experimental data as well as our bounded rationality model. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/10/1952.abstract [article] Modeling bounded rationality in capacity allocation games with the quantal response equilibrium [texte imprimé] / Yefen Chen, Auteur ; Xuanming Su, Auteur ; Xiaobo Zhao, Auteur . - 2012 . - pp. 1952-1962. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 10 (Octobre 2012) . - pp. 1952-1962 Mots-clés : Bounded  rationality  Capacity  allocation  Supply  chain  Quantal  response  equilibrium  Nash  equilibrium Résumé : We consider a supply chain with a single supplier and two retailers. The retailers choose their orders strategically, and if their orders exceed the supplier's capacity, quantities are allocated proportionally to the orders. We experimentally study the capacity allocation game using subjects motivated by financial incentives. We find that the Nash equilibrium, which assumes that players are perfectly rational, substantially exaggerates retailers' tendency to strategically order more than they need. We propose a model of bounded rationality based on the quantal response equilibrium, in which players are not perfect optimizers and they face uncertainty in their opponents' actions. We structurally estimate model parameters using the maximum-likelihood method. Our results confirm that retailers exhibit bounded rationality, become more rational through repeated game play, but may not converge to perfect rationality as assumed by the Nash equilibrium. Finally, we consider several alternative behavioral theories and show that they do not explain our experimental data as well as our bounded rationality model. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/10/1952.abstract

Exemplaires

Bibliothèque Ecole Nationale Polytechnique d'Alger

Accueil

Se connecter

Météo

Adresse