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Panic Selling When Disaster Strikes : Evidence in the Bond and Stock Markets
Huynh, Thanh; Xia, Ying - 2021
This study uses disaggregated establishment-level data to identify a firm’s exposure to physical climate risk and examines investors’ reaction to natural disasters in both the U.S. corporate bond and stock markets. We find that, when a firm is exposed to disasters, investors overreact by...
Persistent link: https://www.econbiz.de/10013238621
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Natural Selection in Financial Markets: Does It Work?
Yan, Hongjun - In: Management Science 54 (2008) 11, pp. 1935-1950
Can investors with incorrect beliefs survive in financial markets and have a significant impact on asset prices? My paper addresses this issue by analyzing a dynamic general equilibrium model where some investors have rational expectations, whereas others have incorrect beliefs concerning the...
Persistent link: https://www.econbiz.de/10009197547
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Robust Simulation of Global Warming Policies Using the DICE Model
Hu, Zhaolin; Cao, Jing; Hong, L. Jeff - In: Management Science 58 (2012) 12, pp. 2190-2206
global warming policies. Because there are typically profound uncertainties in these models, a simulation approach is often …
Persistent link: https://www.econbiz.de/10010990516
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Monte Carlo Algorithms for Default Timing Problems
Giesecke, Kay; Kim, Baeho; Zhu, Shilin - In: Management Science 57 (2011) 12, pp. 2115-2129
portfolios of credit-sensitive assets such as loans and corporate bonds. Monte Carlo simulation is an important tool for … performing computations in these models. This paper develops, analyzes, and evaluates two simulation algorithms for intensity … Zeevi, stochastic models and simulation.</i> …
Persistent link: https://www.econbiz.de/10010990537
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Sequential Sampling with Economics of Selection Procedures
Chick, Stephen E.; Frazier, Peter - In: Management Science 58 (2012) 3, pp. 550-569
Sequential sampling problems arise in stochastic simulation and many other applications. Sampling is used to infer the …, as is common in the literature. <i>This paper was accepted by Assaf Zeevi, stochastic models and simulation.</i> …
Persistent link: https://www.econbiz.de/10010990579
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A Unified View of the IPA, SF, and LR Gradient Estimation Techniques
L'Ecuyer, Pierre - In: Management Science 36 (1990) 11, pp. 1364-1383
simulation experiment. We also show how different definitions of the sample space yield different variants of the LR method, some …
Persistent link: https://www.econbiz.de/10009209050
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Using Simulation to Estimate First Passage Distribution
Ross, Sheldon M.; Schechner, Zvi - In: Management Science 31 (1985) 2, pp. 224-234
the problem of using simulation to estimate the number of transitions it takes the process to enter \scr{A}. Using …
Persistent link: https://www.econbiz.de/10009209093
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Limit Theory for Performance Modeling of Future Event Set Algorithms
Damerdji, Halim; Glynn, Peter W. - In: Management Science 44 (1998) 12-Part-1, pp. 1709-1722
In a discrete-event simulation, the information related to the events scheduled to occur in the future is kept in a …
Persistent link: https://www.econbiz.de/10009209109
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Relative Performance of Incentive Mechanisms: Computational Modeling and Simulation of Delegated Investment Decisions
Raghu, T. S.; Sen, P. K.; Rao, H. R. - In: Management Science 49 (2003) 2, pp. 160-178
approach to simulate comparative solutions for specific contracts under different parametric settings. Through a simulation …
Persistent link: https://www.econbiz.de/10009209156
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Using Common Random Numbers for Indifference-Zone Selection and Multiple Comparisons in Simulation
Nelson, Barry L.; Matejcik, Frank J. - In: Management Science 41 (1995) 12, pp. 1935-1945
We present a general recipe for constructing experiment design and analysis procedures that simultaneously provide indifference-zone selection and multiple-comparison inference for choosing the best among k simulated systems. We then exhibit two such procedures that exploit the...
Persistent link: https://www.econbiz.de/10009209251