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Investor Inattention and the Market Impact of Summary Statistics

Gilbert, Thomas; Kogan, Shimon; Lochstoer, Lars; … - In: Management Science 58 (2012) 2, pp. 336-350

We show that U.S. stock and Treasury futures prices respond sharply to recurring stale information releases. In particular, we identify a unique macroeconomic series--the U.S. Leading Economic Index<sup>®</sup> (LEI)--which is released monthly and constructed as a summary statistic of previously released...

Persistent link: https://www.econbiz.de/10010990561

The Accrual Anomaly: Risk or Mispricing?

Hirshleifer, David; Hou, Kewei; Teoh, Siew Hong - In: Management Science 58 (2012) 2, pp. 320-335

We document considerable return comovement associated with accruals after controlling for other common factors. An accrual-based factor-mimicking portfolio has a Sharpe ratio of 0.16, higher than that of the market factor or the SMB and HML factors of Fama and French. According to rational...

Persistent link: https://www.econbiz.de/10010990612

On Matching Book: A Problem in Banking and Corporate Finance

Shubik, M.; Sobel, M. J. - In: Management Science 38 (1992) 6, pp. 827-839

In each of the asset and liability markets in which the banking firm is an intermediary, typically there are instruments with differing maturities. The bank matching book problem is to manage the term structures of assets and liabilities. In our first model, the bank borrows and lends only short...

Persistent link: https://www.econbiz.de/10009218085

A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure

Wu, Liuren; Zhang, Frank Xiaoling - In: Management Science 54 (2008) 6, pp. 1160-1175

From a large array of economic and financial data series, this paper identifies three fundamental risk dimensions underlying an economy: inflation, real output growth, and financial market volatility. Furthermore, through a no-arbitrage model, the paper links the dynamics and market pricing of...

Persistent link: https://www.econbiz.de/10009218094

Term Structure of Interest Rates and Implied Market Frictions: The Min--Max Approach

Ioffe, Ioulia D.; Prisman, Eliezer Z. - In: Management Science 49 (2003) 7, pp. 965-978

It is often assumed that financial markets are frictionless. Bond markets are illiquid and bond prices are observed with errors. The magnitude of these errors leads to violation of no--arbitrage conditions and, consequently, prevents researchers from obtaining an estimate of the term structure...

Persistent link: https://www.econbiz.de/10009191665

Demand Forecasting Behavior: System Neglect and Change Detection

Kremer, Mirko; Moritz, Brent; Siemsen, Enno - In: Management Science 57 (2011) 10, pp. 1827-1843

that forecasting behavior systematically deviates from normative predictions: Forecasters overreact to forecast errors in …

Persistent link: https://www.econbiz.de/10010990449

A Case-Based Model of Probability and Pricing Judgments: Biases in Buying and Selling Uncertainty

Brenner, Lyle A.; Griffin, Dale W.; Koehler, Derek J. - In: Management Science 58 (2012) 1, pp. 159-178

We integrate a case-based model of probability judgment with prospect theory to explore asset pricing under uncertainty. Research within the "heuristics and biases" tradition suggests that probability judgments respond primarily to case-specific evidence and disregard aggregate characteristics...

Persistent link: https://www.econbiz.de/10010990558

A Model for Predicting Frequencies of Random Events

Rosenfield, Donald - In: Management Science 33 (1987) 8, pp. 947-954

This paper presents a new technique for forecasting frequencies of events over time for individuals. The technique …

Persistent link: https://www.econbiz.de/10009208983

Turnpike Horizons for Production Planning

Thompson, Gerald L.; Sethi, Suresh P. - In: Management Science 26 (1980) 3, pp. 229-241

A quadratic model for production-inventory planning was made famous by Holt, Modigliani, Muth, and Simon in 1960 in (Holt, C. C., F. Modigliani, J. F. Muth, H. A. Simon. 1960. Planning Production, Inventories, and Work Force. Prentice-Hall, Englewood Cliffs, New Jersey.), especially for its...

Persistent link: https://www.econbiz.de/10009209094

A Recursive Kalman Filter Forecasting Approach

Kahl, Douglas R.; Ledolter, Johannes - In: Management Science 29 (1983) 11, pp. 1325-1333

This paper examines the forecasting accuracy and the cost effectiveness of time series models with time …-varying coefficients. A simulation study investigates the potential forecasting benefits of a proposed Kalman filter type adaptive … estimation and forecasting approach. It is found that: (1) When appropriate, the time-varying coefficient approach leads to …

Persistent link: https://www.econbiz.de/10009209300