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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

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

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

Note---Sliding Simulation: A New Approach to Time Series Forecasting

Makridakis, Spyros - In: Management Science 36 (1990) 4, pp. 505-512

This paper proposes a new approach to time series forecasting based upon three premises. First, a model is selected not … forecasting horizon separately, making it possible to have different models/methods to predict each of the m horizons. This …

Persistent link: https://www.econbiz.de/10009191229

Does a Manufacturer Benefit from Selling to a Better-Forecasting Retailer?

Taylor, Terry A.; Xiao, Wenqiang - In: Management Science 56 (2010) 9, pp. 1584-1598

-forecast information. We show that the manufacturer's expected profit is convex in the retailer's forecasting accuracy: The manufacturer … benefits from selling to a better-forecasting retailer if and only if the retailer is already a good forecaster. If the … retailer has poor forecasting capabilities, then the manufacturer is hurt as the retailer's forecasting capability improves …

Persistent link: https://www.econbiz.de/10009191698

Effective Scoring Rules for Probabilistic Forecasts

Friedman, Daniel - In: Management Science 29 (1983) 4, pp. 447-454

forecasting) are also provided. …

Persistent link: https://www.econbiz.de/10009191885

From Story Line to Box Office: A New Approach for Green-Lighting Movie Scripts

Eliashberg, Jehoshua; Hui, Sam K.; Zhang, Z. John - In: Management Science 53 (2007) 6, pp. 881-893

Movie studios often have to choose among thousands of scripts to decide which ones to turn into movies. Despite the huge amount of money at stake, this process--known as green-lighting in the movie industry--is largely a guesswork based on experts' experience and intuitions. In this paper, we...

Persistent link: https://www.econbiz.de/10009197428

Which GARCH Model for Option Valuation?

Christoffersen, Peter; Jacobs, Kris - In: Management Science 50 (2004) 9, pp. 1204-1221

Characterizing asset return dynamics using volatility models is an important part of empirical finance. The existing literature on GARCH models favors some rather complex volatility specifications whose relative performance is usually assessed through their likelihood based on a time series of...

Persistent link: https://www.econbiz.de/10009197435