编者按
在本系列文章中，我们梳理了运筹学顶刊Management Science11月份发布的47篇文章的基本信息，旨在帮助读者快速洞察行业最新动态。本文为第一部分。
文章1
● 题目：Motivating Experts to Contribute to Digital Public Goods: A Personalized Field Experiment on Wikipedia激励专家为数字公共产品做出贡献： 维基百科上的个性化田野实验
● 原文链接：https://doi.org/10.1287/mnsc.2023.4852
● 作者：Yan Chen, Rosta Farzan, Robert Kraut, Iman YeckehZaare, Ark Fangzhou Zhang
● 发布时间：2023.12.4
● 摘要：
We conducted a large-scale personalized field experiment to examine how match quality, recognition, and social impact influence domain experts’ contributions to Wikipedia. Forty-five percent of the experts expressed willingness to contribute in the baseline condition, whereas 51% (a 13% increase over the baseline) expressed interest when they received a signal that an article matched their expertise. However, none of the treatments had a significant effect on actual contributions. Instead experts contributed longer and better comments when the actual match between a recommended Wikipedia article and an expert's expertise, measured by cosine similarity, was higher, when they had higher reputation, and when the original article was longer. These findings suggest that match quality between volunteers and tasks is critically important in encouraging contributions to digital public goods and likely to volunteering in general.
我们进行了一次大规模的个性化田野实验，研究匹配质量、认可度和社会影响如何影响领域专家对维基百科的贡献。在基线条件下，45% 的专家表示愿意做出贡献，而当他们收到某篇文章与其专业知识匹配的信号时，51% 的专家表示有兴趣做出贡献（比基线提高了 13%）。然而，所有处理方法都没有对实际贡献产生显著影响。相反，当推荐的维基百科文章与专家的专业知识之间的实际匹配度（以余弦相似度衡量）更高、专家的声誉更高以及原始文章更长时，专家的评论时间更长、质量更高。这些研究结果表明，专家志愿者与任务之间的匹配质量对于鼓励他们为数字公共产品做出贡献以及鼓励志愿服务至关重要。
文章2
● 题目：The Gender Gap in Meaningful Work有意义工作中的性别差距
● 原文链接：https://doi.org/10.1287/mnsc.2022.01807
● 作者：Vanessa C. Burbano, Olle Folke, Stephan Meier, Johanna Rickne
● 发布时间：2023.12.4
● 摘要：
An understanding of differences in nonmonetary work conditions is fundamental for a complete characterization of individuals’ well-being at work. Thus, to fully characterize gender inequalities in the labor market, scholars have begun to explore gender differences in nonmonetary work conditions. We examine one such condition—meaningful work—using nationally representative survey data linked with worker and employer administrative data. We document a large and expanding gender gap in meaningful work, wherein women experience their jobs as more meaningful than men do. We then explore patterns underlying this difference. We find little correlation between women’s higher experience of meaningful work and either labor market decisions related to first parenthood or women’s underrepresentation in leadership jobs. Instead, the gender gap appears to be highly correlated with the sorting of more women into occupations with a high level of beneficence: the sense of having a prosocial impact. Though both women and men experience such jobs as more meaningful, women do so by a larger margin. Next, we consider the relationship between the gender difference in meaningful work and the gender wage gap, contributing to the discussion on compensating differentials in work amenities. We find that, whereas the gender gap in meaningful work closes a substantial part of the wage gap in lower paid jobs, it does little to close the gap in higher paid jobs in which the gender wage gap is largest.
了解非货币工作条件的差异是全面描述个人工作福祉的基础。因此，为了全面描述劳动力市场中的性别不平等，学者们开始探索非货币工作条件中的性别差异。我们利用与工人和雇主行政数据相关联的全国代表性调查数据，研究了其中一项条件--有意义的工作。我们记录了在有意义工作方面存在的巨大且不断扩大的性别差异，即女性比男性认为自己的工作更有意义。然后，我们探讨了这种差异背后的模式。我们发现，女性对有意义工作的更高体验与劳动力市场上与首次生育相关的决定或女性在领导岗位上的代表性不足之间几乎没有关联。相反，性别差异似乎与更多女性从事高福利职业（即具有亲社会影响的感觉）高度相关。尽管女性和男性都认为这类工作更有意义，但女性的感受更为深刻。接下来，我们探讨了有意义工作中的性别差异与性别工资差距之间的关系，从而为有关补偿工作环境差异的讨论做出贡献。我们发现，虽然有意义工作的性别差异缩小了低薪工作中工资差距的很大一部分，但在性别工资差距最大的高薪工作中，它却几乎没有缩小差距。
文章3
● 题目：Attention and Dread: Experimental Evidence on Preferences for Information注意力与恐惧： 信息偏好的实验证据
● 原文链接：https://doi.org/10.1287/mnsc.2023.4975
● 作者：Armin Falk, Florian Zimmermann
● 发布时间：2023.12.6
● 摘要：
Recent models assume that the anticipation of future consumption can have direct utility consequences. This gives rise to preferences over the timing and structure of information. Using a novel and purposefully simple setup, we study the determinants of preferences for sooner versus later information. Our main results are as follows. We find that the majority of subjects prefer receiving information sooner. This preference, however, is not uniform but depends on the context. When the environment allows subjects to not focus attention on (negative) consumption events, later information becomes more attractive. Finally, variations in prior beliefs do not seem to have strong effects on information preferences.
最近的模型假定，对未来消费的预期会直接影响效用。这就产生了对信息时间和结构的偏好。我们采用了一种新颖的、特意设计的简单设置，研究了对较早信息和较晚信息的偏好的决定因素。我们的主要研究结果如下。我们发现，大多数受试者倾向于更快地接收信息。然而，这种偏好并不一致，而是取决于环境。当环境允许受试者不关注（负面的）消费事件时，较晚的信息就会变得更有吸引力。最后，先前信念的变化似乎对信息偏好的影响不大。
文章4
● 题目：The Impact of Family-Based Human Capital on Corporate Innovation: Evidence from Sibling-Chairpersons in China基于家庭的人力资本对企业创新的影响： 来自中国手足董事长的证据
● 原文链接：https://doi.org/10.1287/mnsc.2023.4965
● 作者：Nianhang Xu, Kam C. Chan, Rongrong Xie, Qinyuan Chen, Sumit Agarwal
● 发布时间：2023.12.6
● 摘要：
We examine the impact of family-based human capital stemming from a chairperson’s having siblings vis-à-vis not having siblings on corporate innovation in Chinese family firms. Using hand-collected data, we document that when a firm has a sibling-chairperson, it holds more patents, receives more total citations to its patents, and has greater innovation efficiency and innovation quality than an otherwise equivalent firm with a chairperson having no siblings. The results are economically significant and robust to a battery of robustness checks. Specifically, the findings remain intact after using China’s one-child policy as an exogenous shock to apply a regression discontinuity research design to mitigate endogeneity. Additional analyses suggest that the mechanisms behind the impact of siblings on innovation are consistent with family-based human capital embedded in the sibling relationships such as competition, knowledge spillover, and family firm succession effect among siblings. Furthermore, we show that sibling comanagement and sibling gender diversity matter in corporate innovation. In addition, sibling effect enhances corporate investment efficiency, stock returns, and merger and acquisition performance. Overall, family-based human capital from siblings positively contributes to corporate innovation.
我们研究了在中国家族企业中，董事长有兄弟姐妹与没有兄弟姐妹所产生的基于家族的人力资本对企业创新的影响。通过收集的数据，我们发现，与董事长没有兄弟姐妹的同等企业相比，董事长有兄弟姐妹的企业拥有更多专利，专利总引用次数更多，创新效率和创新质量更高。这些结果具有经济意义，而且经过一系列稳健性检验后也很稳健。具体而言，在将中国的独生子女政策作为外生冲击，采用回归不连续研究设计以减轻内生性之后，研究结果依然保持不变。其他分析表明，兄弟姐妹对创新的影响机制与兄弟姐妹关系中蕴含的基于家庭的人力资本是一致的，如兄弟姐妹之间的竞争、知识溢出和家族企业继承效应。此外，我们还发现兄弟姐妹共同管理和兄弟姐妹性别多样性对企业创新也有影响。此外，兄弟姐妹效应还能提高企业投资效率、股票回报和并购绩效。总体而言，兄弟姐妹的家族人力资本对企业创新有积极的促进作用。
文章5
● 题目：Weak Signal Asymptotics for Sequentially Randomized Experiments顺序随机实验的弱信号渐近论
● 原文链接：https://doi.org/10.1287/mnsc.2023.4964
● 作者：Xu Kuang, Stefan Wager
● 发布时间：2023.12.6
● 摘要：
We use the lens of weak signal asymptotics to study a class of sequentially randomized experiments, including those that arise in solving multiarmed bandit problems. In an experiment with n time steps, we let the mean reward gaps between actions scale to the order n^(-0.5) to preserve the difficulty of the learning task as n grows. In this regime, we show that the sample paths of a class of sequentially randomized experiments—adapted to this scaling regime and with arm selection probabilities that vary continuously with state—converge weakly to a diffusion limit, given as the solution to a stochastic differential equation. The diffusion limit enables us to derive refined, instance-specific characterization of stochastic dynamics and to obtain several insights on the regret and belief evolution of a number of sequential experiments including Thompson sampling (but not upper-confidence bound, which does not satisfy our continuity assumption). We show that all sequential experiments whose randomization probabilities have a Lipschitz-continuous dependence on the observed data suffer from suboptimal regret performance when the reward gaps are relatively large. Conversely, we find that a version of Thompson sampling with an asymptotically uninformative prior variance achieves near-optimal instance-specific regret scaling, including with large reward gaps, but these good regret properties come at the cost of highly unstable posterior beliefs.
我们用弱信号渐近论的视角来研究一类顺序随机实验，包括那些在解决多臂老虎机问题时出现的实验。在一个有 n 个时间步长的实验中，我们让行动之间的平均奖励差距扩展到 n^(-0.5) 的数量级，以保持学习任务的难度随着 n 的增长而增加。在这种情况下，我们证明了一类顺序随机实验的样本路径--适应了这种缩放机制，并且臂选择概率随状态连续变化--弱收敛到了扩散极限，给出了一个随机微分方程的解。扩散极限使我们能够推导出精炼的、针对具体实例的随机动力学特征，并获得对包括汤普森采样（但不包括置信上限，因为它不满足我们的连续性假设）在内的一系列连续实验的遗憾和信念演化的一些见解。我们发现，当奖励差距相对较大时，所有随机化概率与观测数据具有 Lipschitz 连续依赖关系的连续实验都会出现次优遗憾表现。相反，我们发现具有渐近无信息先验方差的汤普森采样版本可以实现接近最优的特定实例遗憾缩放，包括在奖励差距较大的情况下，但这些良好的遗憾特性是以高度不稳定的后验信念为代价的。
文章6
● 题目：Unpacking Overconfident Behavior When Betting on Oneself解读自我投注时的过度自信行为
● 原文链接：https://doi.org/10.1287/mnsc.2021.00165
● 作者：Mohammed Abdellaoui, Han Bleichrodt, Cédric Gutierrez
● 发布时间：2023.12.6
● 摘要：
Overconfident behavior, the excessive willingness to bet on one’s performance, may be driven by optimistic beliefs and/or ambiguity attitudes. Separating these factors is key for understanding and correcting overconfident behavior, as they call for different corrective actions. We present a method to do so, which we implement in two incentivized experiments. The first experiment shows the importance of ambiguity attitudes for overconfident behavior. Optimistic ambiguity attitudes (ambiguity seeking) counterbalanced the effect of pessimistic beliefs, leading to neither over- nor underconfident behavior. The second experiment applies our method in contexts where overconfident behavior is expected to vary: easy versus hard tasks. Our results showed that task difficulty affected both beliefs and ambiguity attitudes. However, although beliefs were more optimistic for relative performance (rank) and more pessimistic for absolute performance (score) on easy tasks compared with hard tasks, ambiguity attitudes were always more optimistic on easy tasks for both absolute and relative performance. Our findings show the subtle interplay between beliefs and ambiguity attitudes: they can reinforce or offset each other, depending on the context, increasing or lowering overconfident behavior.
过度自信的行为，即过分愿意为自己的表现下注，可能是由乐观信念和/或模糊态度所驱动的。区分这些因素是理解和纠正过度自信行为的关键，因为它们需要采取不同的纠正措施。为此，我们提出了一种方法，并在两个激励实验中加以实施。第一个实验显示了模糊态度对过度自信行为的重要性。乐观的模糊态度（寻求模糊性）抵消了悲观信念的影响，既不会导致过度自信行为，也不会导致过度自信行为。第二个实验将我们的方法应用于预期过度自信行为会发生变化的情境中：容易与困难的任务。我们的结果表明，任务难度对信念和模糊态度都有影响。然而，尽管与困难任务相比，简单任务中的信念对相对表现（排名）更乐观，而对绝对表现（得分）更悲观，但在简单任务中，模糊态度对绝对和相对表现总是更乐观。我们的研究结果表明了信念和模糊态度之间微妙的相互作用：它们可以根据具体情况相互加强或抵消，从而增加或减少过度自信的行为。
文章7
● 题目：How APIs Create Growth by Inverting the Firm应用程序接口（API）如何通过倒转公司来创造增长
● 原文链接：https://doi.org/10.1287/mnsc.2023.4968
● 作者：Seth G. Benzell, Jonathan Hersh, Marshall Van Alstyne
● 发布时间：2023.12.7
● 摘要：
Traditional asset management strategy has emphasized building barriers to entry or closely guarding unique assets to maintain a firm’s comparative advantage. A new “inverted firm” paradigm, however, has emerged. Under this strategy, firms share data seeking to become platforms by opening digital services to third parties and capturing part of their external surplus. This contrasts with a “pipeline” strategy where the firm itself creates value. This paper quantitatively estimates the effect of adopting an inverted firm strategy through the lens of application programming interfaces (APIs), a key enabling technology. Using both public data and those of a private API development firm, we document rapid growth of the API network and connecting apps since 2005. We then perform difference-in-difference and synthetic control analyses and find that public firms adopting public APIs grew an additional 38.7% over 16?years relative to similar nonadopters. We find no significant effect from the use of APIs purely for internal productivity: the pipeline strategy. Within the subset of firms that adopt public APIs, those that attract more third-party complementors and those that become more central to the network see faster growth. Using variation in network centrality caused by API degradation, an instrumental variables analysis confirms a causal role for APIs in firm market value. Finally, we document an important downside of public APIs: increased risk of data breach. Overall, these facts lead us to conclude that APIs have a large and positive impact on economic growth and do so primarily by enabling an inverted firm strategy.
传统的资产管理策略强调建立进入壁垒或严密保护独特资产以保持公司的比较优势。然而，一种新的“倒置公司”范式已经出现。在这种策略下，公司通过向第三方开放数字服务并获取部分外部盈余来共享寻求成为平台的数据。这与公司本身创造价值的“管道”策略形成对比。本文通过应用程序编程接口（API）的视角定量估计了采用倒置公司策略的效果，这是一种关键的支持技术。使用公共数据和私人API开发公司的数据，我们记录了自2005年以来API网络和连接应用程序的快速增长。然后，我们进行difference-in-difference和综合控制分析，发现采用公共API的公共公司相对于类似的非采用者在16年内增长了38.7%。我们发现，纯粹为了内部生产力而使用API并没有显著的影响：管道策略。在采用公共API的公司子集中，那些吸引更多第三方补充者和那些成为网络中心的公司增长更快。利用API退化引起的网络中心性变化，工具变量分析证实了API在公司市场价值中的因果作用。最后，我们记录了公共API的一个重要缺点：数据泄露风险增加。总的来说，这些事实使我们得出结论，API对经济增长有巨大而积极的影响，主要是通过启用倒置的公司策略来实现的。
文章8
● 题目：Replicating and Digesting Anomalies in the Chinese A-Share Market复制和消化中国A股市场的异常
● 原文链接：https://doi.org/10.1287/mnsc.2023.4904
● 作者：Zhibing Li, Laura Xiaolei Liu, Xiaoyu Liu, K. C. John Wei
● 发布时间：2023.12.7
● 摘要：
We replicate 469 anomaly variables similar to those studied by Hou et al. (2020) using Chinese A-share data and a reliable testing procedure with mainboard breakpoints and value-weighted returns. We find that 83.37% of the anomaly variables do not generate significant high-minus-low quintile raw return spreads. Further adjusting risk increases the failure rate slightly to 84.22% based on CAPM alphas and 86.99% based on Fama–French three-factor alphas. We show that the conventional procedure using all A-share breakpoints with equal-weighted returns for the anomaly test is indeed problematic as it assigns too much weight to microcaps and has a very limited investment capacity. The CH3-factor, CH4-factor, and q-factor models show the best performance over the whole sample period. The q-factor model is the best performer in the post-2007 subsample period after significant improvements occurred in China’s financial market environment, such as the completion of the split-share structure reform and the implementation of new accounting standards conforming to the International Financial Reporting Standards. The non–state-owned enterprise subsample in the post-2007 period is a cleaner sample in which the CH4-factor and q-factor models are the best performers.
我们使用中国A股数据和可靠的测试程序，使用主板断点和价值加权回报，复制了469个类似于Hou等人（2020）研究的异常变量。我们发现83.37%的异常变量不会产生显著的高-负-低五分位数原始回报价差。进一步调整风险会使基于CAPM alpha的失败率略微增加到84.22%，基于Fama-French三因素alpha的失败率为86.99%。我们表明，使用所有A股断点和等权重回报进行异常测试的传统程序确实存在问题，因为它给微市值分配了过多的权重，并且投资能力非常有限。CH3因子、CH4因子和q因子模型在整个样本期间表现最佳。在中国金融市场环境发生重大改善，如股权分置改革的完成和符合国际财务报告准则的新会计准则的实施后，q因子模型是2007年后子样本期间表现最好的。2007年后的非国有企业子样本是一个更清洁的样本，其中CH4因子和q因子模型表现最好。
文章9
● 题目：Informal Cross-Border Trade in Africa: Operations, Policy, and Opportunities非洲的非正规跨境贸易：运营、政策和机遇
● 原文链接：https://doi.org/10.1287/mnsc.2022.02479
● 作者：Jimin Park, Michael K. Lim, Karthik Murali
● 发布时间：2023.12.7
● 摘要：
Informal cross-border trade (ICBT) refers to the illegal activities of cross-border commerce conducted by unregistered small-scale traders. We seek to develop insights to understand the ICBT value chain and offer policy recommendations to successfully integrate it into the formal economy. Using a game-theoretic model, we analyze the operations and key market dynamics of ICBT. We analyze the policy implications of three representative UN directives: enhancing marginalized traders’ access to formal channels, reducing export tax rates for formal traders, and introducing an alternative simplified trade regime (STR) for informal traders. All three policies result in an increase in government proceeds when the inherent profitability of the formal or STR channels is sufficiently high. Furthermore, social welfare increases when the policies effectively balance wholesale price competition within the formal and informal channels. We apply our model to a case study based on Uganda’s agricultural exports over an 11-year horizon. The access enhancement policy is most effective in increasing government proceeds but least effective in improving the welfare of other participants. The tax reduction policy enhances traders’ profitability but sacrifices the welfare of farmers and government proceeds substantially. Finally, the STR acknowledgement policy results in the largest increase in profitability of marginalized traders and farmers but comes at the cost of government proceeds.
非正式跨境贸易（ICBT）是指由未注册的小规模贸易商进行的跨境商业的非法活动。我们寻求发展洞察力，以了解ICBT价值链，并提供政策建议，以成功地将其融入正规经济。使用博弈论模型，我们分析ICBT的运营和重点市场动态。我们分析了三个代表性UN指令的政策影响：增强边缘化贸易商进入正规渠道的机会，降低正规贸易商的出口税率，并为非正规贸易商引入替代的简化贸易制度（STR）。当正规或STR渠道的固有盈利能力足够高时，所有三项政策都会导致政府收益增加。此外，当政策有效平衡正规和非正规渠道内的批发价格竞争时，社会福利也会增加。我们将我们的模型应用于基于乌干达11年农业出口的案例研究。提高准入政策在增加政府收益方面最有效，但在改善其他参与者的福利方面效果最差。减税政策提高了贸易商的盈利能力，但大幅牺牲了农民和政府收益的福利。最后，STR承认政策导致边缘化贸易商和农民盈利能力的最大增长，但以政府收益为代价。
文章10
● 题目：Quantifying the Impact of Impact Investing量化影响力投资的影响
● 原文链接：https://doi.org/10.1287/mnsc.2022.01168
● 作者：Andrew W. Lo, Ruixun Zhang
● 发布时间：2023.12.7
● 摘要：
We propose a quantitative framework for assessing the financial impact of any form of impact investing, including socially responsible investing; environmental, social, and governance (ESG) objectives; and other nonfinancial investment criteria. We derive conditions under which impact investing detracts from, improves on, or is neutral to the performance of traditional mean-variance optimal portfolios, which depends on whether the correlations between the impact factor and unobserved excess returns are negative, positive, or zero, respectively. Using Treynor–Black portfolios to maximize the risk-adjusted returns of impact portfolios, we derive an explicit and easily computable measure of the financial reward or cost of impact investing as compared with passive index benchmarks. We illustrate our approach with applications to biotech venture philanthropy, a semiconductor research and development consortium, divesting from “sin” stocks, ESG investments, and “meme” stock rallies such as GameStop in 2021.
我们提出了一个量化框架，用于评估任何形式的影响投资的财务影响，包括社会责任投资；环境、社会和治理（ESG）目标；以及其他非金融投资标准。我们推导了影响投资对传统均值方差最优投资组合表现的减损、改进或中性的条件，这取决于影响因子和未观察到的超额回报之间的相关性分别是负、正或零。使用Treynor-Black投资组合来最大化影响投资组合的风险调整回报，我们推导出了与被动指数基准相比，影响投资的财务回报或成本的明确且易于计算的衡量标准。我们通过应用生物技术风险慈善、半导体研发联盟、从“罪恶”股票、ESG投资和2021年GameStop等“模因”股票上涨中撤资来说明我们的方法。
文章11
● 题目：Attention and Biases: Evidence from Tax-Inattentive Investors注意力和偏见：来自税务疏忽投资者的证据
● 原文链接：https://doi.org/10.1287/mnsc.2021.02516
● 作者：Justin Birru, Fernando Chague, Rodrigo De-Losso, Bruno Giovannetti
● 发布时间：2023.12.7
● 摘要：
We first provide evidence of investor inattention to a very simple and well-known capital gains tax exemption in the Brazilian stock market. We then show that inattentive investors exhibit worse trading performance and stronger trading biases even after controlling for several investor-level variables, such as past trading experience. The evidence is consistent with inattention being one of the explanations for the prevalence of behavioral biases.
我们首先提供了投资者对巴西股市中一个非常简单和众所周知的资本利得税豁免的疏忽证据。然后，我们展示了疏忽的投资者表现出更差的交易表现和更强的交易偏见，即使控制了几个投资者层面的变量，例如过去的交易经验。证据与"疏忽是行为偏见普遍存在的解释之一"一致。
文章12
● 题目：On the Causal Effect of Fame on Citations论名望对引文的因果效应
● 原文链接：https://doi.org/10.1287/mnsc.2022.00840
● 作者：Jonathan Brogaard, Joseph E. Engelberg, Sapnoti K. Eswar, Edward D. Van Wesep
● 发布时间：2023.12.8
● 摘要：
Papers published in finance and economics journals whose first authors are famous have more citations than papers whose second or third authors are famous. As a paper ages, its citation rate varies most with variation in the fame of the first author and less so with the fame of second and third authors. Author order is alphabetical, so these patterns are unrelated to underlying quality. The magnitudes we find are large; a three-author paper written by the most prolific author in economics and his two research assistants would increase, on average, its percentile rank by 30 percentage points if the prolific author was first rather than second or third. The effect is especially pronounced in three, rather than two, author papers, suggesting that burying a famous author in the “et al.” reduces citations the most.
在财经类期刊上发表的论文，如果第一作者很有名，其引用率就会比第二或第三作者有名的论文高。随着年龄的增长，论文的引用率与第一作者的名气变化关系最大，而与第二和第三作者的名气变化关系较小。作者顺序是按字母顺序排列的，因此这些模式与基本质量无关。我们发现的影响幅度很大；一篇由经济学界最多产的作者和他的两位研究助理共同撰写的三作者论文，如果多产作者是第一作者而不是第二或第三作者，其百分位数排名平均会提高 30 个百分点。这种效应在三位作者而非两位作者的论文中尤为明显，这表明将一位著名作家埋没在 "等 "字中最能减少论文被引用的次数。
文章13
● 题目：A Regularized High-Dimensional Positive Definite Covariance Estimator with High-Frequency Data一种具有高频数据的正则化高维正定协方差估计器
● 原文链接：https://doi.org/10.1287/mnsc.2022.04138
● 作者：Liyuan Cui, Yongmiao Hong, Yingxing Li, Junhui Wang
● 发布时间：2023.12.12
● 摘要：
This paper proposes a novel large-dimensional positive definite covariance estimator for high-frequency data under a general factor model framework. We demonstrate an appealing connection between the proposed estimator and a weighted group least absolute shrinkage and selection operator (LASSO) penalized least-squares estimator. The proposed estimator improves on traditional principal component analysis by allowing for weak factors, whose signal strengths are weak relative to idiosyncratic components. Despite the presence of microstructure noises and asynchronous trading, the proposed estimator achieves guarded positive definiteness without sacrificing the convergence rate. To make our method fully operational, we provide an extended simultaneous alternating direction method of multipliers algorithm to solve the resultant constrained convex minimization problem efficiently. Empirically, we study the monthly high-frequency covariance structure of the stock constituents of the S&P 500 index from 2008 to 2016, using all traded stocks from the NYSE, AMEX, and NASDAQ stock markets to construct the high-frequency Fama-French four and extended eleven economic factors. We further examine the out-of-sample performance of the proposed method through vast portfolio allocations, which deliver significantly reduced out-of-sample portfolio risk and enhanced Sharpe ratios. The success of our method supports the usefulness of machine learning techniques in finance.
本文在一般因子模型框架下提出了一种新颖的高频数据大维正定协方差估计器。我们证明了所提出的估计器与加权组最小绝对收缩和选择算子（LASSO）受惩罚最小二乘估计器之间的联系。所提出的估计器通过允许弱因子来改进传统的主成分分析，弱因子的信号强度相对于特异性成分较弱。尽管存在微观结构噪声和异步交易，但所提出的估计器在不牺牲收敛速度的情况下实现了有保护的正确定性。为使我们的方法充分发挥作用，我们提供了一种扩展的同步交替方向乘法算法，以高效解决由此产生的受限凸最小化问题。在实证方面，我们研究了 2008 年至 2016 年标准普尔 500 指数成份股的月度高频协方差结构，利用纽约证券交易所、美国证券交易所和纳斯达克股票市场的所有交易股票构建了高频法玛-弗伦奇四经济因子和扩展的十一经济因子。我们通过庞大的投资组合配置进一步检验了所提方法的样本外绩效，样本外投资组合风险显著降低，夏普比率得到提高。我们方法的成功支持了机器学习技术在金融领域的实用性。
文章14
● 题目：Personal Taxes and Firm Skill Hiring: Evidence from 27 Million Job Postings个人税收与企业技能招聘：来自2700万职位的证据
● 原文链接：https://doi.org/10.1287/mnsc.2022.01211
● 作者：Murillo Campello, Janet Gao, Qiping Xu
● 发布时间：2023.12.12
● 摘要：
Using big data on U.S. job postings, we show that firms increase skill requirements when hiring workers in states that cut personal income taxes. We trace a significant driver of this effect to companies’ reallocation of skilled job postings across states based on tax differentials. The tax-induced upskilling is observed within occupations and is more pronounced for high-skill positions within firms. It is accompanied and amplified by concurrent increases in information technology expenditures at local-level establishments. In characterizing the mechanism at play, we show that job upskilling is triggered by tax changes affecting middle- and upper middle-class workers. It is pronounced for high-growth firms, for firms in tradable industries, and in urban areas, but it is mitigated among profitable firms. A narrative-based analysis helps us establish causal inferences.
利用美国职位发布的大数据，我们表明，在削减个人所得税的州雇用工人时，公司会增加技能要求。我们追踪到这种影响的一个重要驱动因素是公司根据税收差异在各州之间重新分配技能职位。税收引起的技能提升在职业中观察到，并且在公司内的高技能职位上更为明显。它伴随着当地企业信息技术支出的同时增加。在描述这一机制时，我们表明，工作技能提升是由影响中产阶级和上层工人的税收变化触发的。它在高增长企业、可贸易行业和城市地区都很明显，但在盈利企业中得到缓解。基于叙述的分析有助于我们建立因果推断。
文章15
● 题目：The SEC’s Short-Sale Experiment: Evidence on Causal Channels and Reassessment of Indirect Effects美国证券交易委员会的卖空实验： 因果渠道证据与间接效应再评估
● 原文链接：https://doi.org/10.1287/mnsc.2023.4918
● 作者：Bernard S. Black, Hemang Desai, Katherine Litvak, Woongsun Yoo, Jeff Jiewei Yu
● 发布时间：2023.12.13
● 摘要：
During 2005–2007, the Securities and Exchange Commission conducted a randomized trial in which it removed short-sale restrictions from one third of the Russell 3000 firms. Early studies found modest market microstructure effects of removing the restrictions but no effect on short interest, stock returns, volatility, or price efficiency. More recently, many studies have attributed a wide range of indirect outcomes to this experiment, mostly without assessing the causal channels for those outcomes. We examine the three most often cited causal channels for these indirect effects: short interest, returns, and managerial fear. We find no evidence to support these channels. We then reexamine the principal findings in four recent studies using a sample that closely matches the actual experiment and a common research design and find minimal support for the reported indirect effects. Our findings highlight the importance of confirming a causal channel or an economic mechanism and show that sample selection and specification choices can produce statistical significance even without an underlying economic mechanism.
在2005年至2007年期间，证券交易委员会进行了一项随机试验，取消了罗素3000家公司中三分之一的卖空限制。早期研究发现，取消限制对市场微观结构产生了适度影响，但对卖空利息、股票回报、波动性或价格效率没有影响。最近，许多研究将广泛的间接结果归因于这个实验，大多数没有评估这些结果的因果渠道。我们检查了这些间接影响最常被引用的三个因果渠道：卖空利息、回报和管理恐惧。我们没有发现支持这些渠道的证据。然后，我们使用与实际实验和共同研究设计密切匹配的样本重新审视了最近四项研究的主要发现，并发现对报告的间接影响的支持最小。我们的研究结果强调了确认因果渠道或经济机制的重要性，并表明即使没有潜在的经济机制，样本选择和规范选择也可以产生统计学意义。
文章16
● 题目：Stockpiling at the Onset of the COVID-19 Pandemic: An Empirical Analysis of National Prescription Drug Sales and Prices2019年冠状病毒病大流行开始时的囤积：全国处方药销售和价格的实证分析
● 原文链接：https://doi.org/10.1287/mnsc.2021.04150
● 作者：Minje Park, Anita L. Carson, Erin R. Fox, Rena M. Conti
● 发布时间：2023.12.13
● 摘要：
At the onset of the coronavirus (COVID-19) pandemic, hospitals experienced a demand surge for COVID-19–related medical care while simultaneously struggling to source prescription drugs needed to manage COVID-19 patients. This is worrisome as shortfalls in the supply of essential drugs can negatively impact patient outcomes. The popular press reporting on these challenges suggests that they are caused by supply chain disruptions. However, rigorous research on the relationship between the pandemic and prescription drug supply is limited. To address this gap, we leverage a quasi-experimental design and IQVIA’s National Sales Perspectives? data from 2018 to 2020. We focus on prescription drugs indicated for the management of COVID-19 patients and a set of control drugs (i.e., drugs not used for COVID-19). We find that in the early phases of the pandemic, hospitals stockpiled prescription drugs indicated for the management of COVID-19, making this behavior an under-recognized cause of the sourcing challenges. The sales volume of drugs indicated for COVID-19 management was concentrated in the first two months of the pandemic, after which sales decreased significantly despite a nationwide increase in COVID-19–related hospitalizations. We investigate another potential cause of stockpiling: expected price increases. Counter to concerns of price gouging, we find little evidence of price inflation for these drugs. An implication for drug manufacturers is that orders due to stockpiling by downstream buyers early on in a pandemic may need to be discounted when predicting future demand. Our results have implications for drug suppliers, hospitals, and policymakers interested in improving medical product supply chain resilience.
在冠状病毒（2019冠状病毒病）大流行开始时，医院经历了对2019冠状病毒病相关医疗护理的需求激增，同时努力寻找管理2019冠状病毒病患者所需的处方药。这令人担忧，因为基本药物供应短缺可能会对患者的预后产生负面影响。有关这些挑战的大众媒体报道表明，它们是由供应链中断引起的。然而，对大流行和处方药供应之间关系的严格研究是有限的。为了解决这一差距，我们利用准实验设计和IQVIA的国家销售前景?2018年至2020年的数据。我们专注于用于管理2019冠状病毒病患者的处方药和一组控制药物（即未用于2019冠状病毒病的药物）。我们发现，在大流行的早期阶段，医院囤积了用于2019冠状病毒病管理的处方药，这使得这种行为成为采购挑战的一个被低估的原因。2019冠状病毒病管理的药品销售量集中在大流行的前两个月，尽管2019冠状病毒病相关住院人数在全国范围内增加，但销售额显著下降。我们调查了另一个潜在的囤积原因：预期价格上涨。与价格欺诈的担忧相反，我们发现这些药品的价格通胀证据很少。对药品制造商的影响是，在预测未来需求时，下游买家在大流行早期囤积的订单可能需要打折。我们的研究结果对有意改善医疗产品供应链弹性的药品供应商、医院和政策制定者具有影响。