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  • Institute for Operations Research and the Management Sciences (INFORMS)  (197)
  • Economics  (197)
  • QP 300  (197)
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  • Institute for Operations Research and the Management Sciences (INFORMS)  (197)
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  • Economics  (197)
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  • QP 300  (197)
  • 1
    Online Resource
    Online Resource
    Empirical Investigation of an Equity Pairs Trading Strategy
    Institute for Operations Research and the Management Sciences (INFORMS) ; 2019
    In:  Management Science Vol. 65, No. 1 ( 2019-01), p. 370-389
    Details
    In: Management Science, Institute for Operations Research and the Management Sciences (INFORMS), Vol. 65, No. 1 ( 2019-01), p. 370-389
    Abstract: We show that an equity pairs trading strategy generates large and significant abnormal returns. We find that two components of the trading signal (i.e., short-term reversal and pairs momentum) have different dynamic and cross-sectional properties. The pairs momentum is largely explained by the one-month version of the industry momentum. Therefore, the pairs trading profits are largely explained by the short-term reversal and a version of the industry momentum. The online appendix is available at https://doi.org/10.1287/mnsc.2017.2825 . This paper was accepted by Lauren Cohen, finance.
    Type of Medium: Online Resource
    ISSN: 0025-1909 , 1526-5501
    URL: Article
    DOI: 10.1287/mnsc.2017.2825
    RVK:
    QP 300
    Language: English
    Publisher: Institute for Operations Research and the Management Sciences (INFORMS)
    Publication Date: 2019
    detail.hit.zdb_id: 206345-1
    detail.hit.zdb_id: 2023019-9
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    Online Resource
  • 2
    Online Resource
    Online Resource
    Dynamic Pricing of Relocating Resources in Large Networks
    Institute for Operations Research and the Management Sciences (INFORMS) ; 2021
    In:  Management Science Vol. 67, No. 7 ( 2021-07), p. 4075-4094
    Details
    In: Management Science, Institute for Operations Research and the Management Sciences (INFORMS), Vol. 67, No. 7 ( 2021-07), p. 4075-4094
    Abstract: Motivated by applications in shared vehicle systems, we study dynamic pricing of resources that relocate over a network of locations. Customers with private willingness to pay sequentially request to relocate a resource from one location to another, and a revenue-maximizing service provider sets a price for each request. This problem can be formulated as an infinite-horizon stochastic dynamic program, but it is difficult to solve, as optimal pricing policies may depend on the locations of all resources in the network. We first focus on networks with a hub-and-spoke structure, and we develop a dynamic pricing policy and a performance bound based on a Lagrangian relaxation. This relaxation decomposes the problem over spokes and is thus far easier to solve than the original problem. We analyze the performance of the Lagrangian-based policy and focus on a supply-constrained large network regime in which the number of spokes (n) and the number of resources grow at the same rate. We show that the Lagrangian policy loses no more than O(ln n/n) in performance compared with an optimal policy, thus implying asymptotic optimality as n grows large. We also show that no static policy is asymptotically optimal in the large network regime. Finally, we extend the Lagrangian relaxation to provide upper bounds and policies to general networks with multiple interconnected hubs and spoke-to-spoke connections and to incorporate relocation times. We also examine the performance of the Lagrangian policy and the Lagrangian relaxation bound on some numerical examples, including examples based on data from RideAustin. This paper was accepted by David Simchi-Levi, revenue management and market analytics.
    Type of Medium: Online Resource
    ISSN: 0025-1909 , 1526-5501
    URL: Article
    DOI: 10.1287/mnsc.2020.3735
    RVK:
    QP 300
    Language: English
    Publisher: Institute for Operations Research and the Management Sciences (INFORMS)
    Publication Date: 2021
    detail.hit.zdb_id: 206345-1
    detail.hit.zdb_id: 2023019-9
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    Online Resource
  • 3
    Online Resource
    Online Resource
    An Axiomatic Approach to Systemic Risk
    Institute for Operations Research and the Management Sciences (INFORMS) ; 2013
    In:  Management Science Vol. 59, No. 6 ( 2013-06), p. 1373-1388
    Details
    In: Management Science, Institute for Operations Research and the Management Sciences (INFORMS), Vol. 59, No. 6 ( 2013-06), p. 1373-1388
    Abstract: Systemic risk refers to the risk of collapse of an entire complex system as a result of the actions taken by the individual component entities or agents that comprise the system. Systemic risk is an issue of great concern in modern financial markets as well as, more broadly, in the management of complex business and engineering systems. We propose an axiomatic framework for the measurement and management of systemic risk based on the simultaneous analysis of outcomes across agents in the system and over scenarios of nature. Our framework defines a broad class of systemic risk measures that accomodate a rich set of regulatory preferences. This general class of systemic risk measures captures many specific measures of systemic risk that have recently been proposed as special cases and highlights their implicit assumptions. Moreover, the systemic risk measures that satisfy our conditions yield decentralized decompositions; i.e., the systemic risk can be decomposed into risk due to individual agents. Furthermore, one can associate a shadow price for systemic risk to each agent that correctly accounts for the externalities of the agent's individual decision making on the entire system. This paper was accepted by Gérard P. Cachon, stochastic models and simulation.
    Type of Medium: Online Resource
    ISSN: 0025-1909 , 1526-5501
    URL: Article
    DOI: 10.1287/mnsc.1120.1631
    RVK:
    QP 300
    Language: English
    Publisher: Institute for Operations Research and the Management Sciences (INFORMS)
    Publication Date: 2013
    detail.hit.zdb_id: 206345-1
    detail.hit.zdb_id: 2023019-9
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    Online Resource
  • 4
    Online Resource
    Online Resource
    Globalization and U.S. Corporate Tax Policies: Evidence from Import Competition
    Institute for Operations Research and the Management Sciences (INFORMS) ; 2022
    In:  Management Science Vol. 68, No. 8 ( 2022-08), p. 6145-6162
    Details
    In: Management Science, Institute for Operations Research and the Management Sciences (INFORMS), Vol. 68, No. 8 ( 2022-08), p. 6145-6162
    Abstract: This paper studies how globalization affects the corporate tax policies of U.S. manufacturing firms. Using U.S.-granting China Permanent Normal Trade Relations as a quasi-natural experiment, we find a significant increase in tax reduction activities for firms facing higher exposure to Chinese imports. The effect is more pronounced for firms with higher managerial slack. We also find that the effect is stronger for firms in less diversified products market and faster changing industries. We also show that U.S. firms facing higher Chinese import competition are more likely to engage in other tax-motivated activities: acquisition of subsidiaries in low-tax regions and suspected transfer pricing. Furthermore, we explore the 2017 tax cut and the recent U.S.-China trade dispute and find that firms engage less in tax reduction activities after the 2017 tax cut and after the tariff increase for Chinese imports. This paper was accepted by Kay Giesecke, finance.
    Type of Medium: Online Resource
    ISSN: 0025-1909 , 1526-5501
    URL: Article
    DOI: 10.1287/mnsc.2021.4121
    RVK:
    QP 300
    Language: English
    Publisher: Institute for Operations Research and the Management Sciences (INFORMS)
    Publication Date: 2022
    detail.hit.zdb_id: 206345-1
    detail.hit.zdb_id: 2023019-9
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    Online Resource
  • 5
    Online Resource
    Online Resource
    Is Price Commitment a Better Solution to Control Carbon Emissions and Promote Technology Investment?
    Institute for Operations Research and the Management Sciences (INFORMS) ; 2023
    In:  Management Science Vol. 69, No. 1 ( 2023-01), p. 325-341
    Details
    In: Management Science, Institute for Operations Research and the Management Sciences (INFORMS), Vol. 69, No. 1 ( 2023-01), p. 325-341
    Abstract: Recent years have seen considerable debate about the practicability of a global quantity/price commitment to control carbon emissions and tackle environmental issues. In this paper, we study the impact of the cap-and-trade policy (quantity commitment) and the carbon tax policy (price commitment) on a firm’s technology investment and production decisions. The main feature captured in our model is that there exist correlated uncertainties between the sales market (demand uncertainty) and the permit trading market (permit price volatility) under the cap-and-trade policy. The correlation relationship stands on the following intuition. The demands for final products affect firms’ production output, which generates the needs of emission permits and influences the permit price. We show that under the cap-and-trade policy, with the uncertainty of the future emission price, the firm could flexibly adjust its production quantity to enhance its profit, resulting in low incentives to invest in clean technology. However, as the (positive) correlation between the sales market and the permit trading market increases, the production flexibility is constrained so that the firm has to increase its technology investment to hedge against the future risk of a high emission price. Making a comparison between the cap-and-trade and carbon tax policies, we find that when the correlation coefficient is moderate, the carbon tax policy generates a multiwin situation (i.e., more technology investment, higher expected profit and consumer surplus, and fewer carbon emissions). Case studies are provided to illustrate the implications and model variants are examined to check the robustness of the main results. Overall, our analysis sheds light on recent debate over carbon pricing and identifies the important role of correlated uncertainties in carbon policy design. This paper was accepted by Charles Corbett, operations management. Funding: This work was supported by the stable support plan program of Shenzhen Natural Science Fund [Program Contract 20200925160533002] and the National Natural Science Foundation of China [Grant 72101105] . Supplemental Material: The data files and online appendix are available at https://doi.org/10.1287/mnsc.2022.4365 .
    Type of Medium: Online Resource
    ISSN: 0025-1909 , 1526-5501
    URL: Article
    DOI: 10.1287/mnsc.2022.4365
    RVK:
    QP 300
    Language: English
    Publisher: Institute for Operations Research and the Management Sciences (INFORMS)
    Publication Date: 2023
    detail.hit.zdb_id: 206345-1
    detail.hit.zdb_id: 2023019-9
    SSG: 3,2
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    Online Resource
  • 6
    Online Resource
    Online Resource
    Finance and Firm Volatility: Evidence from Small Business Lending in China
    Institute for Operations Research and the Management Sciences (INFORMS) ; 2022
    In:  Management Science Vol. 68, No. 3 ( 2022-03), p. 2226-2249
    Details
    In: Management Science, Institute for Operations Research and the Management Sciences (INFORMS), Vol. 68, No. 3 ( 2022-03), p. 2226-2249
    Abstract: The online trading platform Alibaba provides financial technology (FinTech) credit for millions of micro, small, and medium-sized enterprises (MSMEs). Using a novel data set of daily sales and an internal credit score threshold that governs the allocation of credit, we apply a fuzzy regression discontinuity design (RDD) to explore the causal effect of credit access on firm volatility. We find that credit access significantly reduces firm sales volatility and that the effect is stronger for firms with fewer alternative sources of financing. We further look at firm exit probability and find that firms with access to FinTech credit are less likely to go bankrupt or exit the business in the future. Additional channel tests reveal that firms with FinTech credit invest more in advertising and product/sector diversification, particularly during business downturns, which serves as effective mechanisms through which credit access reduces firm volatility. Overall, our findings contribute to a better understanding of the role of FinTech credit in MSMEs. This paper was accepted by Haoxiang Zhu, finance.
    Type of Medium: Online Resource
    ISSN: 0025-1909 , 1526-5501
    URL: Article
    DOI: 10.1287/mnsc.2020.3942
    RVK:
    QP 300
    Language: English
    Publisher: Institute for Operations Research and the Management Sciences (INFORMS)
    Publication Date: 2022
    detail.hit.zdb_id: 206345-1
    detail.hit.zdb_id: 2023019-9
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  • 7
    Online Resource
    Online Resource
    Correlated Cluster-Based Randomized Experiments: Robust Variance Minimization
    Institute for Operations Research and the Management Sciences (INFORMS) ; 2023
    In:  Management Science
    Details
    In: Management Science, Institute for Operations Research and the Management Sciences (INFORMS)
    Abstract: Experimentation is prevalent in online marketplaces and social networks to assess the effectiveness of new market intervention. To mitigate the interference among users in an experiment, a common practice is to use a cluster-based experiment, where the designer partitions the market into loosely connected clusters and assigns all users in the same cluster to the same variant (treatment or control). Given the experiment, we assume an unbiased Horvitz–Thompson estimator is used to estimate the total market effect of the treatment. We consider the optimization problem of choosing (correlated) randomized assignments of clusters to treatment and control to minimize the worst-case variance of the estimator under a constraint that the marginal assignment probability is [Formula: see text] for all clusters. This problem can be formulated as a linear program where both the number of decision variables and constraints are exponential in the number of clusters—and hence is generally computationally intractable. We develop a family of practical experiments that we refer to as independent block randomization (IBR) experiments. Such an experiment partitions clusters into blocks so that each block contains clusters of similar size. It then treats a fraction q of the clusters in each block (chosen uniformly at random) and does so independently across blocks. The optimal cluster partition can be obtained in a tractable way using dynamic programming. We show that these policies are asymptotically optimal when the number of clusters grows large and n o cluster size dominates the rest. In the special case where cluster sizes take values in a finite set and the number of clusters of each size is a fixed proportion of the total number of clusters, the loss is only a constant that is independent of the number of clusters. Beyond the asymptotic regime, we show that the IBR experiment has a good approximation for any problem instance when q is not very tiny. We also examine the performance of the IBR experiments on data-driven numerical examples, including examples based on Airbnb and Facebook data. This paper was accepted by Itai Ashlagi, revenue management and market analytics. Funding: O. Candogan acknowledges NSF [Award 2216912] for “Institute for Data, Econometrics, Algorithms and Learning.” Supplemental Material: The online appendix is available at https://doi.org/10.1287/mnsc.2021.02741 .
    Type of Medium: Online Resource
    ISSN: 0025-1909 , 1526-5501
    URL: Article
    DOI: 10.1287/mnsc.2021.02741
    RVK:
    QP 300
    Language: English
    Publisher: Institute for Operations Research and the Management Sciences (INFORMS)
    Publication Date: 2023
    detail.hit.zdb_id: 206345-1
    detail.hit.zdb_id: 2023019-9
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  • 8
    Online Resource
    Online Resource
    The Number of Estimates in Footnotes and Accruals
    Institute for Operations Research and the Management Sciences (INFORMS) ; 2023
    In:  Management Science
    Details
    In: Management Science, Institute for Operations Research and the Management Sciences (INFORMS)
    Abstract: This study quantifies the number of estimates involved in firms’ accruals and examines whether it is informative about the relation between accruals and future earnings. We measure the number of estimates using the frequency of the use of the word estimate in the qualitative portions of a firm’s Notes to the Financial Statements (footnotes). Motivated by arguments regarding the impact of estimation errors in accruals, we hypothesize and find that the accruals of firms that have more estimates have a lower relation with future earnings (i.e., lower persistence) and a lower association with their past, current, and future cash flows. This paper was accepted by Suraj Srinivasan, accounting. Funding: This work was supported by Zijiang Endowment. H. Chen acknowledges the financial support from the National Natural Science Foundation of China [Grants 72150710550, 71790591, and 72121002]. J. V. Chen acknowledges the financial support from the University of Michigan, University of Illinois at Chicago, Paton Accounting Fellowship, and Harry Jones Endowment. F. Li acknowledges the financial support from SJTU SAIF Zijiang Discipline Development Fund, sponsored by the Zijiang Foundation. Supplemental Material: The internet appendix and data are available at https://doi.org/10.1287/mnsc.2022.4659 .
    Type of Medium: Online Resource
    ISSN: 0025-1909 , 1526-5501
    URL: Article
    DOI: 10.1287/mnsc.2022.4659
    RVK:
    QP 300
    Language: English
    Publisher: Institute for Operations Research and the Management Sciences (INFORMS)
    Publication Date: 2023
    detail.hit.zdb_id: 206345-1
    detail.hit.zdb_id: 2023019-9
    SSG: 3,2
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  • 9
    Online Resource
    Online Resource
    Product Market Competition and Corporate Relocations: Evidence from the Supply Chain
    Institute for Operations Research and the Management Sciences (INFORMS) ; 2023
    In:  Management Science Vol. 69, No. 9 ( 2023-09), p. 5147-5173
    Details
    In: Management Science, Institute for Operations Research and the Management Sciences (INFORMS), Vol. 69, No. 9 ( 2023-09), p. 5147-5173
    Abstract: We show that intensified competition changes the location of business activity and, in turn, affects supply chain relationships. Using establishment-level data, we find that, when upstream product markets become more competitive, suppliers are more likely to relocate their establishments closer to customers. Following the supplier’s relocation, its sales to the customer increase, its relationship with the customer is less likely to be terminated, and its innovation is more aligned with the customer’s innovation. The relocated supplier also experiences more analyst following and institutional ownership that are in common with the customer and is more likely to issue equity than debt. However, the improved relationship, by causing the supplier to engage more in innovation dedicated to the customer, adversely affects creative innovation, which is known to drive growth. This paper was accepted by Gustavo Manso, finance. Supplemental Material: The online appendix and data are available at https://doi.org/10.1287/mnsc.2022.4586 .
    Type of Medium: Online Resource
    ISSN: 0025-1909 , 1526-5501
    URL: Article
    DOI: 10.1287/mnsc.2022.4586
    RVK:
    QP 300
    Language: English
    Publisher: Institute for Operations Research and the Management Sciences (INFORMS)
    Publication Date: 2023
    detail.hit.zdb_id: 206345-1
    detail.hit.zdb_id: 2023019-9
    SSG: 3,2
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  • 10
    Online Resource
    Online Resource
    The Value of U.S. College Education in Global Labor Markets: Experimental Evidence from China
    Institute for Operations Research and the Management Sciences (INFORMS) ; 2023
    In:  Management Science
    Details
    In: Management Science, Institute for Operations Research and the Management Sciences (INFORMS)
    Abstract: One million international students study in the United States each year, and the majority of them compete in global labor markets after graduation. I conducted a large-scale field experiment and a companion employer survey to study how employers in China value U.S. college education. I sent more than 27,000 fictitious online applications to business and computer science jobs in China, randomizing the country of college education. I find that U.S.-educated applicants are on average 18% less likely to receive a callback than applicants educated in China, with applicants from very selective U.S. institutions underperforming those from the least selective Chinese institutions. The United States-China callback gap is smaller at high-wage jobs, consistent with employers fearing U.S.-educated applicants have better outside options and would be harder to hire and retain. The gap is also smaller at foreign-owned firms, consistent with Chinese-owned firms knowing less about American education. Controlling for high school quality, test scores, or U.S. work experiences does not attenuate the gap, suggesting that the gap is not driven by employer perceptions of negative selection. A survey of 507 hiring managers at college career fairs finds consistent and additional supporting evidence for the experimental findings. This paper was accepted by Yan Chen, behavioral economics and decision analysis. Funding: This work was supported by the Industrial Relations Section at Princeton University and the Prize Fellowship in Social Sciences awarded by Princeton School of Public and International Affairs. Supplemental Material: The data files and online appendices are available at https://doi.org/10.1287/mnsc.2023.4745 .
    Type of Medium: Online Resource
    ISSN: 0025-1909 , 1526-5501
    URL: Article
    DOI: 10.1287/mnsc.2023.4745
    RVK:
    QP 300
    Language: English
    Publisher: Institute for Operations Research and the Management Sciences (INFORMS)
    Publication Date: 2023
    detail.hit.zdb_id: 206345-1
    detail.hit.zdb_id: 2023019-9
    SSG: 3,2
    Location Call Number Limitation Availability
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    Online Resource
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