Erhan Bayraktar  Michael Ludkovski 《Mathematical Finance》2014,24(4):627-650

We consider a framework for solving optimal liquidation problems in limit order books. In particular, order arrivals are modeled as a point process whose intensity depends on the liquidation price. We set up a stochastic control problem in which the goal is to maximize the expected revenue from liquidating the entire position held. We solve this optimal liquidation problem for power‐law and exponential‐decay order book models explicitly and discuss several extensions. We also consider the continuous selling (or fluid) limit when the trading units are ever smaller and the intensity is ever larger. This limit provides an analytical approximation to the value function and the optimal solution. Using techniques from viscosity solutions we show that the discrete state problem and its optimal solution converge to the corresponding quantities in the continuous selling limit uniformly on compacts.  相似文献   

    

Michael A. Ehrlich  Ronald Sverdlove  Charles F. Beauchamp  Rawley Thomas  Michael G. Stockman 《实用企业财务杂志》2012,24(4):46-58

The U.S. housing finance market has not yet recovered from the housing price bubble that peaked in late 2006. Even though prices have fallen significantly, there are still problems in clearing the market. For the last few years, a group of financial economists and practitioners who are part of the Financial Management Association's Practitioner Demand Driven Academic Research Initiative (PDDARI) have been studying the collapse of the housing market and have concluded that many market participants still have insufficient (and in some cases the wrong) incentives to take actions that would help restore the market's health. In January 2012, Ben Bernanke, Chairman of the Federal Reserve Board, released a white paper that reviewed current housing market conditions and created a framework for policy analysis designed to help reestablish the health of the U.S. housing market as part of the broader effort to foster economic recovery. Using this framework as its starting point, the PDDARI group has come up with a set of proposals whose centerpiece is an “incentive‐compatible” mortgage that encourages homeowners to rebuild their home equity as an essential step to a housing recovery. By incorporating “price appreciation rights” that would provide stronger inducements for lenders or mortgage owners to make loan modifications (particularly, forgiveness of principal), the PDDARI mortgage structure could allow more homeowners to remain in their homes and avoid foreclosures and the large associated deadweight costs (as much as 40% of a home's assessed value). Additionally, the government‐sponsored enterprises, including Fannie Mae and Freddie Mac, are also in need of radical reform, and a transition toward greater private market participation would promote the long‐term health of the mortgage market.  相似文献   

    

Michael?Pirson  "mailto:pirson@fordham.edu  " title=  "pirson@fordham.edu  " itemprop=  "email  " data-track=  "click  " data-track-action=  "Email author  " data-track-label=  "  ">Email author  Shann?Turnbull 《Journal of Business Ethics》2011,99(1):101-114

This conceptual article suggests a reexamination of current governance structures, specifically those of unitary boards after the financial crisis of 2008. We suggest that the existing governance structures are based on an outdated paradigm of business, rooted in economics. We propose an alternative paradigm, a more humanistic paradigm, which allows conceiving alternative, network-oriented governance structures. As hierarchical firms grow larger and more complex, the risk of failure increases from biases, errors, and missing data in communication and control systems. These problems are exacerbated by information overload on senior managers, directors, and their respective regulators. In contrast to traditional corporate governance, network governance introduces a division of power via multiple boards, checks and balances, and active stakeholder engagement. We argue that those features could have prevented the stresses and failures of financial firms in 2008, since they were anticipated by both individuals within firms and external commentators. However, those exposed to risks possessed insufficient influence in either governing and/or regulating firms to take corrective action.  相似文献   

    

Klaus Adam  Michael Woodford 《Journal of Monetary Economics》2012

We consider optimal monetary stabilization policy in a New Keynesian model with explicit microfoundations, when the central bank recognizes that private-sector expectations need not be precisely model-consistent, and wishes to choose a policy that will be as good as possible in the case of any beliefs close enough to model-consistency. We show how to characterize robustly optimal policy without restricting consideration a priori to a particular parametric family of candidate policy rules. We show that robustly optimal policy can be implemented through commitment to a target criterion involving only the paths of inflation and a suitably defined output gap, but that a concern for robustness requires greater resistance to surprise increases in inflation than would be considered optimal if one could count on the private sector to have “rational expectations.”  相似文献   

    

Janek Ratnatunga  Michael S.C. Tse  Kashi R. Balachandran 《The International Journal of Accounting》2012,47(3):281-301

Despite its theoretical superiority, the activity-based costing (ABC) model has had only moderate success in replacing the traditional volume-based absorption costing models in complex organizations worldwide. Even in organizations that have launched ABC projects, the implementations often do not sustain. In response to this general lack of enthusiasm worldwide for ABC, accountants developed the time-driven activity-based costing (TDABC) model as an alternative cost allocation model. This paper presents a comparison of the TDABC model with ABC, and considers if this alternative cost allocation model (1) is easier to implement from an international perspective and (2) provides comparable cost information for decision making. We use a case study in a country outside the model's country of origin to understand the similarities and differences in absorption costing systems that use ‘volume,’ ‘activities,’ and ‘time’ as the drivers of indirect cost allocations. We also use the case study to ascertain if any country‐specific factors impede ABC implementation. We conclude the following: the TDABC model has similar implementation complexities to ABC if modelling conditions are strictly adhered to; these complexities are independent of country‐specific factors; and in its simplest form, the model generates the same decision information errors of traditional costing.  相似文献   

    

Georgios Patsiaouras  James Fitchett  Michael Saren 《Journal of Marketing Management》2013,29(1-2):117-137

Abstract

This paper undertakes a critical historical review of the role of anthropomorphism in marketing and advertising in American consumer culture from the 1940s onwards. We review the art of the acclaimed illustrator Boris Artzybasheff who among other artistic achievements created images that regularly featured on the covers of Life, Fortune, and Time. As well as working in media, Artzybasheff also produced advertising images, and imagery for propaganda. One of the characteristic features of Artzybasheff’s commercial art is the use of anthropomorphism, especially with technology industries and products. His art spans the periods prior to, during and after World War II, as well as the Cold War era and the onset of modern consumer culture in America.  相似文献   

    

Marie A. Yeh  Robert D. Jewell  Michael Y. Hu 《心理学和销售学》2013,30(1):36-45

This research examines the effectiveness of the myth/fact message format (MFMF)—a message format that first presents a common misperception as a myth then counters it with a correcting fact—within the health‐care and social marketing context of mental illness (MI). Stereotype processing theory predicts that the use of a negative aspect of the stereotype in a MFMF may further instantiate the negative belief, thereby reducing the effectiveness of the message. Conversely, using a message format that conveys only facts (i.e., new positive beliefs) without inclusion of the myth will lead to more positive attitudes. However, this effect will only be seen among people with personal relevance with MI as only they are sufficiently motivated to suppress the automatically activated stereotype and elaborate on the message. A study demonstrates that advertising utilizing a fact‐only format leads to more positive attitudes than the MFMF among people with personal relevance while people without personal relevance to MI demonstrate no differences in attitude between myth/fact and fact‐only message formats. Personal relevance had the opposite moderating effect on perceived learning. These findings suggest that the MFMF's impact on attitudes, the typical focal point of social marketing campaigns targeting misconceptions about stereotyped groups, may be ineffective. Thus, using a fact‐only format that conveys new positive beliefs in a social marketing message is recommended within the specific context of MI and may be warranted in other health‐care and social issues.  相似文献   

    

Thomas J. Goldsby  A. Michael Knemeyer  Jason W. Miller  Carl Marcus Wallenburg 《Journal of Business Logistics》2013,34(2):109-116

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Diane A. Riordan  Michael P. Riordan 《Journal of Teaching in International Business》2013,24(2):174-187

This article provides an exercise for students to contemplate the effects of inflation during financial statement analysis. Even small amounts of inflation accumulating over time can grow to distort a company's reported financial position and results of operations. The growing economies in emerging markets, the international market for oil, and other economic factors threaten to increase inflation rates in the future. As a result of changing global conditions, interest in inflation accounting is expected to increase. The exercise we suggest in this article provides an efficient tutorial on the potential effects of inflation on financial statement analysis and on the application of International Accounting Standard 29 in hyperinflationary environments.  相似文献   

    

Mark J. Arnold  Kristy E. Reynolds  Michael A. Jones  Meltem Tugut  Colin B. Gabler 《心理学和销售学》2014,31(11):958-975

Previous research indicates that consumers differ in their evaluation of and response to similar retail experiences. Reporting results from three studies, the current research proposes consumers’ regulatory focus intensity as one possible source of this variation. Study 1 examines how consumers’ regulatory focus intensity influences their in‐store behavioral intentions following good and bad shopping experiences. Study 2 illustrates how consumers’ regulatory focus intensity impacts their future loyalty intentions after satisfactory retail experiences. In Study 3, the researchers explore how retailers can employ regulatory framing in their communication messages to increase the future loyalty intentions of those chronically less loyal consumers. Lastly, theoretical and managerial implications as well as limitations of this research are discussed.  相似文献