Managing supply chain risk and disruption from IT security incidents

Supply chain practices often put companies and their supply chains at risk. One of the most serious risks is disruptions. While many types of disruptions have been considered, little attention has been given to disruptions caused by information technology (IT) security incidents. Partner cooperation can assist in preventing or mitigating damage from IT security breaches in supply chains, where breaches can disrupt production, cause loss of essential data, and compromise confidential information. We develop a generalizable mathematical model that quantifies IT security risk in the supply chain. We then show how to find solutions for optimal risk reduction under several definitions of optimality: minimizing upstream risk, minimizing downstream risk, and minimizing global (supply chain) risk. We show how to develop curves for each of the above scenarios that indicate when extra funds should be spent on security, which security controls should be implemented, and when subsidies among partners are beneficial.     

Tenure,land rights,and farmer investment incentives in China

The goal of this paper is to understand the nature of the property rights associated with China's land tenure systems and to study the impact of these property rights on agricultural production efficiency. The results show that land tenure and associated property rights in rural China affect the production behavior of farmers. The most robust finding is that the right to use land for long periods of time encourages the use of land-saving investments. While the results show that land tenure affects agricultural production decisions, the difference between collective and private plots, however, is small compared to the private plot - communal productivity gap that existed in the pre-reform period.     

Can Hedge Funds Time the Market?

We answer the somewhat narrower question of whether hedge funds adjust their conditional market exposure in response to real‐time changes in macroeconomic conditions, and whether doing so improves their performance. We find that hedge funds differ substantially in their responsiveness to macroeconomic data. The most procyclical market timers outperform their less active and counter‐cyclical peers by over 4% annualized with a risk adjusted alpha of 5.5%.     

Factor market distortions across time,space and sectors in China

In this paper, we measure TFP losses in China?s non-agricultural economy associated with labour and capital misallocation across provinces and sectors between 1985 and 2007. We also decompose the overall loss into factor market distortions within provinces (between state and non-state sectors) and distortions between provinces (within sectors). Over the entire period, misallocation lowers aggregate non-agricultural TFP by an average of twenty percent. However, after initially declining, these losses increased appreciably beginning in the mid-1990s. This reversal can be attributed almost exclusively to increasing misallocation of capital between state and non-state sectors within provinces, while losses from between province misallocation remained fairly constant. We argue that the recent increase in capital market distortions is related to government policies that encourage investments in the state sector at the expense of investments in the more productive non-state sector.     

Resolving Macroeconomic Uncertainty in Stock and Bond Markets

We establish an empirical link between the ex-ante uncertaintyabout macroeconomic fundamentals and the ex-post resolutionof this uncertainty in financial markets. We measure macroeconomicuncertainty using prices of economic derivatives and relatethis measure to changes in implied volatilities of stock andbond options when the economic data is released. Higher macroeconomicuncertainty is associated with greater reduction in impliedvolatilities following the news release. It is also associatedwith increased volume and decreased open interest in optionmarkets after the release, consistent with market participantsusing financial options to hedge or speculate on macroeconomicnews.     

The computational complexity of random serial dictatorship

In social choice settings with linear preferences, random dictatorship is known to be the only social decision scheme satisfying strategyproofness and ex post efficiency. When also allowing indifferences, random serial dictatorship (RSD) is a well-known generalization of random dictatorship that retains both properties. RSD has been particularly successful in the special domain of random assignment where indifferences are unavoidable. While executing RSD is obviously feasible, we show that computing the resulting probabilities is #P-complete, and thus intractable, both in the context of voting and assignment.     

为什么政府要私有化?

基于所搜集的1998年到2000年的数据,本文从理论和实证角度考察了私有化的决定因素。理论模型清楚讨论了银行在决定私有化中的角色。我们发现改进的人力资本和银行经理层激励和/或弱化的银行流动性限制导致私有制。我们也分析了在何种情况下,倒闭将是一种更好的办法。并且实证证据和我们模型的预期相一致。     

Price discovery in the treasury futures market

The paper conducts a regression analysis utilizing both futures and cash market prices and net orderflow to determine where price discovery takes place as well as the forces at play that influence the location. Specifically, given the strong theoretical linkage between the U.S. Treasury cash and futures markets, they compare how orderflow contributes to price discovery and analyze how and when information flows from one market to the other. How a number of environmental variables (trader type, financing rates, and liquidity) impact the information flows between these two markets is also considered. Their findings provide new evidence on the extent to which price discovery happens away from a primary market. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27: 1021–1051, 2007