Related papers: The Rank Effect for Commodities
Economic models with input-output networks assume that firm or sector (unit) growth is driven by a weighted sum of trade partners' growth and an independently-drawn idiosyncratic shock. I show that the idiosyncratic risk assumption in a…
Why do companies choose particular capital structures? A compelling answer to this question remains elusive despite extensive research. In this article, we use double machine learning to examine the heterogeneous causal effect of credit…
We revisit the classic Cournot model and extend it to a two-echelon supply chain with an upstream supplier who operates under demand uncertainty and multiple downstream retailers who compete over quantity. The supplier's belief about retail…
Individuals often navigate several options with incomplete knowledge of their own preferences. Information provisioning tools such as public rankings and personalized recommendations have become central to helping individuals make choices,…
Venture capital outcomes are dominated by a small number of extreme successes, making it difficult to distinguish investor skill from favorable realizations in a highly skewed return distribution. We study this question by comparing…
Market timing is an investment technique that tries to continuously switch investment into assets forecast to have better returns. What is the likelihood of having a successful market timing strategy? With an emphasis on modeling…
The comparative statics of the optimal portfolios across individuals is carried out for a continuous-time complete market model, where the risky assets price process follows a joint geometric Brownian motion with time-dependent and…
In this comment we discuss the problem of reconciling the linear efficiency of price returns with the long-memory of supply and demand. We present new evidence that shows that efficiency is maintained by a liquidity imbalance that co-moves…
The assortment planning problem is a central piece in the revenue management strategy of any company in the retail industry. In this paper, we study a robust assortment optimization problem for substitutable products under a sequential…
We propose a probabilistic framework for pricing derivatives, which acknowledges that information and beliefs are subjective. Market prices can be translated into implied probabilities. In particular, futures imply returns for these implied…
We analyze reputation dynamics in an online market for illicit drugs using a novel dataset of prices and ratings. The market is a black market, and so contracts cannot be enforced. We study the role that reputation plays in alleviating…
For better or for worse, rankings of institutions, such as universities, schools and hospitals, play an important role today in conveying information about relative performance. They inform policy decisions and budgets, and are often…
Search prominence may have a detrimental impact on a firm's profits in the presence of costly product returns. We analyze the impact of search prominence on firm profitability in a duopoly search model, considering the presence of costly…
We study efficiency improvements in randomized experiments for estimating a vector of potential outcome means using regression adjustment (RA) when there are more than two treatment levels. We show that linear RA which estimates separate…
Empirical evidence suggests that even the most competitive markets are not strictly efficient. Price histories can be used to predict near future returns with a probability better than random chance. Many markets can be considered as {\it…
Universal features in stock markets and their derivative markets are studied by means of probability distributions in internal rates of return on buy and sell transaction pairs. Unlike the stylized facts in log normalized returns, the…
This paper investigates the time-varying risk-premium relation of the Chinese stock markets within the framework of cross-sectional momentum and contrarian effects by adopting the Capital Asset Pricing Model and the French-Fama three factor…
I propose a quantile-based nonadditive fixed effects panel model to study heterogeneous causal effects. Similar to standard fixed effects (FE) model, my model allows arbitrary dependence between regressors and unobserved heterogeneity, but…
We study the efficiency of allocations in large markets with a network structure where every seller owns an edge in a graph and every buyer desires a path connecting some nodes. While it is known that stable allocations in such settings can…
We study economies where consumers interact independently with many monopolists. When consumer valuations over goods are correlated, correlation can distort the induced distribution of consumer surplus (information rents). We identify which…