Using Aggregated Relational Data to Feasibly Identify Network Structure...
Social network data is often prohibitively expensive to collect, limiting empirical network research. Typical economic network mapping requires (1) enumerating a census, (2) eliciting the names of all...
View ArticlePolls, the Press, and Political Participation: The Effects of Anticipated...
We exploit naturally occurring variation in the existence, closeness, and dissemination of pre-election polls to identify a causal effect of anticipated election closeness on voter turnout in Swiss...
View ArticleReducing Inequality Through Dynamic Complementarity: Evidence from Head Start...
We explore whether early childhood human-capital investments are complementary to those made later in life. Using the Panel Study of Income Dynamics, we compare the adult outcomes of cohorts who were...
View ArticleThe Digital Privacy Paradox: Small Money, Small Costs, Small Talk -- by Susan...
'Notice and Choice' has been a mainstay of policies designed to safeguard consumer privacy. This paper investigates distortions in consumer behavior when faced with notice and choice which may limit...
View ArticleHow Did China's WTO Entry Benefit U.S. Consumers? -- by Mary Amiti, Mi Dai,...
China's rapid rise in the global economy following its 2001 WTO entry has raised questions about its economic impact on the rest of the world. In this paper, we focus on the U.S. market and potential...
View ArticleMaimonides Rule Redux -- by Joshua D. Angrist, Victor Lavy, Jetson...
We use the discontinuous function of enrollment known as Maimonides Rule as an instrument for class size in large Israeli samples from 2002-2011. As in the 1991 data analyzed by Angrist and Lavy...
View ArticleCyclical Job Ladders by Firm Size and Firm Wage -- by John Haltiwanger, Henry...
We study whether workers progress up firm wage and size job ladders, and the cyclicality of this movement. Search theory predicts that workers should flow towards larger, higher paying firms. However,...
View ArticleThe Effects of Scientists and Engineers on Productivity and Earnings at the...
This paper uses linked establishment-firm-employee data to examine the relationship between the scientists and engineers proportion (SEP) of employment, and productivity and labor earnings. We show...
View ArticleWill Immelt's Retirement Lead to the Break-up of GE?
Stunning news from General Electric headquarters this morning; Jeffrey Immelt will step down as CEO, and John Flannery will succeed him. Many people wonder what's next for GE given the leadership...
View ArticleBeating the Omega Clock: An Optimal Stopping Problem with Random Time-horizon...
We study the optimal stopping of an American call option in a random time-horizon under exponential spectrally negative L\'evy models. The random time-horizon is modeled as the so-called Omega default...
View ArticlePortfolio optimization for a large investor controlling market sentiment...
We consider an investor faced with the utility maximization problem in which the risky asset price process has pure-jump dynamics affected by an unobservable continuous-time finite-state Markov chain,...
View ArticleClik here to view.
Redacted Version of the June 2017 FOMC Statement
Photo Credit: Craig Hatfieldread more...
View ArticleRealized volatility and parametric estimation of Heston SDEs....
We present a detailed analysis of the Heston model with particular emphasis on the indirect observability framework for parameter estimation in the volatility equation. Since the volatility process is...
View ArticleEffect of Intellectual Property Policy on the Speed of Technological...
In this paper, the agent-based modeling is employed to model the effect of intellectual property policy at the speed of technological advancement. Every agent has inborn preferences towards investing...
View ArticlePicking Winners: A Framework For Venture Capital Investment....
We consider the problem of selecting a portfolio of items of fixed cardinality where the goal is to have at least one item achieve a high return, which we refer to as winning. This framework is very...
View ArticleOpen Source Fundamental Industry Classification. (arXiv:1706.04210v1 [q-fin.GN])
We provide complete source code for building a fundamental industry classification based on publically available and freely downloadable data. We compare various fundamental industry classifications by...
View ArticleClik here to view.
Clik here to view.
Clik here to view.
A Practitioner's Guide to Asset Allocation
The authors' goal in writing this book is twofold: to describe several important innovations that address key challenges to asset allocation and to dispel certain fallacies about asset allocation....
View Article