Optimal portfolio with insider information on the stochastic interest rate....
We consider the optimal portfolio problem where the interest rate is stochastic and the agent has insider information on its value at a finite terminal time. The agent's objective is to optimize the...
View ArticleThe Many Ways Amazon and Others Could Storm the Gates of Finance
The Many Ways Amazon and Others Could Storm the Gates of Finance https://t.co/m1JoIMVv1j — moneyscience (@moneyscience) November 13, 2017
View ArticleRemarks of CFTC Chairman J. Christopher Giancarlo to the ISDA Regulators and...
Remarks of CFTC Chairman J. Christopher Giancarlo to the ISDA Regulators and Industry Forum, Singapore
View ArticleOn the Economics of Audit Partner Tenure and Rotation: Evidence from PCAOB...
This paper provides the first partner tenure and rotation analysis for a large cross-section of U.S. publicly listed firms over an extended period. We analyze the effects on audit quality as well as...
View ArticleHow Well Do Structural Demand Models Work? Counterfactual Predictions in...
Discrete choice demand models are widely used for counterfactual policy simulations, yet their out-of-sample performance is rarely assessed. This paper uses a large-scale policy change in Boston to...
View ArticleThe Gold Pool (1961-1968) and the Fall of the Bretton Woods System. Lessons...
The Gold Pool (1961-1968) was one of the most ambitious cases of central bank cooperation in history. Major central banks pooled interventions - sharing profits and losses - to stabilize the dollar...
View ArticleEducational Upgrading and Returns to Skills in Latin America: Evidence from a...
This paper documents the evolution of wage differentials and the supply of workers by educational level for sixteen Latin American countries over the period 1991-2013. We find a pattern of rather...
View ArticleDaily Price Limits and Destructive Market Behavior -- by Ting Chen, Zhenyu...
We use account-level data from the Shenzhen Stock Exchange to show that daily price limits, a widely adopted market stabilization mechanism, may lead to unintended, destructive market behavior: large...
View ArticleThe Life-Cycle Dynamics of Exporters and Multinational Firms -- by Anna...
This paper studies the life-cycle dynamics of exporters and multinational enterprises (MNEs). We present a dynamic model of trade and MNE activity in which the mode of serving a market depends on the...
View ArticleManagement Quality in Public Education: Superintendent Value-Added, Student...
We present evidence about the ways that school superintendents add value in Israel's primary and middle schools. Superintendents are the CEOs of a cluster of schools with powers to affect the quality...
View ArticleMeasuring Global Value Chains -- by Robert C. Johnson
Recent decades have seen the emergence of global value chains (GVCs), in which production stages for individual goods are broken apart and scattered across countries. Stimulated by these developments,...
View ArticleCharacterizing the Drug Development Pipeline for Precision Medicines -- by...
Precision medicines - therapies that rely on genetic, epigenetic, and protein biomarkers - create a better match between individuals with specific disease subtypes and medications that are more...
View ArticlePass-Through of Input Cost Shocks Under Imperfect Competition: Evidence from...
The advent of hydraulic fracturing lead to a dramatic increase in US oil production. Due to regulatory, shipping and processing constraints, this sudden surge in domestic drilling caused an...
View ArticleBid Shading and Bidder Surplus in the U.S. Treasury Auction System -- by Ali...
We analyze bidding data from uniform price auctions of U.S. Treasury bills and notes between July 2009-October 2013. Primary dealers consistently bid higher yields compared to direct and indirect...
View ArticleMissing Growth from Creative Destruction -- by Philippe Aghion, Antonin...
Statistical agencies typically impute inflation for disappearing products based on surviving products, which may result in overstated inflation and understated growth. Using U.S. Census data, we apply...
View ArticleThe 'China Shock', Exports and U.S. Employment: A Global Input-Output...
We quantify the impact on U.S. employment from imports and exports during 1995-2011, using the World Input-Output Database. We find that the growth in U.S. exports led to increased demand for 2 million...
View ArticleOrphan Drug Designations as Valuable Intangible Assets for IPO Investors in...
Orphan Drug (OD) legislation has been implemented with regulatory and financial incentives to encourage drug innovation in order to treat rare diseases. This study aims to test whether OD Designations...
View ArticleThe Information Pharms Race and Competitive Dynamics of Precision Medicine:...
Precision medicines inherently fragment treatment populations, generating small-population markets, creating high-priced "niche busters" rather than broadly prescribed "blockbusters". It is plausible...
View ArticleHow Well Do Automated Methods Perform in Historical Samples? Evidence from...
New large-scale data linking projects are revolutionizing empirical social science. Outside of selected samples and tightly restricted data enclaves, little is known about the quality of these "big...
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