Publications

We prove a fundamental result concerning the connection between discrete-time models of financial markets and the celebrated Black–Scholes–Merton continuous-time model in which “markets are complete.” Specifically, we prove that if (a) the…

Does decomposing cost of goods sold entail significant competitive costs? We examine this question using a relaxation of disaggregated manufacturing cost disclosure requirements in Korea. Our survey evidence indicates managers perceive these…

We study whether innovation box tax incentives, which reduce tax rates on innovation-related income, are associated with tax-motivated income shifting, investment, and employment in the countries that implement these regimes. Using a matched…

In collaboration with an online seller of home-improvement products, the authors conduct a large-scale randomized field experiment to study the effects of retargeted advertising, a form of internet advertising in which banner ads are displayed to…

This paper proposes a method for estimating consumer preferences among discrete choices, where the consumer chooses at most one product in a category, but selects from multiple categories in parallel. The consumer’s utility is additive in the…

When do protest organizations borrow issues or claims that are outside their traditional domains? Sociologists have examined the consequences of borrowing claims across movement boundaries, but not the antecedents of doing so. We argue that…

In complex supply chains, the benefits and costs of technological innovations do not always accrue equitably to all parties; thus, their adoption may critically depend on sourcing relationships and incentives. In a setting with uncertain and…

We assume that domestic (foreign) agents, when investing abroad, can only trade in the foreign (domestic) risk-free rates. In a preference-free environment, we derive the exchange rate volatility and risk premia in any such incomplete spanning…

The failure to find fundamentals that co-move with exchange rates or forecasting models with even mild predictive power – facts broadly referred to as “exchange rate disconnect” – stands among the most disappointing, but robust, facts in all of…

This paper studies the strategic interaction between a monopolistic seller of an information product and a set of potential buyers that compete in a downstream market. Our analysis illustrates that the nature and intensity of competition among…

Random forests are a powerful method for non-parametric regression, but are limited in their ability to fit smooth signals, and can show poor predictive performance in the presence of strong, smooth effects. Taking the perspective of random…

This case is a setting to discuss “loan to own” investment strategy that is often pursued by distressed investors. The aftermath of the 2007 financial crisis left many companies with poor liquidity and limited ability to obtain credit. One of…

Using Census microdata on multi-state firms and their organizational forms, we estimate the impact of state taxes on business activity. For C corporations, employment and the number of establishments have short-run corporate tax elasticities of -…

We analyze test design and certification standards when an uninformed seller has the option to generate and disclose costly information regarding asset quality. We characterize equilibria by a minimum principle: the test and disclosure policy are…

Fixing the investment horizon, the returns to currency carry trades decrease as the maturity of the foreign bonds increases. Across developed countries, the local currency term premia, which increase with the maturity of the bonds, offset the…

We nonparametrically estimate spillovers of properties financed by the Low Income Housing Tax Credit (LIHTC) onto neighborhood residents by developing a new difference-in-differences style estimator. LIHTC development revitalizes low-income…

Mortgage brokers acting as expert advisors for households often receive commission payments from lenders. This paper empirically analyzes the effects on welfare and market structure of regulations restricting this form of broker compensation.…

Where the state is weak, traditional authorities often control the local provision of land, justice, and public goods. These authorities are criticized for ruling in an undemocratic and unaccountable fashion, and are typically quite…

This study examines how an increase in tick size affects algorithmic trading (AT), fundamental information acquisition (FIA), and the price discovery process around earnings announcements (EAs). Leveraging the SEC’s randomized “Tick Size Pilot”…

Using a large sample of business groups from more than 100 countries around the world, we show that group information matters for parent and subsidiary default prediction. Group firms may support each other when in financial distress. Potential…