These papers are working drafts of research which often appear in final form in academic journals. The published versions may differ from the working versions provided here.
SSRN Research Paper Series
The Social Science Research Network’s Research Paper Series includes working papers produced by Stanford GSB the Rock Center.
You may search for authors and topics and download copies of the work there.
We consider the problem of a rational, Bayesian agent receiving signals over time for the purpose of taking an action. The agent chooses when to stop and take an action based on her current beliefs, and prefers (all else equal) to…
We propose a new adaptive empirical Bayes framework, the Bag-Of-Null-Statistics (BONuS) procedure, for multiple testing where each hypothesis testing problem is itself multivariate or nonparametric. BONuS is an adaptive and…
We document regime change in the U.S. Treasury market post-Global Financial Crisis (GFC): dealers switched from a net short to a net long position in the Treasury market. We first derive bounds on Treasury yields that account for…
An extensive literature examines whether senior executives’ contractual incentives influence their financial reporting decisions. However, little is known about whether — and how — the incentives of lower-level (or “rank-and-file…
This paper studies the construction of p-values for nonparametric outlier detection, taking a multiple-testing perspective. The goal is to test whether new independent samples belong to the same distribution as a reference data…
We study three centuries of UK fiscal history. Before World War I, when the UK dominated global bond markets, the UK’s government debt was not always fully backed by its future surpluses. As predicted by theories of safe asset…
The United States spends twice as much per person on pharmaceuticals as European countries, in large part because prices are much higher in the US. This fact has led policymakers to consider legislation for price controls. This…
Existing survival analysis techniques heavily rely on strong modelling assumptions and are, therefore, prone to model misspecification errors. In this paper, we develop an inferential method based on ideas from conformal…
We empirically characterize how China is internationalizing the Renminbi by selectively opening up its domestic bond market and propose a dynamic reputation model to explain China’s internationalization strategy. While previously…
We introduce a framework for calibrating machine learning models so that their predictions satisfy explicit, f inite-sample statistical guarantees. Our calibration algorithm works with any underlying model and (unknown) data…
Since 1980, foreign investors have timed their purchases and sales of U.S. Treasurys to yield particularly low returns. Their annual dollar-weighted returns, measured by IRRs, are around 3% lower than a buy-and-hold strategy over…
Firms have ever increasing access to consumer data, which they use to personalize their advertising and to price discriminate. This raises privacy concerns. Policymakers have argued in response that consumers should be given…
We use discounted cash flow analysis to measure a country’s fiscal capacity. Crucially, the discount rate applied to projected cash flows includes a GDP risk premium. We apply our valuation method to the CBO’s projections for the…
We examine the spillover effect of public firm innovation disclosures on the patent trading market. Relative to equity markets, the patent market is decentralized and rife with information frictions, yet it serves as an important…
We introduce convenience yields on dollar bonds into an incomplete-markets equilibrium model of exchange rates and interest rates. The convenience yield enters as a stochastic wedge in the Euler equation for exchange rate…
We propose and describe a corporate carbon reporting framework intended to strengthen the credibility and transparency of the existing net-zero pledges. We refer to this framework as the Time-Consistent Corporate Carbon Reporting…
Can differences in beliefs about politics, particularly the benefits of war and peace, move markets? During the Siege of Paris by the Prussian army (1870–71) and its aftermath, we document that the price of the French 3% sovereign…
Conditionally accepted at the Journal of Accounting and Economics.
We investigate the relationship between private firms’ disclosures and the demand for the equity of their publicly traded peers. Using data on the global…
We examine how information about the diversity of a potential employer’s workforce affects individuals’ job-seeking behavior, and whether workers’ preferences explain corporate disclosure decisions. We embed a field experiment in…
Sequential experiments are deployed in a variety of practices, including for optimizing product recommendations and pricing in online platforms. Such experiments are often characterized by an exploration-exploitation tradeoff that…