Working Papers

This paper deals with a central challenge in organizational sociology: to predict adaptive capabilities in changing environments. We address theoretical and methodological gaps in existing research. First, whereas researchers have long acknowledged that the evolution...

In our modeled setting, we show that the now-common practice of size discovery detracts from overall Financial market efficiency. A continually operating exchange uses double auctions to discover prices and clear markets. At each of...

We use trade-level data to examine the role of actively managed funds (AMFs) in earnings news dissemination.   AMFs trade 170 percent more on earnings announcement (EA) days than on non-EA days.  Abnormal AMF participation is...

We develop a Loan Portfolio Risk (LPR) variable that measures time-varying volatility in default risk for a portfolio of bank loans.  An Equity-to-LPR ratio (ELPR) is incrementally important in predicting bank failure up to five...

Many learning algorithms require categorical data to be transformed into real vectors before it can be used as input. Often, categorical variables are encoded as one-hot (or dummy) vectors. However, this mode of representation can...

This paper provides a positive identification result for first-price procurement models with asymmetric bidders, statistically dependent private signals,
and interdependent costs. When bidders are risk neutral, the model’s payoff-relevant primitives are: (i) the joint...

We examine Kreps’ (2019) conjecture that optimal expected utility in the classic Black–Scholes–Merton (BSM) economy is the limit of optimal expected utility for a sequence of discrete-time economies that “approach” the BSM economy in a natural...

Seminal studies show that naïve lab participants accurately predict who wins real-world elections based solely on candidate photos. It is unclear what this implies for the health of democracy without knowing whether candidates who look...

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 probability law of a...