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SSRN Research Paper Series
The Social Science Research Network’s Research Paper Series includes working papers produced by Stanford GSB the Rock Center.
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Violations of no-arbitrage conditions measure the shadow cost of intermediary constraints. Intermediary asset pricing and intertemporal hedging together imply that the risk of these constraints tightening is priced. We describe a…
We evaluate the quantitative effect of ESG divestitures on the cost of capital of affected firms. We derive a simple expression for the change in the cost of capital as a function of three inputs: (1) the fraction of socially…
Empirical models play a distinctive role in the study of matching markets. They provide a quantitative framework for measuring heterogeneity in preferences for schools (Hastings et al., 2009), comparing school assignment…
We present an approach to automate the bidding and budgeting of multi-unit digital advertising campaigns. Such campaigns typically involve groups of ad-units that span multiple user segments, ad-delivery channels and media that…
It is well-established that the Conquest of the Americas by Europeans led to catastrophic declines in indigenous populations. However, less is known about the conditions under which indigenous communities were able to overcome the…
Banks’ reluctance to repair their balance sheets, combined with deposit insurance and regulatory forbearance in recognizing greater risks and losses, can lead to solvency problems that look like liquidity (bank-run) crises…
How can we assess whether macro-prudential regulations are having their intended effects? If these regulations are optimal, their marginal benefit of addressing externalities should equal their marginal cost of distorting risk-…
Decisions take time, and the time taken to reach a decision is likely to be informative about the cost of more precise judgments. We formalize this insight in the context of a dynamic model of optimal evidence accumulation. We…
New products are the lifeblood of many sellers, who increasingly reach consumers via e-commerce platforms. Yet, search engines and e-commerce platforms have substantial difficulty exposing new products to their users on account of…
The Federal Reserve’s “balance-sheet normalization,” which reduced aggregate reserves between 2017 and September 2019, increased repo rate distortions, the severity of rate spikes, and intraday payment timing stresses, culminating…
This paper analyzes bond convenience yields in a currency union. The intertemporal government budget constraint requires member countries’ bond convenience yields and default spreads to adjust in response to shocks to their…
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…
In this study, we causally examine complementarity in usage across a set of related software products from a multi-product firm. Digital contexts are characterized by little price variation, bundled pricing plans, and infrequent…
Over half of all shopping journeys start with the mobile channel. In particular, the presence of a branded mobile app significantly influences shopping across channels. However, a majority of app users decrease app usage or even…
Genetic genealogy search has emerged as a powerful technique for identifying individuals by leveraging their genetic information and a genealogical network. The current practice relies on searching within a pre-constructed…
We study the problem of model selection for contextual bandits, in which the algorithm must balance the bias-variance trade-off for model estimation while also balancing the exploration-exploitation trade-off. In this paper, we…
It has become increasingly common for data to be collected adaptively, for example using contextual bandits. Historical data of this type can be used to evaluate other treatment assignment policies to guide future innovation or…
In e-commerce platforms, sponsored and non-sponsored content are jointly displayed to users and both may interactively influence their engagement behavior. The former content helps advertisers achieve their marketing goals and…
Conditionally accepted at Journal of Marketing Research.
This paper studies the impact of business modernization on the sales performance of traditional retailers. We define modernization as adopting tangible structures and…
We show that lenders face more uncertainty when assessing default risk of historically under-served groups in US credit markets and that this information disparity is a quantitatively important driver of inefficient and unequal…