Working Papers

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.

David M. Kreps, Walter Schachermayer
July 2019

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...

Katherine Casey
June 28, 2019

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...

Dirk Bergemann, Francisco Castro, Gabriel Weintraub
June 18, 2019

We study the classic sequential screening problem in the presence of ex-post participation constraints. We establish necessary and sufficient conditions that determine exhaustively when the optimal selling mechanism is either static or sequential. In the...

David M. Kreps, Walter Schachermayer
June 12, 2019

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...

Philip G. Berger, Jung Ho Choi, Sorabh Tomar
June 9, 2019

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 disclosures to provide...

Rob Donnelly, Francisco R, Ruiz, David Blei, Susan Athey
June 2019

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...

Claudia Robles-Garcia
May 30, 2019

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. Loan-level data...

Katherine Casey, Rachel Glennerster, Edward Miguel, Maarten Voors
May 29, 2019

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...

Charles M. C. Lee, Edward M. Watts
May 9, 2019

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” experiment, we...

Robb Willer, Jan Gerrit Voelkel
May 8, 2019

While polls show progressive economic policies are popular, progressive candidates typically lose elections in the U.S. One explanation for this progressive paradox is that the opponents of progressive candidates often win through “symbolic politics,” successfully...

Lawrence M. Wein, Abbas Kazerouni
May 2019

Submitted to Operations Research

Motivated by drug design, we consider the best-arm identification problem in generalized linear bandits. More specifically, we assume each arm has a vector of covariates, there is an unknown vector of...

Jesse Perla, Christopher Tonetti, Michael E. Waugh
May 2019

We study how opening to trade affects economic growth in a model where heterogeneous firms can adopt new technologies already in use by other firms in their home country. We characterize the growth rate using...

Jung Ho Choi, Brandon Gipper
May 2019

We examine employment effects, such as wages and employee turnover, before, during, and after periods of fraudulent financial reporting. To analyze these effects, we combine U.S. Census data with SEC enforcement actions against firms with...

Anat R. Admati, Martin F. Hellwig
April 30, 2019

We take issue with claims that the funding mix of banks, which makes them fragile and crisis-prone, is efficient because it reflects special liquidity benefits of bank debt. Even aside from neglecting the systemic damage...

Harikesh S. Nair
April 30, 2019

This chapter presents a selective review of a literature in marketing that analyzes diffusion and pricing over the product life-cycle. I primarily focus on empirical work, and on papers that deal with the dynamics of...

John D. Kepler
April 27, 2019

Conventional wisdom suggests that firms can benefit from coordinating pricing and production decisions. One way firms can coordinate such decisions is through private communication. However, private communication between competing firms is typically not

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Takuo Sugaya, Yuichi Yamamoto
April 26, 2019

We study repeated games in which players learn the unknown state of the world by observing a sequence of noisy private signals. We find that for generic signal distributions, the folk theorem obtains using ex-post...

Juliane Begenau, Saki Bigio, Jeremy Majerovitz
April 2019

This paper presents five facts on the behavior of U.S. banks between 2007 and 2015 that impose useful restrictions on the formulation of a bank problem. (1) Market to book leverage ratio diverged significantly during...