Senior Fellows/Fellows

|

Senior Fellows/Fellows

The Endowment Model and Modern Portfolio Theory

Stephen G. DIMMOCK, Neng WANG, Jinqiang YANG
We develop a dynamic portfolio-choice model with illiquid alternative assets to analyze conditions under which the “Endowment Model,” used by some large institutional investors such as university endowments, does or does not work. The alternative asset has a lock-up, but can be voluntarily liqui...
Keywords: endowment model, portfolio choice, liquidity, modern portfolio theory, asset allocation, alternative assets
  • View
  • Download
  • Bookmark
  •    |   

Senior Fellows/Fellows

|

Senior Fellows/Fellows

Machine Learning Approaches to Facial and Text Analysis: Discovering CEO Oral Communication Styles

Prithwiraj (Raj) CHOUDHURY, Dan WANG, Natalie A. CARLSON, Tarun KHANNA
The advent of machine learning (ML) tools presents researchers with the possibility of using large and new datasets related to text and image repositories. In this paper, we document how a novel synthesis of three methods—(1) unsupervised topic modeling of textual data to generate a new measure of...
Keywords: machine learning, topic modeling, facial image recognition, CEO communication, topic entropy
  • View
  • Download
  • Bookmark
  •    |   

Senior Fellows/Fellows

|

Senior Fellows/Fellows

Do Managers Matter? A Natural Experiment from 42 R&D Labs in India

Prithwiraj (Raj) CHOUDHURY, Tarun KHANNA, Christos MAKRIDIS
We exploit plausibly exogenous variation in the staggered entry of new managers into India’s 42 public R&D labs between 1994 and 2006 to study how alignment between the CEO and middle-level managers a˙ect research productivity. We show that the introduction of new lab managers aligned with th...
Keywords: incentives, innovation, management, productivity, research and development
  • View
  • Download
  • Bookmark
  •    |   

Senior Fellows/Fellows

|

Senior Fellows/Fellows

Augmenting Markets with Mechanisms

Samuel ANTILL, Darrell DUFFIE
We model a market in which traders lay off their excess inventories of an asset in a sequence of size-discovery sessions and on a continuously operating exchange. Taking the exchange as given, we derive a size-discovery mechanism that efficiently reallocates the asset across traders at each session...
Keywords: mechanism design, price impact, size discovery, allocative efficiency, workup, dark pool, market design
  • View
  • Download
  • Bookmark
  •    |   

Senior Fellows/Fellows

|

Senior Fellows/Fellows

Risk Sharing in a Politically Divided Monetary Union

David PARSLEY, Helen POPPER
We examine business cycle divergence and risk-sharing channels within the United States as a whole and in U.S. ‘regions’ whose populations have voted consistently Democrat (Blue) or Republican (Red) in national elections. We find: (1) state busi-ness cycle divergence exceeds international diver...
Keywords: monetary union, consumption risk-sharing, economic and political di-vergence
  • View
  • Download
  • Bookmark
  •    |