Annual Conference

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Investment Finance

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May 2016

Compare the utility from consuming a certain amount under two circumstances which vary by the levels of past historical consumption. This paper’s premise is that the higher past historical consumption, the lower is the utility from current consumption. The paper and its companion, GHR, extend stan...
Keywords: loss aversion, Asset Pricing, Consumption, prospect theory
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Annual Conference

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Economic Transformation of Asia

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May 2015

The paper provides a first structural-estimation-based assessment of an influential hypothesis that export pioneers are too few relative to social optimum due to knowledge spillover in new market explorations. Such market failure requires two inequalities to hold simultaneously: the discovery cost i...
Keywords: Market failures, Export Pioneering, Knowledge spillover
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Annual Conference

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Household Finance

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May 2024

Selection markets create a multitasking environment where intermediary agents often need to increase consumer take-up as well as resolve information asymmetries about consumer expected cost during the sales process. I study how artificial intelligence (AI) affects attention allocation and informatio...
Keywords: AI, intermediary agents, rational inattention, information acquisition, multitasking, incentives, selection markets, insurance, InsurTech, advertising, digital footprints, adverse selection, side effects
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Annual Conference

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Corporate Finance

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May 2019

We construct a comprehensive dataset of initial coin offerings (ICOs) to study the determinants of ICO success, post-ICO returns, volatility and liquidity, and evolution of ICO-backed-ventures’ social media activity and productivity. Most of our results for ICOs are consistent with empirical regul...
Keywords: Token, initial coin offerings, volatility, liquidity
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2015

Using a daily sample of 25 countries from 2006 to 2010, we examine whether information from shorts can significantly predict future stock returns across different countries. We construct seven shorting measures using past shorting transactions, and fees information in the lending market. The majorit...
Keywords: Pricing Efficiency, Short Selling, Costs of Short Selling, Short Sale Regulations
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