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Learning, Price Discovery, and Macroeconomic Announcements
​We document that the duration of investors’ information processing time improves the price discovery efficiency following public macroeconomic announcements

Haozhe Han, Grace Xing Hu, Calvin Dun Jia

Working Paper | No. 20230302 |

Keywords: Learning, Macroeconomic announcements, Price informativeness, Market efficiency

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Forecasting Stock Returns: The Role of New Global Market Integration Indices
This research examines the usefulness of new proposed equity premium predictors through their superior out-of-sample forecasting gains relative to the historical average return method and currently well-known spillover indices (Diebold and Yilmaz, 2009)

Cindy S.H. Wang, Cheng Hsiao, Gary C.K. Wen

Working Paper | No. 20230301 |

Keywords: CDAR test, forecast combination, Lasso, panel predictive model, three-pass regression filter (3PRF), complete subset regression

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Adaptive Robust Capacity Control with Adjustable Regret
A robust single-leg capacity control method based on adjustable regret is proposed to address the practical needs

Yingjie Lan

Working Paper | No. 20230103 |

Keywords: Revenue management, Adjustable regret, Robust optimization, Competitive analysis, Game theory

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Affirmative Action in Two Dimensions: A Multi-Period Apportionment Problem
In many settings, affirmative action policies apply simultaneously at two levels, for instance, at university and

Haydar Evren, Manshu Khanna

Working Paper | No. 20230102 |

Keywords: Affirmative Action, Apportionment, Market Design, Rounding Problem

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Taxation and Entrepreneurship in the United States
This paper studies the effects of income taxation on entrepreneurship, empirically and in astructural macro model

Hans A. Holter, Serhiy Stepanchuk, Yicheng Wang

Working Paper | No. 20230101 |

Keywords: Entrepreneurship, Taxation, Tax Progressivity, Business Risk, Insurance

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Peer Pressure and Moral Hazard: Evidence from Retail Banking Investment Advisors
It is generally believed that pressure from peers induces employees to improve their efficiency and performance, b

Chen Lin, Chenhao Wang, Yuchen Xu, Ting Zhang

Working Paper | No. 20221106 |

Keywords: Peer pressure, Moral hazard, Retail investment advisor

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Over-Commitment in M&A Valuation Adjustment Mechanism Agreements
AbstractWith hand-collected data on Chinese M&A agreements between 2010 and 2019, this paper reveals that some tar

Chaohui Chen, Chen Lin, Yuchen Xu, Linlan Yang

Working Paper | No. 20221105 |

Keywords: Valuation Adjustment Mechanism (VAM), Mergers and Acquisitions (M&A), Myopia

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The Impact of Securities Regulation on New Keynesian Firms
This paper describes a new fact and then analyzes its implication for aggregate fluctuations: sticky-price firms o

Erica Xuenan Li, Jin Xie, Ji Zhang

Working Paper | No. 20221104 |

Keywords: Nominal Rigidities, Financial Accelerator, New Keynesian Models, Earn-ings Misstatement, Sarbanes-Oxley Act, Monetary Policy

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Migration, Tariffs, and China’s Export Surge
We build a multi-sector spatial general equilibrium model that features heterogeneous firms and workers location choices to

Chen Liu, Xiao Ma

Working Paper | No. 20221103 |

Keywords: International trade, tariffs, labor-market adjustments, migration, firm loca-tion choices

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On the Fragility of DeFi Lending
We develop a dynamic model of DeFi (decentralized finance) lending incorporating the following key features: 1) bo

Jonathan Chiu, Emre Ozdenoren, Kathy Yuan, Shengxing Zhang

Working Paper | No. 20221102 |

Keywords: Decentralized finance, smart contracts, dynamic price feedback; financial fragility; ad-verse selection

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