工作论文 PAPERS
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Common Correlated Effects Estimation of Nonlinear Panel Data Models
This paper focuses on estimating the coefficients and average partial effects of observed regressors in nonlinear panel data models with interactive fixed effects, using the common correlated effects (CCE, hereafter) framework The proposed two-step estim
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Exporting, Wage Profiles, and Human Capital: Evidence from Brazil
Export activity shapes workers’ experience-wage profiles Using detailed employer-employee and customs data for Brazilian manufacturing, we document that workers’ experience-wage profiles are steeper at exporters than at non-exporters and, among ex
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Upper and Lower Bounds on Robust One-way Trading with Fixed Costs
This paper considers the one-way trading problem with fixed costs where the trader can only trade in one direction throughout, either sell or buy, and he only knows limited information on price fluctuations beforehand We construct a robust optimization m
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Control of Conservatism for Robust Optimization by Adjustable Regret
It is commonly recognized that a major issue of robust optimization is the tendency to produce overly conservative solutions To address this issue, a new regret-based criterion with a single control parameter is proposed and axiomatized to offer smooth c
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Facilitating Entry through Leasing
We study how leasing plays a novel role in improving total factor productivity (TFP) by facilitating entry and technology adoption As a form of more collateralizable financing, leasing provides additional nancing for investment required in a productive
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Culture, Religion, and Short-Sale Constraints
We find that institutional investors’ local culture of religiosity influences their stock lending decisions and short-sell constraints Firms with higher ownerships by blockholders located in more religious counties are associated with higher utilizatio
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Media Negativity on Foreign Countries and International Asset Allocation
We investigate the relationship between media negativity on foreign countries and flows to country specific interna
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Learning, Price Discovery, and Macroeconomic Announcements
We examine the price discovery process in the Chinese equity market Leveraging a unique feature of China’s market - the release of macroeconomic announcements that are often unscheduled, varying in time, and occur outside of regular trading hours
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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)
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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