This paper connects the return to entrepreneurship and firm growth decisions in a dynamic investment model with limited access to external financing. When additional assets can effectively relieve financing constraints, the entrepreneur values dollar return more than its face value for firm...

I examine the possibility of information-based trading in a multiperiod consumption setting. I develop a necessary and sufficient condition for trade to occur. Intertemporal substitution introduces a desire to correlate current consumption with future aggregate shocks. When agents have...

We model financial innovations such as Exchange-Traded Funds, smart beta products, and many index-based vehicles as composite securities that facilitate trading common factors in assets' liquidation values. Through accessing a larger basket of assets in endogenously-chosen proportions, composite...

Blockchain technology provides decentralized consensus and potentially enlarges the contracting space through smart contracts with tamper-proofness and algorithmic executions. Meanwhile, generating decentralized consensus entails distributing information that necessarily alters the informational...

Blockchain technology provides decentralized consensus and potentially enlarges the contracting space using smart contracts with tamper-proofness and algorithmic executions. Meanwhile, generating decentralized consensus entails distributing information which necessarily alters the informational...

We predict asset returns and measure risk premia using a prominent technique from artificial intelligence -- deep sequence modeling. Because asset returns often exhibit sequential dependence that may not be effectively captured by conventional time series models, sequence modeling offers a...