Showing 21 - 30 of 148
We develop a dynamic asset pricing model of cryptocurrencies/tokens that allows users to conduct peer-to-peer transactions on digital platforms. The equilibrium value of tokens is determined by aggregating heterogeneous users' transactional demand rather than discounting cash flows, as is done...
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We develop a dynamic model of platform economy where tokens derive value by facilitating transactions among users and the platform conducts optimal token-supply policy. Token supply increases when new tokens are issued to finance platform growth and to reward platform owners. Token supply...
Persistent link: https://www.econbiz.de/10012481113
We introduce a class of interpretable tree-based models (P-Tree) for analyzing (unbalanced) panel data, with iterative and global (instead of recursive and local) split criteria. We apply P-Tree to split the cross section of asset returns under the no-arbitrage condition, generating a stochastic...
Persistent link: https://www.econbiz.de/10013323138
This paper endogenizes auction timing and initiation in auctions of real options. Because bidders have information rent, a seller faces a "virtual strike price" higher than the actual exercise cost. She inefficiently delays the auction to encourage bidder participation and utilizes the...
Persistent link: https://www.econbiz.de/10012905534
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We study credit allocation across firms and its real effects during China's economic stimulus plan of 2009-2010. We match confidential loan-level data from the 19 largest Chinese banks with firm-level data on manufacturing firms. We document that the stimulus-driven credit expansion...
Persistent link: https://www.econbiz.de/10012852828
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...
Persistent link: https://www.econbiz.de/10012828874
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...
Persistent link: https://www.econbiz.de/10012854175
Persistent performance in venture capital is routinely interpreted as evidence for skill. We present a dynamic model of delegated investment with endogenous fund heterogeneity and deal flow, which generates performance persistence without skill differences and predicts mean reversion in...
Persistent link: https://www.econbiz.de/10012854632