Senior Fellows/Fellows

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Senior Fellows/Fellows

Using administrative universal business registration data as well as primary offine and online surveys of small businesses (including unregistered self-employments) in China, we examine (i) whether digitization helps small and medium enterprises (SMEs) better cope with the COVID-19 pandemic, and (ii...
Keywords: COVID-19, Digital Economy, E-Commerce, Small Businesses
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Institutional Collaborator

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Institutional Collaborator

The paper studies a natural experiment in responsible investment conducted by the Japanese Government Pension Investment Fund (GPIF). In 2018 GPIF gave its largest passive manager a remunerated mandate to engage with portfolio companies to improve ESG and adopted best-in-class indexes, rewarding hig...
Keywords: ESG, active ownership, investor stewardship, engagement, ESG indexes, passive managers, portfolio tilting
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Senior Fellows/Fellows

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Senior Fellows/Fellows

We develop a new class of tree-based models (P-Trees) for analyzing (unbalanced) panel data using economically guided, global (instead of local) split criteria that guard against overfitting while preserving interpretability. To generalize security sorting and better estimate the efficient frontier,...
Keywords: Asset Pricing, Decision Tree, Factors, Interpretable AI, Investment
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Senior Fellows/Fellows

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Senior Fellows/Fellows

We present a systematic approach to detect fake transactions on cryptocurrency exchanges by exploiting robust statistical and behavioral regularities associated with authentic trading. Our sample consists of 29 centralized exchanges, among which the regulated ones feature transaction patterns consis...
Keywords: Bitcoin, CeFi, cryptocurrency, Forensic Finance, Fraud Detection, regulation
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Senior Fellows/Fellows

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Senior Fellows/Fellows

Sparse models, though long preferred and pursued by social scientists, can be ineffective or unstable relative to large models, for example, in economic predictions (Giannone et al., 2021). To achieve sparsity for economic interpretation while effectively exploiting big data for superior empirical p...
Keywords: Asset Pricing, Bayesian Estimation, Decision Tree, Factors, Heterogeneity, Panel Data, Sorting, Spar
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