4 citations · 6 across the 14 of their papers we have counts for
16 papers
The Cross-Section of Stock Returns and AI Exposure
Nicola Borri, Yukun Liu, Aleh Tsyvinski
We study 380 trillion tokens of realized AI consumption across more than four hundred LLMs. We build a high-frequency AI factor and show that a long-short strategy based on firms'…
Trading Frictions in Dynamic Cap-and-Trade Markets
Nicola Borri, Yukun Liu, Aleh Tsyvinski +1
Using 2.8 million EU ETS transactions and compliance records, 2005-2022, we document three facts about the world's largest carbon market: each year, 37% of regulated operators do n…
Triple/Double-Debiased Lasso
Denis Chetverikov, Jesper R. -V. Sørensen, Aleh Tsyvinski
In this paper, we propose a triple (or double-debiased) Lasso estimator for inference on a low-dimensional parameter in high-dimensional linear regression models. The estimator is…
Multidimensional Sorting: Comparative Statics
Job Boerma, Andrea Ottolini, Aleh Tsyvinski
Characterizing multidimensional sorting problems is notoriously difficult - solutions are known only for a small number of examples. Our main results completely characterize the co…
Cryptocurrency as an Investable Asset Class: Coming of Age
Nicola Borri, Yukun Liu, Aleh Tsyvinski +1
We organize existing empirical regularities of cryptocurrencies into seven stylized facts and analyze cryptocurrencies through the lens of empirical asset pricing. We find importan…
Higher-Order Asset Pricing Factors via Forward Selection Fama-MacBeth Regression
Nicola Borri, Denis Chetverikov, Yukun Liu +1
We show that the higher-order terms and interactions of the common sparse linear factors are significantly priced in the cross-section of equity returns. A higher-order model with…
Inefficiencies of Carbon Trading Markets
Nicola Borri, Yukun Liu, Aleh Tsyvinski +1
The European Union Emission Trading System is a prominent market-based mechanism to reduce emissions. While the theory is well understood, we are the first to study the whole cap-a…
One Factor to Bind the Cross-Section of Returns
Nicola Borri, Denis Chetverikov, Yukun Liu +1
We propose a new non-linear single-factor asset pricing model . Despite its parsimony, this model represents exactly any non-linear model with an arbit…
Composite Sorting
Job Boerma, Aleh Tsyvinski, Ruodu Wang +1
This paper introduces an assignment model with concave costs of skill gaps, which arise generally when firms mitigate costs of mismatch as in Stigler (1939) and Laffont and Tirole…
Bunching and Taxing Multidimensional Skills
Job Boerma, Aleh Tsyvinski, Alexander P. Zimin
We characterize optimal policy in a multidimensional nonlinear taxation model with bunching. We develop an empirically relevant model with cognitive and manual skills, firm heterog…
Weighted-average quantile regression
Denis Chetverikov, Yukun Liu, Aleh Tsyvinski
In this paper, we introduce the weighted-average quantile regression framework, , where is a dependent variable, is a vector of covariates,…
Beckmann's approach to multi-item multi-bidder auctions
Alexander V. Kolesnikov, Fedor Sandomirskiy, Aleh Tsyvinski +1
We consider the problem of revenue-maximizing Bayesian auction design with several bidders having independent private values over several items. We show that it can be reduced to t…
Sorting with Teams
Job Boerma, Aleh Tsyvinski, Alexander P. Zimin
We fully solve a sorting problem with heterogeneous firms and multiple heterogeneous workers whose skills are imperfect substitutes. We show that optimal sorting, which we call mix…
Policy with stochastic hysteresis
Georgii Riabov, Aleh Tsyvinski
The paper develops a general methodology for analyzing policies with path-dependency (hysteresis) in stochastic models with forward looking optimizing agents. Our main application…
On Vickrey's Income Averaging
Stefan Steinerberger, Aleh Tsyvinski
We consider a small set of axioms for income averaging -- recursivity, continuity, and the boundary condition for the present. These properties yield a unique averaging function th…
Tax Mechanisms and Gradient Flows
Stefan Steinerberger, Aleh Tsyvinski
We demonstrate how a static optimal income taxation problem can be analyzed using dynamical methods. Specifically, we show that the taxation problem is intimately connected to the…