4 citations · 6 across the 14 of their papers we have counts for
3 papers · 1 filter
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…