7 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…
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…
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,…