Publications
Recovering Investor Expectations from Demand for Index Funds
with
Mark Egan and
Hanbin Yang
[
NBER Working Paper 26608]
Accepted,
Review of Economic Studies
We propose a revealed-preference approach to estimate investor expectations of stock market returns. We construct a time-varying distribution of beliefs that allows for heterogeneity among investors. Investors have persistent beliefs that reflect past returns, and a large fraction are contrarians.
Contract Duration and the Costs of Market Transactions
Forthcoming,
American Economic Journal: Microeconomics
I describe a fundamental tradeoff in buyer-seller transactions: shorter contracts select more efficient sellers, but longer contracts avoid additional transaction costs. I provide an empirical model to account for this tradeoff and to estimate transaction costs, which are often unobserved.
The Long-Run Dynamics of Electricity Demand: Evidence from Municipal Aggregation
with
Tatyana Deryugina and
Julian Reif
American Economic Journal: Applied Economics, Vol. 12, No. 1 (2020), 86–114.
[Working paper version:
pdf |
SSRN |
NBER Working Paper 23483]
Using a natural experiment and a dynamic model, we estimate large differences between the short-run and the long-run demand elasticities for electricity. These dynamics have important market implications, as they affect investment in new generation and the response to a carbon tax.
Challenges for Empirical Research on RPM
with David Aron Smith
Review of Industrial Organization, Vol. 50, No. 2 (2017), 209–220.
We show that the quantity test that was suggested by Posner (1977; 1981) does not identify the change to welfare when demand-enhancing effects are considered generally. We outline other challenges and potential solutions to evaluating the effects of resale price maintenance (RPM).
Bias in Reduced-Form Estimates of Pass-Through
with
Nathan H. Miller,
Marc Remer,
and
Gloria Sheu
Economics Letters, Vol. 123, No. 2 (2014), 200–202.
[Working paper version:
pdf]
We show that a reduced-form regression of price on costs - the usual approach to estimating pass-through - may not provide a consistent estimate even when cost is a valid instrument. We provide a formal approximation to the bias and the additional conditions needed for consistency.