We model financial innovations such as Exchange-Traded Funds, smart beta products, and many index-based vehicles as composite securities (CSs) that facilitate trading the common factors in assets' liquidation values. Through accessing a larger basket of assets in endogenously chosen proportions,...

We build a two-country general equilibrium model to analyze the effects of cross-border data flows and pre-existing development gaps in data economies on each country's production and international trade. Raw data as byproducts of consumption can be transformed into various types of working data...

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 exploiting big data for superior empirical...

Blockchain-based smart contracts can potentially replace certain traditional contracts through decentralized enforcement and reduced transaction costs. However, scalability is a key bottleneck hindering their broader application and adoption, often leading to concentrated or exclusive networks....

Web3 and DeFi are widely advocated as innovations for greater financial inclusion and democratization. We assemble the most comprehensive dataset to date on the largest Web3 ecosystem and use large-scale computing to conduct an initial investigation. We describe Ethereum's network structure,...

We document that value-to-price, the ratio of Residual-Income-Model-based valuation to market price, subsumes the power of book-to-market ratio and many other value or quality measures in predicting stock returns. Long-short value-to-price portfolios hedge against momentum, revitalize the...