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Empirical researchers are increasingly faced with rich data sets containing many controls or instrumental variables, making it essential to choose an appropriate approach to variable selection. In this paper, we provide results for valid inference after post- or orthogonal L2-boosting is used for variable selection. We consider treatment effects after selecting among many control variables and instrumental variable models with potentially many instruments. To achieve this, we establish new results for the rate of convergence of iterated post-L2-boosting and orthogonal L2-boosting in a high-dimensional setting similar to Lasso, i.e., under approximate sparsity without assuming the beta-min condition. These results are extended to the 2SLS framework and valid inference is provided for treatment effect analysis. We give extensive simulation results for the proposed methods and compare them with Lasso. In an empirical application, we construct efficient IVs with our proposed methods to estimate the effect of pre-merger overlap of bank branch networks in the US on the post-merger stock returns of the acquirer bank.
June 2023
Journal of Econometrics
Risk premia increase with government debt. Debt-to-GDP ratios positively predict stock returns at short and long horizons in the U.S. and other advanced economies. Higher debt is also associated with higher bond premia and lower risk-free rates. Major government debt theories (liquidity, safety, crowding out) either do not address or are inconsistent with these findings. New evidence suggests that the increased risk premia provide compensation for larger fiscal risk; during periods of elevated debt, fiscal policy becomes more uncertain and less effective and can lead to debt crises. I quantify these mechanisms in an equilibrium model.
May 2023
Journal of Monetary Economics
Shared coupons, a new form of coupon, differ from coupons distributed directly from businesses (i.e., direct coupons) in that shared coupons combine two influential components: economic savings (e.g., $5 off) and social sharing (e.g., from friends). Using two lab experiments and two large-scale field experiments on social media, the authors find that regular shared coupons underperform direct coupons in terms of coupon redemption because of the norm conflict between economic incentives and communal relationships (i.e., friendships), whereas shared coupons with experience cocreation, in which coupon givers and coupon receivers must invest joint efforts to create a shared experience before redeeming the coupons, outperform direct coupons. Experience cocreation can advance social goals (e.g., building friendships), reduce the norm conflict, and thereby make customers more likely to share and to redeem coupons. The authors further investigate the effects of two strategies for driving the redemption of shared coupons with experience cocreation: changing the coupon's face value (low vs. high) and using ex post communication (social messages vs. economic messages). They find that social messages can make low-value coupons as effective as high-value coupons, thereby enabling the firm to “do more with less.”
May 2023
Journal of Marketing
As the gig economy grows, companies need to adapt to a changed incentives landscape.
May 2023
Economics
Shared coupons are more popular than coupons sent directly by firms, but are redeemed less often. Switching the focus to the coupon’s social benefits changes the results.
May 2023
Marketing
Imagine you’re a successful executive at a large IT company. You’re in charge of security. Your decade-old firm is well established, selling complex, popular IT solutions to large corporations and government bodies. It’s an ordinary Saturday morning, you’re having your coffee and your phone rings. The caller informs you that your company has been subject to a massive cyberattack. Your company’s systems are compromised, and, worse, so are those of your customers. It’s your “nightmare moment”.
May 2023
Finance
While computer languages may sound alien to economics, I aim to showcase that good programming skills are conducive not limited to economic research, it can also open up endless career possibilities for you in the business world.
31 Jan 2022
Economics
As a teacher, I will push myself to understand the expectations of local employers' and the market dynamics of Hong Kong.
18 Jan 2022
Finance
As a science person, I am impressed by our students' strong business acumen. But as a teacher, other than teaching them how to use quantitative tools to make scientific claims, I also hope that I can encourage them to continue to stay inquisitive about the world and apply their classroom knowledge for the betterment of the society.
5 Jan 2022
Marketing
註冊制是市場化程度更高的股票發行制度,為美國、英國、香港、新加坡等市場所採用,此次全面落實制度之舉,體現內地證券市場與國際證券市場進一步接軌。本文對註冊制的推展歷程作一扼要回顧,並分析新舊制度的不同特色。
24 May 2023
Faculty
作為一個多元旅遊城市,香港以豐富的文化遺產、美食文化、國際化購物環境和現代商業的都市風貌而舉世聞名,成為國內外廣大遊客心中的旅遊勝地。然而,受全球新冠疫情的影響,香港旅遊業也成為最受打擊的行業之一。
17 May 2023
Faculty
筆者兩個月前在本欄撰文〈香江失健筆,本港缺奇才〉,論及香港文藝界花果飄零,創意行業難以振興。一些朋友頗有微詞,責怪筆者沒由來的悲觀。過去兩月,各種藝術節、文化節、展覽會、音樂會接踵而至,乃至五一黃金周前的美食市集、全港戲院日,無不四處人頭湧動,足見本地文藝文化產業活力十足。筆者自問:錯否,錯否?繁花似錦,卻道綠肥紅瘦!
10 May 2023
Faculty
註冊制是市場化程度更高的股票發行制度,為美國、英國、香港、新加坡等市場所採用,此次全面落實制度之舉,體現內地證券市場與國際證券市場進一步接軌。本文對註冊制的推展歷程作一扼要回顧,並分析新舊制度的不同特色。
24 May 2023
Finance
作為一個多元旅遊城市,香港以豐富的文化遺產、美食文化、國際化購物環境和現代商業的都市風貌而舉世聞名,成為國內外廣大遊客心中的旅遊勝地。然而,受全球新冠疫情的影響,香港旅遊業也成為最受打擊的行業之一。
17 May 2023
Faculty
“Wall Street banks should have factored in geopolitical risks a long time ago,” said Chen Zhiwu, a professor of finance at the University of Hong Kong Business School. “Over the next five years, the best case scenario for them is that China reverses direction and goes back to real open-door policy and market reforms, revitalizing the business environment. This is an extremely unlikely scenario but not impossible.”
17 May 2023
Faculty