Working Papers
"Faster Shipping or Cheaper Price? Gender Differences in Online Shopping". [Latest Draft]
(Job market paper, with Shiliang Cui)
Online retailers compete in price, product variety, services, and delivery speed. Using unique transaction level data, we estimate consumer preferences on price and expected delivery time based on a bundle of Stock-keeping Units sales under one product category on JD.com platform in March 2018. We find that promised delivery time have a significant impact on consumers choices, in addition to product price, brand and product attributes. Female consumers are more price sensitive and male consumers are more delivery time sensitive. The gender difference in delivery time persists when we control for online shoppers' wealth and browsing patterns like whether the consumer is a last-minute shopper. In particular, the average willingness to pay for faster delivery is 6.7 Yuan per day for female customers and 10.9 Yuan for male customers. Our empirical finding suggests that online retailers can profit from offering consumers more options to choose between lower prices and faster delivery speed or offering coupons to designated customer groups.
"Jumping on the Bandwagon? Attendance Response to Recent Victories in the NBA"
(with Ercio Munoz and Milan Thomas)
Previous studies show that bettors and competitors alike believe that momentum carries over positively between contests in major league sports. This article applies a regression discontinuity design to estimate the causal effect of a win on the attendance of subsequent games in professional basketball. Using National Basketball Association data from 1981 to 2018, we find that home team fan bases react to a recent victory, with an increase in attendance of approximately 425 tickets. The increment is approximately one-eighth of a recent estimate of the superstar effect. We do not find an attendance effect when the visiting team has a recent victory. The positive fan base response to narrow home wins relative to narrow losses suggests that like bettors, fans believe in momentum, and that recent luck is rewarded in sporting attendance. We document a gradual decline in the attendance effect that coincides with the rise of secondary markets and dynamic ticket pricing.
"First duration, then convexity, then what? Tilt?" SSRN paper link
(with James Angel and Nikkie Pacheco)
Standard treatments of the impact of interest rate changes on bond prices include duration and convexity. These concepts derive from the first and second derivatives of a Taylor series expansion of an option-free bond price as a function of interest rates. Does the third derivative matter? This paper derives the formula for the third derivative- based term, which we call tilt, and explores its properties. Tilt tells how quickly the convexity changes. Similar to the properties of duration, a higher yield reduces tilt, a longer maturity increases tilt, and a higher coupon reduces tilt, ceteris paribus. Tilt adds little to the accuracy of the impact of small interest rate changes for default-free option-free bonds. Tilt becomes interesting for bonds with embedded options such as callable bonds and mortgage-backed securities. Such bonds can experience rapidly changing convexity and price under certain interest rate regimes.
"Momentum effects in the NBA: exploiting the fine line between winning and losing" SSRN paper link
(with Ercio Munoz and Milan Thomas)
(Job market paper, with Shiliang Cui)
Online retailers compete in price, product variety, services, and delivery speed. Using unique transaction level data, we estimate consumer preferences on price and expected delivery time based on a bundle of Stock-keeping Units sales under one product category on JD.com platform in March 2018. We find that promised delivery time have a significant impact on consumers choices, in addition to product price, brand and product attributes. Female consumers are more price sensitive and male consumers are more delivery time sensitive. The gender difference in delivery time persists when we control for online shoppers' wealth and browsing patterns like whether the consumer is a last-minute shopper. In particular, the average willingness to pay for faster delivery is 6.7 Yuan per day for female customers and 10.9 Yuan for male customers. Our empirical finding suggests that online retailers can profit from offering consumers more options to choose between lower prices and faster delivery speed or offering coupons to designated customer groups.
"Jumping on the Bandwagon? Attendance Response to Recent Victories in the NBA"
(with Ercio Munoz and Milan Thomas)
Previous studies show that bettors and competitors alike believe that momentum carries over positively between contests in major league sports. This article applies a regression discontinuity design to estimate the causal effect of a win on the attendance of subsequent games in professional basketball. Using National Basketball Association data from 1981 to 2018, we find that home team fan bases react to a recent victory, with an increase in attendance of approximately 425 tickets. The increment is approximately one-eighth of a recent estimate of the superstar effect. We do not find an attendance effect when the visiting team has a recent victory. The positive fan base response to narrow home wins relative to narrow losses suggests that like bettors, fans believe in momentum, and that recent luck is rewarded in sporting attendance. We document a gradual decline in the attendance effect that coincides with the rise of secondary markets and dynamic ticket pricing.
"First duration, then convexity, then what? Tilt?" SSRN paper link
(with James Angel and Nikkie Pacheco)
Standard treatments of the impact of interest rate changes on bond prices include duration and convexity. These concepts derive from the first and second derivatives of a Taylor series expansion of an option-free bond price as a function of interest rates. Does the third derivative matter? This paper derives the formula for the third derivative- based term, which we call tilt, and explores its properties. Tilt tells how quickly the convexity changes. Similar to the properties of duration, a higher yield reduces tilt, a longer maturity increases tilt, and a higher coupon reduces tilt, ceteris paribus. Tilt adds little to the accuracy of the impact of small interest rate changes for default-free option-free bonds. Tilt becomes interesting for bonds with embedded options such as callable bonds and mortgage-backed securities. Such bonds can experience rapidly changing convexity and price under certain interest rate regimes.
"Momentum effects in the NBA: exploiting the fine line between winning and losing" SSRN paper link
(with Ercio Munoz and Milan Thomas)
Work in Progress
Higher moments and the cross section of bond returns (with James Angel)and t
Dynamic pricing of concert tickets in the presence of a resale marketof bond returns(with James Angel)Dynamic pricing of concert tickets in the presence
Dynamic pricing of concert tickets in the presence of a resale marketof bond returns(with James Angel)Dynamic pricing of concert tickets in the presence
Higher moments and the cross section of bond returns(with James Angel)Dynamic pricing of concert tickets in the presence of a resale market