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At the Forefront of Their Fields

At Columbia Business School, our faculty members are at the forefront of research in their respective fields, offering innovative ideas that directly impact the practice of business today. A quick glance at our publication on faculty research, CBS Insights, will give you a sense of the breadth and immediacy of the insight our professors provide.

As a student at the School, this will greatly enrich your education. In Columbia classrooms, you are at the cutting-edge of industry, studying the practices that others will later adopt and teach. As any business leader will tell you, in a competitive environment, being first puts you at a distinct advantage over your peers. Learn economic development from Ray Fisman, the Lambert Family Professor of Social Enterprise and a rising star in the field, or real estate from Chris Mayer, the Paul Milstein Professor of Real Estate, a renowned expert and frequent commentator on complex housing issues. This way, when you complete your degree, you'll be set up to succeed.

The Columbia Advantage

Columbia Business School in conjunction with the Office of the Dean provides its faculty, PhD students, and other research staff with resources and cutting edge tools and technology to help push the boundaries of business research.

Specifically, our goal is to seamlessly help faculty set up and execute their research programs. This includes, but is not limited to:

  • Highly skilled staff of full-time predoctoral fellows, summer research interns, and part-time research assistants
  • Access to centralized funding from the Dean's office and external grants to support research activities
  • Providing a state-of-the-art high-performance grid computing environment
  • Acquisition of proprietary data sets and access to various databases
  • Leading library which provides faculty with latest tools and techniques to enable digital scholarship

All these activities help to facilitate and streamline faculty research, and that of the doctoral students working with them.

 

Research at CBS

Filters
Type
Working Paper
Date

Synthetically Controlled Bandits

Author
Moallemi, Ciamac, Vivek F. Farias, Tianyi Peng, and Andy T. Zheng

We consider experimentation in settings where, due to interference or other concerns, experimental units are coarse. ‘Region-split’ experiments on online platforms, where an intervention is applied to a single region over some experimental horizon, are one example of such a setting. Synthetic control is the state-of-the-art approach to inference in such experiments. The cost of these experiments is high since the opportunity cost of a sub-optimal intervention is borne by an entire region over the length of the experiment.

Type
Working Paper
Date

Is Physical Climate Risk Priced? Evidence from Regional Variation in Exposure to Heat Stress

Author
Acharya, Viral V, Tim Johnson, M. Suresh Sundaresan, and Tuomas Tomunen

We exploit regional variations in exposure to heat stress to study if physical climate risk is priced in municipal and corporate bonds as well as in equity markets. We find that local exposure to damages related to heat stress equaling 1% of GDP is associated with municipal bond yield spreads that are higher by around 15 basis points per annum (bps), the effect being larger for longer-term, revenue-only and lower-rated bonds, and arising mainly from the expected increase in energy expenditures and decrease in labor productivity.

Type
Journal Article
Date
Journal
Review of Financial Studies

Where Has All the Data Gone?

Author
Farboodi, Maryam, Adrien Matray, Laura Veldkamp, and Venky Venkateswaran

As financial technology improves and data becomes more abundant, do market prices reflect this growing information and allocate capital more efficiently? While a number of recent studies have documented rises in aggregate price efficiency, we show that there are large cross-sectional differences. The previously-documented increases are driven by a rise in the informativeness of large, growth stocks. The informational efficiency of smaller assets' prices or prices of assets with less growth potential are either flat or declining.

Type
Working Paper
Date

Bond Convenience Yields in the Eurozone Currency Union

Author
Jiang, Z., H. Lustig, Stijn Van Nieuwerburgh, and M. Xiaolan-Zhang

In a monetary union, the risk-free rate cannot respond to country-level fiscal shocks, leaving only default spreads and convenience yields to respond. Empirically, we find that convenience yields play an important role as fiscal shock absorbers in the Eurozone. Consistent with downward-sloping demand for safety, Eurozone countries earn larger convenience yields after they release positive fiscal news.

Type
Working Paper
Date

What Drives Variation in the Debt/Output Ratio? The Dogs that Did Not Bark

Author
Jiang, Z., H. Lustig, Stijn Van Nieuwerburgh, and M. Xiaolan-Zhang

Higher U.S. government debt/output ratios do not forecast higher future surpluses or lower real returns on Treasurys. Neither future cash flows nor discount rates account for the variation in the current debt/output ratio. The market valuation of Treasurys is surprisingly insensitive to the macro fundamentals. Instead, the future debt/output ratio accounts for most of the variation. Systematic surplus forecast errors may help to account for these findings. Since the start of the GFC, surplus projections have anticipated a large fiscal correction that failed to materialize.

Type
Working Paper
Date

Machine-Learning the Skill of Mutual Fund Managers

Author
Kaniel, R., M. Z. Lin, M. Pelger, and Stijn Van Nieuwerburgh

We show, using machine learning, that fund characteristics can consistently differentiate high from low-performing mutual funds, as well as identify funds with net-of-fees abnormal returns. Fund momentum and fund flow are the most important predictors of future risk-adjusted fund performance, while characteristics of the stocks that funds hold are not predictive. Returns of predictive long-short portfolios are higher following a period of high sentiment or a good state of the macro-economy.

Type
Working Paper
Date

Liquidity Regulation and Banks: Theory and Evidence

This paper investigates, theoretically and empirically, the effects of liquidity regulation on the banking system. We document that the current quantity-based liquidity rule has reduced banks' liquidity risks. However, the mandated liquidity buffer appears to crowd out bank lending and lead to a migration of liquidity risks to banks that are not subject to liquidity regulation. These findings motivate a model of liquidity regulation with endogenous liquidity premium and heterogeneous banks.

Type
Journal Article
Date

Privacy and Consumer Empowerment in Online Advertising

Author
Jerath, Kinshuk and W. Jason Choi

With heightened concerns regarding user privacy, there is a recent movement for empowering consumers with the ability to control how their private data are collected, stored, used and shared. Notably, between 2018 and 2020, the General Data Protection Regulation (GDPR) has been implemented in the European Union (EU), and the California Consumer Privacy Act (CCPA) and the California Privacy Rights Act (CPRA) have been implemented/passed in the state of California in the United States. These regulations address both consumer data security and consumer privacy rights.

Type
Journal Article
Date
Journal
Operations Research

Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and Their Effect on Portfolio Execution

Author
Min, Seungki, Costis Maglaras, and Ciamac Moallemi

The composition of natural liquidity has been changing over time. An analysis of intraday volumes for the S&P500 constituent stocks illustrates that (i) volume surprises, i.e., deviations from their respective forecasts, are correlated across stocks, and (ii) this correlation increases during the last few hours of the trading session.

Type
Working Paper
Date

Risk-Sensitive Optimal Execution via a Conditional Value-at-Risk Objective

Author
Min, Seungki, Ciamac Moallemi, and Costis Maglaras

We consider a liquidation problem in which a risk-averse trader tries to liquidate a fixed quantity of an asset in the presence of market impact and random price fluctuations. When deciding the liquidation strategy, the trader encounters a trade-off between the transaction costs incurred due to market impact and the volatility risk of holding the position.

Type
Journal Article
Date

Improving Match Rates in Dating Markets Through Assortment Optimization

Author
Zheng, Fanyin, Daniela Saban, and Ignacio Rios

Problem definition: We study how online platforms can leverage the behavioral considerations of their users to improve their assortment decisions. Motivated by our collaboration with a dating company, we study how a platform should select the assortments to show to each user in each period to maximize the expected number of matches in a time horizon, considering that a match is formed if two users like each other, possibly on different periods.

Type
Newspaper/Magazine Article
Date
Publication
SSRN

Artificial Intelligence, Firm Growth, and Product Innovation

Author
Babina, Tania, Anastassia Fedyk, Alex Xi He, and James Hodson

We study the use and economic impact of artificial intelligence (AI) technologies among U.S. firms. We propose a new measure of firm-level AI investments, using a unique combination of detailed worker resume and job postings datasets. Our measure reveals a stark increase in AI investments across sectors in the last decade. AI-investing firms see higher growth in sales, employment, and market valuations.