Working Paper
Ponzi Games on Blockchain (with Yifei Shuang, Ke Tang, and Xi Zhao) First Draft: June 2023
--- We analyze 512 ``vanilla'' Ponzi scheme contracts on Ethereum by examining Solidity code with a machine learning algorithm and further manual validation. The unpunished Ponzi crime is quite sizable, ranging from 7,513 to 12,563 months under the current legal system. We investigate the Ponzi's features and incentive design and show that Ponzi schemes lure more victims and investment if (1) the interest rate is reasonably low, (2) the contract design is more innovative and sophisticated, (3) the Ponzi schemer exploits more affinity network, and early investors are more experienced with blockchain, and (4) incentive design encourages reinvestment, allow users to profit through their network, and charges lower fees.
Cultural Price Premium: Evidence from Cryptopunks (with Fai Lim Loi, and Ke Tang) First Draft: June 2023.
--- Do investors value the cultural traits in alternative investments? We study CryptoPunks, a pioneer non-fungible token (NFT) project that features the punk subculture, and document price premiums in token prices --- punk tokens are 3.4 ETH, equivalent to 5.7\% on average, more expensive than tokens without punk attributes. The punk premium only appeared after NFT gained massive public attention when Beeple sold for 69.3 million dollars on March 11, 2021. Our findings suggest that investors derive utility by owning digital arts with conspicuous cultural traits that help them distinguish from others.
Cyber Income Inequality (with Lu Liu, Chen Lin, Li Liao, and Xincheng Wang ) First Draft: June 2023, Last Updated: June 2023
--- We study the income inequality among streamers using the administrative data of a leading Chinese live-streaming platform. Income inequality increased rapidly as the platform expanded from 2018 to 2020 — for example, the income share of the platform’s top 10 streamers increased from 14.82% to 45.15% as its revenue grew by 142%. We employ both IV and regression discontinuity design to estimate how platform expansion causally increases income inequality.
Subjective Risk-Return Trade-off (with Chen Lin, and Chanik Jo) First Draft: July 2022
--- We conduct a novel survey and document a robust “higher risk, lower return” relationship among risky assets. This relationship remains significant even for wealthy, highly educated, and financially-literate individuals. Negative risk-return trade-offs translate into under-diversified portfolios and over-investment in assets with high subjective Sharpe ratios.
Main Street's Pain, Wall Street's Gain (with Nancy Xu) Updated March 2023, First Draft: Dec 2021,
--- In the Covid period, a one standard deviation increase in the initial jobless claims (IJC) surprise (8.7%) significantly predicts higher daily major stock index returns of 26-38 basis points. We highlight fiscal policy expectation as a new channel that explains the "bad is good" stock price responses, and provide time-series and cross-section evidence.
Persistence despite Revolutions (with Alberto Alesina, Marlon Seror, David Yang, and Weihong Zeng) Updated August 2022, First Draft: August 2020. Revise and Resubmit. Review of Economic Studies
--- Intergenerational Income persistence across Communist revolutions in China. The paper emphasizes the importance of intra-household culture transmission.
Distrust and Cryptocurrency Price Deviations (with Bo Tang and Yulin Zhong) Updated May 2023, First Draft: Dec 2020
--- Distrust in domestic institutions contributes to cryptocurrency demand and explains the price deviation dynamics.
--- International Conference on Smart Finance (ICSF) 2022 Best Paper Award
Work in Progress
Language Unification and Identity
Low-quality Issuance (with Shushu Liang)
Millionaire or Tiger Parents (with Mingzhu Tai, Tianwang Liu, Wanting Yan)
Rarity Premium in Non-fungible Tokens (with Li Liao, Xincheng Wang, Chen Lin, and Zhiwen Zhuang)
Return and Holding Periods of Collectibles: Theory and Evidence from Non-fungible Tokens (with Tingjun Liu and Chen Lin)
--- We analyze 512 ``vanilla'' Ponzi scheme contracts on Ethereum by examining Solidity code with a machine learning algorithm and further manual validation. The unpunished Ponzi crime is quite sizable, ranging from 7,513 to 12,563 months under the current legal system. We investigate the Ponzi's features and incentive design and show that Ponzi schemes lure more victims and investment if (1) the interest rate is reasonably low, (2) the contract design is more innovative and sophisticated, (3) the Ponzi schemer exploits more affinity network, and early investors are more experienced with blockchain, and (4) incentive design encourages reinvestment, allow users to profit through their network, and charges lower fees.
Cultural Price Premium: Evidence from Cryptopunks (with Fai Lim Loi, and Ke Tang) First Draft: June 2023.
--- Do investors value the cultural traits in alternative investments? We study CryptoPunks, a pioneer non-fungible token (NFT) project that features the punk subculture, and document price premiums in token prices --- punk tokens are 3.4 ETH, equivalent to 5.7\% on average, more expensive than tokens without punk attributes. The punk premium only appeared after NFT gained massive public attention when Beeple sold for 69.3 million dollars on March 11, 2021. Our findings suggest that investors derive utility by owning digital arts with conspicuous cultural traits that help them distinguish from others.
Cyber Income Inequality (with Lu Liu, Chen Lin, Li Liao, and Xincheng Wang ) First Draft: June 2023, Last Updated: June 2023
--- We study the income inequality among streamers using the administrative data of a leading Chinese live-streaming platform. Income inequality increased rapidly as the platform expanded from 2018 to 2020 — for example, the income share of the platform’s top 10 streamers increased from 14.82% to 45.15% as its revenue grew by 142%. We employ both IV and regression discontinuity design to estimate how platform expansion causally increases income inequality.
Subjective Risk-Return Trade-off (with Chen Lin, and Chanik Jo) First Draft: July 2022
--- We conduct a novel survey and document a robust “higher risk, lower return” relationship among risky assets. This relationship remains significant even for wealthy, highly educated, and financially-literate individuals. Negative risk-return trade-offs translate into under-diversified portfolios and over-investment in assets with high subjective Sharpe ratios.
Main Street's Pain, Wall Street's Gain (with Nancy Xu) Updated March 2023, First Draft: Dec 2021,
--- In the Covid period, a one standard deviation increase in the initial jobless claims (IJC) surprise (8.7%) significantly predicts higher daily major stock index returns of 26-38 basis points. We highlight fiscal policy expectation as a new channel that explains the "bad is good" stock price responses, and provide time-series and cross-section evidence.
Persistence despite Revolutions (with Alberto Alesina, Marlon Seror, David Yang, and Weihong Zeng) Updated August 2022, First Draft: August 2020. Revise and Resubmit. Review of Economic Studies
--- Intergenerational Income persistence across Communist revolutions in China. The paper emphasizes the importance of intra-household culture transmission.
Distrust and Cryptocurrency Price Deviations (with Bo Tang and Yulin Zhong) Updated May 2023, First Draft: Dec 2020
--- Distrust in domestic institutions contributes to cryptocurrency demand and explains the price deviation dynamics.
--- International Conference on Smart Finance (ICSF) 2022 Best Paper Award
Work in Progress
Language Unification and Identity
Low-quality Issuance (with Shushu Liang)
Millionaire or Tiger Parents (with Mingzhu Tai, Tianwang Liu, Wanting Yan)
Rarity Premium in Non-fungible Tokens (with Li Liao, Xincheng Wang, Chen Lin, and Zhiwen Zhuang)
Return and Holding Periods of Collectibles: Theory and Evidence from Non-fungible Tokens (with Tingjun Liu and Chen Lin)
Publication
Redeemable Platform Currencies (with Kenneth Rogoff) August 2021, Review of Economic Studies, Published in May 2022
--- A model of digital currency backed by redemptions on internet platforms. We discuss the platform currency features and optimal design.
Converging to Convergence (with Michael Kremer, and Jack Willis) August 2020, NBER Macroeconomic Annual 2021, Published in May 2022
--- Absolute convergence holds in the recent two decades. Institutions also converge and contribute to the economic convergence.
Bubble for Fama (with Andrei Shleifer and Robin Greenwood) July 2018, Journal of Financial Economics, Published in January 2019
--- Empirical predictability in stock market bubble
--- JFE Fama - DFA Best Paper Award
--- A model of digital currency backed by redemptions on internet platforms. We discuss the platform currency features and optimal design.
Converging to Convergence (with Michael Kremer, and Jack Willis) August 2020, NBER Macroeconomic Annual 2021, Published in May 2022
--- Absolute convergence holds in the recent two decades. Institutions also converge and contribute to the economic convergence.
Bubble for Fama (with Andrei Shleifer and Robin Greenwood) July 2018, Journal of Financial Economics, Published in January 2019
--- Empirical predictability in stock market bubble
--- JFE Fama - DFA Best Paper Award
Policy Writing
Devise more controls to protect cryptocurrency investors (with Wenzhi Ding, Chen Lin) Nature Correspondence (short comment)
--- Separate regulatory norms for CEX and DEX
How Hong Kong Could Maintain its Competitiveness as an International Financial Centre (with Pingyang Gao, Ruijing Meng) Hong Kong Economic Policy Green Paper
--- Hong Kong stock market low-valuation (P/B ratio less than 1) puzzle and corporate governance
--- Separate regulatory norms for CEX and DEX
How Hong Kong Could Maintain its Competitiveness as an International Financial Centre (with Pingyang Gao, Ruijing Meng) Hong Kong Economic Policy Green Paper
--- Hong Kong stock market low-valuation (P/B ratio less than 1) puzzle and corporate governance
Unpublished Manuscripts
Educated Youth Should Go to the Rural Areas: A Tale of Education, Employment and Social Values July 2018 (Last Updated)
--- Sent-down youth movement induces more rural educational attainment, higher level of trust, subjective well-being, and better job satisfaction.
--- Sent-down youth movement induces more rural educational attainment, higher level of trust, subjective well-being, and better job satisfaction.
