-
作者：Zevelev, Albert Alex
作者单位：City University of New York (CUNY) System; Baruch College (CUNY)
摘要：Does the ability to pledge an asset as collateral, after purchase, affect its price? This paper identifies the impact of collateral service flows on house prices, exploiting a plausibly exogenous constitutional amendment in Texas that legalized home equity loans in 1998. The law change increased Texas house prices 4%; this is price-based evidence that households are credit-constrained and value home equity loans to facilitate consumption smoothing. Prices rose more in locations with inelastic ...
-
作者：Goldstein, Itay; Spatt, Chester S.; Ye, Mao
作者单位：University of Pennsylvania; National Bureau of Economic Research; Carnegie Mellon University; University of Illinois System; University of Illinois Urbana-Champaign
摘要：Big data is revolutionizing the finance industry and has the potential to significantly shape future research in finance. This special issue contains papers following the 2019 NBER-RFS Conference on Big Data. In this introduction to the special issue, we define the big data phenomenon as a combination of three features: large size, high dimension, and complex structure. Using the papers in the special issue, we discuss how new research builds on these features to push the frontier on fundament...
-
作者：Ben-David, Itzhak; Bos, Marieke
作者单位：University System of Ohio; Ohio State University; National Bureau of Economic Research; Stockholm School of Economics; Swedish House of Finance
摘要：The increased availability of alcohol may harm individuals who have present-focused preferences and consume more than initially planned. Using a nationwide experiment in Sweden, we study the credit behavior of low-income households around the expansion of liquor stores' operating hours on Saturdays. Consistent with store closures serving as commitment devices, the policy led to higher credit demand, more default, increased dependence on welfare, and higher crime on Saturdays. The effects are c...
-
作者：Smith, Simon C.; Timmermann, Allan
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; University of California System; University of California San Diego
摘要：We develop a new approach to modeling and predicting stock returns in the presence of breaks that simultaneously affect a large cross-section of stocks. Exploiting information in the cross-section enables us to detect breaks in return prediction models with little delay and to generate out-of-sample return forecasts that are significantly more accurate than those from existing approaches. To identify the economic sources of breaks, we explore the asset pricing restrictions implied by a present...
-
作者：McCartney, W. Ben
作者单位：Purdue University System; Purdue University
摘要：I examine the effect of house price declines on voter participation using a novel person-level panel data set. Contrary to what the angry voter hypothesis predicts, I find that a 10% decline in local house prices decreases the participation rate of the average mortgaged homeowner by 1.6 percentage points. Consistent with a financial distress channel, house price declines have no effects on renters and particularly severe effects on highly leveraged households. My findings are consistent with t...
-
作者：Evans, Richard B.; Sun, Yang
作者单位：University of Virginia; Brandeis University
摘要：We examine the role of factor models and simple performance heuristics in investor decision-making using Morningstar's 2002 rating methodology change. Before the change, flows strongly correlated with CAPM alphas. After, when funds are ranked by size and book-to-market groups, flows become more sensitive to 3-factor alphas (FF3). Flows to a matched institutional sample (same managers/strategies) follow FF3 before and after the change but are unrelated to the CAPM. Placebo tests with sector fun...
-
作者：Jones, Callum; Philippon, Thomas; Venkateswaran, Venky
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; New York University; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research
摘要：We study an economy's response to an unexpected epidemic. The spread of the disease can be mitigated by reducing consumption and hours worked in the office. Working from home is subject to learning-by-doing. Private agents' rational incentives are relatively weak and fatalistic. The planner recognizes infection and congestion externalities and implements front-loaded mitigation. Under our calibration, the planner reduces cumulative fatalities by 48% compared to 24% by private agents, although ...
-
作者：Eichholtz, Piet; Korevaar, Matthijs; Lindenthal, Thies; Tallec, Ronan
作者单位：Maastricht University; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; University of Cambridge; Universite Paris-Pantheon-Assas
摘要：We estimate total returns to rental housing by studying over 170,000 hand-collected archival observations of prices and rents for individual houses in Paris (1809-1943) and Amsterdam (1900-1979). The annualized real total return, net of costs and taxes, is 4.0% for Paris and 4.8% for Amsterdam and entirely comes from rental yields. Our returns weakly correlate with the implied returns in and are substantially lower. We decompose total return risk at the individual asset level and find that yie...
-
作者：Page, Lionel; Siemroth, Christoph
作者单位：University of Technology Sydney; University of Essex
摘要：We investigate the informational content of prices in financial asset markets. To do so, we use a large number of market experiments in which the amount of information held by traders is precisely observed. We derive a new method to estimate how much of this information is incorporated into market prices. We find that public information is almost completely reflected in prices but that surprisingly little private information-less than 50%-is incorporated into prices. Our estimates therefore su...
-
作者：Kim, Soohun; Korajczyk, Robert A.; Neuhierl, Andreas
作者单位：Korea Advanced Institute of Science & Technology (KAIST); Northwestern University; Washington University (WUSTL)
摘要：We propose a new methodology for forming arbitrage portfolios that utilizes the information contained in firm characteristics for both abnormal returns and factor loadings. The methodology gives maximal weight to risk-based interpretations of characteristics' predictive power before any attribution is made to abnormal returns. We apply the methodology to simulated economies and to a large panel of U.S. stock returns. The methodology works well in our simulation and when applied to stocks. Empi...
