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作者：Bakkensen, Laura A.; Barrage, Lint
作者单位：University of Arizona; University of California System; University of California Santa Barbara; National Bureau of Economic Research
摘要：How do climate risk beliefs affect coastal housing markets? This paper provides theoretical and empirical evidence. First, we build a dynamic housing market model and show that belief heterogeneity can reconcile prior mixed evidence on flood risk capitalization. Second, we implement a door-to-door survey in Rhode Island, finding significant flood risk underestimation and sorting based on risk perceptions and amenity values. Third, we estimate that coastal prices exceed fundamentals by 6%-13% i...
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作者：Huh, Yesol; Kim, You Suk
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：By allowing different agency mortgage-backed securities (MBS) to be traded based on limited characteristics, the to-be-announced (TBA) market generates liquidity and benefits the MBS market broadly. We quantify effects of the TBA structure on mortgage borrowers. Exploiting discontinuities in TBA eligibility, we estimate that TBA eligibility reduces mortgage rates by 7 to 28 basis points. The TBA eligibility benefit is larger for mortgages with higher expected prepayments. We also find that TBA...
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作者：Benetton, Matteo; Bracke, Philippe; Cocco, Joao F.; Garbarino, Nicola
作者单位：University of California System; University of California Berkeley; Bank of England; University of London; London Business School; Center for Economic & Policy Research (CEPR); Leibniz Association; Ifo Institut; University of Munich
摘要：We exploit a U.K. government-sponsored product and provide evidence on shared equity mortgages. The analysis shows how the interaction of house price growth and leverage regulation promotes product adoption. Following an increase in the equity limit, households use the additional financing to buy more expensive properties rather than reduce leverage. Equity used as a complement to debt is likely less beneficial for financial stability than when used as a substitute. Equity borrowers are less l...
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作者：Delikouras, Stefanos; Dittmar, Robert F.
作者单位：University of Miami; University of Michigan System; University of Michigan
摘要：We investigate the empirical implications of the investment-based model of asset pricing for the Hansen-Jagannathan and Kozak-Nagel-Santosh discount factors in the linear span of equity returns. We find that the stochastic discount factors satisfying the Euler equation for equity returns cannot satisfy the Euler equation for investment returns because returns on corporate investment covary inversely with the sources of equity risk relative to returns on equity. As a result, the model fails to ...
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作者：Buraschi, Andrea; Piatti, Ilaria; Whelan, Paul
作者单位：Imperial College London; University of London; Queen Mary University London; Copenhagen Business School
摘要：This paper proposes an aggregation scheme of subjective bond return expectations based on the historical accuracy of professional interest rate forecasters. We use disaggregated survey data on bond returns and document large disagreement in the cross-sectional distribution and persistence in forecast accuracy. Our aggregate subjective belief proxy outperforms equal weighting schemes, and its dynamics are significantly different from statistical forecasting models. With this measure in hand, we...
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作者：Dou, Winston Wei; Ji, Yan; Wu, Wei
作者单位：University of Pennsylvania; Hong Kong University of Science & Technology; Texas A&M University System; Texas A&M University College Station
摘要：This paper proposes a novel quantitative framework with endogenous strategic competition in heterogeneous concentrated industries. Oligopolies compete strategically for profit margins in repeated games, trading off the benefits of future cooperation against those of reaping higher short-run profits by undercutting their rivals. Cross-industry dispersions in market leadership persistence and cash flow loadings on expected growth, as primitive characteristics, simultaneously determine the relati...
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作者：Gryglewicz, Sebastian; Mancini, Loriano; Morellec, Erwan; Schroth, Enrique; Valta, Philip
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Universita della Svizzera Italiana; Swiss Finance Institute (SFI); Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Centre for Economic Policy Research - UK; Universite Catholique de Lille; EDHEC Business School; University of Bern
摘要：Theory has recently shown that corporate policies should depend on firms' exposure to short- and long-lived cash flow shocks and the correlation between these shocks. We provide granular estimates of these parameters for Compustat firms using a new filter that uses only cash flow data and the theoretical restrictions of a canonical cash flow model. As predicted by theory, we find that the estimated parameters are strongly related to corporate liquidity and financing choices, that firms with a ...
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作者：Andonov, Aleksandar; Rauh, Joshua D.
作者单位：University of Amsterdam; Centre for Economic Policy Research - UK; National Bureau of Economic Research
摘要：The return expectations of public pension funds are positively related to cross-sectional differences in past performance. This positive relation operates through the expected risk premium, rather than the expected risk-free rate or inflation rate. Pension funds act on their beliefs and adjust their portfolio composition accordingly. Persistent investment skills, risk taking, efforts to reduce costly rebalancing, and fiscal incentives from unfunded liabilities cannot fully explain the reliance...
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作者：Nguyen, Thien T.
作者单位：University System of Ohio; Ohio State University
摘要：The debt-to-GDP ratio negatively predicts cumulative nominal consumption growth up to a 10-year horizon, resulting from the ratio's ability to forecast lower inflation and real growth. Moreover, the debt-to-GDP ratio is positively associated with yield spreads. I rationalize these facts in a model in which positive shocks to government debt cause lower inflation and growth, making bonds attractive assets. Furthermore, because longer-term bonds are less exposed to current debt shock than are sh...
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作者：Ouazad, Amine; Kahn, Matthew E.
作者单位：Universite de Montreal; HEC Montreal; University of Southern California
摘要：Using the government-sponsored enterprises' sharp securitization rules, this paper provides evidence that, in the aftermath of natural disasters, lenders are more likely to approve mortgages that can be securitized, thereby transferring climate risk. The identification strategy uses the time-varying conforming loan limits above which the government-sponsored enterprises do not securitize mortgages. Natural disasters lead to more securitization right below the limit, suggesting an increased opt...
