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作者：Gao, Zhenyu; Sockin, Michael; Xiong, Wei
作者单位：Chinese University of Hong Kong; University of Texas System; University of Texas Austin; Princeton University; National Bureau of Economic Research
摘要：We develop a model to analyze information aggregation and learning in housing markets. Households enter a neighborhood by buying houses and consuming each other's final goods. In the presence of pervasive informational frictions, housing prices serve as important signals to households and capital producers about the neighborhood's economic strength. Our model provides a novel amplification mechanism in which noise from housing markets propagates throughout the local economy via learning becaus...
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作者：Dimmock, Stephen G.; Kouwenberg, Roy; Mitchell, Olivia S.; Peijnenburg, Kim
作者单位：National University of Singapore; Mahidol University; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; University of Pennsylvania; National Bureau of Economic Research; Universite Catholique de Lille; EDHEC Business School; Centre for Economic Policy Research - UK
摘要：We test whether probability weighting affects household portfolio choice in a representative survey. On average, people display inverse-S-shaped probability weighting, overweighting low probability events. As theory predicts, probability weighting is positively associated with portfolio underdiversification and significant Sharpe ratio losses. Analyzing respondents' individual stock holdings, we find higher probability weighting is associated with owning lottery-type stocks and positively skew...
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作者：Abbassi, Puriya; Brauning, Falk
作者单位：Deutsche Bundesbank; Federal Reserve System - USA; Federal Reserve Bank - Boston
摘要：Using contract-level supervisory data, we show that dollar forward sales by non-U.S. banks that are initiated at the end of a quarter and mature shortly after it concludes trade at higher prices and higher volumes. These effects are driven by banks with large net on-balance-sheet dollar assets that they can hedge around quarter ends by selling dollars forward (increasing off-balance-sheet short positions), which suggests regulatory arbitrage to reduce capital charges for open foreign exchange ...
