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作者：Penasse, Julien; Renneboog, Luc; Scheinkman, Jose A.
作者单位：University of Luxembourg; Tilburg University; Columbia University; Princeton University; National Bureau of Economic Research
摘要：An artist's death constitutes a negative shock to his future production; death permanently decreases the artist's float. We use this shock to test predictions of speculative trading models with short-selling constraints. As predicted in our model, we find that an artist's premature death leads to a permanent increase in prices and turnover; this effect being larger for more famous artists. We document that premature death increases prices (by 54.7%) and secondary market volume (by 63.2%).
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作者：Adams, Renee B.; Kraussl, Roman; Navone, Marco; Verwijmeren, Patrick
作者单位：University of Oxford; European Corporate Governance Institute; University of Luxembourg; Stanford University; University of Technology Sydney; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; University of Melbourne
摘要：We provide evidence that culture is a source of pricing bias. In a sample of 1.9 million auction transactions in 49 countries, paintings by female artists sell at an unconditional discount of 42.1%. The gender discount increases with measures of country-level gender inequality-even in artist fixed effects regressions. Our results are robust to accounting for potential gender differences in art characteristics and their liquidity. Evidence from two experiments supports the argument that women's...
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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...
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作者：Han, Lu; Lutz, Chandler; Sand, Benjamin; Stacey, Derek
作者单位：University of Toronto; University of Wisconsin System; University of Wisconsin Madison; U.S. Securities & Exchange Commission (SEC); York University - Canada; University of Waterloo
摘要：We study how financial constraints affect the housing market by exploiting a regulatory change that increases the down payment requirement for homes selling for 1M or more. Using Toronto data, we find that the policy causes excess bunching of homes listed at 1M and heightened bidding intensity for these homes, but only a muted response in sales. While difficult to reconcile in a frictionless market, these findings are consistent with the implications derived from an equilibrium search model wi...
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作者：Sagi, Jacob S.
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：In stark contrast with liquid asset returns, commercial real estate idiosyncratic return means and variances do not scale with the holding period, even after accounting for all cash flow-relevant events. This puzzling phenomenon survives controlling for vintage effects, systematic risk heterogeneity, and a host of other explanations. To explain the findings, I derive an equilibrium search-based asset-pricing model that, when calibrated, provides an excellent fit to transactions data. A structu...
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作者：Giacoletti, Marco
作者单位：University of Southern California
摘要：This paper studies the idiosyncratic risk component of individual house capital gains using data on resales and intermediate capital investments. The idiosyncratic component is large; its dynamics do not follow a random walk; and its magnitude is associated with proxies of information quality and market liquidity at the level of individual properties. Accounting for idiosyncratic risk substantially changes the assessment of the risk-return trade-off for housing: it reduces Sharpe ratios and ma...
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作者：Goetzmann, William N.; Spaenjers, Christophe; Van Nieuwerburgh, Stijn
作者单位：Yale University; Hautes Etudes Commerciales (HEC) Paris; Columbia University
摘要：Real and private-value assets-defined here as the sum of real estate, infrastructure, collectibles, and noncorporate business equity-compose an investment class worth an estimated 84 trillion in the U.S. alone. Furthermore, private values can affect pricing in many other financial markets, such as that for sustainable investments. This paper introduces the research on real assets and private values that can be found in this special issue. It also reviews recent advances and highlights new rese...
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作者：Bauer, Rob; Ruof, Tobias; Smeets, Paul
作者单位：Maastricht University
摘要：The United Nations' Sustainable Development Goals (SDGs) have created societal and political pressure for pension funds to address sustainable investing. We run two field surveys (n = 1,669, n = 3,186) with a pension fund that grants its members a real vote on its sustainable-investment policy. Two-thirds of participants are willing to expand the fund's engagement with companies based on selected SDGs, even when they expect engagement to hurt financial performance. Support remains strong after...
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作者：Giglio, Stefano; Maggiori, Matteo; Rao, Krishna; Stroebel, Johannes; Weber, Andreas
作者单位：Yale University; National Bureau of Economic Research; Centre for Economic Policy Research - UK; Stanford University; New York University
摘要：We show that housing markets provide information about the appropriate discount rates for valuing investments in climate change abatement. Real estate is exposed to both consumption and climate risk and its term structure of discount rates is downward sloping, reaching 2.6% for payoffs beyond 100 years. We use a tractable asset pricing model that incorporates features of climate change to show that the term structure of discount rates for climate-hedging investments is thus upward sloping but ...
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作者：Andonov, Aleksandar; Krauss, Roman; Rauh, Joshua
作者单位：University of Amsterdam; Centre for Economic Policy Research - UK; University of Luxembourg; Stanford University; Stanford University; National Bureau of Economic Research
摘要：Institutional investors expect infrastructure to deliver long-term stable returns but gain exposure to infrastructure predominantly through finite-horizon closed private funds. The cash flows delivered by infrastructure funds display similar volatility and cyclicality as other private equity investments, and their performance similarly depends on quick deal exits. Despite weak risk-adjusted performance and failure to match the supposed characteristics of infrastructure assets, closed funds hav...
