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作者：Davidoff, Thomas
作者单位：University of British Columbia
摘要：Home Equity Conversion Mortgages (HECMs) implicitly bundle nondefaultable credit lines with put options that let borrowers, or their heirs, sell mortgaged homes for the credit line limit when borrowers move or die. The put option's value, net of closing costs, bounds HECM's value to borrowers below. Older homeowners' weak demand is commonly attributed to HECM's high costs, and the government prices insurance intending to avoid subsidy. However, simulations indicate put value has often exceeded...
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作者：Palacios, Miguel
作者单位：Vanderbilt University
摘要：This paper derives the value and risk of aggregate human capital in a stochastic equilibrium model with Duffie-Epstein preferences. Athree-factor asset-pricing model is derived, where the factors are the market, the capital share, and investment in human capital. When the model is calibrated to match the historical ratio of wages to consumption in the United States, the weight of human capital in aggregate wealth is estimated to be about 93%, well above most previous estimates, and human capit...
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作者：Iliev, Peter; Lowry, Michelle
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Drexel University
摘要：Mutual funds vary greatly in their reliance on proxy advisory recommendations. Over 25% of funds rely almost entirely on Institutional Shareholder Services (ISS) recommendations, while other funds place little weight on them. Funds with higher benefits and lower costs of researching the items up for vote are less likely to rely on ISS. These actively voting funds are less likely to vote in a one-size-fits-all manner, and they earn higher alphas, consistent with benefits from this allocation of...
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作者：Dai, Min; Liu, Hong; Yang, Chen; Zhong, Yifei
作者单位：National University of Singapore; National University of Singapore; Washington University (WUSTL); University of Oxford
摘要：We develop an optimal tax-timing model that takes into account asymmetric long-term and short-term tax rates for positive capital gains and limited tax deductibility of capital losses. In contrast to the existing literature, this model can help explain why many investors not only defer short-term capital losses to long term but also defer large long-term capital gains and losses. Because the benefit of tax deductibility of capital losses increases with the short-term tax rates, effective tax r...
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作者：Corradin, Stefano; Popov, Alexander
作者单位：European Central Bank
摘要：This paper shows that housing wealth helps alleviate credit constraints for potential entrepreneurs by enabling home owners to extract equity from their property and invest it in their business. Using a large U.S. individual-level survey dataset for the 1996-2006 period, we find that a 10% increase in home equity raises the share of individuals who transition into self-employment each year from 1% to 1.07%. Our results persist when we use proxies for aggregate housing demand shocks and for the...
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作者：Fuster, Andreas; Vickery, James
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：Fixed-rate mortgages (FRMs) dominate the U.S. mortgage market, with important consequences for monetary policy, household risk management, and financial stability. We show that the FRM market share is sharply lower when mortgages are difficult to securitize, exploiting plausibly exogenous variation in access to liquid securitization markets generated by a regulatory cutoff and time variation in private securitization activity. We interpret our findings as evidence that lenders are reluctant to...
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作者：Murfin, Justin; Njoroge, Ken
作者单位：Yale University; University of Oregon
摘要：We examine a novel, but economically important, characterization of trade credit relationships in which large investment-grade buyers borrow from their smaller suppliers. Using a matched sample of large retail buyers and their much smaller suppliers, we find that slower payment terms by large retailers are associated with lower investment at the supplier level. The effects are sharpest during periods of tight bank credit and for firms which we might otherwise characterize as financially constr...
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作者：Kurlat, Pablo; Stroebel, Johannes
作者单位：Stanford University; National Bureau of Economic Research; National Bureau of Economic Research
摘要：In housing markets, neighborhood characteristics are a key source of information heterogeneity: sellers are usually better informed about neighborhood values than buyers are, but some sellers and buyers are better informed than their peers are. Consistent with predictions from a new framework for analyzing such markets with heterogeneous assets and differentially informed agents, we find that changes in the composition of sellers toward more informed sellers and sellers with a larger supply el...
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作者：Massa, Massimo; Zhang, Bohui; Zhang, Hong
作者单位：INSEAD Business School; University of New South Wales Sydney; Tsinghua University
摘要：We hypothesize that short selling has a disciplining role vis-a-vis firm managers that forces them to reduce earnings management. Using firm-level short-selling data for thirty-three countries collected over a sample period from 2002 to 2009, we document a significantly negative relationship between the threat of short selling and earnings management. Tests based on instrumental variable and exogenous regulatory experiments offer evidence of a causal link between short selling and earnings man...
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作者：Bartram, Soehnke M.; Griffin, John M.; Lim, Tae-Hoon; Ng, David T.
作者单位：University of Warwick; University of Texas System; University of Texas Austin; Korea Institute for International Economic Policy (KIEP); Cornell University
摘要：We derive a foreign ownership return as the weighted average return of foreign stocks that are connected to a stock through common ownership. The foreign ownership return is of similar economic significance as traditional country and industry factors in explaining international stock returns. It is not related to omitted fundamentals or wealth effects but shifts substantially around ADR and index listings when the investor habitat changes. A decomposition shows that the foreign ownership retur...
