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作者：Favilukis, Jack; Van Nieuwerburgh, Stijn
作者单位：University of British Columbia; Columbia University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
摘要：Many cities have attracted a flurry of out-of-town (OOT) home buyers. Such capital inflows affect house prices, rents, construction, labor income, wealth, and ultimately welfare. We develop an equilibrium model to quantify the welfare effects of OOT home buyers for the typical U.S. metropolitan area. When OOT investors buy 10% of the housing in the city center and 5% in the suburbs, welfare among residents falls by 0.61% in consumption-equivalent units. House prices and rents rise substantiall...
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作者：Barberis, Nicholas; Jin, Lawrence J.; Wang, Baolian
作者单位：Yale University; California Institute of Technology; State University System of Florida; University of Florida
摘要：We present a new model of asset prices in which investors evaluate risk according to prospect theory and examine its ability to explain 23 prominent stock market anomalies. The model incorporates all of the elements of prospect theory, accounts for investors' prior gains and losses, and makes quantitative predictions about an asset's average return based on empirical estimates of the asset's return volatility, return skewness, and past capital gain. We find that the model can help explain a ma...
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作者：Lustig, Hanno
作者单位：Stanford University; National Bureau of Economic Research; Centre for Economic Policy Research - UK
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作者：Diep, Peter; Eisfeldt, Andrea L.; Richardson, Scott
作者单位：University of California System; University of California Los Angeles; National Bureau of Economic Research; University of London; London Business School
摘要：We present a simple, linear asset pricing model of the cross section of Mortgage-Backed Security (MBS) returns. MBS earn risk premia as compensation for their exposure to prepayment risk. We measure prepayment risk and estimate risk loadings using prepayment forecasts versus realizations. Estimated loadings on prepayment risk decrease monotonically in securities' coupons relative to the par coupon, consistent with the predicted effect of prepayment on bond value. Prepayment risk appears to be ...
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作者：Whited, Toni M.; Zhao, Jake
作者单位：University of Michigan System; University of Michigan; National Bureau of Economic Research; Peking University; Peking University Shenzhen Graduate School (PKU Shenzhen)
摘要：We estimate real losses arising from the cross-sectional misallocation of financial liabilities. Extending a production-based framework of misallocation measurement to the liabilities side of the balance sheet and using manufacturing firm data from the United States and China, we find significant misallocation of debt and equity in China but not the United States. Reallocating liabilities of firms in China to mimic U.S. efficiency would produce gains of 51% to 69% in real value-added, with onl...
