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In this Chapter, we critically review the sizable literature that values school quality and performance through housing valuations. While highly variable in terms of research quality, the literature consistently finds housing valuations to be significantly higher in places where measured school...
Persistent link: https://www.econbiz.de/10014025652
This paper examines racial and ethnic differences in high cost mortgage lending in seven diverse metropolitan areas from 2004-2007. Even after controlling for credit score and other key risk factors, African-American and Hispanic home buyers are 105 and 78 percent more likely to have high cost...
Persistent link: https://www.econbiz.de/10011524186
When the fraction of minorities in a neighborhood exceeds the tipping point white flight accelerates. I develop a revealed-preference method to estimate the tipping points of 38,000 census tracts and the preferences of households for minority neighbors in the 123 Metropolitan Statistical Areas...
Persistent link: https://www.econbiz.de/10014250154
This article examines whether the overall market risk, along with risks reflecting uncertainty related to the long–run dynamics of market cash flows (dividends) and discount rates (returns), price average returns on single–sorted portfolios in the Greek stock market. Our results...
Persistent link: https://www.econbiz.de/10011137864
A new model misspecification measure for linear asset pricing models is proposed for the case where misspecification maps to latency of one of the pricing factors; in this case, the market return. This measure is suited both for testing models that include the market return as a pricing factor...
Persistent link: https://www.econbiz.de/10011263473
Evidence suggests that rational, periodically collapsing speculative bubbles may be pervasive in stock markets globally, but there is no research that considers them at the individual stock level. In this study we develop and test an empirical asset pricing model that allows for speculative...
Persistent link: https://www.econbiz.de/10011077780
This note develops the solutions of the static portfolio optimization problem in explicit matrix form. Three cases are contemplated and connected, with the derivation of relevant corner solutions: the unconstrained problem in the presence of risky assets only, the constrained one, and the...
Persistent link: https://www.econbiz.de/10011078542
Given recent regulatory inquiries into the derivative-trading practices of mutual funds, we examine their detailed option holdings to assess how mutual funds employ options, what funds use options, and how that affects performance and risk. Mutual funds’ use of options appears consistent with...
Persistent link: https://www.econbiz.de/10011118057
This textbook provides an introduction to financial mathematics and financial engineering for undergraduate students who have completed a three- or four-semester sequence of calculus courses. It introduces the theory of interest, discrete and continuous random variables and probability,...
Persistent link: https://www.econbiz.de/10011122716
This study estimates liquidity premiums using the recently developed Liu (2006) measure within a multifactor capital asset pricing model (CAPM) including size premiums and a time varying parameter model for the West African emerging market of Nigeria. The evidence suggests that liquidity factors...
Persistent link: https://www.econbiz.de/10011213044