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Hvide, Hans K; Östberg, Per - C.E.P.R. Discussion Papers - 2014

with higher returns. Moreover, social interaction appears to drive the purchase of within-industry stocks; an investment …

Persistent link: https://www.econbiz.de/10011084477

Explaining Forward Exchange Bias .... Intra-day

Lyons, Richard K; Rose, Andrew K - C.E.P.R. Discussion Papers - 1994

Intra-day interest rates are zero. Consequently, a foreign exchange dealer can short a vulnerable currency in the morning, close this position in the afternoon, and never face an interest cost. This tactic might seem especially attractive in times of crisis, since it suggests an immunity to the...

Persistent link: https://www.econbiz.de/10005124023

Spatial Asset Pricing: A First Step

Ortalo-Magné, François; Prat, Andrea - C.E.P.R. Discussion Papers - 2010

People choose where to live and how much to invest in housing. Traditionally, the first decision has been the domain of spatial economics, while the second has been analyzed in finance. Spatial asset pricing is an attempt to combine equilibrium concepts from both disciplines. In the finance...

Persistent link: https://www.econbiz.de/10008468506

The Aftermath of Financial Crises

Reinhart, Carmen M.; Rogoff, Kenneth - C.E.P.R. Discussion Papers - 2009

This paper examines the depth and duration of the slump that invariably follows severe financial crises, which tend to be protracted affairs. We find that asset market collapses are deep and prolonged. On a peak-to-trough basis, real housing price declines average 35 percent stretched out over...

Persistent link: https://www.econbiz.de/10005124095

Money Illusion and Housing Frenzies

Brunnermeier, Markus K; Julliard, Christian - C.E.P.R. Discussion Papers - 2007

A reduction in inflation can fuel run-ups in housing prices if people suffer from money illusion. For example, investors who decide whether to rent or buy a house by simply comparing monthly rent and mortgage payments do not take into account that inflation lowers future real mortgage costs. We...

Persistent link: https://www.econbiz.de/10005067397

Repeat Sales Indexes: Estimation Without Assuming that Errors in Asset Returns Are Independently Distributed

Campbell, Rachel; Graddy, Kathryn; Hamilton, Jonathan - C.E.P.R. Discussion Papers - 2009

specification is based on serial correlation in the deviations from the mean one-period returns on the underlying individual assets …, whereas the original Case-Shiller method assumes that the deviations from mean returns by the underlying individual assets are … errors of returns under serial correlation. The repeat sales methodology is generally used to construct an index of prices or …

Persistent link: https://www.econbiz.de/10005034752

The Portfolio Implications of Home Ownership

de Roon, Frans; Eichholtz, Piet; Koedijk, Kees - C.E.P.R. Discussion Papers - 2002

This Paper analyses the effects of residential property holdings on optimal investment portfolios. Using a mean …

Persistent link: https://www.econbiz.de/10005504628

On the Political Economy of Urban Growth: Homeownership versus Affordability

Ortalo-Magné, François; Prat, Andrea - C.E.P.R. Discussion Papers - 2011

We study the equilibrium properties of an overlapping-generation economy where agents choose where to locate, and how much housing to own, and city residents vote on the number of new building permits every period. Under-supply of housing persists in equilibrium under conditions we characterize....

Persistent link: https://www.econbiz.de/10008854490

Banking Integration and House Price Comovement

Landier, Augustin; Sraer, David; Thesmar, David - C.E.P.R. Discussion Papers - 2014

The correlation across US states in house price growth increased steadily between 1976 and 2000. This paper shows that the contemporaneous geographic integration of the US banking market, via the emergence of large banks, was a primary driver of this phenomenon. To this end, we first...

Persistent link: https://www.econbiz.de/10011145450

Very Long-Run Discount Rates

Giglio, Stefano W; Maggiori, Matteo; Ströbel, Johannes - C.E.P.R. Discussion Papers - 2014

residential property ownership takes the form of either leaseholds or freeholds. Leaseholds are temporary, pre-paid, and tradable …

Persistent link: https://www.econbiz.de/10011083367