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Ownership of real estate through corporations in offshore tax havens creates opportunities for tax evasion and money laundering and may have undesirable effects in housing markets. In this paper, we study offshore ownership of real estate in the United Kingdom by combining several data sources:...
Persistent link: https://www.econbiz.de/10013473652
This paper investigates dynamic conditional correlations between stock and REIT markets in both Turkey and the U.S. We use an Asymmetric DCC - GJR - GARCH model to estimate the dynamic conditional correlation at daily, weekly, and monthly frequencies. Our contribution is threefold. First, we...
Persistent link: https://www.econbiz.de/10011845163
from diversifying their portfolio after experiencing a loan default. This default shock significantly worsens the risk … become available on the platform. Deeper markets also result in a deterioration of investors' risk-return profiles. Third …
Persistent link: https://www.econbiz.de/10011863582
. In the longer run, however, a trade-off between diversification and climate action emerges. We derive the optimal carbon … price, the equilibrium risk-free rate, and risk premia. Climate disasters, which are more likely to occur sooner as … temperature rises, significantly increase risk premia. …
Persistent link: https://www.econbiz.de/10012258563
We conduct field experiments with retail investors recruited from a social trading platform. In our main experiment, we first elicit beliefs about the returns to active investing. We then generate exogenous variation in beliefs by providing treated respondents with information about index funds...
Persistent link: https://www.econbiz.de/10013536190
We analyze the worst currency carry loss episodes in recent decades, including causes, attribution by currency, timing, and the duration of carry drawdowns. To explore the determinants of the length of carry losses, a model of carry drawdown duration is estimated. We find evidence that drawdown...
Persistent link: https://www.econbiz.de/10011568722
We develop a novel firm-level measure of cybersecurity risk using textual analysis of cybersecurity-risk disclosures in … corporate filings. The measure successfully identifies firms extensively discussing cybersecurity risk in their 10-K, displays … intuitive relations with quantitative measures of cybersecurity risk disclosure language, exhibits a positive trend over time …
Persistent link: https://www.econbiz.de/10012387622
boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … countries on risk aversion, and low (high) risk aversion currencies depreciate (appreciate) in times of global turmoil. …
Persistent link: https://www.econbiz.de/10009752999
between funded and unfunded systems when there are sources of uninsurable risk that are allocated in different ways by …
Persistent link: https://www.econbiz.de/10011398101
We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk … averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to … incomplete in the sense of containing an uninsurable background risk, such as a risk on labor income. We extend our model to show …
Persistent link: https://www.econbiz.de/10011398103