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We test for the existence of housing bubbles associated with a failure of the transversality condition that requires the present value of payments occurring infinitely far in the future to be zero. The most prominent such bubble is the classic rational bubble. We study housing markets in the...
Persistent link: https://www.econbiz.de/10010821931
-run risk-free discount rates and long-run risk premia are low. We show how the estimated very long-run discount rates are …
Persistent link: https://www.econbiz.de/10010774292
What contributes to the growing income inequality across U.S. households? We develop an information- based general equilibrium model that links capital income derived from financial assets to a level of investor sophistication. Our model implies income inequality between sophisticated and...
Persistent link: https://www.econbiz.de/10010821926
. We use the capital flows into and out of mutual funds to infer which risk model investors use. We derive a simple test …
Persistent link: https://www.econbiz.de/10011144243
in this intermediation amounted to at least 3.4 percent of GNP. The theory implies that financial intermediation services …
Persistent link: https://www.econbiz.de/10005778238
We empirically examine the order flows spillovers between Nasdaq and the Forex markets in 2008 and 2009. With emphasis on a role of high-frequency traders (HFTs) who aggregate information between the two markets as well as within each market, our results show that HFTs in Nasdaq trade...
Persistent link: https://www.econbiz.de/10011266645
We analyze the role of benchmarks in over-the-counter markets subject to search frictions. The publication of a benchmark can, under conditions, raise total social surplus by (i) increasing the volume of beneficial trade, (ii) facilitating more efficient trade matching between dealers and...
Persistent link: https://www.econbiz.de/10011093758
, liquidity, and asset prices. Arbitrageurs exploit price discrepancies between assets traded in segmented markets, and in doing … so provide liquidity to investors. A collateral constraint limits their positions as a function of capital. We show that … markets, liquidity in each market generally becomes less volatile, but the reverse may hold for aggregate liquidity because of …
Persistent link: https://www.econbiz.de/10011189087
explanation for these findings: the shorting premium is compensation for the concentrated short risk borne by the small fraction … for this short risk using the CME portfolio return and demonstrate that a Fama-French + CME factor model largely captures …
Persistent link: https://www.econbiz.de/10010821754
managers to greater risk of deviating from the index than trading against undervaluation, agency frictions bias the aggregate … market upwards. They can also generate a negative relationship between risk and return because they raise the volatility of …
Persistent link: https://www.econbiz.de/10010950698