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Loss aversion, asymmetric market comovements, and the home bias

Amonlirdviman, Kevin; Carvalho, Carlos - Federal Reserve Bank of New York - 2010

Loss aversion has been used to explain why a high equity premium might be consistent with plausible levels of risk … similarly to investors with high risk aversion. But if so, should these agents not perceive larger gains from international … diversification than standard expected-utility preference agents with plausible levels of risk aversion? They might not, because …

Persistent link: https://www.econbiz.de/10008636192

The private premium in public bonds

Kovner, Anna; Wei, Chenyang - Federal Reserve Bank of New York - 2012

This paper is the first to document the presence of a private premium in public bonds. We find that spreads are 31 basis points higher for public bonds of private companies than for bonds of public companies, even after controlling for observable differences, including rating, financial...

Persistent link: https://www.econbiz.de/10010551296

Inflation expectations and behavior: Do survey respondents act on their beliefs?

Armantier, Olivier; Bruin, Wändi Bruine de; Topa, Giorgio - Federal Reserve Bank of New York - 2011

We compare the inflation expectations reported by consumers in a survey with their behavior in a financially incentivized investment experiment designed such that future inflation affects payoffs. The inflation expectations survey is found to be informative in the sense that the beliefs reported...

Persistent link: https://www.econbiz.de/10009274483

Up close it feels dangerous: 'anxiety' in the face of risk

Eisenbach, Thomas M.; Schmalz, Martin C. - Federal Reserve Bank of New York - 2013

Motivated by individuals' emotional response to risk at different time horizons, we model an 'anxious' agent--one who … is more risk averse with respect to imminent risks than distant risks. Such preferences describe well-documented features … structure of risk premia, which are found empirically. Since such preferences can lead to dynamic inconsistencies with respect …

Persistent link: https://www.econbiz.de/10010640517

Negative equity and housing investment

Haughwout, Andrew; Sutherland, Sarah; Tracy, Joseph - Federal Reserve Bank of New York - 2013

investments. Housing investment expenditures economy-wide are sizable, averaging 45 percent of the value of new home construction … investments by roughly 75 percent. The large increase in negative equity due to declining housing prices during the housing bust …

Persistent link: https://www.econbiz.de/10010699376

Heterogeneity and stability: bolster the strong, not the weak

Choi, Dong Beom - Federal Reserve Bank of New York - 2013

weaker institutions, systemic risk depends critically on the financial health of stronger institutions in the contagion chain …

Persistent link: https://www.econbiz.de/10010699383

How much do bank shocks affect investment? Evidence from matched bank-firm loan data

Amiti, Mary; Weinstein, David E. - Federal Reserve Bank of New York - 2013

We show that supply-side financial shocks have a large impact on the investment decisions of firms. We do this by developing a new methodology to separate firms' credit shocks from loan supply shocks, using a vast sample of matched bank-firm lending data. We decompose loan movements in Japan for...

Persistent link: https://www.econbiz.de/10010633796

Head and shoulders: not just a flaky pattern

Osler, C.L.; Chang, P.H. Kevin - Federal Reserve Bank of New York - 1995

This paper evaluates rigorously the predictive power of the head-and-shoulders pattern as applied to daily exchange rates. Though such visual, nonlinear chart patterns are applied frequently by technical analysts, our paper is one of the first to evaluate the predictive power of such patterns....

Persistent link: https://www.econbiz.de/10005526287

Do investors mistake a good company for a good investment?

Antunovich, Peter; Laster, David S. - Federal Reserve Bank of New York - 1999

Do investors confuse the quality of a firm with its attractiveness as an investment? If so, shares of well-run companies will be bid up too high and subsequently earn negative abnormal returns. Our analysis of Fortune magazine’s annual survey of "America’s Most Admired Companies" for 1983-96...

Persistent link: https://www.econbiz.de/10005420488

Barriers to network-specific innovation

Martin, Antoine; Orlando, Michael J. - Federal Reserve Bank of New York - 2005

users face risk of ex post renegotiation. Such a governance structure will also be sufficient to avoid the network effect. …

Persistent link: https://www.econbiz.de/10005420505