Economic theory suggests that bond issuers of lower credit quality or higher opacity should be more likely to issue bonds with premium coupons (higher coupon rates relative to yields at issuance). Using a comprehensive data set of municipal bonds issued between 1992 and 2012 by more than 21,000...

Green municipal bonds are a growing segment of the US municipal bond market. As they face increasing demand, there have been questions about the performance of green muni bonds relative to their conventional counterparts. In this paper, we perform yield curve analysis on a selection of...

This study proposes the housing "beta" and tests whether the housing "beta" is a significant determinant for stock returns in a multifactor framework. We hypothesize that the housing market is a systematic risk factor given the impact of the housing market on the overall economy and economics...

How did pricing for mortgage credit risk change during the years prior to the 2008 financial crisis? Using a database from a major American bank that served as trustee for private-label mortgage-backed securitized (PLS) loans, this paper identifies a decline in credit spreads on mortgages...

We combine the standard Campbell and Shiller (1988) present-value model with the classical user cost of housing model to decompose the rental yield into three components: expected future rent growth, cost of capital and risk premium of owning versus renting. We then apply a quarterly dataset of...

This paper contributes to this debate on the substantial risk-adjusted returns to real estate by first constructing a panel of housing risk premia for 13 OECD countries over a long sample period (1966: Q3 to 2004:Q4), and then exploring the relationship of these risk premia to changes in the...

Landlords appear to use stale information when setting rents. Among over 43,000 California rental houses in 2018-2019, those last purchased during 2005-2007 (the peak) rent for 2-3% more than those purchased during 2008-2010 (bust). Neither house nor landlord characteristics explain this...

This work is an attempt to estimate the cost of equity capital characteristic among portfolios of companies listed on the Warsaw Stock Exchange in the years 1995-2017. To this end, the classic CAPM is used to estimate the cost of risk. Model tests are based on 252 monthly returns. In order to...

This paper studies the impact of international capital flows on asset prices through risk premia. We investigate whether foreign purchases of U.S. Treasury securities significantly contributed to the decline in excess returns on long-term bonds between 1995 and 2008. We run forecasting...

In almost every financial market crisis we can observe widening credit spreads, especially in the last years during the subprime and sovereign debt crisis. But what exactly drives the credit spread? This paper will outline static components, i.e. default risk, liquidity, risk and the relative...