This paper expands on the existing literature on information asymmetry by testing if herding exists. We test herd behavior in a transparent and order-driven market using intraday data. We propose (1) a modification in the herding measure, (2) that investors tend to herd more based on fundamental...

This paper is about investigating how different bank liquidity creation activities affect housing markets. Using data of 401 metropolitan statistical areas/divisions (MSAs/MSADs) of the US between 1990 and 2018, we show that not all bank liquidity creation activities boost housing markets. In...

This paper studies the evolution of U.S. house prices across 45 metropolitan areas from 1980-2012. It uses a version of the Gordon dividend discount model, modelling price as present value of imputed rents as a measure of "fundamentals." This allows for a parsimonious specification, using only...

This paper is about identification and endogeneity in models that estimate the effects of instrument choice on performance (or wealth or welfare) in situations where the instruments are chosen to optimize performance. Such models occur frequently in corporate finance, analysis of happiness and...

This study explores whether and how bank characteristics affect general risk-taking and tail risk of Too-Big-to-Fail (TBTF) and non-TBTF banks differently. We show that TBTF banks’ investment decisions drive their risks, while sources of funding drive risks of other banks. Contradicting the...

To avoid illiquidity spillovers and basis risk in swaps, interbank lenders are especially cautious about whether interbank borrowers can meet their claims. This paper is about examining whether the incentive of interbank lenders to penalize risky borrowers can reduce the liquidity risk-taking of...

The paper examines the risk-and-return characteristics of a popular development strategy, the presale system (or sale before completion), used in many Asian cities. We model a presale decision in a real-options framework and suggest that the use of presale is primarily for a risk-sharing...

This paper examines herding behavior among Hong Kong investors using announcements of the opening of new casinos in Macau. The results show that there is a difference in the herding behavior toward these “Macau concept” stocks before and after the change in investment sentiment regarding...