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Browsing SHA Working Papers by Title
Now showing items 21-40 of 51
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Labor Scarcity, Finance, and Innovation: Evidence from Antebellum America
(2018-03-18)This paper establishes labor scarcity as an important economic channel through which access to finance shapes technological innovation. We exploit antebellum America, a unique setting with (1) staggered passage of free ... -
Learning to Become a Taste Expert
(2018-06-01)Evidence suggests that consumers seek to become more expert about hedonic products to enhance their enjoyment of future consumption occasions. Current approaches to becoming expert center on cultivating an analytic mindset. ... -
Leverage, Volatile Future Earnings Growth and Expected Stock Returns
(2014-08-07)We provide theory and evidence to complement Choi's [RFS, 2013] important new insights on the returns to equity in `value' firms. We show that higher future earnings growth ameliorates the value-reducing effect of leverage ... -
Living with Terminal Capitalization Rates: A Look at Real Estate Valuation Model Parameter Setting
(2011-04-10)This paper examines assumptions about future prices used in real estate applications of DCF models. We confirm both the widespread reliance on an ad hoc rule of increasing period-zero capitalization rates by 50 to 100 basis ... -
Managing Innovation: The Role of Collateral
(2015-01-01)This paper studies how credit constraints impact the management of corporate innovation. Specifically, my experiment exploits exogenous variations in the collateral value of real estate assets as shocks to firms’ credit ... -
On Investor Preferences and Mutual Fund Separation
(2014-09-01)We extend Cass and Stiglitz’s analysis of preference-based mutual fund separation. We show that high degrees of fund separation can be constructed by adding inverse marginal utility functions exhibiting lower degrees of ... -
Option-Implied Systematic Disaster Concern
(2017-11-01)The covariation of option-implied disaster concern of the market index and individual stocks allows me to estimate the conditional and systematic disaster concern of stocks with respect to the market. The estimated conditional ... -
Politician’s Equity Holdings and Corporate Social Responsibility
(2017-11-21)This study examines the relationship between politician’s equity holdings and the corporate social responsibility (CSR) performance of companies. Politician equity holdings reflect not only the self-interested investment ... -
Portfolio Allocations to Real Estate: Another Story
(1994-12-01)Almost 25 years ago Friedman (1970) demonstrated that unsecuritized real estate, because of its relatively high risk-adjusted return and low correlations with stocks and bonds, receives substantial allocations in efficient, ... -
Preferences Toward Risk and Asset Prices: Evidence From Russian Lottery Bonds
(2005-11-03)This paper studies the relationship between investor risk preferences and asset returns. The paper provides direct evidence on the risk aversion of participants in a securities market. It uses the prices of lottery bonds ... -
Price Discovery in the Stock and Corporate Bond Markets
(2012-10-31)This paper uses intraday U.S. bond transaction and stock quote data to investigate whether corporate bonds lead stocks in price discovery of underlying firm value. I use Hasbrouck's (1995) “information share" approach to ... -
Public Market Institutions in Venture Capital: Value Creation for Entrepreneurial Firms
(2017-03-01)Institutions that traditionally focus on the public equity market are making an increasing number of venture capital (VC) investments in the private market. Examining these investments, we find that an institution-backed ... -
Recovering Conditional Return Distributions by Regression: Estimation and Applications
(2014-12-01)I propose a regression approach to recovering the return distribution of an individual asset conditional on the return of an aggregate index based on their marginal distributions. This approach relies on the identifying ... -
Risk Aversion and Clientele Effects
(2009-09-01)We use traded options on growth and value indices to test for clientele differences in risk preferences. Value investors appear to have exhibited a higher average level of risk aversion than growth investors for two different ... -
Shackled High Speed Traders? Latency Reduction and Short Sale Bans
(2016-01-25)We examine the effects of two juxtaposed events – regulatory short sale bans and exchange efforts to facilitate high-frequency trading (HFT) – on multiple dimensions of market quality. Between 2011 and 2013, the Spanish ... -
The Consequences of REIT Index Membership for Return Patterns
(2016-10-10)We study the impact of S&P index membership on REIT stock returns. Given the hybrid nature of REITs, their returns may become more like those of other indexed stocks and less like those of their underlying properties. The ... -
The Effect of Corporate Acquisitions on Stockholder Returns in the Lodging Industry
(2000-07-01)We examine the stock market’s reaction to merger announcements in the lodging industry over the 1982-2000 period. Unlike the results for the overall market, we find that both the stockholders of the acquiring and target ... -
The Performance of Short-term Institutional Trades
(2016-01-22)Using a database of daily institutional trades, we document that a majority of short-term institutional trades lose money. In aggregate, over 23% of round-trip trades are held for less than three months, and the returns ... -
The Rate of Return on Real Estate: Long-Run Micro-Level Evidence
(2019-06-01)We provide evidence that direct real estate investments are less profitable and more risky in the long run than previously thought. We hand-collect property-level data on realized income, expenses, and transaction prices ... -
The Real Effects of Sharing Economy: Evidence from Airbnb
(2018-03-01)Sharing economy has developed rapidly in recent years, but little is known regarding its real effects. This paper examines how a pioneer of sharing economy—Airbnb—affects local economy. Using venture capital infusions as ...
