Now showing items 26-45 of 51

    • On Investor Preferences and Mutual Fund Separation 

      Dybvig, Philip; Liu, Fang Ph.D (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 

      Liu, Fang Ph.D (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 

      Kim, Jonghwan Simon; Koo, Kwangjoo; Paz, Michael (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 

      Corgel, John B.; deRoos, Jan A. (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 

      Ukhov, Andrey D. (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 

      Mao, Yifei (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 

      Huang, Shiyang; Mao, Yifei; Wang, Cong (Roman); Zhou, Dexin (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 

      Liu, Fang (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 

      Blackburn, Douglas W.; Goetzmann, William N.; Ukhov, Andrey D. (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 

      Chakrabarty, Bidisha; Moulton, Pamela; Pascual, Roberto (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 

      Pavlov, Andrey; Steiner, Eva; Wachter, Susan (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 

      Canina, Linda (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 

      Chakrabarty, Bidisha; Moulton, Pamela; Trzcinka, Charles (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 

      Chambers, David; Spaenjers, Christian; Steiner, Eva (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 

      Mao, Yifei; Tian, Xuan; Ye, Kailei (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 ...
    • The Real Estate Market in the Aftermath of September 11 

      Kallberg, Jarl; Liu, Crocker H.; Pasquariello, Paolo (2004-06-01)
      This study examines the reaction of the financial markets to the terrorist attack on the World Trade Center and how their behavior compared to the subsequent resolution in the corresponding real asset markets. This event ...
    • The Role of Human Capital: Evidence From Patent Generation 

      Liu, Tong; Mao, Yifei; Tian, Xuan (2017-05-01)
      Firms exhibit persistence in innovation output. This paper focuses on the role played by individual inventors. Compared to firm organizational capital, human capital embedded in inventors explains a majority of the variation ...
    • The Tension between Monetary Policy and Financial Stability: Evidence from Agency Mortgage REITs 

      Frame, W. Scott; Steiner, Eva (2017-06-22)
      The prolonged use of unconventional monetary policies since the financial crisis has resulted in concerns about the potential for such policy accommodation to undermine financial stability. Recent research identifying a ...
    • Trading in the Presence of Short-Lived Private Information: Evidence from Analyst Recommendation Changes 

      Kadan, Ohad; Michaely, Roni; Moulton, Pamela (2015-12-07)
      We study how short-lived private information affects trading strategies and liquidity provision. Our empirical identification rests on information acquisition before analyst recommendations are publically announced. ...
    • Unleashing Innovation 

      Mao, Yifei; Tian, Xuan; Yu, Xiaoyun (2014-11-01)
      Using a sample of venture capital (VC)-backed initial public offering (IPO) firms, we study the effect of financial intermediaries’ tight leash on entrepreneurs’ innovation productivity. We find that financial intermediaries’ ...