Now showing items 11-20 of 51

    • 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 ...
    • Where Are the Shareholders’ Mansions? CEOs’ Home Purchases, Stock Sales, and Subsequent Company Performance 

      Liu, Crocker H.; Yermack, David (2007-10-17)
      We study real estate purchases by major company CEOs, compiling a database of the principal residences of nearly every top executive in the Standard & Poor’s 500 index. When a CEO buys real estate, future company performance ...
    • Individual Investors and the Financial Crisis 

      Liu, Crocker H.; Wang, Na (2014-01-01)
      This paper studies the trading behavior of individual Chinese investors before and during the recent financial crisis. We have three major findings: (i) individual investors did not withdraw their capital from the equity ...
    • Is There Excess Comovement in the U.S. Real Estate Markets 

      Kallberg, Jarl; Liu, Crocker H.; Pasquariello, Paolo (2007-09-14)
      This study addresses the recent performance of the U.S. residential real estate market. We investigate the comovement among Case-Shiller Home Price Indices for 14 metropolitan areas from January 1987 to October 2006. We ...
    • 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 ...
    • Evaluating Stock Price Volatility: The Case of REITs 

      Kallberg, Jarl; Liu, Crocker H.; Srinivasan, Anand (1998-03-15)
      One of the most controversial topics in modem financial economics is "excess volatility:" the notion that stock prices move too much to be explained by fundamental economic and firm-specific factors. This article measures ...
    • Diversification Benefits of REIT Preferred and Common Stock: New Evidence from a Utility Based Framework 

      Boudry, Walter I.; deRoos, Jan A.; Ukhov, Andrey D. (2014-09-10)
      We study the diversification benefits of REIT preferred and common stock using a utility based framework in which investors segment based on risk aversion. Taking the view of a long run investor, we conduct our analysis ...
    • A Forward-Looking Factor Model for Volatility: Estimation and Implications for Predicting Disasters 

      Kadan, Ohad; Liu, Fang Ph.D; Tang, Xiaoxiao (2017-10-01)
      We show that any factor structure for stock returns can be naturally translated into a factor structure for return volatility. We use this structure to propose a methodology for estimating forward-looking variances and ...
    • Analysis of Senior-Subordinated Structures Backed by Private-Label Mortgages 

      Kallberg, Jarl; Liu, Crocker H.; Radhakrishnan, A. R. (1997-12-23)
      This paper does a valuation analysis of senior-subordinated struc ture tranches backed by non-agency mortgages. The valuation is done using Monte Carlo simulation and employs the CIR interest rate process in conjunction ...
    • 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, ...