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Posted on April 26th, 2012
The aim of this study is to examine whether securitized real estate returns reflect direct real estate returns or general stock market returns using international data for the U.S., U.K., and Australia. In contrast to previous research, which has generally relied on overall real estate market indices and neglected the potential long-term dynamics, [...]
Posted on April 16th, 2012
Return anomalies are most pronounced among distressed stocks. The authors of this paper attribute this finding to the role of misvaluation and investors’ inability to value distressed stocks correctly. They treat distressed stocks as options and construct a valuation model that explicitly takes into account the value of the option to default (or [...]
Posted on April 10th, 2012
Ending the dependence on rating agencies is a top priority for the Financial Stability Board, which coordinates the G20 financial policies. Rating agencies have been accused of contributing to the recent financial crisis by misjudging the creditworthiness of mortgage-backed securities. Their downgrading practice of sovereigns and corporations is said to amplify procyclicality and [...]
Posted on March 15th, 2012
This paper (i) proposes a simple multi-currency model of speculative foreign exchange (FX) trading, (ii) uses a natural experiment to identify the implied components of the optimal trading strategy, and (iii) proposes a new spectral inference method to strengthen the statistical evidence on the predicted shortrun exchange rate dynamics. Cross-sectional currency hedging effects [...]
Posted on February 27th, 2012
The aim of this paper is to review the international evidence on the impacts of mortgage interest deductions on homeownership rates. The probability of becoming a homeowner is a function of the relative cost of owning and renting, borrowing constraints, permanent household income, and a set of taste variables. The relative cost of [...]
5 pages
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