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Testing CAPM with a large number of assets

Pesaran, Hashem; Yamagata, Takashi - 2012

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...

Persistent link: https://www.econbiz.de/10010282392

Private information, human capital, and optimal 'home bias' in financial markets

Ehrlich, Isaac; Shin, Jong Kook; Yin, Yong - 2011

By allowing for imperfectly informed markets and the role of private information, we offer new insights about observed deviations of portfolio concentrations in domestic relative to foreign risky assets, or home bias, from what standard finance models predict. Our model ascribes the bias to...

Persistent link: https://www.econbiz.de/10010286893

Directed search in the housing market

Albrecht, James; Gautier, Pieter A.; Vroman, Susan - 2009

sometimes sold above, sometimes below and sometimes at the asking price. We consider two versions of our model. In the first … to the directed search literature by considering a model in which the asking price (i) entails only limited commitment …

Persistent link: https://www.econbiz.de/10010269591

Immigration and housing rents in American cities

Saiz, Albert - 2006

Is there a local economic impact of immigration? Immigration pushes up rents and housing values in US destination cities. The positive association of rent growth and immigrant inflows is pervasive in time series for all metropolitan areas. I use instrumental variables based on a shift-share of...

Persistent link: https://www.econbiz.de/10010267724

Immigration and housing booms: evidence from Spain

González Luna, Libertad; Ortega, Francesc - 2009

We estimate empirically the effect of immigration on house prices and residential construction activity in Spain over the period 1998-2008. This decade is characterized by both a spectacular housing market boom and a stunning immigration wave. We exploit the variation in immigration across...

Persistent link: https://www.econbiz.de/10010269418

Change in the distribution of house prices across Spanish cities

Nicodemo, Catia; Raya, Josep M. - 2012

This paper presents the quantile estimation of house price between two years, 2004 and 2007 (a boom house price period …) in several Spanish cities. We decompose the change in house price distribution into portions: changes in the … 2007, the difference in housing price in Spain is larger at lower and higher percentiles. Secondly, the most important part …

Persistent link: https://www.econbiz.de/10010282564

How Does the Economic Uncertainty Affect Asset Prices under Normal and Financial Distress Times?

Balcilar, Mehmet; Ozdemir, Zeynel Abidin; Ozdemir, Huseyin - 2022

By using a nonlinear VAR model, we investigate whether the response of the US stock and housing markets to uncertainty shocks depends on financial conditions. Our model allows us to change the response of the US financial markets to volatility shocks in periods of normal and financial distress....

Persistent link: https://www.econbiz.de/10013351835

The Heterogeneous Response of Real Estate Asset Prices to a Global Shock

Heiniger, Sandro; Koeniger, Winfried; Lechner, Michael - 2022

prices of real estate particularly in the top price segment of commercial real estate. …

Persistent link: https://www.econbiz.de/10013470462

Neighborhood dynamics and the housing price effects of spatially targeted economic development policy

Krupka, Douglas J.; Noonan, Douglas S. - 2009

compute direct effects of the policy intervention as well as the effects mediated through non-price channels such as changes …

Persistent link: https://www.econbiz.de/10010269581

Becoming Sensitive: Males' Risk and Time Preferences after the 2008 Financial Crisis

Jetter, Michael; Magnusson, Leandro; Roth, Sebastian - 2020

This paper presents evidence suggesting men's (but not women's) risk and time preferences have systematically become sensitive to local economic conditions since the 2008 financial crisis. Studying longitudinal, nationally representative data for 22,579 Australian-based respondents in up to 11...

Persistent link: https://www.econbiz.de/10012207735