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Zeige Ergebnisse 51 bis 56 von 56.

  1. Efficient two-step estimation via targeting
    Autor*in: Frazier, David T.; Renault, Eric
    Erschienen: April 2016
    Verlag:  CIRANO, Centre interuniversitaire de recherche en analyse des organisations, Montréal

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Scientific series / CIRANO, Centre interuniversitaire de recherche en analyse des organisations ; 2016s-16
    Schlagworte: Targeting; Penalization; Multivariate Time Series Models; Asset Pricing
    Umfang: 1 Online-Ressource (circa 40 Seiten)
  2. The other (commercial) real estate boom and bust
    the effects of risk premia and regulatory capital arbitrage
    Autor*in: Duca, John V.; Ling, David C.
    Erschienen: 2015
    Verlag:  Federal Reserve Bank of Dallas, Research Dep., Dallas, Tex.

    The last decade's boom and bust in U.S. commercial real estate (CRE) prices was at least as large as that in the housing market and also had a large effect on bank failures. Nevertheless, the role of CRE in the Great Recession has received little... mehr

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    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe

     

    The last decade's boom and bust in U.S. commercial real estate (CRE) prices was at least as large as that in the housing market and also had a large effect on bank failures. Nevertheless, the role of CRE in the Great Recession has received little attention. This study estimates cohesive models of short-run and long-run movements in capitalization rates (rent-to-price-ratio) and risk premiums across the four major types of commercial properties. Results indicate that CRE price movements were mainly driven by sharp declines in required risk premia during the boom years, followed by sharp increases during the bust phase. Using decompositions of estimated long-run equilibrium factors, our results imply that much of the decline in CRE risk premiums during the boom was associated with weaker regulatory capital requirements. The return to normal risk premia levels in 2009 and 2010 was first driven by a steep rise in general risk premia that occurred after the onset of the Great Recession and later by a tightening of effective capital requirements on commercial mortgage-backed securities (CMBS) resulting from the Dodd-Frank Act. In contrast to the mid-2000s boom, the recovery in CRE prices since 2010 has been mainly driven by declines in real Treasury yields to unusually low levels. Our findings have important implications for the channels through which macro-prudential regulation may or may not be effective in limiting unsustainable increases in asset prices

     
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    Sprache: Englisch
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    Format: Online
    Schriftenreihe: Working paper / Federal Reserve Bank of Dallas, Research Department ; 1504
    FRB of Dallas Working Paper ; No. 1504
    Schlagworte: Asset Pricing; Equity Premiums; Bank Deregulation; Institutional Investors; Alternative AssetClasses; Commercial Real Estate
    Umfang: Online-Ressource (43 S.), graph. Darst.
  3. Existence and uniqueness of equilibrium in Lucas’ asset pricing model when utility is unbounded
    Autor*in: Brogueira, João; Schütze, Fabian
    Erschienen: 2015
    Verlag:  Europ. Univ. Inst., Badia Fiesolana

    Standort:
    Thüringer Universitäts- und Landesbibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 38 (2015,2)
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 1814/35324
    Schriftenreihe: EUI working papers / ECO ; 2015/02
    Schlagworte: Asset Pricing; Exchange Economy; Dynamic Programming; Equilibrium Conditions
    Umfang: Online-Ressource (11 S.), graph. Darst.
  4. Speculative fever
    investor contagion in the housing bubble
    Autor*in: Bayer, Patrick J.; Mangum, Kyle; Roberts, James W.
    Erschienen: February 1, 2016
    Verlag:  Economic Research Initiatives @ Duke (ERID), Durham, NC

    Historical anecdotes of new investors being drawn into a booming asset market, only to suffer when the market turns, abound. While the role of investor contagion in asset bubbles has been explored extensively in the theoretical literature, causal... mehr

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    Resolving-System (kostenfrei)

    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe

     

    Historical anecdotes of new investors being drawn into a booming asset market, only to suffer when the market turns, abound. While the role of investor contagion in asset bubbles has been explored extensively in the theoretical literature, causal empirical evidence on the topic is virtually non-existent. This paper studies the recent boom and bust in the U.S. housing market, and establishes that many novice investors entered the market as a direct result of observing investing activity of multiple forms in their own neighborhoods, and that “infected” investors performed poorly relative to other investors along several dimensions

     
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    Format: Online
    Weitere Identifier:
    Schriftenreihe: ERID working paper ; Number 211
    Economic Research Initiatives at Duke (ERID) Working Paper ; No. 211
    Schlagworte: Speculation; Housing Markets; Asset Pricing; Financial Intermediaries; Asset Bubbles; Contagion
    Umfang: 1 Online-Ressource (circa 51 Seiten), Illustrationen
  5. Dual decision processes and noise trading
    Autor*in: Cerigioni, Francesco
    Erschienen: September 2016
    Verlag:  GSE, Graduate School of Economics, Barcelona

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Barcelona GSE working paper series ; no 925
    Schlagworte: Asset Pricing; Dual Processes; Noise Trading; Underreaction; Overreaction; Equity-Premium Puzzle
    Umfang: 1 Online-Ressource (circa 23 Seiten)
  6. Dual decision processes and noise trading
    Autor*in: Cerigioni, Francesco
    Erschienen: September 2016
    Verlag:  Universitat Pompeu Fabra, Department of Economics and Business, Barcelona

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    keine Fernleihe
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Economics working paper series / Universitat Pompeu Fabra, Department of Economics and Business ; no. 1553
    Schlagworte: Asset Pricing; Dual Processes; Noise Trading; Underreaction; Overreaction; Equity-Premium Puzzle
    Umfang: 1 Online-Ressource (circa 23 Seiten)