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This paper investigates the risk-return relationship in determination of housing asset pricing. In so doing, the paper evaluates behavioral hypotheses advanced by Case and Shiller (1988, 2002, 2009) in studies of boom and post-boom housing…
We study the welfare effects of overreaction to information in the form of diagnostic expectations in markets with asymmetric information, and the effect of a simple intervention in the form of a tax or a subsidy. A large enough level of…
We study the price impact of order book events - limit orders, market orders and cancelations - using the NYSE TAQ data for 50 U.S. stocks. We show that, over short time intervals, price changes are mainly driven by the order flow…
This article investigates the effect of prices and socio-demographic variables on the farmers decision to purchase agricultural insurance. A survey has been conducted to 200 farmers most of whom are engaged in diversified income-generating…
Real estate prices have a significant impact on individuals, families, businesses, and governments. The general objective of real estate price prediction is to identify and exploit socioeconomic patterns arising from real estate…
We study the upper hedging price for contingent claims in market models with strong types of arbitrage: increasing profit, strong arbitrage, and arbitrage of the first kind. The existence of arbitrage may make the price smaller than if it…
In this study we present evidence that endowment effect can be elicited merely by assigned ownership. Using Google Customer Survey, we administered a survey were participants (n=495) were randomly split into 4 groups. Each group was…
Home sale prices are formed given the transaction actors economic interests, which include government, real estate dealers, and the general public who buy or sell properties. Generating an accurate property price prediction model is a major…
Value at risk (VaR) is a risk measure that has been widely implemented by financial institutions. This paper measures the correlation among asset price changes implied from VaR calculation. Empirical results using US and UK equity indexes…
The rapid rise of cryptocurrency prices led to concerns (e.g. the Financial Stability Board) that this wealth accumulation could detrimentally spill over into other parts of the economy, but evidence is limited. We exploit the tendency for…
What causes house prices to rise and fall? Economists identify household access to credit as a crucial factor. "Loan-to-Value" and "Debt-to-GDP" ratios are the standard measures for credit access. However, these measures fail to explain the…
How does public debt matter for price stability? If it is useful for the private sector to insure idiosyncratic risk, even transitory government debt expansions can exert upward pressure on interest rates and create inflation. As I…
We analyze the practical consequences of the bilateral counterparty risk adjustment. We point out that past literature assumes that, at the moment of the first default, a risk-free closeout amount will be used. We argue that the legal…
I provide evidence that, when income-contingent loans are available, student enrolment in university courses is not significantly affected by large increases in the price of those courses. I use publicly available domestic enrolment data…
Accurate prediction of house price, a vital aspect of the residential real estate sector, is of substantial interest for a wide range of stakeholders. However, predicting house prices is a complex task due to the significant variability…
In this paper, we examine the interlinkages among firms through a financial network where cross-holdings on both equity and debt are allowed. We relate mathematically the correlation among equities with the unconditional correlation of the…
We analyze the counterparty risk embedded in CDS contracts, in presence of a bilateral margin agreement. First, we investigate the pricing of collateralized counterparty risk and we derive the bilateral Credit Valuation Adjustment (CVA),…
We analyse, following recent work of Roehner, changes in house prices for both the UK and Ireland. We conclude that prices in London have reached a tipping point and prices relative to inflation are set to fall over the next few years. If…
It is now well established empirically that financial price changes are distributed according to a power law, with cubic exponent. This is a fascinating regularity, as it holds for various classes of securities, on various markets, and on…
I examine how upstream mergers affect negotiated prices when suppliers bargain with a monopoly intermediary selling products to final consumers. Conventional wisdom holds that such transactions lower negotiated prices when the products are…