Pub Date : 2024-12-18DOI: 10.1016/j.frl.2024.106499
John Chalmers, Z. Jay Wang, Jingyun Yang
This paper studies how the organizational forms of open- and closed-end funds affect their ability to manage illiquid assets. We use a sample of municipal bond funds from 2002 to 2015 to compare the portfolio liquidity and performance of open- and closed-end funds. We find that immunity to redemption risk allows closed-end funds to hold more illiquid municipal bonds than open-end funds, and they charge higher management fees for such liquidity provision. Closed-end funds earn liquidity premiums from their illiquid holdings. They significantly underperform peer open-end funds after controlling for their exposure to liquidity risk. Highly leveraged closed-end funds are subject to systematic liquidity risk. We find that closed-end funds with higher leverage hold more liquid municipal bonds. They trade more liquid municipal bonds to reduce the potential costs at forced deleverage.
{"title":"Organizational form and liquidity management: Evidence from open- vs. closed-end municipal bond funds","authors":"John Chalmers, Z. Jay Wang, Jingyun Yang","doi":"10.1016/j.frl.2024.106499","DOIUrl":"https://doi.org/10.1016/j.frl.2024.106499","url":null,"abstract":"This paper studies how the organizational forms of open- and closed-end funds affect their ability to manage illiquid assets. We use a sample of municipal bond funds from 2002 to 2015 to compare the portfolio liquidity and performance of open- and closed-end funds. We find that immunity to redemption risk allows closed-end funds to hold more illiquid municipal bonds than open-end funds, and they charge higher management fees for such liquidity provision. Closed-end funds earn liquidity premiums from their illiquid holdings. They significantly underperform peer open-end funds after controlling for their exposure to liquidity risk. Highly leveraged closed-end funds are subject to systematic liquidity risk. We find that closed-end funds with higher leverage hold more liquid municipal bonds. They trade more liquid municipal bonds to reduce the potential costs at forced deleverage.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"13 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2024-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142884057","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-12-18DOI: 10.1016/j.ecolecon.2024.108485
F.J. Blok, F. Fuerst
Natural hazard risk is captured in property prices through two principal channels: the risk to the building and the risk to its occupiers. These two effects are typically bundled up in transaction prices, thereby becoming individually unobservable. This study analyses residential rents as those should solely represent the risk to occupiers, who pay for their own losses in the case of a natural hazard event, but not for the owner's potential damage to the asset. Applying a hedonic framework to a sample of 18,339 dwellings across Switzerland, we examine the relationship between residential rents and exposure to five different climate-related natural hazards, some of which have been hitherto understudied. Strong evidence of a small rental discount of 1.4 % is found for dwellings that are subject to moderate flood hazard. Similar, albeit weaker, estimates are found for surface runoff hazard. Gravitational hazards including landslide, debris flow, and hillslope debris flow are not associated with significantly lower rents, possibly due to the small sample size. Our findings imply that not all natural hazard risk is reflected in the cost-side of the profit-equation in commercial residential real estate, but partly manifests itself in the form of reduced income, which is often less apparent.
{"title":"Multiple hazards and residential rents in Switzerland: Who pays the price of extreme natural events?","authors":"F.J. Blok, F. Fuerst","doi":"10.1016/j.ecolecon.2024.108485","DOIUrl":"https://doi.org/10.1016/j.ecolecon.2024.108485","url":null,"abstract":"Natural hazard risk is captured in property prices through two principal channels: the risk to the building and the risk to its occupiers. These two effects are typically bundled up in transaction prices, thereby becoming individually unobservable. This study analyses residential rents as those should solely represent the risk to occupiers, who pay for their own losses in the case of a natural hazard event, but not for the owner's potential damage to the asset. Applying a hedonic framework to a sample of 18,339 dwellings across Switzerland, we examine the relationship between residential rents and exposure to five different climate-related natural hazards, some of which have been hitherto understudied. Strong evidence of a small rental discount of 1.4 % is found for dwellings that are subject to moderate flood hazard. Similar, albeit weaker, estimates are found for surface runoff hazard. Gravitational hazards including landslide, debris flow, and hillslope debris flow are not associated with significantly lower rents, possibly due to the small sample size. Our findings imply that not all natural hazard risk is reflected in the cost-side of the profit-equation in commercial residential real estate, but partly manifests itself in the form of reduced income, which is often less apparent.","PeriodicalId":51021,"journal":{"name":"Ecological Economics","volume":"1 1","pages":""},"PeriodicalIF":7.0,"publicationDate":"2024-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142869926","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-12-18DOI: 10.1016/j.frl.2024.106668
Li Gao, Yuan Shi, Yi Zheng
This study examines the relationship between a company's exposure to cryptocurrency and its cost of debt. Using hand-collected data on cryptocurrency holdings for U.S. firms from 2013 to 2023, we find that firms engaged in cryptocurrency incur higher effective interest costs on their debt financing. This finding supports our hypothesis that cryptocurrency represents a high-risk investment, thereby increasing a firm's overall risk. Consequently, creditors demand higher lending costs. Given that debt financing is a crucial source of external funding, our results carry significant implications for understanding the investment behavior of public companies as they explore emerging domains like cryptocurrency.
{"title":"Cryptocurrency exposure and the cost of debt","authors":"Li Gao, Yuan Shi, Yi Zheng","doi":"10.1016/j.frl.2024.106668","DOIUrl":"https://doi.org/10.1016/j.frl.2024.106668","url":null,"abstract":"This study examines the relationship between a company's exposure to cryptocurrency and its cost of debt. Using hand-collected data on cryptocurrency holdings for U.S. firms from 2013 to 2023, we find that firms engaged in cryptocurrency incur higher effective interest costs on their debt financing. This finding supports our hypothesis that cryptocurrency represents a high-risk investment, thereby increasing a firm's overall risk. Consequently, creditors demand higher lending costs. Given that debt financing is a crucial source of external funding, our results carry significant implications for understanding the investment behavior of public companies as they explore emerging domains like cryptocurrency.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"8 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2024-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142884056","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Halefom Yigzaw Nigus, Pierre Mohnen, Eleonora Nillesen
This study examines the relationship between market experience and the adoption of risky but profitable agricultural technologies and explores the role of demand-side barriers. Using survey and incentivized experimental data, we find that market experience is significantly associated with increased adoption of improved agricultural technologies. Furthermore, we find that market experience is linked to reduced risk aversion and a stronger internal locus of control, which, in turn, are associated with higher technology adoption. Our findings imply that policies aimed at increasing farmers’ investment in improved agricultural technologies benefit not only from providing access to these technologies but also from addressing psychological barriers.
{"title":"Market experience and agricultural technology adoption: the role of risk aversion and locus of control","authors":"Halefom Yigzaw Nigus, Pierre Mohnen, Eleonora Nillesen","doi":"10.1093/erae/jbae033","DOIUrl":"https://doi.org/10.1093/erae/jbae033","url":null,"abstract":"This study examines the relationship between market experience and the adoption of risky but profitable agricultural technologies and explores the role of demand-side barriers. Using survey and incentivized experimental data, we find that market experience is significantly associated with increased adoption of improved agricultural technologies. Furthermore, we find that market experience is linked to reduced risk aversion and a stronger internal locus of control, which, in turn, are associated with higher technology adoption. Our findings imply that policies aimed at increasing farmers’ investment in improved agricultural technologies benefit not only from providing access to these technologies but also from addressing psychological barriers.","PeriodicalId":50476,"journal":{"name":"European Review of Agricultural Economics","volume":"145 1","pages":""},"PeriodicalIF":3.4,"publicationDate":"2024-12-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142841573","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}