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Peak-Bust Rental Spreads 高峰-低谷租金价差
Pub Date : 2019-11-12 DOI: 10.2139/ssrn.3482198
M. Giacoletti, Christopher Parsons
Abstract Landlords appear to use stale information when setting rents. Among over 43,000 California rental houses in 2018–2019, those last purchased during 2005–2007 (the peak) rent for 2–3% more than those purchased during 2008-2010 (bust). Neither house nor landlord characteristics explain this “peak-bust rental spread.” To clarify the mechanism, we test cross-sectional predictions from a simple theory of rent-setting. We find empirical support for both reference dependence and distorted beliefs. In the first, monthly payments establish (recurring) reference points, against which gains or losses are measured. In the second, past sales prices distort landlords’ current estimates of house values/rents.
房东在设定租金时似乎使用了过时的信息。在2018-2019年加州43,000多套出租房屋中,2005-2007年(高峰)期间购买的房屋租金比2008-2010年(萧条)期间购买的房屋租金高出2-3%。房屋和房东的特点都无法解释这种“高峰低谷期的租金价差”。为了阐明这一机制,我们从一个简单的租金设定理论中检验了横断面预测。我们发现参照依赖和扭曲的信念都有经验支持。首先,每月的付款建立(重复的)参考点,以此来衡量收益或损失。其次,过去的销售价格扭曲了房东目前对房屋价值/租金的估计。
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引用次数: 2
Know Thyself Financially: How Financial Self-awareness Can Benefit Consumers and Financial Advisors 了解自己的财务状况:财务自我意识如何使消费者和财务顾问受益
Pub Date : 2019-10-23 DOI: 10.2139/ssrn.3474625
Nivriti Chowdhry, U. Dholakia
We consider the relationship between an individual’s financial self-awareness (FSA), defined as detailed knowledge about one’s current financial assets, liabilities, and spending patterns, and financial outcomes. The results of three studies show that a higher level of FSA is associated with positive financial decisions and satisfaction among individuals. This effect is mediated by perceived efficacy about handling personal finances. We also find that financial literacy strengthens the association between FSA and investing and saving, but does not affect the association between FSA and either financial satisfaction or spending decisions. Increasing the FSA of clients offers a useful method for financial advisors and policymakers to encourage prudent financial decisions.
我们考虑个人的财务自我意识(FSA)与财务结果之间的关系,FSA定义为对当前金融资产、负债和支出模式的详细了解。三项研究的结果表明,较高的金融服务水平与积极的财务决策和个人满意度有关。这种效应是由处理个人财务的感知效能介导的。我们还发现,金融素养加强了FSA与投资和储蓄之间的联系,但不影响FSA与财务满意度或支出决策之间的联系。增加客户的FSA为财务顾问和政策制定者鼓励审慎的财务决策提供了一种有用的方法。
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引用次数: 5
I Hear You: Does Quality Improve with Customer Voice? 我听到了:顾客的声音能提高质量吗?
Pub Date : 2019-10-09 DOI: 10.2139/ssrn.3467236
Uttara M. Ananthakrishnan, Davide Proserpio, Siddhartha Sharma
The paper show that online reviews can help hotels improve their quality
研究表明,在线评论可以帮助酒店提高质量
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引用次数: 5
Dynamic Rational Inattention and the Phillips Curve 动态理性不注意与菲利普斯曲线
Pub Date : 2019-10-07 DOI: 10.2139/ssrn.3465793
H. Afrouzi, Choongryul Yang
We develop a tractable and portable method for characterizing the solution to dynamic multivariate rational inattention models in linear quadratic Gaussian settings. We apply our framework to propose an attention driven theory of the Phillips curve, the slope of which is endogenous to how monetary policy is conducted. We show that the Phillips curve is flatter when the monetary policy is more hawkish: rationally inattentive firms find it optimal to ignore monetary policy shocks when the monetary authority commits to stabilize nominal variables. Moreover, we show that an unexpectedly more dovish monetary policy leads to a completely flat Phillips curve in the short-run and a steeper Phillips curve in the long-run.
我们开发了一种易于处理和便携的方法来表征线性二次高斯设置下动态多元有理不注意模型的解。我们运用我们的框架提出了一个注意力驱动的菲利普斯曲线理论,其斜率是货币政策如何执行的内生的。我们发现,当货币政策更强硬时,菲利普斯曲线更平坦;当货币当局承诺稳定名义变量时,理性注意力不集中的企业发现忽略货币政策冲击是最优的。此外,我们还表明,出乎意料的更温和的货币政策导致菲利普斯曲线在短期内完全平坦,而菲利普斯曲线在长期内更陡峭。
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引用次数: 31
Bundlers' Dilemmas in Financial Markets with Sampling Investors 抽样投资者的金融市场捆绑者困境
Pub Date : 2019-10-07 DOI: 10.2139/ssrn.3482350
Milo Bianchi, P. Jehiel
We study banks' incentive to pool assets of heterogeneous quality when investors evaluate pools by extrapolating from limited sampling. Pooling assets of heterogeneous quality induces dispersion in investors' valuations without affecting their average. Prices are determined by market clearing assuming that investors can neither borrow nor short‐sell. A monopolistic bank has the incentive to create heterogeneous bundles only when investors have enough money. When the number of banks is sufficiently large, oligopolistic banks choose extremely heterogeneous bundles, even when investors have little money and even if this turns out to be collectively detrimental to the banks. If, in addition, banks can originate low quality assets, even at a cost, this collective inefficiency is exacerbated and pure welfare losses arise. Robustness to the presence of rational investors and to the possibility of short‐selling is discussed.
本文研究了当投资者对资产池进行有限抽样外推时,银行对异质性资产池的激励。汇集异质资产在不影响投资者平均估值的情况下导致了投资者估值的分散。价格由市场出清决定,假设投资者既不能借贷也不能卖空。只有当投资者有足够的资金时,垄断性银行才有动机创造异质捆绑。当银行数量足够大时,寡头垄断的银行会选择极其异质的捆绑,即使投资者资金很少,即使这最终对银行整体不利。此外,如果银行能够产生低质量的资产,即使付出代价,这种集体的低效率也会加剧,纯粹的福利损失也会出现。讨论了对理性投资者存在和卖空可能性的鲁棒性。
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引用次数: 7
Financial Literacy and Suboptimal Financial Decisions at Older Ages 老年人的财务知识和次优财务决策
Pub Date : 2019-10-01 DOI: 10.2139/ssrn.3476319
Joelle H. Fong, Benedict S. K. Koh, O. Mitchell, S. Rohwedder
Over the life-cycle, wealth holdings tend to be highest in the early part of retirement. The quality of financial decisions among older adults is therefore an important determinant of their financial security during the asset drawdown phase. This paper assesses how financial literacy shapes financial decision-making at older ages. We devised a special module in the Singapore Life Panel survey to measure financial literacy to study its relationship with three aspects of household financial and investment behaviors: credit card debt repayment, stock market participation, and adherence to age-based investment glide paths. We found that the majority of respondents age 50+ has some grasp of concepts such as interest compounding and inflation, but fewer know about risk diversification. We provide evidence of a statistically significant positive association between financial literacy and each of the three aspects of suboptimal financial decision-making, controlling for many other factors, including education. A one-unit increase in the financial literacy score was associated with an 8.3 percentage point greater propensity to hold stocks, and a 1.7 percentage point higher likelihood of following an age-appropriate investment glide path. The financial literacy score is only weakly positively linked with timely credit card balance repayment, both in terms of statistical significance and estimate size.
在整个生命周期中,财富持有往往在退休初期达到最高水平。因此,老年人的财务决策质量是他们在资产缩减阶段财务安全的重要决定因素。本文评估了金融素养如何影响老年人的财务决策。我们在新加坡生活小组调查中设计了一个特殊的模块来衡量金融素养,以研究其与家庭金融和投资行为的三个方面的关系:信用卡债务偿还、股票市场参与和对基于年龄的投资下滑路径的遵守。我们发现,大多数50岁以上的受访者对复利和通货膨胀等概念有一定的了解,但对风险分散的了解较少。我们提供的证据表明,在控制了包括教育在内的许多其他因素的情况下,财务素养与次优财务决策的三个方面中的每一个方面之间存在统计学上显著的正相关。金融知识得分每提高一个单位,持有股票的倾向就会提高8.3个百分点,遵循与年龄相适应的投资路径的可能性就会提高1.7个百分点。无论是在统计显著性方面还是在估计规模方面,金融素养得分与及时偿还信用卡余额仅呈弱正相关。
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引用次数: 0
Asset Allocation for “End-State” Portfolios “最终状态”投资组合的资产配置
Pub Date : 2019-09-01 DOI: 10.2139/ssrn.3728657
Michelle Teng, Junying Shen
In recent years many US corporate pension plans have closed and entered their “end-state.” As end-state plans have become more prevalent, their special portfolio management challenges, including asset allocation, have gained attention. Pure immunization with public fixed income assets (“hibernation”) is a possible investment management strategy to try to minimize funding ratio variability. But this may not be sufficient for all end-state plans. For example, mortality risk could cause the actual cash liabilities to deviate from the estimated cash liabilities. This risk may argue for the inclusion of return-seeking assets. In addition, some plans have had good performance experience with their illiquid private assets (e.g., private real estate, private equity, and private credit funds). How can a CIO evaluate the potential of these private assets remaining in their end-state portfolio? We use our asset allocation framework (OASIS™) to help end-state investors solve for optimal asset allocations. An asset allocation solution seeks to maximize the end-state portfolio’s expected horizon value while meeting future cash obligations at a desired confidence level and keeping the funded status at a target level of stability over the investment horizon. We show that private assets can play an important role in helping end-state portfolios achieve their return objectives while meeting their liquidity and funded status stability constraints. CIOs managing end-state portfolios may impose additional constraints to address their specific concerns. For example, CIOs may impose an upper limit on their total allocation to private assets, impose a floor on the plan’s funding ratio, or express views on expected private asset performance and their fund-selection skills. Making asset allocation constraints more restrictive typically implies a less risky portfolio, with a lower allocation to private assets. The OASIS framework helps CIOs measure this tradeoff between performance and their constraints, allowing them to make better business decisions.
近年来,许多美国企业的养老金计划已经关闭,进入了“终极状态”。随着最终状态计划变得越来越普遍,其特殊的投资组合管理挑战(包括资产配置)已引起人们的关注。纯免疫公共固定收益资产(“冬眠”)是一种可能的投资管理策略,以尽量减少资金比率的变化。但这可能并不足以适用于所有最终国家计划。例如,死亡风险可能导致实际现金负债偏离估计现金负债。这种风险可能会促使投资者将寻求回报的资产纳入其中。此外,一些计划在其非流动性私人资产(例如,私人房地产、私人股本和私人信贷基金)方面有良好的业绩经验。首席信息官如何评估这些留在其最终状态投资组合中的私人资产的潜力?我们使用我们的资产配置框架(OASIS™)来帮助终端投资者解决最佳资产配置问题。资产配置解决方案寻求最大化最终状态投资组合的预期范围价值,同时在期望的置信度水平上满足未来的现金义务,并在投资范围内将资金状态保持在目标稳定水平。我们的研究表明,私人资产在帮助最终状态投资组合实现其回报目标,同时满足其流动性和资金状况稳定性约束方面可以发挥重要作用。管理最终状态投资组合的首席信息官可能会施加额外的约束来解决他们的具体问题。例如,首席信息官可以对私人资产的总配置设定上限,对计划的资金比例设定下限,或者对预期的私人资产表现和他们的基金选择技巧发表意见。使资产配置约束更严格通常意味着投资组合风险更低,对私人资产的配置更少。OASIS框架帮助首席信息官衡量性能和约束之间的权衡,使他们能够做出更好的业务决策。
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引用次数: 2
Are the Combinations of Health Care Sector and T-Bill One of the Best Choices for Investment? 医疗板块与短期国债的组合是投资的最佳选择吗?
Pub Date : 2019-06-25 DOI: 10.2139/ssrn.3409672
Zhihui Lv, Amanda M. Y. Chu, T. Chiang, W. Wong
Health care sector plays an increasingly important role in the stock market because it is growing nearly in the entire period and has low correlation with the business cycle. On the other hand, T-Bill is also an important asset in investment because it has positive return and small variance. In this paper, we employ the mean-variance (MV) rules and stochastic dominance (SD) approach to investigate the portfolio performance with and without both health care sector and T-Bill in the US over the period from September 1986 to May 2017. The results show that all the portfolios with health care asset and 6-M TB significantly dominate the corresponding portfolios without health care and 6-M TB, regardless whether short sale is allowed. This study also concludes that the combinations of health care sector and 6-M TB not only reduce risk but also gain better return and all risk-averse investors prefer to invest in portfolios with health care sector and 6-M TB, regardless whether they buy long or sell short the market.

By employing the mean-variance (MV) rules and stochastic dominance (SD) approach, this paper investigates the portfolio performance with and without both health care sector and T-Bill in the U.S. market over the period from September 1986 to May 2017. The results show that all the portfolios with health care asset and 6-m TB significantly dominate the corresponding portfolios without health care and 6-m TB, regardless whether short sale is allowed. This study also concludes that the combinations of health care sector and 6-m TB not only reduce risk but also gain better return; all risk-averse investors prefer to invest in portfolios with health care sector and 6-m TB, regardless whether they buy long or sell short the market.
医疗保健行业在股市中扮演着越来越重要的角色,因为它几乎在整个时期都在增长,与商业周期的相关性很低。另一方面,国库券也是一种重要的投资资产,因为它具有正收益和小方差。在本文中,我们采用均值方差(MV)规则和随机优势(SD)方法研究了1986年9月至2017年5月期间美国有和没有医疗保健部门和美国国债的投资组合表现。结果表明,无论是否允许卖空,所有具有医疗保健资产和6-M结核病的投资组合都明显优于不具有医疗保健和6-M结核病的相应投资组合。本研究还得出结论,医疗保健行业与6-M结核病的组合不仅降低了风险,而且获得了更好的回报,所有厌恶风险的投资者都倾向于投资于医疗保健行业和6-M结核病的投资组合,无论他们是做多还是做空市场。本文采用均值方差(MV)规则和随机优势(SD)方法,研究了1986年9月至2017年5月期间美国市场中医疗保健板块和美国国债的投资组合表现。结果表明,无论是否允许卖空,所有具有医疗保健资产和6 m TB的投资组合都明显优于不具有医疗保健和6 m TB的相应投资组合。本研究还得出结论,卫生保健部门与6百万结核病的结合不仅降低了风险,而且获得了更好的回报;所有规避风险的投资者都倾向于投资于医疗保健行业和600万结核病患者的投资组合,无论他们是做多还是做空。
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引用次数: 0
Consumer Behavior Using an Agent Based Model: Analyzing 4 Theories 基于Agent的消费者行为模型:4个理论分析
Pub Date : 2019-06-23 DOI: 10.2139/ssrn.3495241
Ignacio Aguaded
This paper seeks to find a way to study and compare theories that analyze consumer decision making from different approaches, using data from Mexico, to detect the factors that determine the patterns of consumption found in the data. Four consumer behavior theories are studied separately: Utility function Cobb and Douglas (1928), Hierarchy of human needs Maslow (1943), Priority approach Chavez-Juarez et al. (2018) and Consumption values (Sheth et al., 1991) and then compare them with each other. To interact all approaches, I used computational models (microsimulation), interpreting each theory in programming algorithms in order to analyze all the theories in a single model. The data resulted from simulations of the Agent-Based Model showed that each approach explains different segments of the population differently, which in terms of public policies means understanding which of many factors should be analyzed to study specific segments of the whole population.
本文试图找到一种方法来研究和比较从不同方法分析消费者决策的理论,使用来自墨西哥的数据,以检测决定数据中发现的消费模式的因素。分别研究了四种消费者行为理论:效用函数Cobb和Douglas(1928),人类需求层次理论Maslow(1943),优先方法hugo - juarez等人(2018)和消费价值理论(Sheth等人,1991),然后相互比较。为了使所有方法相互作用,我使用了计算模型(微模拟),在编程算法中解释每种理论,以便在单个模型中分析所有理论。模拟Agent-Based Model得到的数据表明,每种方法对不同人群的解释都不同,这在公共政策方面意味着要理解在众多因素中,应该分析哪些因素来研究整个人群的特定人群。
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引用次数: 1
The Network Structure within the Financial Statements: An Exploratory Study Using Eye-Tracking Through the Lens of Network Theory 财务报表内部的网络结构:基于网络理论的眼动追踪探索性研究
Pub Date : 2019-06-18 DOI: 10.2139/SSRN.3405785
Yasheng Chen, Tota Panggabean, Cheng-Hsun Lee
Value relevance literature suggests that investors are primarily interested in earnings information that can help investors assess equity value. Thus far, most researchers have concentrated on the aggregate level in the relationships between information in the financial statements and the value of the firm. This paper advances the study by exploring what financial statements items that have value relevance to individuals. We examine the value relevance by using the financial statement users’ visual attention data. We ground our model on network theory and employ the eye-tracking technique to examine the centrality of financial statements items. Compare to previous value relevance studies; our method employs a more direct way of investigating the relationship between the financial statement items and the investment decision. We find that most earnings items are the “celebrity actors” or the nodes of individuals’ attention that are relevant to individuals’ investment decision. Our findings corroborate the FASB statement that financial items are interrelated and should not be used independently. We provide new evidence for FASB and IASB to continue their joint project on restructuring the financial statements.
价值相关文献表明,投资者主要对收益信息感兴趣,这些信息可以帮助投资者评估股权价值。到目前为止,大多数研究人员都集中在财务报表中信息与公司价值之间关系的总体水平上。本文通过探索哪些财务报表项目对个人具有价值相关性来推进研究。我们通过使用财务报表使用者的视觉注意数据来检验价值相关性。我们将模型建立在网络理论的基础上,并采用眼球追踪技术来检验财务报表项目的中心性。与以往价值相关性研究的比较;我们的方法采用了一种更直接的方式来调查财务报表项目与投资决策之间的关系。我们发现大多数收益项目都是与个人投资决策相关的“名人演员”或个人注意力节点。我们的发现证实了FASB的声明,即财务项目是相互关联的,不应该单独使用。我们为FASB和国际会计准则理事会继续其关于财务报表重组的联合项目提供了新的证据。
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引用次数: 0
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Decision-Making in Economics eJournal
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