Annual Conference

|

Real Estate and Urban Economics, Senior Fellows/Fellows

|

May 2019

Information Asymmetries and Learning in Commercial Real Estate Markets

Sumit AGARWAL, Tien Foo SING, Wang LONG
This paper empirically tests information asymmetries and learning in global commercial real estate markets. We find that foreign investors pay a premium of 3.6%, on average, relative to local investors for comparable properties in local markets. The premiums reflect information disadvantages of fore...
Keywords: Learning, Information asymmetry, Foreign Investors, Commercial Real Estate Markets, Cross-border investments
  • View
  • Download
  • Bookmark
  •    |   

Annual Conference

|

Investment Finance, Senior Fellows/Fellows

|

May 2023

Inflation Forecasting from Cross-Sectional Stocks

Claire Yurong HONG, Jun PAN, Shiwen TIAN
This paper examines the inflation forecastability of cross-sectional stocks. To differentiate the cross-sectional inflation exposures, we make the important observation that cross-sectional stock returns exhibit persistent sensitivity to headline inflation shocks during the calendar month of CPI, an...
Keywords: inflation, individual stock returns, core-CPI, announcements
  • View
  • Download
  • Bookmark
  •    |   

Annual Conference

|

Investment Finance, Senior Fellows/Fellows

|

May 2022

Inflation Expectations and Portfolio Rebalancing of Households: Evidence from Inflation Targeting in India

Sumit AGARWAL, Pulak GHOSH, Changcheng SONG, Yeow Hwee CHUA
This paper exploits a natural experiment in India – Inflation Targeting to study how changes in inflation expectations influence households’ consumption, savings, and investments in risky assets. Using regional heterogeneity in inflation expectations by city and city-age-gender bins due to the I...
Keywords: Expectations, Inflation Targeting, Household Finance, Household Balance Sheet, Consumption, Savings,
  • View
  • Download
  • Bookmark
  •    |   

Senior Fellows/Fellows

|

Senior Fellows/Fellows

Index Investing and Asset Pricing Under Information Asymmetry and Ambiguity Aversion

David HIRSHLEIFER, Siew Hong TEOH, Chong HUANG
In a setting with information asymmetry and a tradable value-weighted market index, ambiguity averse investors hold undiversified portfolios, and assets have nonzero alphas. But when a passive fund offers the risk-adjusted market portfolio (RAMP), whose weights depend on information precisions as we...
  • View
  • Download
  • Bookmark
  •    |   

Senior Fellows/Fellows

|

Senior Fellows/Fellows

Income Inequality, Productivity, and International Trade

Wen-Tai HSU, Lin LU, Pierre M. PICARD
This paper discusses the effect of income inequality on selection and aggregate productivity in a general equilibrium model with non-homothetic preferences. It shows the existence of a negative relationship between the number and quantity of products consumed by an income group and the earnings of o...
Keywords: Income inequality, productivity, International trade
  • View
  • Download
  • Bookmark
  •    |