Annual Conference

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Investment Finance

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May 2018

Insurers as Asset Managers and Systemic Risk

Andrew ELLUL, Chotibhak JOTIKASTHIRA, Anastasia KARTASHEVA, Christian T. LUNDBLAD, Wolf WAGNER
Financial intermediaries often provide guarantees resembling out-of-the-money put options, exposing them to undiversifiable tail risk. We present a model in the context of the U.S. life insurance industry in which the regulatory framework incentivizes value-maximizing insurers to hedge variable annu...
Keywords: Financial stability, Asset similarity, fire sales, Insurance companies
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2018

The Green Geography: Corporate Environmental Policies and Local Institutional Investors

Johan SULAEMAN, Abhishek VARMA
Corporate environmental concerns (i.e., weaknesses) are spatially clustered, unlike environmental strengths. Firms headquartered in cities friendlier towards the environment (“green” cities) are less likely to have environmental concerns. Manufacturing facilities operated by such firms pose lowe...
Keywords: Environmental issues, environmental performance, toxic substances, corporate environmental policies, local bias
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Annual Conference

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Investment Finance

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May 2018

Attention to Global Warming

Darwin CHOI
We find that people revise their beliefs about climate change upward when experiencing warmer than usual temperatures in their area. Using international data, we show that attention to climate change, as proxied by Google search volume, increases when the local temperature is abnormally high. In fin...
Keywords: Global warming, Climate Change, Financial markets, stocks
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Annual Conference

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Real Estate and Urban Economics, Senior Fellows/Fellows

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May 2018

Urban Structure, Land Prices and Volatility

Sheridan TITMAN, Guozhong ZHU
We develop a dynamic general equilibrium model that describes the evolution of land prices and rental rates in a monocentric city. The model explores the implications of urban configurations that may differ in terms of the flexibility of the citys borders and land use, i.e., zoning and the presence ...
Keywords: Land prices, land supply, rental rates
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Annual Conference

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Real Estate and Urban Economics, Senior Fellows/Fellows

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May 2018

A Quantile Regression Analysis of Housing Price Distributions Near MRT Stations

Tien Foo SING, Daniel P. MCMILLEN, Diao MI
This study uses the opening of the new Circle Line (CCL) in Singapore as a natural experiment to test the effects of urban rail transit networks on non-landed private housing values in Singapore. Using the network distance measure and a local-polynomial-regression approach, we observe discontinuity ...
Keywords: Average treatment effects, distributional quantile effects, spatial variations, quantile decomposition, spatial autocorrelation, price heterogeneity
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