Research Output 1983 2019

2019

CAT BOND PRICING UNDER A PRODUCT PROBABILITY MEASURE WITH POT RISK CHARACTERIZATION

Tang, Q. & Yuan, Z., May 1 2019, In : ASTIN Bulletin. 49, 2, p. 457-490 34 p.

Research output: Contribution to journalArticle

Pricing
Catastrophe bonds
Catastrophe risk
Bond market
Interest rate risk

Communication in bargaining games with unanimity

Agranov, M. & Tergiman, C. J., Jun 15 2019, In : Experimental Economics. 22, 2, p. 350-368 19 p.

Research output: Contribution to journalArticle

Unanimity
Communication
Bargaining games
Voting rules
Majority voting

Did You See What i Saw? Interpreting Others' Forecasts When Their Information Is Unknown

Kwasnica, A. M., Velthuis, R. & Williams, J., Mar 1 2019, In : Review of Finance. 23, 2, p. 325-361 37 p.

Research output: Contribution to journalArticle

Overreaction
Financial analysts
Financial institutions
Underreaction
Propensity

Economic Fundamentals, Capital Expenditures and Asset Dispositions

Ambrose, B. W. & Steiner, E., Jan 1 2019, In : Journal of Real Estate Finance and Economics.

Research output: Contribution to journalArticle

disposition
expenditure
assets
expenditures
economics

House Prices and Systematic Risk: Evidence from Microdata

Peng, L. & Zhang, L., Jan 1 2019, In : Real Estate Economics.

Research output: Contribution to journalArticle

Micro data
House prices
Systematic risk
Stock market
Price risk

Interest Rates and Investment: Evidence from Commercial Real Estate

Peng, L. & Thibodeau, T. G., Jan 1 2019, In : Journal of Real Estate Finance and Economics.

Research output: Contribution to journalArticle

interest rate
real estate
evidence
financial crisis
expenditure

Large losses and equilibrium in insurance markets

Posey, L. L. & Thistle, P. D., Jan 1 2019, In : GENEVA Risk and Insurance Review.

Research output: Contribution to journalArticle

Insurance market
Insurance
Bankruptcy
Cross-subsidization
Adverse selection

Robust Actuarial Risk Analysis

Blanchet, J., Lam, H., Tang, Q. & Yuan, Z., Jan 1 2019, In : North American Actuarial Journal.

Research output: Contribution to journalArticle

Risk Analysis
Optimization Problem
Conditional Value at Risk
Robust Estimate
Loss Probability

Size effects and economies of scale in European real estate companies

Ambrose, B. W., Fuerst, F., Mansley, N. & Wang, Z., Jan 1 2019, In : Global Finance Journal.

Research output: Contribution to journalArticle

Real estate
Economies of scale
Real estate investment trusts
Revenue
Expenses
2018

Benchmarking Local Commercial Real Estate Returns: Statistics Meets Economics

Peng, L., Jan 1 2018, (Accepted/In press) In : Real Estate Economics.

Research output: Contribution to journalArticle

Economics
Statistics
Benchmarking
Real estate returns
Commercial real estate

Evaluating Life Expectancy Evaluations

Bauer, D., Fasano, M. V., Russ, J. & Zhu, N., Apr 3 2018, In : North American Actuarial Journal. 22, 2, p. 198-209 12 p.

Research output: Contribution to journalArticle

Life Expectancy
Metric
Evaluation
Uncertainty Estimation
Quality of Life

Information Asymmetry, Regulations and Equilibrium Outcomes: Theory and Evidence from the Housing Rental Market

Ambrose, B. W. & Diop, M., Jan 1 2018, (Accepted/In press) In : Real Estate Economics.

Research output: Contribution to journalArticle

Information asymmetry
Rental market
Screening
Rental housing
Costs
1 Citation (Scopus)

Lapse-and-Reentry in Variable Annuities

Moenig, T. & Zhu, N., Dec 1 2018, In : Journal of Risk and Insurance. 85, 4, p. 911-938 28 p.

Research output: Contribution to journalArticle

Variable annuities
Reentry
Guarantee
Tax
Pricing

Paying for Teamwork: Supplier Coordination with Endogenously Selected Groups

Fan, J., Kwasnica, A. M. & Thomas, D. J., Jun 1 2018, In : Production and Operations Management. 27, 6, p. 1089-1101 13 p.

Research output: Contribution to journalArticle

Profitability
Fees
Suppliers
Team work
Profit
1 Citation (Scopus)

Reassessing Taylor rules using improved housing rent data

Ambrose, B. W., Coulson, N. E. & Yoshida, J., Jun 1 2018, In : Journal of Macroeconomics. 56, p. 243-257 15 p.

Research output: Contribution to journalArticle

Rent
Taylor rule
Large deviations
Price index
Quantitative easing

Risk and Performance of Mutual Funds’ Securitized Mortgage Investments

Ambrose, B. W., Diop, M., D’Lima, W. & Thibodeau, M., Jan 1 2018, (Accepted/In press) In : Journal of Real Estate Finance and Economics.

Research output: Contribution to journalArticle

performance
vertical integration
lending
incentive
evidence

The Impact of Tenant Diversification on Spreads and Default Rates for Mortgages on Retail Properties

Ambrose, B. W., Shafer, M. & Yildirim, Y., Jan 1 2018, In : Journal of Real Estate Finance and Economics. 56, 1

Research output: Contribution to journalReview article

diversification
loan
credit
Retail
Diversification
8 Citations (Scopus)

Toward a strategic view of higher education social responsibilities: A dynamic capabilities approach

Hayter, C. S. & Cahoy, D. R., Feb 1 2018, In : Strategic Organization. 16, 1, p. 12-34 23 p.

Research output: Contribution to journalArticle

social responsibility
education
social effects
university
strategic management
2017
5 Citations (Scopus)

A limit distribution of credit portfolio losses with low default probabilities

Shi, X., Tang, Q. & Yuan, Z., Mar 1 2017, In : Insurance: Mathematics and Economics. 73, p. 156-167 12 p.

Research output: Contribution to journalArticle

Limit Distribution
Multivariate Regular Variation
Multivariate Extremes
Tail Dependence
Extreme Value Theory
1 Citation (Scopus)

An asymptotic characterization of hidden tail credit risk with actuarial applications

Yuan, Z., Jul 1 2017, In : European Actuarial Journal. 7, 1, p. 165-192 28 p.

Research output: Contribution to journalArticle

Credit Risk
Tail
Risk Factors
Asymptotic Independence
Archimedean Copula

A new and improved design for multi-object iterative auctions

Kwasnica, A. M., Ledyard, J. O., Porter, D. P. & DeMartini, C., Oct 26 2017, Handbook of Spectrum Auction Design. Cambridge University Press, p. 391-417 27 p.

Research output: Chapter in Book/Report/Conference proceedingChapter

4 Citations (Scopus)

A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks

Chen, Y. & Yuan, Z., Mar 1 2017, In : Insurance: Mathematics and Economics. 73, p. 75-81 7 p.

Research output: Contribution to journalArticle

Finite-time Ruin Probability
Financial Risk
Ruin Probability
Insurance
Multivariate Regular Variation

Automobile Insurance and Driver Ability: Contract Choice as a Screening Mechanism

Posey, L. L. & Thistle, P. D., Sep 1 2017, In : GENEVA Risk and Insurance Review. 42, 2, p. 141-170 30 p.

Research output: Contribution to journalArticle

Contract choice
Tort
Automobile insurance
Screening
Pooling equilibrium

Energy efficiency and green building markets in Japan

Yoshida, J., Onishi, J. & Shimizu, C., Aug 1 2017, Energy Efficiency and the Future of Real Estate. Palgrave Macmillan, p. 137-157 21 p.

Research output: Chapter in Book/Report/Conference proceedingChapter

Energy efficiency
Japan
Green building
4 Citations (Scopus)

Hedging Longevity Risk in Life Settlements Using Biomedical Research-Backed Obligations

MacMinn, R. D. & Zhu, N., Apr 1 2017, In : Journal of Risk and Insurance. 84, p. 439-458 20 p.

Research output: Contribution to journalArticle

Biomedical research
Obligation
Longevity risk
Hedging
Mortality risk
7 Citations (Scopus)

Idiosyncratic Risk of House Prices: Evidence from 26 Million Home Sales

Peng, L. & Thibodeau, T. G., Jun 1 2017, In : Real Estate Economics. 45, 2, p. 340-375 36 p.

Research output: Contribution to journalArticle

House prices
Idiosyncratic risk
Housing market
Median
Household income

Insurance and Endogenous Bankruptcy Risk: When is it Rational to Choose Gambling, Insurance, and Potential Bankruptcy?

Posey, L. L. & Bajtelsmit, V., Mar 1 2017, In : GENEVA Risk and Insurance Review. 42, 1, p. 15-40 26 p.

Research output: Contribution to journalArticle

Gambling
Bankruptcy
Insurance
Liability
Decision maker
1 Citation (Scopus)

Lender Steering in Residential Mortgage Markets

Agarwal, S., Ambrose, B. W. & Yao, V. W., Jan 1 2017, (Accepted/In press) In : Real Estate Economics.

Research output: Contribution to journalArticle

Mortgage market
Loans
Mortgages
Insurance
Self-selection

Policyholder exercise behavior in life insurance: the state of Affairs

Bauer, D., Gao, J., Moenig, T., Ulm, E. R. & Zhu, N., Sep 27 2017, In : North American Actuarial Journal. 21, 4, p. 485-501 17 p.

Research output: Contribution to journalReview article

Insurance
Exercise
Driver
Structural Model
Categorization
3 Citations (Scopus)

Product Market Competition and Corporate Real Estate Investment under Demand Uncertainty

Ambrose, B. W., Diop, M. & Yoshida, J., Sep 1 2017, In : Real Estate Economics. 45, 3, p. 521-590 70 p.

Research output: Contribution to journalArticle

Demand uncertainty
Product market competition
Real estate investment
Real estate
Prediction
1 Citation (Scopus)

Risk and Returns of Income Producing Properties: Core versus Noncore

Gang, J., Peng, L. & Thibodeau, T. G., Jan 1 2017, (Accepted/In press) In : Real Estate Economics.

Research output: Contribution to journalArticle

Income
Risk and return
Factors
Systematic risk
Real estate
2016
5 Citations (Scopus)

Credit Rationing, Income Exaggeration, and Adverse Selection in the Mortgage Market

Ambrose, B. W., Conklin, J. & Yoshida, J., Dec 1 2016, In : Journal of Finance. 71, 6, p. 2637-2686 50 p.

Research output: Contribution to journalArticle

Income
Adverse selection
Credit rationing
Mortgage market
Loans
4 Citations (Scopus)

Interplay of insurance and financial risks with bivariate regular variation

Tang, Q. & Yuan, Z., Jan 6 2016, Extreme Value Modeling and Risk Analysis: Methods and Applications. CRC Press, p. 419-438 20 p.

Research output: Chapter in Book/Report/Conference proceedingChapter

Regular Variation
Financial Risk
Insurance
Asymptotic Independence
Financial Markets

Joint liability lending and credit risk: Evidence from the home equity market

Agarwal, S., Ambrose, B. W., Chomsisengphet, S. & Liu, C., Jun 1 2016, In : Journal of Housing Economics. 32, p. 47-66 20 p.

Research output: Contribution to journalArticle

Equity markets
Lending
Credit risk
Joint liability
Equity
3 Citations (Scopus)

Random difference equations with subexponential innovations

Tang, Q. H. & Yuan, Z., Dec 1 2016, In : Science China Mathematics. 59, 12, p. 2411-2426 16 p.

Research output: Contribution to journalArticle

Tail Probability
Difference equation
Subexponential Distribution
Dependence Structure
Conditional probability
1 Citation (Scopus)

Real Estate Risk and Hedge Fund Returns

Ambrose, B. W., Cao, Q. & D’Lima, W., Apr 1 2016, In : Journal of Real Estate Finance and Economics. 52, 3, p. 197-225 29 p.

Research output: Contribution to journalArticle

real estate
real estate market
economic impact
performance
market
5 Citations (Scopus)

Servicers and Mortgage-Backed Securities Default: Theory and Evidence

Ambrose, B. W., Sanders, A. B. & Yavas, A., Jun 1 2016, In : Real Estate Economics. 44, 2, p. 462-489 28 p.

Research output: Contribution to journalArticle

Loans
Mortgage-backed securities
Servicing
Incentives
Friction
5 Citations (Scopus)

The loss given default of a low-default portfolio with weak contagion

Wei, L. & Yuan, Z., Jan 1 2016, In : Insurance: Mathematics and Economics. 66, p. 113-123 11 p.

Research output: Contribution to journalArticle

Contagion
Limiting Distribution
Risk Factors
Tail Behavior
Value at Risk
2 Citations (Scopus)

The Rent Term Premium for Cancellable Leases

Yoshida, J., Seko, M. & Sumita, K., May 1 2016, In : Journal of Real Estate Finance and Economics. 52, 4, p. 480-511 32 p.

Research output: Contribution to journalArticle

premium
rent
leasing
costs
cost
4 Citations (Scopus)

The Risk and Return of Commercial Real Estate: A Property Level Analysis

Peng, L., Sep 1 2016, In : Real Estate Economics. 44, 3, p. 555-583 29 p.

Research output: Contribution to journalArticle

Commercial real estate
Risk and return
Factors
Assets
Market conditions
2015
2 Citations (Scopus)

Architecture: A Missing Piece in Real-estate Studies of Sustainable Houses

Fadaei, S., Iulo, L. D. & Yoshida, J., Jan 1 2015, In : Procedia Engineering. 118, p. 813-818 6 p.

Research output: Contribution to journalConference article

Economics
Marketing
Costs
Life cycle
3 Citations (Scopus)

Human Rights, Technology, and Food: Coordinating Access and Innovation for 2050 and Beyond

Bird, R. C. & Cahoy, D. R., Sep 1 2015, In : American Business Law Journal. 52, 3, p. 435-500 66 p.

Research output: Contribution to journalArticle

human rights
food
innovation
Food
Innovation
16 Citations (Scopus)
land management
rent seeking
land use
familiarity
landowner
3 Citations (Scopus)

Institution design and public good provision: an experimental study of the vote of confidence procedure

Tergiman, C. J., Dec 1 2015, In : Experimental Economics. 18, 4, p. 697-717 21 p.

Research output: Contribution to journalArticle

Confidence
Vote
Experimental study
Laboratory experiments
Government

Introduction to the Special Issue

Ambrose, B. W., Case, B. & Eng Ong, S., Mar 1 2015, In : Real Estate Economics. 43, 1, p. 1-7 7 p.

Research output: Contribution to journalArticle

15 Citations (Scopus)

The Effects of Multiple Green Factors on Condominium Prices

Yoshida, J. & Sugiura, A., Jan 1 2015, In : Journal of Real Estate Finance and Economics. 50, 3, p. 412-437 26 p.

Research output: Contribution to journalArticle

condominium
premium
life cycle
empirical analysis
cost
9 Citations (Scopus)

The repeat rent index

Ambrose, B. W., Coulson, N. E. & Yoshida, J., Dec 1 2015, In : Review of Economics and Statistics. 97, 5, p. 939-950 12 p.

Research output: Contribution to journalArticle

rent
labor statistics
housing market
profession
housing
4 Citations (Scopus)

The Subprime Virus

Agarwal, S., Ambrose, B. W. & Yildirim, Y., Dec 1 2015, In : Real Estate Economics. 43, 4, p. 891-915 25 p.

Research output: Contribution to journalArticle

Subprime
Subprime mortgages
Virus
Mortgage default
Mortgages
2014
7 Citations (Scopus)

A Cautionary Note on Natural Hedging of Longevity Risk

Zhu, N. & Bauer, D., 2014, In : North American Actuarial Journal. 18, 1, p. 104-115 12 p.

Research output: Contribution to journalArticle

Hedging
Mortality
Mortality Rate
Factor Models
Insurance
15 Citations (Scopus)

Communication in multilateral bargaining

Agranov, M. & Tergiman, C. J., Jan 1 2014, In : Journal of Public Economics. 118, p. 75-85 11 p.

Research output: Contribution to journalArticle

Communication
Multilateral bargaining
Resources
Rent
Experimental tests