Research Output 1983 2019

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2019

Can regulation de-bias appraisers?

Agarwal, S., Ambrose, B. W. & Yao, V. W., Jan 1 2019, (Accepted/In press) In : Journal of Financial Intermediation. 100827.

Research output: Contribution to journalArticle

Codes of conduct
Loans
Prepayment
Distress
Difference-in-differences

Capital structure and the substitutability versus complementarity nature of leases and debt

Ambrose, B. W., Emmerling, T., Huang, H. H. & Yildirim, Y., May 1 2019, In : Review of Finance. 23, 3, p. 659-695 37 p., rfy004.

Research output: Contribution to journalArticle

Capital structure
Debt
Substitutability
Lease
Complementarity

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
1 Citation (Scopus)

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
1 Citation (Scopus)

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
1 Citation (Scopus)

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

Ownership dynamics within founder teams: The role of external financing

Hellmann, T. F., Schure, P. H., Tergiman, C. J. & Vo, D. H., Jan 1 2019, (Accepted/In press) In : Strategic Entrepreneurship Journal.

Research output: Contribution to journalArticle

Ownership
External financing
Fairness
Equity
Trade-offs

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
1 Citation (Scopus)

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
1 Citation (Scopus)

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
2 Citations (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
10 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
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
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
8 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
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

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
6 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
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
17 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

17 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
11 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
5 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
17 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
4 Citations (Scopus)

Mortgage brokers, origination fees, price transparency and competition

Ambrose, B. W. & Conklin, J. N., Jan 1 2014, In : Real Estate Economics. 42, 2, p. 363-421 59 p.

Research output: Contribution to journalArticle

Price transparency
Price competition
Broker
Mortgages
Fees
13 Citations (Scopus)

Optimal policies for recovering the value of consumer returns

Crocker, K. J. & Letizia, P., Oct 1 2014, In : Production and Operations Management. 23, 10, p. 1667-1680 14 p.

Research output: Contribution to journalArticle

Salvaging
Retailers
Optimal policy
30 Citations (Scopus)

Randomly weighted sums of subexponential random variables with application to capital allocation

Tang, Q. & Yuan, Z., Sep 1 2014, In : Extremes. 17, 3, p. 467-493 27 p.

Research output: Contribution to journalArticle

Tail Probability
Weighted Sums
Random variables
Random variable
Tail Behavior