REIT Short Sales and Return Predictability

We examine REIT short sale transactions and show REITs are shorted less frequently than non-REITs. Results also show short sellers are less able to predict negative future returns for REITs, relative to non-REITs, which is consistent with increased pricing efficiency for REITs and suggests REIT assets are more transparent. In a broader context, these results suggest differences in transparency across asset types influence the effectiveness of short selling. Results showing REIT short sellers are contrarian imply traders target REITs that are performing well instead of underperforming REITs, suggesting restrictions on REIT short sales should be re-evaluated.     

Hyperbolic discounting and uniform savings floors

Previous research suggests that, in partial equilibrium, individuals whose decision-making exhibits a present-bias – such as hyperbolic discounters who tend to over-consume – will be in favor of having a floor imposed on their savings. In this paper, I show it is quite difficult for the introduction of a savings floor to be Pareto improving in general equilibrium. Indeed, a necessary condition for the floor to be Pareto improving is that it is high enough to be binding for all individuals. Even in that case, because the equilibrium interest rate adjusts with the level of the savings floor, some individuals may prefer to commit to a future time path of consumption by facing a high interest rate (and no floor) rather than a high floor. An essential insight for understanding this result is to note that even those with little self-control (in an absolute sense) will choose to save a lot when the interest rate is high enough.     

Labor Supply,Flexible Hours and Real Estate Agents

Real estate agents have flexibility in choosing hours and employers. These responses are tested with a five‐equation recursive model. Agents choose between full‐ and part‐time work. The conditional wage measures productivity adjusted for self‐selection to each status. Hours worked in each status depend on the fitted after‐tax wage and household income, yielding flexible supply elasticities. Using a 2005 survey of 8,450 U.S. real estate agents, a year of experience raises the full‐time hourly wage by 2.5%. Conditional hours worked decline by 0.6%, implying an earnings return of 1.9% per year of experience. The labor supply elasticity for full‐time agents is 0.21; it is almost zero for part timers.     

Monetary Policy and Natural Disasters in a DSGE Model

In the immediate aftermath of Hurricane Katrina, speculation arose that the Federal Reserve might respond by easing monetary policy. This article uses a dynamic stochastic general equilibrium (DSGE) model to investigate the appropriate monetary policy response to a natural disaster. We show that the standard Taylor rule response in models with and without nominal rigidities is to increase the nominal interest rate. That finding is unchanged when we consider the optimal policy response to a disaster. A nominal interest rate increase following a disaster mitigates both temporary inflation effects and output distortions that are attributable to nominal rigidities.     

Informed or speculative: Short selling analyst recommendations

Christophe et al. (2010) find evidence of abnormal short activity prior to analyst downgrades and argue that short sellers may be violating SEC insider-trading laws by trading on information obtained from analysts about upcoming downgrades. However, observing abnormal shorting prior to downgrades is not tantamount to determining that short sellers are trading on tips from analysts unless shorting is abnormally low prior to upgrades. This paper revisits this issue. While we observe abnormal shorting prior to downgrades, we also find markedly higher shorting prior to upgrades. In fact, the short-selling patterns surrounding both downgrades and upgrades are remarkably symmetric indicating that short sellers during the pre-recommendation period are not unusually informed about the direction of upcoming recommendation changes. If anything, our findings indicate that short selling prior to analyst recommendations is more likely speculative than informed.     

The jackknife and the variance part of the credibility premium

Introduction and summary

Much of the recent literature in credibility theory has concentrated on the expected value part of Bühlmann's (1970) decomposition of the credibility premium. The expected value part is the Bayes rule for the mean relative to squared error loss and its linearization does not present any problems in terms of estimating the so-called structural parameters.     

Shopping motives,store attributes and shopping enjoyment among Malaysian youth

Youth shoppers are an emerging age group that is recognized as a meaningful market segment, yet there is lack of extant shopping enjoyment research explicit to the cohort especially in Malaysia context. This study endeavors to measure shoppers' shopping enjoyment and to explore the effect of both internal and external factors in influencing their shopping enjoyment levels. Shopping motives as the internal contributor is personal-specific while store attributes serve as the external aspect is regarded as situational-specific. By employing hierarchical multiple regression analysis, it was found that anticipated utility dimension from shopping motive variable and enhancement dimension from store attribute variable explained the variance in shopping enjoyment. Narrowing to the two variables identified, anticipated utility (β=0.198) from shopping motives was having more influential power than enhancement derived from store attributes (β=0.163) in explaining shopping enjoyment. The findings assist retailers in enhancing the perceived value of customers.     

通往3G的长征

每次我们参加3G相关的研讨会时，发言人和参会人员都显得那么陶醉，似乎3G是解决一切潜在问题的终极答案。从运营商角度看，中国移动通信行业一切都很好，但是服务提供商、制造商、投资者，甚至部分手机用户，他们会问：3G来临时，自己是否也能分享这种移动快乐？