Strategy

We track the evolution of financing of residential real estate through the housing boom in the early- to mid-2000s and the resolution of distress during the bust during the late 2000s. Financial innovation, in the form of non-traditional mortgage products and the expansion of alternative lending channels, namely non-agency securitization, fundamentally altered the mortgage landscape during the boom. We describe the impact of these changes in mortgage finance on borrowers and loan performance, as well as their impact on the resolution of distressed mortgages.

We study the drivers of the emergence of opinion leaders in a networked community where users establish links to others, indicating their "trust" for the link receiver's opinion. This leads to the formation of a network, with high in-degree individuals being the opinion leaders. We use a dyad-level proportional hazard model with time-varying covariates to model the growth of this network. To estimate our model, we use Weighted Exogenous Sampling with Bayesian Inference, a methodology that we develop for fast estimation of dyadic models on large network data sets.

We study a dynamic limit order market with afinite number of strategic liquidity suppliers who post limit orders. Their limit orders are hit by either news (i.e. informed) traders or noise traders. We show that repeatedly playing a mixed strategy equilibrium of a certain static game is a subgame perfect equilibrium with flickering quotes.

This paper formally analyzes the biases related to self-reporting in hedge fund databases by matching the quarterly equity holdings of a complete list of 13F-filing hedge fund companies to the union of five major commercial databases of self-reporting hedge funds between 1980 and 2008. We find that funds initiate self-reporting after positive abnormal returns that do not persist into the reporting period. Termination of self-reporting is followed by both return deterioration and outflows from the funds.

As the debate over banking reform continues, the 800-pound gorilla in the room is the anemic market value of America's banks. The market-to-book value ratio of U.S. banks — an indicator of market perceptions of their future cash flow-generating potential — remains in the tank. This ratio averaged between 1.8 and 2.9 from 2000 until mid-2007, but then plunged to an average of between 0.9 and 1.3.

This paper studies the "confidential holdings" of institutional investors, especially hedge funds, where the quarter-end equity holdings are disclosed with a delay through amendments to Form 13F and are usually excluded from the standard databases. Funds managing large, risky portfolios with nonconventional strategies seek confidentiality more frequently. Stocks in these holdings are disproportionately associated with information-sensitive events or share characteristics indicating greater information asymmetry.

This paper studies the "confidential holdings" of institutional investors, especially hedge funds, where the quarter-end equity holdings are disclosed with a delay through amendments to Form 13F and are usually excluded from the standard databases. Funds managing large risky portfolios with nonconventional strategies seek confidentiality more frequently. Stocks in these holdings are disproportionately associated with information-sensitive events or share characteristics indicating greater information asymmetry.

We consider price competition models for oligopolistic markets, in which a significant part of the product or service price is paid by a third party, as a subsidy. The consumer is, therefore, impacted by the net price, defined as the difference between the nominal price and the subsidy, while the firms earn the full nominal price, partially paid by the subsidizing third party and the remainder by the consumer.