Research articles for the 2021-03-27
Bank Reserves in 2020: The Structure Remains Flat
SSRN
In 2020, the funding of the banking sector remained rather balanced: the funding base structure of credit institutions did not shift notably. Decline in deposit interest rates boost gradual change in behavior of bank customers and accelerate demand for securities, gold, PIF shares and other tools of investment and saving nature.
SSRN
In 2020, the funding of the banking sector remained rather balanced: the funding base structure of credit institutions did not shift notably. Decline in deposit interest rates boost gradual change in behavior of bank customers and accelerate demand for securities, gold, PIF shares and other tools of investment and saving nature.
ESG Government Risk and International IPO Underpricing
SSRN
We study the association between environmental, social, and governance (ESG) government risk management and firm-level IPO underpricing between 2008 and 2018. Examining 7,446 IPOs issued in 36 countries, we find that IPO underpricing tends to be lower in countries with higher ESG Government Ratings. When we uniquely examine the environmental, social, and governance pillars, we find that underpricing tends to be lower in countries with stronger risk management practices in each of these areas. Additional analysis indicates that the negative impact of ESG ratings on IPO underpricing is more pronounced in countries with more transparent financial disclosures, higher liability standards, and stronger shareholder protections.
SSRN
We study the association between environmental, social, and governance (ESG) government risk management and firm-level IPO underpricing between 2008 and 2018. Examining 7,446 IPOs issued in 36 countries, we find that IPO underpricing tends to be lower in countries with higher ESG Government Ratings. When we uniquely examine the environmental, social, and governance pillars, we find that underpricing tends to be lower in countries with stronger risk management practices in each of these areas. Additional analysis indicates that the negative impact of ESG ratings on IPO underpricing is more pronounced in countries with more transparent financial disclosures, higher liability standards, and stronger shareholder protections.
Information Acquisition Experience, Investor Sophistication, and IPO Price Pressure
SSRN
We propose a simple measure of investor sophistication based on financial statement experience derived from publicly available EDGAR log data about accounting information acquisition activity. This approach allows us to provide unique empirical evidence for the existence of attention induced price pressure effects in the cross-section of initial public offerings, i.e. that pre-IPO-week attention from likely unsophisticated investors is associated with higher initial returns and subsequent, significant price depreciations. These results are robust to various measures of abnormal post-IPO returns, attention, and sophistication. The proposed direct experience-measurement is easily replicable and potentially useful for many other questions in economics.
SSRN
We propose a simple measure of investor sophistication based on financial statement experience derived from publicly available EDGAR log data about accounting information acquisition activity. This approach allows us to provide unique empirical evidence for the existence of attention induced price pressure effects in the cross-section of initial public offerings, i.e. that pre-IPO-week attention from likely unsophisticated investors is associated with higher initial returns and subsequent, significant price depreciations. These results are robust to various measures of abnormal post-IPO returns, attention, and sophistication. The proposed direct experience-measurement is easily replicable and potentially useful for many other questions in economics.
Morgage Credit in 2020
SSRN
The final transition to escrow accounts model in financing residential construction was the highlight of the mortgage market in 2020. The model provided state guarantee for the citizens investing in housing at the construction stage. The reduction of credit rates and implementation of the state program on interest rate subsidization for newly constructed building mortgage loans have resulted in upward demand on the real estate market. Over 2020, the Russian banks have built up the value of mortgage loans exceeding record indexes previously recorded in 2018.
SSRN
The final transition to escrow accounts model in financing residential construction was the highlight of the mortgage market in 2020. The model provided state guarantee for the citizens investing in housing at the construction stage. The reduction of credit rates and implementation of the state program on interest rate subsidization for newly constructed building mortgage loans have resulted in upward demand on the real estate market. Over 2020, the Russian banks have built up the value of mortgage loans exceeding record indexes previously recorded in 2018.
Tracking Owners’ Sentiments: Subjective Home Values, Expectations and House Price Dynamics
SSRN
Economic theory predicts that expectations on future house price growth are related to the current price of a house. We test this relationship for the supply side of the secondary housing market using micro data that links individual expectations to a subjective owner estimated value (OEV). We find a strong relationship suggesting that optimistic expectations indeed imply higher OEVs as compared to neutral or pessimistic expectations. We find qualitatively and quantitatively consistent results for Italy and the US as well as for booming and gloomy years. Our results survive ample robustness checks. Since we use subjective data on house prices, we first show that OEVs are indeed a valid source to study house price dynamics by performing three types of convergent validity tests. We find that price dynamics derived by either combining OEVs and dwelling characteristics, or making use of repeatedly provided OEVs by the same owner over time reproduce objectively measured market trends strikingly well â€" even over decades. In contrast, OEVs and objective data tend to differ in levels â€" potentially due to psychological bias. These results hold for a large set of countries. We hence conclude that the “wisdom of the home-owner crowd†is sufficient to study house price dynamics but OEVs are less suited for measuring the level of market prices.
SSRN
Economic theory predicts that expectations on future house price growth are related to the current price of a house. We test this relationship for the supply side of the secondary housing market using micro data that links individual expectations to a subjective owner estimated value (OEV). We find a strong relationship suggesting that optimistic expectations indeed imply higher OEVs as compared to neutral or pessimistic expectations. We find qualitatively and quantitatively consistent results for Italy and the US as well as for booming and gloomy years. Our results survive ample robustness checks. Since we use subjective data on house prices, we first show that OEVs are indeed a valid source to study house price dynamics by performing three types of convergent validity tests. We find that price dynamics derived by either combining OEVs and dwelling characteristics, or making use of repeatedly provided OEVs by the same owner over time reproduce objectively measured market trends strikingly well â€" even over decades. In contrast, OEVs and objective data tend to differ in levels â€" potentially due to psychological bias. These results hold for a large set of countries. We hence conclude that the “wisdom of the home-owner crowd†is sufficient to study house price dynamics but OEVs are less suited for measuring the level of market prices.
