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Does Automated Collateral Evaluation Lower Mortgage Credit Risk Relative to Home Appraisal Valuations? 相对于房屋评估，自动抵押品评估能降低抵押贷款信用风险吗?
SSRN Pub Date : 2022-06-01 DOI: 10.2139/ssrn.4057658
Kadiri Karamon, Douglas A. McManus
{"title":"Does Automated Collateral Evaluation Lower Mortgage Credit Risk Relative to Home Appraisal Valuations?","authors":"Kadiri Karamon, Douglas A. McManus","doi":"10.2139/ssrn.4057658","DOIUrl":"https://doi.org/10.2139/ssrn.4057658","url":null,"abstract":"Automated valuation models (AVMs) are increasingly being used as a substitute for home appraisals in mortgage origination. This article examines whether there are differences in the credit risk of mortgages originated using AVMs relative to traditional appraisals. This question is explored through modeling the conditional default rates of loans originated through Freddie Mac’s automated collateral evaluation (ACE) program relative to those originated with appraisals. We show that ACE loans have about a 9.6% lower default risk in comparison to otherwise similar loans originated with appraisals. This superior default performance can be explained by the ACE decision logic employing data beyond that found in a traditional appraisal and the more efficient utilization of available information through statistical modeling. These findings are limited to Freddie Mac’s use of its AVM, the Home Value Explorer®, and the algorithmic decision logic in the ACE program.","PeriodicalId":74863,"journal":{"name":"SSRN","volume":"28 1","pages":"43 - 57"},"PeriodicalIF":0.0,"publicationDate":"2022-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44093391","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Stock Market Reaction to Recessions and Buying the Dips 股市对衰退的反应和逢低买入
SSRN Pub Date : 2022-05-31 DOI: 10.2139/ssrn.3953887
Sangkyu Park
{"title":"Stock Market Reaction to Recessions and Buying the Dips","authors":"Sangkyu Park","doi":"10.2139/ssrn.3953887","DOIUrl":"https://doi.org/10.2139/ssrn.3953887","url":null,"abstract":"Using monthly stock-market data covering 150 years from 1871–2021, this article estimates the stock market’s reaction to recessions and analyzes whether recessions create buying opportunities. The stock market has overreacted to recessions. The overreaction is of large magnitude and fairly consistent. Buying stocks at the trough price, therefore, would produce a large above-normal return. Buying the dips based on a simple percentage-drop rule, however, fails to produce an above-normal return, because the peak-to-trough decrease in stock prices reflects enough market fundamentals to deny an easy profit. Whether a more sophisticated trading strategy can produce a sizable and consistent profit is an open question.","PeriodicalId":74863,"journal":{"name":"SSRN","volume":"31 1","pages":"105 - 117"},"PeriodicalIF":0.0,"publicationDate":"2022-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43743350","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Social Networks, Trading, and Liquidity 社交网络、交易和流动性
SSRN Pub Date : 2022-05-30 DOI: 10.2139/ssrn.4099114
Lin Peng, Qiguang Wang, Dexin Zhou
{"title":"Social Networks, Trading, and Liquidity","authors":"Lin Peng, Qiguang Wang, Dexin Zhou","doi":"10.2139/ssrn.4099114","DOIUrl":"https://doi.org/10.2139/ssrn.4099114","url":null,"abstract":"The recent meme stock saga has drawn attention to the growing role of social networks in capital markets. In this article, the authors summarize the latest research that uses large-scale, representative, real-world social network data to study social networks’ influences on trading, liquidity, and valuations of stocks. Institutional investors invest more heavily in stocks if there are strong social ties between the geographic locations of the institution’s headquarters and the firm’s headquarters. Further, a firm’s social ties to large institutional investors reduce its cost of capital, increase its valuation, and strengthen its liquidity. Social networks help to timely disseminate important news releases into prices but also trigger belief divergence and generate persistent excess trading. Moreover, social interactions can amplify investors’ behavioral biases and contribute to retail investors’ attraction to lottery-type stocks. The authors provide additional examples to further illustrate why the roles of social networks are of particular importance to market participants.","PeriodicalId":74863,"journal":{"name":"SSRN","volume":"48 1","pages":"196 - 215"},"PeriodicalIF":0.0,"publicationDate":"2022-05-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45561548","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Consumer Spending and the Cross-Section of Stock Returns 消费者支出与股票收益的横截面
SSRN Pub Date : 2022-05-27 DOI: 10.2139/ssrn.3968780
Tarun Gupta, E. Leung, V. Roscovan
{"title":"Consumer Spending and the Cross-Section of Stock Returns","authors":"Tarun Gupta, E. Leung, V. Roscovan","doi":"10.2139/ssrn.3968780","DOIUrl":"https://doi.org/10.2139/ssrn.3968780","url":null,"abstract":"Using a unique dataset of individual transactions-level data for a universe of US consumer facing stocks, we examine the information content of consumer credit and debit card spending in explaining future stock returns. Our analysis shows that consumer spending data positively predict various measures of a company’s future earnings surprises up to three quarters in the future. This predictive power remains strong in both large- and small-cap universes of consumer discretionary firms in our sample and is robust to the type of transactions data considered (credit card, debit card, or both), although the relationship is stronger in the small-cap universe where informational asymmetries are more pronounced. Based on this empirical observation, we build a simple long–short strategy that takes long–short positions in the top/bottom tercile of stocks ranked on our real-time sales signal. The strategy generates statistically and economically significant returns of 16% per annum net of transaction costs and after controlling for the common sources of systematic factor returns. A simple optimization exercise to form (tangency) mean–variance-efficient portfolios of factors leads to an optimal factor allocation that assigns almost 50% weight to our long–short portfolio. Our results suggest that consumer transaction level data can serve as a more accurate and persistent signal of a firm’s growth potential and future returns.","PeriodicalId":74863,"journal":{"name":"SSRN","volume":"48 1","pages":"117 - 137"},"PeriodicalIF":0.0,"publicationDate":"2022-05-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48711958","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Expected Stock Returns When Interest Rates Are Low 利率较低时的预期股票回报
SSRN Pub Date : 2022-05-14 DOI: 10.2139/ssrn.4045504
David Blitz
{"title":"Expected Stock Returns When Interest Rates Are Low","authors":"David Blitz","doi":"10.2139/ssrn.4045504","DOIUrl":"https://doi.org/10.2139/ssrn.4045504","url":null,"abstract":"The equity risk premium is generally considered to be a reward that investors earn on top of the prevailing risk-free return, implying that, all else equal, total expected stock returns should increase with the level of the risk-free return. We examine whether this notion is true using long-term historical data. Our statistical tests strongly reject the hypothesis that a higher risk-free return implies higher total average stock returns. Instead, expected stock returns appear to be unrelated (or perhaps even inversely related) to the level of the risk-free return. Thus, the equity risk premium tends to be higher when the risk-free return is low and vice versa. This result appears to stem from the operating performance of firms. Our findings challenge the conventional wisdom about expected stock returns and have important implications for asset allocation decisions, in particular when risk-free rates are at extreme levels.","PeriodicalId":74863,"journal":{"name":"SSRN","volume":"48 1","pages":"104 - 116"},"PeriodicalIF":0.0,"publicationDate":"2022-05-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44374482","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
WITHDRAWN: Original Antigenic Sin in COVID-19: Hoskins Effect and Vaccine COVID-19 的抗原原罪：霍斯金斯效应和疫苗
SSRN Pub Date : 2022-03-17 DOI: 10.2174/1871526522666220317154549
Mudassir Khan, Sobia Manzoor, Najeeb Ullah, Dilawar Khan
{"title":"WITHDRAWN: Original Antigenic Sin in COVID-19: Hoskins Effect and Vaccine","authors":"Mudassir Khan, Sobia Manzoor, Najeeb Ullah, Dilawar Khan","doi":"10.2174/1871526522666220317154549","DOIUrl":"10.2174/1871526522666220317154549","url":null,"abstract":"<p><p>The article has been withdrawn at the request of the authors.</p><p><p>Bentham Science apologizes to the readers of the journal for any inconvenience this may have caused.</p><p><p>The Bentham Editorial Policy on Article Withdrawal can be found at https://benthamscience.com/editorial-policies-main.php.</p><p><strong>Bentham science disclaimer: </strong>It is a condition of publication that manuscripts submitted to this journal have not been published and will not be simultaneously\u0000submitted or published elsewhere. Furthermore, any data, illustration, structure or table that has been published elsewhere\u0000must be reported, and copyright permission for reproduction must be obtained. Plagiarism is strictly forbidden, and by submitting\u0000the article for publication the authors agree that the publishers have the legal right to take appropriate action against the\u0000authors, if plagiarism or fabricated information is discovered. By submitting a manuscript the authors agree that the copyright\u0000of their article is transferred to the publishers if and when the article is accepted for publication.</p>","PeriodicalId":74863,"journal":{"name":"SSRN","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-03-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90623374","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Lockdowns as Options 作为选项的封锁
SSRN Pub Date : 2022-03-01 DOI: 10.2139/ssrn.3842419
Sweder J. G. van Wijnbergen
{"title":"Lockdowns as Options","authors":"Sweder J. G. van Wijnbergen","doi":"10.2139/ssrn.3842419","DOIUrl":"https://doi.org/10.2139/ssrn.3842419","url":null,"abstract":"","PeriodicalId":74863,"journal":{"name":"SSRN","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68657260","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Tail Risk Hedging Performance: Measuring What Counts 尾部风险套期保值绩效：衡量什么是重要的
SSRN Pub Date : 2022-02-24 DOI: 10.2139/ssrn.3962552
Linda Chang, Jeremie Holdom, V. Bhansali
{"title":"Tail Risk Hedging Performance: Measuring What Counts","authors":"Linda Chang, Jeremie Holdom, V. Bhansali","doi":"10.2139/ssrn.3962552","DOIUrl":"https://doi.org/10.2139/ssrn.3962552","url":null,"abstract":"The authors discuss the importance of using proper metrics for measuring the historical performance of tail risk hedging portfolios in particular and for any strategy with levered payoffs in general. It is their view that simply using historical compounded returns when the payoffs may be multiples of the investment and ignoring the timing and magnitude of cash flows can potentially paint an inaccurate picture, sometimes grossly so, of the economic value of such strategies. To obtain a more accurate picture that is consistent with the objectives of such strategies, the timing and magnitude of cash flows should be included when analyzing their impact on portfolio construction. Although the correct quantitative metrics are obviously critical in measuring the efficacy and reliability of tail hedging strategies, the importance of subjective metrics, ease of implementation, flexibility, and the relevance to underlying objectives of investors is equally important.","PeriodicalId":74863,"journal":{"name":"SSRN","volume":"48 1","pages":"25 - 39"},"PeriodicalIF":0.0,"publicationDate":"2022-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46230868","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Carbon-Tax-Adjusted Value 碳税调整值
SSRN Pub Date : 2022-02-15 DOI: 10.2139/ssrn.3974773
David Blitz, T. Hoogteijling
{"title":"Carbon-Tax-Adjusted Value","authors":"David Blitz, T. Hoogteijling","doi":"10.2139/ssrn.3974773","DOIUrl":"https://doi.org/10.2139/ssrn.3974773","url":null,"abstract":"The authors examine the effects of incorporating a potential tax on carbon emissions into a value investment strategy. They show that in a portfolio optimization problem, a carbon tax at the stock level is mathematically equivalent to a carbon constraint at the portfolio level. Using this insight, the authors derive a value–carbon efficient frontier that reflects the trade-off between a high value exposure and a low carbon footprint. Empirically, they find that carbon taxes up to $100, corresponding to a portfolio carbon footprint reduction of about 50%, have little effect on the characteristics and performance of the long side of a value strategy. More aggressive footprint reduction targets require progressively higher, less realistic carbon tax levels that do erode the magnitude of the value premium.","PeriodicalId":74863,"journal":{"name":"SSRN","volume":"48 1","pages":"121 - 137"},"PeriodicalIF":0.0,"publicationDate":"2022-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44371821","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Unstealing the Sky: Third World Equity in the Orbital Commons 揭秘天空:轨道公地的第三世界公平
SSRN Pub Date : 2022-02-01 DOI: 10.2139/ssrn.3909536
C. van Eijk
{"title":"Unstealing the Sky: Third World Equity in the Orbital Commons","authors":"C. van Eijk","doi":"10.2139/ssrn.3909536","DOIUrl":"https://doi.org/10.2139/ssrn.3909536","url":null,"abstract":"To whom does outer space ‘belong’? This question lead to space law’s first treaty provision and its most fundamental disputes, but remains unanswered. This ambiguity empowers the loudest interpreters to conquer the cosmos in plain sight – a conquest that continues today in how we read its law, how we remember its past, and how we imagine its future. Space can only be as common as its history. This counterhistory of the decade from Sputnik to the Outer Space Treaty expands our discipline’s origin story. Through reviving these histories, we can see the space commons which might have been, and reimagine the scope of our law’s potential.\u0000outer space law, history, global commons, TWAIL, environmental law","PeriodicalId":74863,"journal":{"name":"SSRN","volume":"23 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68665109","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
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