Financial Globalization and Risk Sharing: Welfare Effects and the Optimality of Open Markets

To study the welfare effects of investment barriers and the opening of markets to foreigners, we construct an equilibrium model of international asset pricing without agency costs that allows endogenous market participation among heterogeneous agents. Equilibrium prices and the set of participating and non-participating agents are jointly determined in equilibrium and the ability of agents to choose to participate in the market affects prices of domestic and foreign assets. We examine the welfare effects of non-participation and find that when a country moves from complete segmentation to open markets for foreigners, the cost of capital falls in the domestic market. This is consistent with empirical findings in the international asset pricing literature. Through the endogenous participation mechanism, our model is able to capture sources of economic growth. Contrary to previous models, however, we show that opening markets is not Pareto-optimal and we identify a class of domestic agents whose welfare is lower after the opening of markets. These finding have political economy interpretations and policy implications

The Impact of Publicly Owned Hotels on Competing Properties

Substantial public subsidies, and even outright public ownership, of hotels have become common in the United States as communities target tourism as an integral economic development tool. A critical question that is increasingly being raised about the public sector entering the hotel business is, are these government-funded facilities unfair competition to properties developed by the private sector? The common reply to these concerns is that the publicly owned hotel is critical to growing demand for lodging accommodation and that once it opens, the new hotel will attract enough new business that all hotels will benefit. We use an event study to test this hypothesis across all of the 100% publicly developed hotels for which there are sufficient data to conduct the analysis. In looking at these 21 hotels, we found strong evidence that the performance of neighboring hotels worsens after the introduction of a publicly owned hotel

Diversification Benefits of REIT Preferred and Common Stock: New Evidence from a Utility Based Framework

We study the diversification benefits of REIT preferred and common stock using a utility based framework in which investors segment based on risk aversion. Taking the view of a long run investor, we conduct our analysis using data from 1992 to 2012. We examine optimal mean-variance portfolios of investors with different levels of risk aversion given access to different classes of assets and establish two main results. First, REIT preferred and common stock provides significant diversification benefits to investors. REIT common stock helps low risk aversion investors attain portfolios with higher returns, while REIT preferred stock helps high risk aversion investors by providing a venue for risk reduction. Both asset classes receive material allocations over plausible levels of risk aversion. Second, while REIT preferred stock appears to behave somewhat like a hybrid debt/equity asset, its risk/return profile appears to not easily be replicated by those asset classes. When given the opportunity, investors will reduce allocations to REIT common stock and investment grade bonds and invest in REIT preferred stock

Business Cycle and Asset Valuation in the Gaming Industry

This study values takeover targets in the gaming industry and finds that privately held takeover targets command lower valuations than publicly traded firms. On average valuation multiples are 46% lower for private targets relative to public firms. This finding has significant implications for owners of privately held gaming companies who may consider a takeover as an option to maximize shareholder value. The study examines the effect of recessions and expansions on valuation. The discount of private targets relative to public targets is present at all stages of the business cycle. Acquisition targets receive lower valuations in recessions and the relative discount for private gaming firms deepens further in recessions. Jointly, the results suggest that recessions have an important impact on the market for corporate control in the gaming industry

Relative Risk Premium: A New “Canary” for Hotel Mortgage-Market Distress

Lenders’ evaluation of the hotel industry’s prospects can be assessed using a metric called the relative risk premium, which we introduce in this report. Similar to the canary in a coal mine, changes in the relative rates that lenders charge for hotel loans, as compared to those for office buildings, give an early warning of relative hotel loan delinquencies. This metric is based on the practice of lenders charging higher interest rates for hotel loans than on office buildings. The relative risk premium measure is defined as the interest rate on hotels minus interest rate on office buildings. Changes in this measure predict relative hotel loan delinquencies (delinquencies on hotel loans minus delinquencies on office building loans). Office loans are an appropriate benchmark to measure the relative health of hotel loans because office building occupancy has a relationship with the economy and with room-night demand. Spreads on hotel loans widen when lenders anticipate higher hotel delinquencies relative to offices and narrow during periods when relative delinquencies for hotels are expected to drop. We also find three other bellwethers for hotel delinquencies: an increase in the volatility of hotel REIT returns (risk), a negative shock to expected earnings forecasts (which signals lower expected future profitability), or an increase in unemployment. Interestingly, the converse situation doesn’t hold, and an increase in relative delinquencies is not useful in predicting a rise in the relative risk premium

The Dynamics of Credit Spreads in Hotel Mortgages and Signaling Implications

We use a vector autoregression framework to investigate loan pricing in a market with short-term leases (hotels) relative to longer-term leases (office properties), studying how news on the economy and capital markets are incorporated into the relative pricing of risk. We examine the impact of economic variables on the incremental risk premium and establish its informational content. Relative loan prices reflect systematic risk: an improvement in the general economy, an increase in forward looking corporate profitability, an increase in capital availability, and an increase in industry demand forecast a decline in the risk premium differential. We then examine how loan pricing adjusts to expected delinquencies. The spreads themselves contain important economic information and can help forecast delinquencies. Lenders are forward-looking in the pricing of risk and appear to set interest rates in anticipation of future delinquencies

Economic and Capital Market Antecedents of Venture Capital Commitments (1960-2010)

Using vector autoregression technique, we examine the interrelation between venture capital flows, economic development, capital market fund-raising activities, and capital market valuation, based on annual data of the United States over the past half-century. We find that venture capital commitments appear to be correlated with GDP and capital market valuation. While capital market fund-raising activities (Initial Public Offerings and Seasoned Equity Offerings) are also correlated with venture capital flows, these effects are subsumed by GDP, indicating that the overall economy drives both venture capital flows and capital market financing activities. Analyses from impulse response functions suggest that shocks to GDP have a permanent effect on venture capital flows, while the impact of capital market valuation (Standard & Poor 500 returns) on venture capital flows is rather short lived. Overall, both economy-wide development and financial market fluctuations seem to impact venture capital flows

Diversification Benefits of REIT Preferred and Common Stocks: A Long-Run Empirical Analysis

We study the diversification benefits of REIT preferred and common stocks. Taking the view of a long run investor, we conduct our analysis using data from 1992 to 2012. We examine optimal mean-variance portfolios of an investor given access to different classes of assets and establish five main results. First, preferred stock provides significant diversification benefits to all equity investors. Second, preferred stock appears to be a bond substitute. Third, preferred stock provides a venue for risk reduction for constrained investors who have access to bonds. Fourth, REITs provide an important value dimension to investors. Finally, REITs allow long only investors the ability to form higher total return portfolios than they otherwise would have been able to attain

МЕСТО ЭМБОЛИЗАЦИИ АРТЕРИЙ ПРОСТАТЫ В ЛЕЧЕНИИ ДОБРОКАЧЕСТВЕННОЙ ГИПЕРПЛАЗИИ ПРЕДСТАТЕЛЬНОЙ ЖЕЛЕЗЫ

Minimally invasive surgical procedures represent an extensive group of techniques that complement the arsenal of treating physicians to help patients. One of the directions are intravascular operations. Endovascular embolization of the prostate arteries is a competitive form of treatment for prostate adenoma in patients with contraindications to an open surgical manual. It is known, that prostate adenoma more often affects age-related men who have a variety of concomitant diseases. Such patients are not shown transurethral resection of the gland due to the severity of their condition. Therefore, to help these patients develop alternative methods of treatment. The article reviews the world data on the effectiveness of endovascular operations in patients with symptoms of the lower urinary tract.Минимально инвазивные хирургические вмешательства представляют обширную группу методик, дополняющих арсенал лечащих врачей для помощи пациентам. Одним из направлений являются внутрисосудитые операции. Эндоваскулярная эмболизация артерий простаты является альтернативным рентгенохирургическим методом лечения доброкачественной гиперплазии предстательной железы у пациентов с противопоказаниями к другим хирургическим пособиям. Известно, что аденома простаты чаще поражает возрастных мужчин, имеющих множество сопутствующих заболеваний. Таким пациентам не показана трансуретральная резекция железы в связи с тяжестью их состояния. Поэтому для помощи этим больным разрабатываются альтернативные способы лечения. В статье приведен обзор мировых данных об эффективности эндоваскулярных операций у пациентов с симптомами нижних мочевых путей

Financial Globalization and Risk Sharing: Welfare Effects and the Optimality of Open Markets

To study the welfare effects of investment barriers and the opening of markets to foreigners, we construct an equilibrium model of international asset pricing without agency costs that allows endogenous market participation among heterogeneous agents. Equilibrium prices and the set of participating and non-participating agents are jointly determined in equilibrium and the ability of agents to choose to participate in the market affects prices of domestic and foreign assets. We examine the welfare effects of non-participation and find that when a country moves from complete segmentation to open markets for foreigners, the cost of capital falls in the domestic market. This is consistent with empirical findings in the international asset pricing literature. Through the endogenous participation mechanism, our model is able to capture sources of economic growth. Contrary to previous models, however, we show that opening markets is not Pareto-optimal and we identify a class of domestic agents whose welfare is lower after the opening of markets. These finding have political economy interpretations and policy implications.Ukhov19_Financial_Globalization_and_Risk_Sharing.pdf: 125 downloads, before Aug. 1, 2020