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The Effect of Financial Flexibility on Payout Policy 

Date: 02/2020 Author(s): Kumar, Anil; Vergara, Carles Document type: Article in Journal (refereed) We use variation in real estate prices as exogenous shocks to firms' debt capacity to study the causal effect of financial flexibility on payout policy. We show that an increase in financial flexibility results in higher dividends, share repurchases, and payout flexibility. We find that a one-standard-deviation increase in the firms' collateral ... More information

The Effects of Interest Rates on the Valuation of Highway Infrastructure Assets 

Date: 20/06/2019 Author(s): Vergara, Carles Document type: Article in Journal (refereed) The discounted value of cash flows of assets is negatively related to interest rates (i.e., the discount rate effect). However, economic activity is positively related to interest rates and positively related to the cash flows of assets with tariffs that can be adjusted to manage demand such as adjustable-rate toll ... More information

The Term Structure of Interest Rates with Housing 

Date: 09/2018 Author(s): Vergara, Carles Document type: Article in Journal (refereed) This paper develops a general equilibrium model to study the link between the amount of capital invested in housing assets and the term structure of interest rates. In the model, the production of housing assets is irreversible and housing assets can be used as collateral for borrowing funds. Agents' decisions about consumption and investments in housing ... More information

The Big Short: Short Selling Activity and Predictability in House Prices 

Date: 24/09/2017 Author(s): Saffi, Pedro; Vergara, Carles Document type: Article in Journal (refereed) We study how investors can use financial securities to speculate on the decrease of house prices. Unlike most asset types, houses are subject to high trading frictions and cannot be sold short directly. Using U.S. equity lending data from 2006 through 2013, we find evidence that an increase in the short selling activity of real estate investment trusts ... More information Read related article

Optimal Portfolio Choice with Predictability in House Prices and Transaction Costs 

Date: 03/2014 Author(s): Corradin, S.; Fillat, J.; Vergara, Carles Document type: Article in Journal (refereed) We develop and solve a model of optimal portfolio choice with transaction costs and predictability in house prices. We model house prices using a process with a time-varying expected growth rate. Housing adjustments are infrequent and characterized by both the wealth-to-housing ratio and the expected growth in house prices. We find that the housing ... More information Read related article

How Does the Yield Curve Influence Real Estate Markets and Vice Versa? 

Date: 26/03/2012 Author(s): Vergara, Carles Document type: Article in Journal (refereed) The implicit information about discounting and about macroeconomic variables embedded in the term structure of interest rates can be used to extract the links between yield curve factors and real estate performance and the slope of the yield curve Granger-cause the short rate with 1 quarter lag to 4 quarters lag. I also find that the real estate returns ... More information
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