Showing papers by "Tarun Ramadorai published in 2016"
TL;DR: In this article, a new currency strategy with highly desirable return and diversification properties, which uses the predictive ability of currency volatility risk premia for currency returns, was discovered, which is mainly generated by movements in spot exchange rates instead of interest rate differentials.
111 citations
TL;DR: This paper reviewed the literature on international comparative household finance and presented summary statistics on household balance sheets for 13 developed countries and used these statistics to discuss common features and contrasts across countries and discussed retirement savings, investments in risky assets, unsecured debt, and mortgages.
Abstract: This article reviews the literature on international comparative household finance. It presents summary statistics on household balance sheets for 13 developed countries and uses these statistics to discuss common features and contrasts across countries. It then discusses retirement savings, investments in risky assets, unsecured debt, and mortgages.
111 citations
TL;DR: In this paper, a cross-sectional approach was proposed to understand whether foreign capital is responsible for residential real estate price movements in "global cities" such as London and New York, especially during crises.
Abstract: The infrequent nature of crises means that pure time-series methods struggle to distinguish the effects of capital flight on asset prices from a wide range of alternative drivers. We present a new cross-sectional approach, which is motivated by the insight that investors may have different "preferred habitats"' within a broad asset class. We apply this approach to understand whether foreign capital is responsible for residential real estate price movements in "global cities" such as London and New York, especially during crises. Using large databases of housing transactions over the past two decades, we find that foreign risk strongly affects London house prices. The effects are long-lasting but temporary, and are associated with both safe-haven effects and immigration.
96 citations
TL;DR: In this article, the authors present summary statistics on household balance sheets for 13 developed countries, and use these statistics to discuss common features and contrasts across countries, including retirement savings, investments in risky assets, unsecured debt, and mortgages.
Abstract: This paper reviews the literature on international comparative household finance. The paper presents summary statistics on household balance sheets for 13 developed countries, and uses these statistics to discuss common features and contrasts across countries. The paper then discusses retirement savings, investments in risky assets, unsecured debt, and mortgages.
41 citations
TL;DR: In this paper, the authors describe and attempt to explain several important features of Indian household balance sheets using the most recent wave of the AIDIS data, and discuss the potential implications of these results for policy.
Abstract: Using the most recent wave of the AIDIS data, we describe and attempt to explain several important features of Indian household balance sheets. When compared with data on households in a range of developed and emerging economies, Indian households on average tend to hold a high fraction of non-financial assets with particularly high relative weights in real estate and gold, hold negligible retirement assets, and non-institutional debt is their primary source of debt. These propensities are also evident along the lifecycle, as well as at almost all points in the wealth distribution, and correlated with location (rural vs. urban), education, and family composition. Controlling for demographics, substantial state-level variation remains in asset and debt holdings which is related to state-level factors including historical inflation volatility, the share of the population in public sector employment, and the density of bank branch networks. We discuss the potential implications of these results for policy.
21 citations
TL;DR: The authors found that winners of randomly assigned initial public offering (IPO) lottery shares are significantly more likely to hold these shares than lottery losers 1, 6, and even 24 months after the random allocation.
Abstract: Winners of randomly assigned initial public offering (IPO) lottery shares are significantly more likely to hold these shares than lottery losers 1, 6, and even 24 months after the random allocation. This finding persists in samples of highly active investors, suggesting along with additional evidence that this “endowment effect” is not driven by inertia alone. The effect decreases as experience in the IPO market increases, but remains even for very experienced investors. These results provide field evidence derived from the behavior of 1.5 million Indian stock investors consistent with the laboratory literature that documents endowment effects for risky gambles.
9 citations
Posted Content•
7 citations
TL;DR: Evidence is presented that near-term (one-year) rational expectations of future movements in ARM rates do affect mortgage choice, but longer-term rational forecasts of ARM rates have a weaker effect, and the current spread between FRM and ARM rates also matters, suggesting that households are concerned with current interest costs as well as with lifetime cost minimization.
Abstract: The relative popularity of adjustable-rate mortgages (ARMs) and fixed-rate mortgages (FRMs) varies considerably both across countries and over time. We ask how movements in current and expected future interest rates affect the share of ARMs in total mortgage issuance. Using a nine-country panel and instrumental variables methods, we present evidence that near-term (one-year) rational expectations of future movements in ARM rates do affect mortgage choice, particularly in more recent data since 2001. However longer-term (three-year) rational forecasts of ARM rates have a relatively weak effect, and the current spread between FRM and ARM rates also matters, suggesting that households are concerned with current interest costs as well as with lifetime cost minimization. These conclusions are robust to alternative (adaptive and survey-based) models of household expectations.
4 citations