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  • Andrew Ang, Robert J Hodrick, Yuhang Xing, Xiaoyan Zhang, Joe Chen, Mike Chernov +15 others
  • 2004
We examine the pricing of aggregate volatility risk in the cross-section of stock returns. Consistent with theory, we find that stocks with high sensitivities to innovations in aggregate volatility have low average returns. Stocks with high idiosyncratic volatility model have abysmally low average returns. This phenomenon cannot be explained by exposure to(More)
  • Anat R Admati, Peter M Demarzo, Martin F Hellwig, Paul Pfleiderer, Tobias Adrian, Jürg Blum +29 others
  • 2010
We examine the pervasive view that " equity is expensive, " which leads to claims that high capital requirements are costly for society and would affect credit markets adversely. We find that arguments made to support this view are fallacious, irrelevant to the policy debate by confusing private and social costs, or very weak. For example, the return on(More)
My paper highlights shortcomings of recent quantitative and deep-structure models in corporate finance: (1) These models have omitted too many plausible forces not based on evidence, but based on authors' priors. (2) The link between their unobserved structures and their reduced-form empirical evidence has been too weak. (Even orthogonal forces could have(More)
  • Jan K Brueckner, Shihe Fu, Yizhen Gu, Junfu Zhang, Paul Cheshire, Jeffrey Cohen +3 others
  • 2016
This paper develops a new approach for measuring the stringency of a major form of land-use regulation, building-height restrictions, and it applies the method to an extraordinary dataset of land-lease transactions from China. Our theory shows that the elasticity of land price with respect to the floor-area ratio (FAR), an indicator of the allowed building(More)
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