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  • 1.
    Almerud, Jakob
    et al.
    Stockholm University, Faculty of Social Sciences, Department of Economics.
    Vestman, Roine
    Stockholm University, Faculty of Social Sciences, Department of Economics.
    Österling, Anders
    Stockholm University, Faculty of Social Sciences, Department of Economics.
    On the Design of Mortgage Default LegislationManuscript (preprint) (Other academic)
    Abstract [en]

    We characterize the condition under which mortgage defaults occur and the welfare consequences of recourse versus non-recourse under different types of mortgage contracts. We build a model where household endogenously chooses to default on their mortgage and where bank endogenously set the risk premium tailored to the kind of mortgage contract and the current exemption level. We find that even moderate recourse, i.e. some garnishment of wages and assets upon default, provides a potent means for discouraging defaults. Furthermore, we find that households prefer strong recourse to weak recourse, as it implies a reduction of the risk premium. Under non-recourse, households prefer ARMs over IOs and FRMs, while under moderate recourse they prefer IOs over ARMs and FRMs. Our analysis suggests that the moral hazard effects on labor supply under strong recourse do not outweigh the benefits of the reduction in the risk premium. In no regime do households prefer FRMs over ARMs.

  • 2. Anderson, Anders
    et al.
    Dreber Almenberg, Anna
    Vestman, Roine
    Stockholm University, Faculty of Social Sciences, Department of Economics. Swedish House of Finance, Stockholm, Sweden.
    Risk taking, behavioral biases and genes: Results from 149 active investors2015In: Journal of Behavioral and Experimental Finance, ISSN 2214-6350, E-ISSN 2214-6369, Vol. 6, p. 93-100Article in journal (Refereed)
    Abstract [en]

    Recent evidence suggests that there is genetic basis for economic behaviors, including preferences for risk taking. We correlate variation in risk taking and behavioral biases with two genetic polymorphisms related to the uptake of dopamine and serotonin (7R+ DRD4 and s/s 5-HTTLPR), hypothesizing that they are positively (negatively) related to risk taking. We use a small but detailed sample of active investors where we combine survey data with DNA samples and data from Swedish tax records that give us objective information about actual economic choices. We find a positive (negative) relationship between the dopamine (serotonin) gene and life expectancy bias, but no other significant correlations between the two genes and behaviors, including risk taking and measures of equity holdings. We acknowledge that our tests suffer from low power originating from the small sample size, which warrants some caution when interpreting these results.

    JEL classificationG02; D122

  • 3. Dahlquist, Magnus
    et al.
    Setty, Ofer
    Vestman, Roine
    Stockholm University, Faculty of Social Sciences, Department of Economics.
    On the Asset Allocation of a Default Pension Fund2018In: Journal of Finance, ISSN 0022-1082, E-ISSN 1540-6261, Vol. 73, no 4, p. 1893-1936Article in journal (Refereed)
    Abstract [en]

    We characterize the optimal default fund in a defined contribution (DC) pension plan. Using detailed data on individuals' holdings inside and outside the pension system, we find substantial heterogeneity within and between passive and active investors in terms of labor income, financial wealth, and stock market participation. We build a life-cycle consumption-savings model, with a DC pension account and an opt-out/default choice, that produces realistic investor heterogeneity. Relative to a common age-based allocation, implementing the optimal default asset allocation implies a welfare gain of 1.5% during retirement. Much of the gain is attainable with a simple rule of thumb.

  • 4.
    Flam, Harry
    et al.
    Stockholm University, Faculty of Social Sciences, Institute for International Economic Studies.
    Vestman, Roine
    Stockholm University, Faculty of Social Sciences, Department of Economics.
    Sverigefonder ger lägre avkastning än börsen2014In: Dagens Nyheter, ISSN 1101-2447Article in journal (Other (popular science, discussion, etc.))
  • 5.
    Flam, Harry
    et al.
    Stockholm University, Faculty of Social Sciences, Institute for International Economic Studies.
    Vestman, Roine
    Stockholm University, Faculty of Social Sciences, Department of Economics.
    Swedish Equity Mutual Funds: performance, Persistence, and Presence of Skill2014Report (Other academic)
  • 6. Ibert, Markus
    et al.
    Kaniel, Ron
    Van Nieuwerburgh, Stijn
    Vestman, Roine
    Stockholm University, Faculty of Social Sciences, Department of Economics.
    Are Mutual Fund Managers Paid for Investment Skill?2018In: The Review of financial studies, ISSN 0893-9454, E-ISSN 1465-7368, Vol. 31, no 2, p. 715-772Article in journal (Refereed)
    Abstract [en]

    Compensation of mutual fund managers is paramount to understanding agency frictions in asset delegation. We collect a unique registry-based dataset on the compensation of Swedish mutual fund managers. We find a concave relationship between pay and revenue, in contrast to how investors compensate the fund company (firm). We also find a surprisingly weak sensitivity of pay to performance, even after accounting for the indirect effects of performance on revenue. Firm-level fixed effects, revenues, and profits add substantial explanatory power for compensation.

  • 7. Koijen, Ralph
    et al.
    Van Nieuwerburgh, Stijn
    Vestman, Roine
    Stockholm University, Faculty of Social Sciences, Department of Economics.
    Judging the quality of survey data by comparison with 'truth' as measured by administrative records: evidence from Sweden2015In: Improving the Measurement of Consumer Expenditures / [ed] Christopher D. Carroll, Thomas F. Crossley and John Sabelhaus, University of Chicago Press, 2015Chapter in book (Refereed)
  • 8.
    Vestman, Roine
    Stockholm University, Faculty of Social Sciences, Department of Economics.
    Limited Stock Market Participation Among Renters and Homeowners2019In: The Review of financial studies, ISSN 0893-9454, E-ISSN 1465-7368, Vol. 32, no 4, p. 1494-1535Article in journal (Refereed)
    Abstract [en]

    The stock market participation rate among homeowners is twice as high as among renters. This paper builds a life-cycle portfolio choice model with endogenous housing tenure choice. A stylized form of preference heterogeneity generates a substantial difference in participation rates. A majority of households have a large savings motive and choose to be homeowners and participate. A minority of households have a small savings motive and find it less worthwhile to participate. Fewer of these households become homeowners. Difference-in-difference regressions on panel data do not find evidence of a crowding-out effect of homeownership on participation, supporting the message that preference heterogeneity matters.

1 - 8 of 8
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