Showing results 1 - 4 of 4
| Emil Siriwardane
January 2020, Paper: "We document large variation in net-of-fee performance across public pension funds investing in the same private equity fund. In aggregate, these differences imply that the pensions in our sample would have earned $45 billion more – equivalent to $8.50 more per $100 invested – had they each received the best observed terms in the irrespective funds. There are also large pension-effects in the sense that some pensions…
| Adi Sunderam | Emil Siriwardane
Financial Market Risk Perceptions and the Macroeconomy. Emil Siriwardane, Adi Sunderam, , Paper, "In this appendix, we provide details about the data construction for all variables used in the main text. We then present a battery of tests and additional analysis demonstrating the robustness of the relationship between the real rate and PVSt. In addition, we show that roughly 90% of the covariation between the real rate and PVSt stems from the…
| Adi Sunderam | Emil Siriwardane
March 2018, Paper: "We document a strong and robust positive relationship between the one-year real rate and the contemporaneous valuation of volatile stocks, which we contend measures the economy’s risk appetite. Our novel proxy for risk appetite explains 41% of the variation in the real rate since 1970, while the valuation of the aggregate stock market explains just 1%. In addition, the real rate forecasts returns on volatile stocks,…
| Adi Sunderam | Emil Siriwardane
Does Precautionary Savings Drive the Real Interest Rate? Evidence from the Stock Market. Emil Siriwardane, Adi Sunderam, August 6, 2017, Paper, "We document a strong and robust relation between the one-year real rate and precautionary savings motives, as measured by the stock market. Our novel proxy for precautionary savings, based on the difference in valuations between low- and highvolatility stocks, explains 37% of variation in the real rate…