Asymmetric or Incomplete Information about Asset Values?

Review of Financial Studies - Tập 33 Số 7 - Trang 2898-2936 - 2020
Crocker H. Liu1, Adam Nowak2, Patrick S. Smith3
1(Cornell University
2WEST VIRGINIA UNIVERSITY
3San Diego State University

Tóm tắt

AbstractWe provide a new framework for using text as data in empirical models. The framework identifies salient information in unstructured text that can control for multidimensional heterogeneity among assets. We demonstrate the efficacy of the framework by reexamining principal-agent problems in residential real estate markets. We show that the agent-owned premiums reported in the extant literature dissipate when the salient textual information is included. The results suggest the previously reported agent-owned premiums suffer from an omitted variable bias, which prior studies incorrectly ascribed to market distortions associated with asymmetric information. (JEL D82, G14, R00)Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

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Review of Financial Studies

Tập 33 Số 7

2898-2936

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