Center for Financial Innovation and Stability

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CenFIS Working Papers

CenFIS Working Papers feature the research of visiting scholars and distinguished economists. The papers are intended to stimulate professional discussion about financial innovation and financial stability and associated policies. Online only.


A Unifying Approach to the Empirical Evaluation of Asset Pricing Models
Francisco Peñaranda and Enrique Sentana
CenFIS Working Paper 10-03
December 2010
Linear factor pricing models can produce different results depending on the way the theory is represented and the estimation strategy. We show that single-step continuously updated GMM estimates are numerically identical for the two common representations.

The Relationship between Mortgage Markets and House Prices: Does Financial Instability Make the Difference?
Santiago Carbó Valverde and Francisco Rodríguez Fernández
CenFIS Working Paper 10-02
February 2010
The authors present evidence that the effect of mortgage lending on housing prices increased in 2001 in Spain. They suggest this change may be related to securitization of mortgage loans.

Investment Performance Evaluation
Wayne E. Ferson
CenFIS Working Paper 10-01
January 2010
The author reviews the rapidly developing literature on investment performance evaluation, summarizing the significant forces and contributions in that field and suggesting directions for future research.

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Atlanta Fed Working Papers

Expected Returns to Stock Investments by Angel Investors in Groups
Ramon P. DeGennaro and Gerald P. Dwyer
Working Paper 2010-14 (August)
Angel investors fund thousands of entrepreneurial projects annually. The authors' estimates indicate that the expected return for doing so is about 70 percent per year, compensating for the substantial risk. about 70 percent per year, compensating for the substantial risk.