Marcelo Pinheiro
University of North Carolina at Charlotte
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Publication
Featured researches published by Marcelo Pinheiro.
Archive | 2009
Deniz Igan; Alain Kabundi; Francisco de A. Nadal-De Simone; Marcelo Pinheiro; Natalia T. Tamirisa
We examine the characteristics and comovement of cycles in house prices, credit, real activity and interest rates in advanced economies during the past 25 years, using a dynamic generalised factor model. House price cycles generally lead credit and business cycles over the long term, while in the short to medium run the relationship varies across countries. Interest rates tend to lag other cycles at all time horizons. While global factors are important, the U.S. business cycle, house price cycle and interest rate cycle tend to lead the respective cycles in other countries over all time horizons. However, the U.S. credit cycle leads mostly over the long term.
Journal of financial transformation | 2015
Deniz Igan; Marcelo Pinheiro
We analyze the implications of linking the compensation of fund managers to the return of their portfolio relative to that of a benchmark—a common solution to the agency problem in delegated portfolio management. In the presence of such relativeperformance- based objectives, investors have reduced expected utility but markets are typically more informative and deeper. Furthermore, in a multiple asset/market framework we show that (i) relative performance concerns lead to an increase in the correlation between markets (financial contagion); (ii) benchmark inclusion increases price volatility; (iii) home bias emerges as a rational outcome. When information is costly, information acquisition is hindered and this attenuates the effects on informativeness and depth of the market.
MPRA Paper | 2011
Deniz Igan; Marcelo Pinheiro; John Smith
We identify an otherwise efficient market in which racial stereotypes affect market outcomes. In this market, there are well-defined prices, well-defined outcomes, a finite time horizon, and readily available information. The market appears to efficiently process the available information, with the exception of the race of the participants. We examine data on point spreads for NBA games over the 15 seasons from 1993-94 to 2007-08. We find evidence that the racial composition of the team is related to the size of the spread and their performance against the spread. Specifically, we find that a more black team tends to face a larger point spread and that these teams perform worse against the spread. It is possible that this effect is driven by the bookmakers setting a biased point spread or driven by excessive betting on the more black team. Using a different data set containing the movement of the spread, we do not find a relationship between the movement of the spread and the racial composition of the team. As a result, we favor the explanation that the bookmakers set a biased point spread.
MPRA Paper | 2014
Deniz Igan; Marcelo Pinheiro; John Smith
We identify an otherwise efficient market in which racial biases affect market outcomes. In particular, we examine data on point spreads for NBA games over the 15 seasons from 1993-94 to 2007-08. We find evidence that a more black team tends to face a larger point spread and that these teams perform worse against the spread. These biased outcomes are significantly large and persistent so that we are able to identify profit opportunities. We also find evidence that the biased spread is set by the bookmakers rather than being moved as a result of excessive betting on the more black team. These findings are consistent with information-based discrimination where mistaken beliefs persist even though they are financially disadvantageous, and, more importantly, easily recognizable and correctable.
Archive | 2009
Marcelo Pinheiro; Deniz Igan
We implement a three-step procedure to assess the extent of exposure to real estate in commercial banks. First, we demonstrate interest rates and income to be the major determinants of delinquency. Then, we adopt a stress testing approach to calculate the impact of any adverse changes in these determinants. This suggests that a 1.3 percentage point increase in mortgage interest rate leads to a 20 percent decrease in a typical banks distance to default. Finally, we look at the cross-sectional differences and indentify the banks with rapid loan growth along with high cost-income ratio as the most vulnerable.
Journal of Real Estate Research | 2010
Deniz Igan; Marcelo Pinheiro
Archive | 2011
Deniz Igan; Marcelo Pinheiro
The Quarterly Review of Economics and Finance | 2008
Marcelo Pinheiro
Journal of Economic Behavior and Organization | 2015
Deniz Igan; Marcelo Pinheiro; John Smith
Journal of Mathematical Economics | 2008
Marcelo Pinheiro