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Your search keyword '"Fernholz, Ricardo T."' showing total 14 results
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14 results on '"Fernholz, Ricardo T."'

4. Racing to Zipf's law: Race and metropolitan population size 1910–2020.

Author

Fernholz, Ricardo T. and Kramer, Rory

Subjects
*ZIPF'S law, *JIM Crow laws, *METROPOLITAN areas, *LABOR mobility, *BLACK people, *AFRICAN Americans
Abstract

Scholarship demonstrates that urban systems follow a power law population distribution if the population has full labor mobility. Theoretically, subpopulations should also follow a power law population distribution if that subpopulation also has full labor mobility. Examining city population distributions for White and Black Americans across US metropolitan areas from 1910 to 2020 shows that the White distribution mostly conforms to both Zipf's and Gibrat's laws throughout this period. In contrast, the Black population does not follow either law until the second half of the 20th century, a result that is consistent with theories of restricted mobility out of the South for Black Americans during the Jim Crow era. [ABSTRACT FROM AUTHOR]

Published
2024
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11. Heterogeneous Dynasties and Long-Run Mobility*.

Author

Benhabib, Jess, Bisin, Alberto, and Fernholz, Ricardo T

Subjects
HETEROGENEITY, GRANDPARENTS
Abstract

Recent empirical work has demonstrated a positive correlation between grandparent-child wealth rank, even after controlling for parent-child wealth rank, and a positive correlation between dynastic wealth ranks across almost six hundred years. We show that a simple heterogeneous agents model with idiosyncratic wealth returns generates a realistic wealth distribution, but fails to capture these long-run patterns of wealth mobility. An auto-correlated returns specification of this model also fails to capture both short- and long-run mobility. However, an extension of the heterogeneous agents model that includes permanent heterogeneity in wealth returns is able to simultaneously match the wealth distribution and short- and long-run wealth mobility. [ABSTRACT FROM AUTHOR]

Published
2022
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12. The Rank Effect for Commodities.

Author

Fernholz, Ricardo T. and Koch, Christoffer

Subjects
COMMERCIAL products, NONPARAMETRIC estimation, STOCK exchanges, EFFICIENT market theory, ASSET acquisitions
Abstract

We uncover a large and significant low-minus-high rank effect for commodities across two centuries. There is nothing anomalous about this anomaly, nor is it clear how it can be arbitraged away. Using nonparametric econometric methods, we demonstrate that such a rank effect is a necessary consequence of a stationary relative asset price distribution. We confirm this prediction using daily commodity futures prices and show that a portfolio consisting of lower-ranked, lower-priced commodities yields 23% higher annual returns than a portfolio consisting of higher-ranked, higher-priced commodities. These excess returns have a Sharpe ratio nearly twice as high as the U.S. stock market yet are uncorrelated with market risk. In contrast to the extensive literature on asset pricing factors and anomalies, our results are structural and rely on minimal and realistic assumptions for the long-run properties of relative asset prices. [ABSTRACT FROM AUTHOR]

Published
2016

13. Why Are Big Banks Getting Bigger?

Author

Fernholz, Ricardo T. and Koch, Christoffer

Subjects
BANKING industry, MERGERS & acquisitions, MARKET volatility, PORTFOLIO diversification, EMPIRICAL research, SYSTEMIC risk (Finance)
Abstract

The U.S. banking sector has become substantially more concentrated since the 1990s, raising questions about both the causes and implications of this consolidation. We address these questions using nonparametric empirical methods that characterize dynamic power law distributions in terms of two shaping factors - the reversion rates (a measure of crosssectional mean reversion) and idiosyncratic volatilities of assets for different size-ranked banks. Using quarterly data for subsidiary commercial banks and thrifts and their parent bank-holding companies, we show that the greater concentration of U.S. bank-holding company assets is a result of lower mean reversion, a result consistent with policy changes such as interstate branching deregulation and the repeal of Glass-Steagall. In contrast, the greater concentration of both U.S. commercial bank and thrift assets is a result of higher idiosyncratic volatility, yet, idiosyncratic volatility of parent bank-holding company assets fell. This contrast suggests that diversification through non-banking activities has reduced the idiosyncratic asset volatilities of the largest bank-holding companies and affected systemic risk. [ABSTRACT FROM AUTHOR]

Published
2016

14. The distributional effects of progressive capital taxes.

Author

Fernholz, Ricardo T.

Subjects
*CAPITAL levy, *EQUALITY, *ECONOMETRIC models, *HOUSEHOLDS, *WEALTH
Abstract

Rising inequality since the 1980s has spurred much research examining the underlying causes and potential policy responses. Among the more controversial, One of the more controversial policy proposals is a progressive capital tax in response to rising top wealth shares around the world proposes a progressive capital tax in response to rising top wealth shares around the world. This paper introduces rank-based econometric methods for dynamic power laws as a tool for estimating the effect of progressive capital taxes on the distribution of wealth under different assumptions about the impact of these taxes on household behavior. In most scenarios, we find that a small tax levied on 1% of households would substantially reshape the US wealth distribution and reduce inequality. [ABSTRACT FROM AUTHOR]

Published
2017
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