Adrian D. Lee

To what extent are cryptocurrencies used to evade cross-border capital controls? We develop a new method that exploits blockchain data to identify such activities. We find that capital flight out of China is economically meaningful, accounting for over one-quarter of Chinese Bitcoin exchange volume. Capital flight increases with economic policy uncertainty and results in a Bitcoin price premium when traded against the Chinese Yuan, ruling out alternative explanations such as arbitrage. Individuals engaging in capital flight are less likely to use Bitcoin to trade illegal goods or services, suggesting that capital flight has different motivations to other criminal activities.

We measure the impact of murders on prices and rents of homes in Sydney. We find that housing prices fall by 3.9 per cent for homes within 0.2 miles of the murder in the year following the murder, and weaker results in the second year after a murder. We do not find any effects of murders on rents. Higher media coverage and being located closer to the murder (within 0.1 mile) have no additional effect on prices. Taken together, our findings suggest that proximity to a murder affects nearby property prices, particularly in the first year after the incident.

Superannuation fees have come under public scrutiny in recent years with the belief they are too high. We examine the determinants of fees and their relationship with fund performance. Superannuation funds with higher investment fees have higher allocations to asset classes that trade in more complex markets. For-profit retail funds charge both higher investment and administration fees than other funds. Funds with higher investment fees do not generate higher returns than the least expensive funds. These findings suggest that superannuation members may not earn higher after-fee risk-adjusted returns by holding funds with higher fees. JEL Classification: G11

Taxes create distortions in financial markets. A tax credit attached to dividend payments in Australia creates a wedge in valuations as it can be utilized only by certain investors. Individual investors, who benefit most from the credit, buy aggressively cum-dividend and sell aggressively ex-dividend, demanding liquidity from institutional investors. Stocks with higher net purchases by individual investors operating through discount brokers in the cum-dividend period have ex-day returns that are up to 42 basis points lower. The tax distortion allows individual investors to capture the tax credit and institutional investors to increase trading profits. Individual investor trading influences ex-dividend pricing.

This study explores for the first time mutual funds that impose discretionary inflow gates on investors. Using a sample of equity funds in China, we present evidence that funds restrict investor purchases for marketing purposes. Despite not earning a higher future return, funds attract extra flows and a larger retail investor clientele after limiting fund inflows. In addition, funds tilt toward a more aggressive investment strategy when the gate is in place. Overall, we suggest that funds intentionally leave the gate ajar to investors in order to boost fund flows rather than protect investor interests.

Governments utilize home ownership schemes for the dual purpose of alleviating housing affordability and stimulating housing construction. This paper studies how the housing market responds to assistance policies by exploiting a natural experiment in Sydney, Australia, where buyers of new homes priced up to $600,000 were eligible for government subsidies between Jul 2010 and Jun 2012. We find large bunching at and just below the threshold price of $600,000, indicating home buyers self-select to the desirable side of the policy. Also, policy-affected homes just below the threshold are associated with an overpricing of about $3,000 and are smaller in size than comparable homes in non-policy periods. Although home buyers receive up to $22,490 of housing assistance, the overpricing reduces its effectiveness by 13%. In comparison, for a different policy solely targeting first-time new home buyers, although we still observe price bunching, we find no overpricing in sales prices. We also document a wealth effect generated by these housing subsidies, with an increase in new car purchases for neighborhoods with more housing subsidies. Overall, our study sheds light on the effectiveness and externalities of housing stimulus in the form of subsidies to improve homeownership.

This paper examines how sentiment affects homebuyers’ housing transaction decisions with a focus on auction sales. Utilizing housing transaction data in Sydney from 2000 to 2014, we find that transaction prices are significantly higher for auction sales compared with private sales, consistent with the notion of a “winner’s curse.” Four sentiment proxies, including three weather-based sentiment proxies and a survey-based sentiment index, are used to derive novel measures of sentiment, revealing that higher sentiment is associated with higher transaction prices, particularly for auction sales. Moreover, sentiment boosts sale prices particularly when the housing market is in boom; however, investors are not more prone to sentiment bias than are owner-occupiers. Sentiment exhibits an asymmetric effect in that low sentiment dampens price to a greater extent compared with the price-boosting effect of high sentiment. Our result is robust to using national sport events as sentiment shocks, selection bias, and participation constraints. Potential mechanisms include present-biased preferences and sentiment-related projection bias. Overall, our evidence sheds light on the role of sentiment in housing market decisions. This paper was accepted by Tyler Shumway, finance.