Andy Naranjo is the chairman of the Eugene F. Brigham Finance, Insurance & Real Estate Department in the Warrington College of Business. His research covers the areas of financial economics, international finance, international corporate finance, empirical asset pricing, real estate finance, FinTech, cybersecurity, capital market linkages and info flows.
Areas of Expertise (9)
Empirical Asset Pricing
International Corporate Finance
Real Estate Finance
Capital Market Linkages
Implied Asset Return Profiles, Firm Fundamentals, and Stock ReturnsSSRN
Jongsub Lee, et al.
We introduce a novel approach to ascertain firms’ unobserved asset return distribution implied by the joint pricing of equity and credit securities within a structural framework. Motivated by Q-theory, we propose a two-factor model that captures asset growth and risk-shifting effects on stock returns. We show that strong asset returns representing systematic growth options predict higher stock returns, whereas shifting risk from equity to credit forecasts lower stock returns.
There’s No Place like Home: Local Asset Concentrations and Information AsymmetriesReal Estate Economics
David C. Ling, Andy Naranjo and Benjamin Scheick
Using a unique setting with significant cross-market information asymmetries and a large sample of individual commercial property holdings, we provide robust evidence showing that local information plays a significant role in the linkage between local asset concentrations and return outperformance.
Private Equity Real Estate Funds: Returns, Risk Exposures, and PersistenceThe Journal of Portfolio Management
Thomas R. Arnold, David C. Ling and Andy Naranjo
Using performance data through 2017Q4 on 467 funds that came to market between 2000 and 2013, we first examine the unconditional performance of closed-end, Private Equity Real Estate (PERE) returns over time and across various fund characteristics. The performance metrics include the internal rate of return (IRR), the multiple on invested capital (MOIC), and a proxy for the public market equivalent (PME). Using conditional sorts, as well as regression procedures with asset pricing specifications, we estimate the exposure of PERE performance to fund-level characteristics and macroeconomic environment risk factors and find that both fund characteristics and macroeconomic risk factors significantly affect PERE performance.