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Using data for the 1978-2008 period, this study presents evidence for cointegration between securitized (NAREIT) and direct (NCREIF) total return indices. Cointegration between the indices indicates that REITs and direct real estate are substitutable in the portfolio of a long-horizon...
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yield. Studying securitization exposures on the balance sheets of German banks, I show evidence consistent with this …
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