We study whether tax considerations are an important determinant of commercial mortgage default. We also study whether large lenders are better informed, or better at interpreting information for lending purposes, and hence have lower foreclosure rates; whether lenders have more information on...

Motivated by the theoretical results on strategic asset allocation, we examine the gains in portfolio performance when investors diversify into different asset classes, with particular focus on the timeliness of such gains. Although the various asset classes we analyze yield significant gains in...

In this paper we exploit loan level data combining foreclosure histories with information about the revenues and expenses associated with the ongoing management and eventual sale of financially distressed loans to estimate the magnitude of realized excess returns on commercial mortgages. Our...

This paper is concerned with the extent to which rehabilitation tax credits affect the conditional probability of commercial real estate rehabilitation. The analysis suggests that rehabilitation tax credits have been a significant determinant of the conditional probability of rehabilitation in...

Many papers have recently pointed out that institutional investors allocate only a very small fraction of their portfolio to real estate, much smaller than theory would dictate. This raises the question, Are institutional investors underinvested in real estate equities? Or do we simply have the...

Fisher, Geltner, and Webb (1993), in a highly influential paper, develop a procedure to recover the underyling market values from a smoothed valuation-based commercial property return index, without assuming that the underlying property market is informationally efficient. Many papers since then...