The betas on equity real estate investment trusts (EREITs) have undergone a structural shift in the past 20 years. We show that this is the result of the lower variability of EREIT returns and argue that the decrease in the standard deviation of EREIT returns can be attributed to the increasing...

This paper analyzes the deposit-taking market in Hong Kong prior to the deregulation of interest rates in 1994. We argue that banking regulations, in the forms of branching restrictions and interest-rate ceilings, had created a monopsonistic market for short-term bank deposits. As a result,...

The ability of assets to protect an investor from purchasing power risk due to inflation has received a good deal of attention in the literature recently. The focus of much of this research has been on the properties of common stocks as inflation hedges. Bodie [1976] finds that the real return...

This paper continues previous work evaluating the benefits of diversification and analyzes the various dimensions within the commercial real estate opportunity set. The database is large and extends through the 1982 downturn in property values. Due to the low levels of systematic risk, current...

This paper examines the theory of commercial mortgage default and tests it using a data set of 2,899 loan histories provided by a major multi-line insurance company. A default model is estimated which relates subsequent default incidence and timing to contemporaneous loan term, borrower,...

This paper investigates whether a segmented market exists for industrial real estate with respect to risk and return characteristics. Given the existence of industrial market segmentation, the next issue examined is whether a submarket perspective or an integrated real estate market orientation...

US institutional investors include asset classes in their portfolio for a number of reasons, including wanting to conform with industry norms, participate in a significant component of the investable universe, earn favorable returns, diversify the portfolio and provide a natural hedge against...