This study investigates whether an increase in cross-border bank lending can lead to spillover effects among housing markets of developed countries using a dynamic spatial panel model. Variations in house prices in one country can spill over house prices in other countries by transmitting...

We follow the seminal work of Paelinck (1978) who introduces spatial interdependence of, i.e. income, expenditure, investment, to classic Keynesian economic models, and estimate a spatial factor model. Asset prices may display characteristics of spatial dependence meaning spatial proximity can...

Spatial linkages in returns have not yet received much attention in an asset pricing context, however, they can capture important information about idiosyncratic externalities associated with firms' holdings. We explain abnormal returns of real estate companies by modelling the spatial...

We study the effect of geographic portfolio diversification of real estate firms on their investment performance before and after the global financial crisis (GFC). In addition to previously used dispersion metrics, we also account for the distance of the properties to the corporate...

Although spatial techniques have been used to capture the spillovers in asset returns across different regions, they have not yet been applied in an asset pricing context. Combining asset pricing models and equilibrium spatial models can be a good way to disentangle spillover effects across...