This paper empirically investigates the relationship between TV news coverage and the GIIPS countries’ bond yield spreads using daily data between January 1, 2007 and December 1, 2016. We employ 1,542,233 human coded news items from evening news shows of leading TV stations in 12 countries...

This paper empirically investigates the relationship between TV news coverage and the GIIPS countries' bond yield spreads using daily data between January 1, 2007 and December 1, 2016. We employ 1,542,233 human coded news items from evening news shows of leading TV stations in 12 countries which...

We estimate total returns to rental housing by studying over 170,000 hand-collected archival observations of prices and rents for individual houses in Paris (1809-1943) and Amsterdam (1900-1979). The annualized real total return, net of costs and taxes, is 4.0% for Paris and 4.8% for Amsterdam,...

This study is based on survey data on investor expectations for 40 metropolitan statistical areas (MSAs) in the US over the period from 2003:Q2 to 2014:Q2. The paper has two main objectives. These are firstly to identify whether expected rates of return across different commercial real estate...

Market-wide, stock market specific, and real estate market specific risk – what kind of risk and to which extent drives the returns of listed real estate? Based on a structural asset pricing model calibrated to the empirical data in the U.S., we show that at least two thirds of the risk...

While homeownership provides consumption benefits, housing is risky. Using zip code housing returns, we document that homeowners are compensated for bearing housing risk. Our sample covers more than 9,000 zip codes across 135 metropolitan statistical areas (MSAs), representing almost 70% of the...

Market-wide, stock market specific and real estate market specific risk - what kind of risk and to which extent drives the returns of listed real estate? Based on a structural asset pricing model calibrated to the empirical data in the U.S., we show that at least two thirds of the risk premium...

Real estate investment trusts (REITs) are often considered to be a distinct asset class. But, do REITs deserve this designation? While exact definitions for asset class vary, a number of statistical methods can provide strong evidence either for or against the suitability of the designation. The...

Real estate—housing in particular—is a less profitable investment in the long run than previously thought. We hand-collect property-level financial data for the institutional real estate portfolios of four large Oxbridge colleges over the period 1901–1983. Gross income yields initially...

Option-based measures can predict underlying stock returns, due to differences in price discovery and price pressure effects between options and underlying stocks. We investigate stock return predictability by various option price-based measures using REITs. REITs are more transparent and...