We develop an agent based model of traditional banks and asset managers. Our aim is to investigate the channels of contagion of shocks to asset prices within and between the two financial sectors, including the effects of fire sales and their impact on financial institutions' balance sheets. We...

Investment in thinly-traded private assets involves liquidity risk. Existing literature provides limited guidance as it mainly focuses on publicly-traded security assets such as stocks and bonds. This paper develops an analytical tool for quantifying liquidity risk of private assets. Using...

In this paper, we build up a portfolio in the Chinese residential real estate market. We separate 35 big cities in China into 3 groups with different criteria. Then we build portfolios for these groups, by comparing the efficient frontier and Sharpe ratio with the portfolio of full samples. We...

Gateway cities have historically been the focus of institutional investors in office properties. Since the financial crisis, however, office markets in other cities have enjoyed greater demand and rising occupancy rates relative to those in gateway cities. REITs have positioned themselves to...

We provide robust evidence showing local information plays a significant role in local asset concentrations and return outperformance. Using a unique setting with significant cross-market information asymmetries and large sample of individual commercial property holdings, we find property...

We propose a new housing portfolio channel through which QE affects output. In response to QE, intermediaries rebalance portfolios from bonds to houses, lowering the return to saving and stimulating consumption and output. We study this channel empirically in a German housing boom without credit...

We evaluate the sustainability of real estate investment vehicles in Switzerland according to the three Environmental, Social, and Governance (ESG) pillars. For this purpose, we conducted a survey of direct investors (real estate investment companies, funds, and foundations) inquiring about...

We explore the dynamics of default cascades in a network of credit interlinkages in which each agent is at the same time a borrower and a lender. When some counterparties of an agent default, the loss she experiences amounts to her total exposure to those counterparties. A possible conjecture in...

Inter-linkages between firms are a channel by which idiosyncratic shocks to one firm can affect the returns of linked counterparties. We extend a factor model of returns to allow for the transmission of idiosyncratic shocks between linked counterparties. We show that the structure of...

Among diverse social media uses covered by researchers one has thus far captured surprisingly scant attention: social media as an investment class per se. Despite the fluctuating fortunes of numerous social media initial public offerings (IPOs) and their aftermarket trading, social media stocks...