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...

This article investigates how the market valuation of properties is related to the income growth of their asset locations. Based on the income tax data from the Internal Revenue Service (IRS) and the individual property information of U.S. equity real estate investment trusts (REITs) from...

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 expand the debate on incentives embedded in the originate-to-distribute lending model by presenting evidence on the placement of mortgage-backed securities (MBS) with mutual funds. We do so by capitalizing on a unique testing platform encompassing institutional holdings of private-label MBS...

We expand the debate on incentives embedded in the originate-to-distribute lending model by presenting evidence on the placement of mortgage-backed securities (MBS) with mutual funds. We do so by capitalizing on a unique testing platform encompassing institutional holdings of private-label MBS...

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...

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...

This paper analyzes the single period portfolio selection problem on the location-scale return family. The skew normal distribution, after recentering and reparameterization, is shown to be in this family. The recentered and reparameterized distribution, called factor-recentered skew normal, can...