We introduce a portfolio friction in a two-country DSGE model where investors face a constant probability to make new portfolio decisions. The friction leads to a more gradual portfolio adjustment to shocks and a weaker portfolio response to changes in expected excess returns. We apply the model...

Anomalies found in tests of market efficiency do not necessarily imply that security prices do not reflect all available information, as the asset-pricing model used to describe the return generating process might also be false. In the present study, this joint hypothesis problem does not arise,...

Little evidence exists to support or reject the notion of an efficient real-estate market. The present paper investigates various potential sources of real-estate return predictability. Several common types of indexes are constructed from property-specific data in the annual reports of Rodamco,...