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,...

Private real estate markets have experienced signi ficant in inflows of institutional capital over the last couple of decades. In this paper we seek to understand what are the implications of this recent development. Employing a generalized Hamiltonian Monte Carlo Bayesian procedure we find...

We explore a new investment dimension relating hedge fund exposure to the real estate market. Using fund level data from 1994 to 2012 from a major hedge fund data vendor, we identify 1,321 hedge funds as having significant exposure to direct or securitized real estate. We test for the economic...

This study expands the wavelet literature by using the continuous wavelet transform based measure to examine the interdependence and systematic risk of nine Asian securitized real estate markets: Australia, China, Hong Kong, Japan, Malaysia, Philippines, Singapore, Thailand, Taiwan) and the US...

The Global Financial Crisis (GFC) changes the relative economic riskiness and risk-adjusted-performance of different asset markets. While the empirical distribution for stock return shifted to the right and became more concentrated around the mean after the GFC, the real estate market...

Real estate developers face significant risks in managing new developments, and presale contracts are commonly used to shift these risks to buyers. We develop a theoretical model to show that presale prices are an increasing function of time and that earlier presales are associated with greater...

This paper studies the pricing implications of financial uncertainty on housing markets. Out-of-sample tests show that the exposure to financial uncertainty predicts the cross-sectional variation in market returns. Housing markets with a more negative financial uncertainty beta imply higher...

This paper outlines and applies a methodology for estimating and examining the variation in risk and return for individual homes. This is important because most households own individual properties and the risk and return profile of each of these may differ. We use large data sets of home prices...

Employing a generalized Hamiltonian Monte Carlo Bayesian procedure we develop a new measure of real estate uncertainty that explicitly encapsulates conditional stochastic volatility and noise. When applied to commercial real estate (CRE) markets, results of Vector Autoregressive (VAR) modeling...

Based on quarterly data from the US commercial real estate market we find that a short position on the Dow-Jones US Real Estate index (DJUSRE) can serve as a useful and effective hedge against the price risk of U.S. direct commercial real estate investments. According to our results, when...