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Macroeconomic Uncertainty and Predictability of Real Estate Returns : The Impact of Asset Liquidity

Nayar, Nandkumar; Price, S. McKay; Shen, Ke - 2023

Recent research has shown that macroeconomic uncertainty is a significant factor that is contemporaneously incorporated into asset returns. Therefore, it should not have a role in predicting future returns. At the same time, separate research has demonstrated that illiquidity is related to...

Persistent link: https://www.econbiz.de/10014350917

Are REITs real estate? : evidence from international sector level data

Hoesli, Martin; Oikarinen, Elias - 2012

The aim of this study is to examine whether securitized real estate returns reflect direct real estate returns or general stock market returns using international data for the U.S., U.K., and Australia. In contrast to previous research, which has generally relied on overall real estate market...

Persistent link: https://www.econbiz.de/10009558452

The effect of lock-ups on the suggested real estate portfolio weight

Hoesli, Martin; Liljeblom, Eva; Löflund, Anders - 2012

We test relative illiquidity, exemplified through a temporary lock-up, as a partial explanation for the gap between theoretical and empirical weights for real estate in a multi-asset portfolio. Since asset correlations are known to increase in bear markets, reducing their diversification...

Persistent link: https://www.econbiz.de/10009558460

Ambiguity Aversion and Portfolio Efficiency Tests

Polkovnichenko, Valery - 2019

Testing portfolio alpha against a linear factor model can be interpreted as a mean-variance efficiency test of the optimal portfolio of factors. For ambiguity neutral investor, adding active portfolio with statistically significant alpha always implies efficiency gain relative to the optimal...

Persistent link: https://www.econbiz.de/10012890200

Ambiguity Aversion and Household Portfolio Choice Puzzles : Empirical Evidence

Dimmock, Stephen G. - 2016

theory predicts, ambiguity aversion is negatively associated with stock market participation, the fraction of financial …

Persistent link: https://www.econbiz.de/10013007875

Ambiguity Aversion and Household Portfolio Choice Puzzles : Empirical Evidence

Dimmock, Stephen G. - 2020

theory predicts, ambiguity aversion is negatively associated with stock market participation, the fraction of financial …

Persistent link: https://www.econbiz.de/10012857183

Does smooth ambiguity matter for asset pricing?

Gallant, A. Ronald; Jahan-Parvar, Mohammad R.; Liu, Hening - 2018

-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …

Persistent link: https://www.econbiz.de/10011780610

W-MPS Risk Aversion and the Shadow CAPM : Theory and Empirical Evidence

Huang, Lin - 2016

behavioral assumption of weak form mean-preserving spread (w-MPS) risk aversion. The empirical tests provide support in favor of …

Persistent link: https://www.econbiz.de/10012982842

Implications of Long-Run Risk for Asset Allocation Decisions

Avramov, Doron - 2012

covariance matrix implied by the long-run risk model of Bansal and Yaron (2004). Comparing the optimal allocations of investors … using the longrun risk VAR versus an unrestricted reduced-form VAR reveals stark differences in portfolio strategies. Long …-run risk investors are quite conservative relative to reduced-form investors due to intertemporal hedging concerns. Despite the …

Persistent link: https://www.econbiz.de/10013107285

Portfolio Choices, Firm Shocks and Uninsurable Wage Risk

Fagereng, Andreas - 2018

Assessing the importance of uninsurable wage risk for individual financial choices faces two challenges. First, the … identification of the marginal effect requires a measure of at least one component of risk that cannot be diversified or avoided …. Moreover, measures of uninsurable wage risk must vary over time to eliminate unobserved heterogeneity. Secondly, evaluating the …

Persistent link: https://www.econbiz.de/10012924140