Recent empirical evidence raises doubt about the ability of financial market participants to generate information efficient valuations for capital market instruments whose cash flows are related to residual claims and dependent on real estate income. We contribute to this literature with the...

Asset allocation models have evolved in complexity with the development of modern portfolio theory, but they continue to operate under the assumption of investor rationality and other assumptions that do not hold in the real world. For this reason, academics and industry professionals make...

A recent literature has shown that REIT returns contain strong evidence of bull and bear dynamic regimes that may be best captured using nonlinear econometric models of the Markov switching type. In fact, REIT returns would display regime shifts that are more abrupt and persistent than in the...

A recent literature has shown that, similarity to stocks and bonds, REIT returns contain strong evidence of bull and bear regimes, that may best captured using nonlinear econometric models of the Markov switching type