Voraussichtlich zum 1. Januar 2013 beginnt die Implementierungsphase von Basel III, der zweiten Überarbeitung des Basler Akkords zur Regulierung der Kreditinstitute in der Europäischen Union. Mit der ersten Überarbeitung wurde 2004 eine vermeintlich genauer an die tatsächlichen Risiken...

The components of GDP (residential investment, durables, nondurables, equipment and software, and business structures) display a pronounced lead-lag structure. We investigate the implications of this lead-lag structure for the cross-section of asset returns. We find that the leading GDP...

This paper conducts tests of the random walk hypothesis and market efficiency for 14 national public real estate markets. Random walk properties of equity prices influence the return dynamics and determine the trading strategies of investors. To examine the stochastic properties of local real...

Optimization of international securitized real estate portfolios has been a key topic for several decades. However, most previous analysis has focused on regional diversification by applying the traditional mean-variance (MV) framework suggested by Markowitz (1952) even if the limitations of...

This paper analyzes whether predominantly non-listed corporations in the residential property industry systematically adjust their capital structure to changing financing requirements. Since previous research almost exclusively focused on listed companies, little is known about the...

This paper analyzes diversification benefits from international securitized real estate in a mixed-asset context. We apply regression-based mean-variance efficiency tests, conditional on currency-unhedged and fully hedged portfolios to account for foreign exchange risk exposure. From the...