In various fields of applications such as capital allocation, sensitivity analysis and systemic risk evaluation, one often needs to compute or estimate the expectation of a random variable given that another random variable is equal to its quantile at some pre-specified probability level. A...

We re-examine the methods used in estimating comovements among U.S. regional home prices and find that there are insufficient moments to ensure a normal limit necessary for employing the quasi-maximum likelihood estimator. Hence, we propose applying the self- weighted quasi-maximum exponential...

Previous research finds that the cap rate, that is, the income-price ratio of commercial real estate, predicts future investment returns. This finding's implication on the efficiency of the real estate market crucially depends on whether the cap rate also predicts future risk. Using accurately...

This paper analyzes the implications of cross-sectional heteroskedasticity in repeat sales regression (RSR). RSR estimators are essentially geometric averages of individual asset returns because of the logarithmic transformation of price relatives. We show that the cross sectional variance of...

How different is real estate from stocks and bonds? This paper sheds light on this question with new data and new methods. Analyzing 10,848 commercial properties from 1977 to 2017, we find that properties' risk premiums contain systematic components that are orthogonal to a comprehensive list of...

In studies of time series momentum (TSM), the Newey-West t-test has size distortion for linear predictive regression with excess returns because of non-stationarity, endogeneity due to correlated errors, and a lack of finite moments due to heavy tails. To solve these problems, we propose a new...

Housing is the largest component of most American households' wealth. Divergence of house prices directly affects wealth inequality. Using 5.9 million repeat sales of single-family houses, we find strong evidence that pricier houses had higher price appreciation rates from 2000 to 2015. Across...

Interest rates in the U.S. have been at historical lows since the financial crisis in 2007 for almost a decade, which are partly meant to stimulate investments. However, a theory by Chetty (2007) suggests that, at low rates, decreasing the interest rate has little effect on investments due to...

We present a dynamic model of venture capital financing, described as a sequential investment problem with uncertain outcome. Each venture has to pass a sequence of milestones, and there is a chance of terminal failure in each milestone. The investors decide sequentially about the speed of the...

This paper investigates dynamic interrelations between the volatility of single-family home appreciation and the rate of home value appreciation, personal income, population, unemployment rate, and GMP at the metropolitan level, using a large quarterly data set that covers 316 metropolises in...