This paper analyzes long-run co-movements between international real estate stock markets and between regions based on bivariate and multivariate tests for cointegration. While the topic has been analyzed in previous studies such as Gallo and Zhang (2009) and Yunus (2009) among others, this...

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...

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 provides a comprehensive analysis of portfolio choice with popular foreign exchange (FX) investment styles such as carry trades and strategies commonly known as FX momentum, and FX value. We investigate if diversification benefits can be achieved by style investing in FX markets...

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...

Durch ihre Standortgebundenheit unterliegen Immobilien im Gegensatz zu anderen Vermögensgütern verstärkt lokalen, regionalen sowie nationalen Einflüssen und Risiken Daher ist aus portfoliotheoretischen Gesichtspunkten gerade bei Immobilieninvestitionen eine internationale Diversifikation der...

Die zunehmende Integration der internationalen Finanzmärkte führte insbesondere in den letzten beiden Dekaden zu steigenden Abhängigkeiten zwischen den nationalen Aktienmärkten und resultierte in sinkenden Diversifikationseffekten. Sowohl private als auch institutionelle Investoren sind...

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...