We use Bayesian methods to estimate a multi-factor linear asset pricing model characterized by structural instability in factor loadings, idiosyncratic variances, and factor risk premia. We use such a framework to investigate the key differences in the pricing mechanism that applies to...

The aim of this publication is the analysis of the main theoretical and empirical models for pricing of financial and non financial assets including models for bubbles determining indices and methods which allow identifying a bubble on financial and non financial assets markets well as...

Due to the recent lackluster performance in the stock market and low yields in the bond markets, investors have been looking for alternative investment opportunities. Publicly traded real estate investment trusts (REITs) have been a large beneficiary, receiving considerable flows of funds from...

The aim of this publication is the analysis of the main theoretical and empirical models for pricing of financial and non financial assets including models for bubbles determining indices and methods which allow identifying a bubble on financial and non financial assets markets well as...

This paper addresses the issue of data quality in the real estate market. In many countries, the returns indices for direct markets are provided by several sources differing in terms of the methodology adopted and index weights. These differences produce a lack of informative standardization,...

Best-practice approach for real estate as an asset class with pension funds in The Netherlands in Asset Liability Management (ALM) studies.

This paper addresses the issue of data quality in the real estate market. In many countries, the returns indices for direct markets are provided by several sources differing in terms of the methodology adopted and index weights. These differences produce a lack of informative standardization,...

Purpose – This paper aims to examine the anatomy of a real estate bubble. In the process, the paper identifies three phases of the market's evolution: flips, flops and foreclosures. An examination of the Las Vegas real estate market illustrates the three phases. Design/methodology/approach –...

We examine the effectiveness of applying a trend following methodology to global asset allocation between equities, bonds, commodities and real estate. The application of trend following offers a substantial improvement in risk-adjusted performance compared to traditional buy-and-hold...

I test the hypothesis that the banks' exposure to liquidity risk contributed to the contraction of mortgage credit during the financial crisis of 2007-2009. I use micro-level data on mortgage loan applications to control for variation in demand conditions and find that lenders who relied less on...