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 studies portfolio choice with popular foreign exchange (FX) investment styles such as carry trades, FX momentum and FX value strategies. We go beyond the benefits from hedging to shed more light on the speculative component of currency investments. In particular, we are interested in...

This document contains supporting material for the following article: Tim Kroencke, Felix Schindler and Andreas Schrimpf (2012), "International Diversification Benefits with Foreign Exchange Investment Styles".This paper studies portfolio choice with popular foreign exchange (FX) investment...

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...

Human capital contracts give private investors the right to a share of students' future earnings in return for a fi nancial contribution during their studies. Although still rarely used, human capital contracts could not only help to complement limited public funding for higher education but...

Kleibergen and Zhan (Robust Inference for Consumption-based Asset Pricing, Journal of Finance, 2020) propose a new approach to testing consumption-based asset pricing models. They find that recently proposed factors do not pass their test. I point out that their methodology also implies that the...

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...

Market-wide, stock market specific, and real estate market specific risk – what kind of risk and to which extent drives the returns of listed real estate? Based on a structural asset pricing model calibrated to the empirical data in the U.S., we show that at least two thirds of the risk...

This paper provides an explanation for why garbage implies a much lower relative risk aversion in the consumption-based asset pricing model than National Income and Product Accounts (NIPA) consumption expenditure: unlike garbage, NIPA consumption is filtered to mitigate measurement error. I...

This paper provides an explanation for why garbage implies a much lower relative risk aversion in the consumption-based asset pricing model than National Income and Product Accounts (NIPA) consumption expenditure: unlike garbage, NIPA consumption is filtered to mitigate measurement error. I...