Much attention has been paid to capitalization rates or “cap rates?defined as the net operating income over transaction price, also known as a “going-in?current yield on commercial real estate when calculated at the time of purchase. We know that there are a number of global factors...

Two separate strands in the existing literature document that (1) the value premium may be the reward for risk generated by disagreement between investors with heterogeneous beliefs about future stock payoffs (Doukas et. al. 2002, 2004), and that (2) poor quality of accounting information is an...

The focus of this paper is to analyze the feasibility of international portfolio diversification for a potential US investor with a moderate risk aversion. The first section includes the benefits of international portfolio investment with a special emphasis on the diversification aspect. The...

This paper documents that momentum profits in corporate bonds prevail during weakening aggregate credit conditions, and are driven by losers. Consistent with this, we find that a conditional default factor explains the cross-section returns of corporate bond portfolios sorted by past...

In this paper, we explain momentum profits using innovations in aggregate economy-wide default risk. First, we show that momentum returns are positive only during high default shocks and nonexistent otherwise. Second, we present evidence suggesting that a conditional default shock factor is...