We study the effect of securitization on servicers' asset liquidation decisions. Conditional on liquidation, we find securitized loan servicers are more likely to liquidate distressed houses via real estate owned (REO) transactions than portfolio loan servicers. We exploit this fundamental...

Using a nonparametric technique for the identification of regime shifts, we find breaks in the structural relations between currency and equity returns and return volatility in Indonesia, Malaysia, the Philippines, South Korea, Taiwan, and Thailand during the recent Asian crisis. Volatility...

This paper empirically analyzes REIT mutual funds. We show that, contrary to mostmutual fund studies, the average and median alphas (net of expenses) are positive. We also findthat time-varying positive alphas are much more likely to occur when the real asset market is performing poorly,...