This is the first paper to examine the transmission of an asset market shock to the capital markets during the COVID-19 pandemic. Using a novel measure of the exposure of commercial real estate portfolios (CRE) to the growth in COVID-19 (GeoCOVID), we find a one-standard-deviation increase in...

This paper investigates the role of fundamentals and investor sentiment in commercial real estate valuation. In real estate markets, heterogeneous properties trade in illiquid, highly segmented and informationally inefficient local markets. Moreover, the inability to short sell private real...

For well-diversified investors in depreciable real estate, the trading decision may be made with the sole objective of maximizing the property's depreciation tax shelter net of all capital gain taxes and transaction costs.This paper develops a dynamic programming model in which the optimal...

This study examines the ability of experts, specifically institutional owners and managers, to predict commercial real estate return performance in major metropolitan markets and on various property types. The findings indicate that the consensus opinions on investment conditions contained in...

This study examines the effects of weekly and monthly capital flows into the dedicated REIT mutual fund sector on aggregate REIT returns and, simultaneously, the effects of industry-level REIT returns on subsequent REIT mutual fund flows. The dynamic relation between REIT capital flows and...

Ownership patterns for young (under 45) married couples are striking in two respects. First, ownership rates rise dramatically with age: couples 35- 44 consistently have ownership rates nearly 50 percentage points higher than couples under 25. Second, half of the sharp ownership gains of young...

The premium embedded in home mortgage loans to compensate investors for their exposure to prepayment risk is a significant component of the cost of home mortgage lending. Moreover, there is some reason to believe that prepayment risk may be lower for loans to lower-income housing borrowers,...

This paper investigates the return performance of publicly traded real estate companies. The analysis spans the 1984 to 1999 time period and includes return data on over 600 companies in 28 countries. The return data reveal a substantial amount of variation in mean real estate returns and...

This paper presents evidence on predictability of excess returns for equity REITs relative to the aggregate stock market, small capitalization stocks, and T-bills using best fit models from prior time periods. We find that excess equity REIT returns are far less predictable out-of-sample than...

This paper explores the relationship between household mortgage debt burdens and housing consumption, periodic income, nonhousing wealth, the income tax position of the household, expected mobility, and other micro-level characteristics that proxy for household risk preferences and life cycle...