In this paper, we estimate the risk spillovers among 74 U.S. REITs using the state-dependent sensitivity value-at-risk (SDSVaR) approach. This methodology allows for the quantification of the spillover size as a function of a companyís financial condition (tranquil, normal, and volatile REIT...

In this paper, we analyze whether an investment strategy which is based on the net asset value (NAV) spreads of real estate stocks yields positive excess returns. For a global sample of 542 real estate stocks over the 2000 to 2012 period, we find that a portfolio which is long in the quintile of...

This paper provides a comprehensive analysis of portfolio choice with popular foreign exchange (FX) investment styles such as carry trades and strategies commonly known as FX momentum, and FX value. We investigate if diversification benefits can be achieved by style investing in FX markets...

This paper analyzes whether predominantly non-listed corporations in the residential property industry systematically adjust their capital structure to changing financing requirements. Since previous research almost exclusively focused on listed companies, little is known about the...