This paper develops a novel empirical method that uses property level cash flow information to estimate the risk and return characteristics of private commercial real estate. Monte Carlo simulations suggest that this method is more accurate than the conventional index-based approach. Applying...

I compare the performance of the index-based time series approach and the cross-sectional approach in estimating factor loadings of non-traded assets, and show that the latter likely provides less biased and more efficient estimates. I then use the cross-sectional approach to estimate the...

The work of Treynor and Mazuy (1966) spawned an extensive literature on returns-based measurement of portfolio performance which distinguishes between a manager's ability to act on information specific to an individual asset (asset selection) and ability to forecast systematic risk premiums and...

Can the art and science of investment management be reduced to a set of patterns that markets generally follow, in apparent violation of the efficient market hypothesis? Can investors reasonably expect to make money from the knowledge of these patterns, even after they have not only been...

A war-related factor model derived from textual analysis of media news reports explains the cross section of expected asset returns. Using a semi-supervised topic model to extract discourse topics from 7,000,000 New York Times stories spanning 160 years, the war factor predicts the cross section...

This paper empirically tests for the predictions of prospect theory and the anchoring-and-adjustment heuristic in commercial real estate pricing. Using US market data, we confirm and extend previous findings in both housing and commercial real estate that loss aversion affects seller behavior in...

This paper examines the contrasting influence of portfolio lending and securitization in the resolution of distressed commercial real estate. The empirical analysis utilizes a large and unique data set of distressed commercial mortgages. The data set is constructed based on the recent financial...

A large proportion of international real estate investment is concentrated in the office markets of the world's largest cities. However, many of these global cities are also key financial services centres, highlighting the possibility of reduced economic diversification from an investor's...

This paper focuses on the Internet, as a resource in the fulfillment of companies' needs to lease or buy office space in the U.S. A measure of this Internet use is introduced by two indexes considering the companies' preferences and the office stock in U.S. states and cities. The results...