Some investors view equity real estate investment trusts (EREITs) as partial substitutes for
conventional real estate investments, although the correlation between EREIT and real estate …

Several studies used a multi-factor model to examine the interest rate sensitivity of a financial
intermediary's common stock. The model was re-specified in an attempt to estimate each …

This study examines the effect of bidder competition in acquisitions. We use predictions from
auction theory to test whether acquirers of failed banks overpay (the “winner's curse”) when …

Allocation studies that include commercial real estate as an asset class often rely on
appraisal-based data to measure real estate performance, even though the use of appraisals tends …

Halfway itito the first decade of the new mil-It-nnium, real estate has been a strong per-former.
In fact, the 20-year track record of this asset class shows that real estate has earned its …

In this study, we evaluate interest rate sensitivity for equity real estate investment trusts (REITs)
using a multi-factor asset pricing model estimated with daily data. We utilize yield …

Some argue that private market real estate data exhibit artificially low volatility and do not
respond contemporaneously to changes in market conditions. There is often an implication that …

This paper demonstrates that even when unbiased appraisals of market value are used in
measuring the investment performance of real estate portfolios, a bias in the rate of return or …

This article models fixed-rate mortgage refinancings and offers an empirical test of the model.
The model relates the probability that a household prepays its residential mortgage to both …

In this article, portfolio allocation strategies based on a threshold autoregressive conditional
heteroskedasticity model (QTARCH) are constructed for the United States and the United …