This article reviews the state of the art in real estate price indexing and the state of
knowledge about real estate price dynamics, with a focus on investment property, or income …

I study whether risk premiums for exposure to state variables in the cross-section of
individual stocks are consistent with how these variables forecast macroeconomic activity in …

(1) Background: China is beginning to see increasingly complex real estate development
dynamics as urbanization, industrialization and globalization advance. As a key driver of …

The growing interest in private equity means that allocators must carefully evaluate its risk
and return. The challenge is that modeling private equity is not straightforward due to a lack …

This paper reviews methods that can be used to value illiquid investments, with a particular
focus on private equity and real estate. We discuss the traditional valuation methods, in …

Over the last several years, the price of listed real estate stocks has been unusually high
relative to dividends. I find that neither low interest rates nor low risk premia can account for …

Elevate your game in the face of challenging market conditions with this eye-opening guide
to portfolio management Investing Amid Low Expected Returns: Making the Most When …

There is a consensus that equity factors are cyclical and depend on macroeconomic
conditions. To build well-diversified portfolios of factors, one needs to account for the fact …

We propose firm-level measures of exposures to macroeconomic risks that substantially
improve out-of-sample robustness compared to standard estimation approaches. Systematic …

We study the relation between REIT stock volatility and future returns, focusing particularly
on the financial crisis period of 2007–2009. There is ongoing debate about whether stock …