Systematic Mispricing: Evidence from Real Estate Markets

Bubbles in Real Estate Markets

Do securitized real estate markets jump? International evidence ¬リニ

Article history: Received 14 February 2014 Accepted 2 November 2014 Available online 8 November 2014 We apply a jump GARCH model to daily returns of the ten largest international securitized real estatemarkets and investigate the sources of large price changes. We document, for the first time, evidence for jump dynamics across major international securitized real estate markets. Large price jum...

Real estate markets and bank distress

We investigate the relationship between real estate markets and bank distress among German universal and specialized mortgage banks between 1995 and 2004. Higher house prices increase the value of collateral, which reduces the probability of bank distress (PDs). But higher prices at given rents may also indicate excessive expectations regarding the present value of real estate assets, which can...

Linkages between international securitized real estate markets: Further evidence from time-varying and stochastic cointegration

This paper analyzes long-run co-movements between international real estate stock markets and between regions based on bivariate and multivariate tests for cointegration. While the topic has been analyzed in previous studies such as Gallo and Zhang (2009) and Yunus (2009) among others, this paper is of significant contribution to existing studies since we compare results from different cointegr...

Intermediated investment management in private markets: Evidence from pension fund investments in real estate ¬リニ

We evaluate the economics of financial intermediation in alternative assets by investigating the allocation and performance of pension fund investments in real estate, the most significant alternative asset class for institutional investors. We document substantial heterogeneity in real estate investment cost and performance, determined by two main factors: mandate size and investment approach....