-
作者：Plazzi, Alberto; Torous, Walter; Valkanov, Rossen
作者单位：University of California System; University of California San Diego; University of California System; University of California San Diego
摘要：Commercial real estate expected returns and expected rent growth rates are time-varying. Relying on transactions data from a cross-section of U.S. metropolitan areas, we find that up to 30% of the variability of realized returns to commercial real estate can be accounted for by expected return variability, while expected rent growth rate variability explains up to 45% of the variability of realized rent growth rates. The cap rate-that is, the rent-price ratio in commercial real estate-captures...
-
作者：Titman, Sheridan; Tsyplakov, Sergey
作者单位：University of Texas System; University of Texas Austin; University of South Carolina System; University of South Carolina Columbia
摘要：This article examines information and incentive problems that can exist in the market for commercial mortgages that are pooled and repackaged as commercial mortgage-backed securities (CMBSs). We find that mortgages that are originated by institutions with large negative stock returns in the quarters prior to the origination date tend to have higher credit spreads and default more than other mortgages with similar observable characteristics. Properties financed with these mortgages also exhibit...
-
作者：Brennan, Michael J.; Wang, Ashley W.
作者单位：Federal Reserve System - USA; University of Manchester; University of California System; University of California Los Angeles
摘要：We show that, when stock prices are subject to stochastic mispricing errors, expected rates of return may depend not only on the fundamental risk that is captured by a standard asset pricing model, but also on the type and degree of asset mispricing, even when the mispricing is zero on average. Empirically, the mispricing induced return premium, either estimated using a Kalman filter or proxied by the volatility and variance ratio of residual returns, is shown to be significantly associated wi...
-
作者：Almeida, Heitor; Campello, Murillo; Galvao, Antonio F., Jr.
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; National Bureau of Economic Research; University of Iowa
摘要：We use Monte Carlo simulations and real data to assess the performance of methods dealing with measurement error in investment equations. Our experiments show that fixed effects, error heteroscedasticity, and data skewness severely affect the performance and reliability of methods found in the literature. Estimators that use higher-order moments return biased coefficients for (both) mismeasured and perfectly measured regressors. These estimators are also very inefficient. Instrumental-variable...
-
作者：Hirshleifer, David; Jiang, Danling
作者单位：University of California System; University of California Irvine; State University System of Florida; Florida State University
摘要：Behavioral theories suggest that investor misperceptions and market mispricing will be correlated across firms. We use equity and debt financing to identify common misvaluation across firms. A zero-investment portfolio (UMO, undervalued minus overvalued) built from repurchase and issue firms captures comovement in returns beyond that in some standard multifactor models, and substantially improves the Sharpe ratio of the tangency portfolio. Loadings on UMO incrementally predict the cross-sectio...
-
作者：Garlappi, Lorenzo; Skoulakis, Georgios
作者单位：University of British Columbia; University System of Maryland; University of Maryland College Park
摘要：We develop a new solution method for a broad class of discrete-time dynamic portfolio choice problems. The method efficiently approximates conditional expectations of the value function by using (i) a decomposition of the state variables into a component observable by the investor and a stochastic deviation; and (ii) a Taylor expansion of the value function. We illustrate the accuracy of the method in handling several realistic features of portfolio choice problems such as intermediate consump...
