The value of land is determined by the locations' attractiveness and the degree of regulation. When land regulations are binding, e.g. when a restriction on the maximum floor area ratio exists, the best use land price can be directly expressed as a function of the maximum floor area ratio and...

Multivariate GARCH models have been designed as an extension of their univariate counterparts. Such a view is appealing from a modeling perspective but imposes correlation dynamics that are similar to time-varying volatility. In this paper, we argue that correlations are quite different in...

This paper proposes an empirical framework that is based on pre-trade transparency to test for information-based return co-movements among international commercial real estate markets. We introduce a benchmark portfolio that includes property markets with a higher pre-trade transparency to...

In this paper, we analyze the differences in annualized capital gains across heterogeneous investor groups in the US housing market, namely owner-occupiers, private investors, as well as short- and long-term institutional investors. Our empirical results link the performance differences to...

In this paper, we develop a state-dependent sensitivity value-at-risk (SDSVaR) approach that enables us to quantify the direction, size, and duration of risk spillovers among financial institutions as a function of the state of financial markets (tranquil, normal, and volatile). Within a system...