We investigate the role of real estate in a mixed-asset portfolio when the maximum drawdown (hereafter MaxDD), rather than the standard deviation, is used as the measure of risk. In particular, we analyse whether the discrepancy between the optimal allocation to real estate and the actual...

We use constrained cross-section regressions to disentangle the effects of various factors on international real estate security returns. Besides a common factor, pure country, property type, size, and value/growth factors are considered. The value/growth measure that is used in this paper...

Equity returns are believed to be strongly influenced by country, sector and style effects. A key issue is to be able to disentangle those various effects from one another. In particular, differences between country returns may simply reflect differences in the sector composition of country...

This paper examines the intra-day behavior of asset prices shortly before and after large price changes. Whereas similar studies so far have been based on daily closing prices, I use three years of high frequency data of 120 stocks listed on the French stock exchange. Various systematic...

This paper reviews some recent developments in the area of optimal international portfolio diversification and investigates important issues for future research. In the latest models proposed in the financial literature that generate optimal holdings over time, both the quantities of risks...

This study investigates the determinants of key input variables in valuers’ DCF models used for estimating market values for offices. Data from 599 valuations in 2000 from Stockholm, Gothenburg and Malmö are used to explain variation in discount rates, expected growth rates in net operating...

This paper explores the prices of three aesthetic externalities (the presence of a water view, the appearance of nearby improvements, and the quality of landscaping in the neighborhood) in residential property markets. In particular, we focus on how the implicit prices of such characteristics...

This paper compares the impacts of alternative models of spatial dependence on the accuracy of house price predictions in a mass appraisal context. Explicit modeling of spatial dependence is characterized as a more fluid approach to defining housing submarkets. This approach allows the relevant...

The impact of views on property values has not been the specific focus of as much research as has the impact of other externalities on property values. When the impact of views is assessed, it is usually done by adding a single dummy variable to a hedonic regression equation. This paper provides...

Using a large sample of 5,365 European firms,we document the driving factors of debt-equity choices. Adjustments to a target debt level play a modest role except when debt exceeds an upper barrier, a result that underlines the importance of debt capacity. Preference for internal financing,...