This paper analyzes the optimal quality decision of a producer in a multi-period setting with reputation effects. Using a unique database of returns on real estate limited partnerships (RELPs), we empirically examine alternative theoretical predictions of optimal producer strategy. In...

This paper empirically analyzes REIT mutual funds. We show that, contrary to mostmutual fund studies, the average and median alphas (net of expenses) are positive. We also findthat time-varying positive alphas are much more likely to occur when the real asset market is performing poorly,...

The objective of this paper is to provide a deeper insight into the links between financial markets and the real economy. To that end, we study the short-term anticipation and response of U.S. stock, Treasury, and corporate bond markets to the first release of surprise U.S. macroeconomic...