This paper presents a new approach to analysing real estate rental adjustment processes. We model the rental adjustment process in U.K. commercial real estate sectors by using non-linear smooth transition (auto)regression (ST(A)R) models. The ST(A)R models, which clearly outperform their linear...

This paper adapts Meucci's [2006a, 2006b] copula opinion pooling (COP) framework to examine whether fixed income hedge fund strategies enhance the risk-return spectrum of traditional bond portfolios. In contrast to the Black-Litterman setup, the COP approach does not rely on linear dependencies,...

This paper studies the impact of CEO discretion within the incentive structure of U.S. REITs. In contrast to the existing governance literature we focus on a specific sector with a specific legal setting (e.g., restrictive payout ratios), and organizational structure (e.g., little threat of a...