Pure option-theoretic mortgage pricing models assume that the borrower will default
immediately when the value of the property drops to the level of the mortgage value (" …

This paper reviews the literature on price determination in the private and public real estate
markets. In particular, it discusses the processes of appraisal smoothing in the private …

This paper presents an approach to recovering the underlying market value returns from
observable appraisal-based index returns, without presupposing or constraining the market …

This paper analyzes the risks and returns of different types of real estate‐related firms traded
on the New York and American stock exchanges (NYSE and AMEX). We examine the …

This new text provides a rigorous analysis of real estate markets. Three main sections cover:
microeconomics of property markets the macroeconomics of commercial property the …

The monthly return distributions of many hedge fund indices exhibit highly unusual
skewness and kurtosis properties as well as first-order serial correlation. This has important …

We introduce a methodology to estimate the historical time series of returns to investment in
private equity funds. The approach requires only an unbalanced panel of cash contributions …

The purpose of this paper is to shed light on the history of commercial property values over
the past decade, and to compare different methods of constructing commercial property …

This paper tests whether commercial real estate markets (both exchange‐traded and non‐
exchange‐traded) are integrated with stock markets using multifactor asset pricing models …

This paper studies the strategic asset allocation for an investor with risky liabilities which are
subject to inflation and real interest rate risk and who invests in stocks, government bonds …