This chapter reviews the evidence of predictability in US residential and commercial real
estate markets. First, we highlight the main methodologies used in the construction of real …

This paper investigates the role of fundamentals and investor sentiment in commercial real
estate valuation. In real estate markets, heterogeneous properties trade in illiquid, highly …

This article reviews the state of the art in real estate price indexing and the state of
knowledge about real estate price dynamics, with a focus on investment property, or income …

We estimate the first cross-sectional index of transaction-based land values for every US
metropolitan area. The index accounts for geographic selection and incorporates novel …

We derive the distribution of a proxy for the risk tolerance in a representative sample of US
households. Our measure is deduced from the willingness to bear risk as indicated by the …

Historic analysis of the inflation hedging properties of stocks has produced anomalous
results, with stocks often appearing to offer a perverse hedge. This has been attributed to the …

This article examines the relation between investor sentiment and returns in private markets.
Relative to more liquid public markets, private investment markets exhibit significant limits to …

This study presents evidence of cointegration between securitized (NAREIT) and direct
(NCREIF) real estate total return indices. Since the two real estate indices are cointegrated …

This paper analyzes the dynamic interactions between real estate markets, in the US and
the UK and their macroeconomic environments. We apply a new approach based on a …

We examine how the predictability of real estate returns affects the risk of, and optimal
allocations to, real estate for investors of differing investment horizons. Returns to direct real …