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Alberto Plazzi

Personal Details

First Name:Alberto
Middle Name:
Last Name:Plazzi
Suffix:
RePEc Short-ID:ppl114

Affiliation

Istituto di Finanza
Facoltá di scienze economiche
Universitá della Svizzera Italiana (USI)

Lugano, Switzerland
http://www.istfin.eco.usi.ch/
RePEc:edi:isusich (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Ruggero Jappelli & Loriana Pelizzon & Alberto Plazzi, 2021. "The Core, the Periphery, and the Disaster: Corporate-Sovereign Nexus in COVID-19 Times," Swiss Finance Institute Research Paper Series 21-30, Swiss Finance Institute.
  2. Matteo Garzoli & Alberto Plazzi & Rossen I. Valkanov, 2021. "Backcasting, Nowcasting, and Forecasting Residential Repeat-Sales Returns: Big Data meets Mixed Frequency," Swiss Finance Institute Research Paper Series 21-21, Swiss Finance Institute.
  3. Caporin, Massimiliano & Pelizzon, Loriana & Plazzi, Alberto, 2020. "Does monetary policy impact international market co-movements?," SAFE Working Paper Series 276, Leibniz Institute for Financial Research SAFE.
  4. Andrea Berardi & Michael Markovich & Alberto Plazzi & Andrea Tamoni, 2019. "Mind the (Convergence) Gap: Bond Predictability Strikes Back!," Swiss Finance Institute Research Paper Series 19-52, Swiss Finance Institute.
  5. Andrea Berardi & Alberto Plazzi, 2019. "Dissecting the Yield Curve: The International Evidence," Swiss Finance Institute Research Paper Series 19-73, Swiss Finance Institute.
  6. Andrea Berardi & Alberto Plazzi, 2018. "Inflation Risk Premia, Yield Volatility and Macro Factors," Swiss Finance Institute Research Paper Series 18-13, Swiss Finance Institute, revised Mar 2018.
  7. Massimiliano Caporin & Loriana Pelizzon & Alberto Plazzi, 2017. "Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets," Swiss Finance Institute Research Paper Series 17-47, Swiss Finance Institute.
  8. Priyank Gandhi & Benjamin Golez & Jens Carsten Jackwerth & Alberto Plazzi, 2017. "Financial Market Misconduct and Public Enforcement: The Case of Libor Manipulation," Swiss Finance Institute Research Paper Series 17-53, Swiss Finance Institute.
  9. Priyank Gandhi & Patrick Christian Kiefer & Alberto Plazzi, 2016. "A False Sense of Security: Why U.S. Banks Diversify and Does it Help?," Swiss Finance Institute Research Paper Series 16-43, Swiss Finance Institute.
  10. Gandhi, Priyank & Lustig, Hanno & Plazzi, Alberto, 2016. "Equity Is Cheap for Large Financial Institutions: The International Evidence," Research Papers 3454, Stanford University, Graduate School of Business.
  11. Marc Gerritzen & Jens Carsten Jackwerth & Alberto Plazzi, 2016. "Birds of a Feather – Do Hedge Fund Managers Flock Together?," Swiss Finance Institute Research Paper Series 16-10, Swiss Finance Institute, revised Jul 2020.
  12. Alberto Plazzi & Walter N. Torous, 2016. "Does Corporate Governance Matter? Evidence from the AGR Governance Rating," Swiss Finance Institute Research Paper Series 16-54, Swiss Finance Institute.
  13. Efe Cotelioglu & Francesco A. Franzoni & Alberto Plazzi, 2013. "What Constrains Liquidity Provision? Evidence From Hedge Fund Trades," Swiss Finance Institute Research Paper Series 13-10, Swiss Finance Institute.
  14. Eric Ghysels & Alberto Plazzi & Rossen I. Valkanov, 2011. "Conditional Skewness of Stock Market Returns in Developed and Emerging Markets and its Economic Fundamentals," Swiss Finance Institute Research Paper Series 11-06, Swiss Finance Institute.
  15. Alberto Plazzi & Walter N. Torous & Rossen I. Valkanov, 2011. "Exploiting Property Characteristics in Commercial Real Estate Portfolio Allocation," Swiss Finance Institute Research Paper Series 11-07, Swiss Finance Institute.
  16. Plazzi, Alberto & Torous, Walt & Valkanov, Rossen, 2004. "13-04 Expected Returns and the Expected Growth in Rents of Commercial Real Estate," University of California at Los Angeles, Anderson Graduate School of Management qt8c68m5tk, Anderson Graduate School of Management, UCLA.

Articles

  1. Priyank Gandhi & Hanno Lustig & Alberto Plazzi, 2020. "Equity Is Cheap for Large Financial Institutions," Review of Financial Studies, Society for Financial Studies, vol. 33(9), pages 4231-4271.
  2. Eric Ghysels & Alberto Plazzi & Rossen Valkanov & Antonio Rubia & Asad Dossani, 2019. "Direct Versus Iterated Multiperiod Volatility Forecasts," Annual Review of Financial Economics, Annual Reviews, vol. 11(1), pages 173-195, December.
  3. Andrea Berardi & Alberto Plazzi, 2019. "Inflation Risk Premia, Yield Volatility, and Macro Factors," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 17(3), pages 397-431.
  4. Priyank Gandhi & Benjamin Golez & Jens Carsten Jackwerth & Alberto Plazzi, 2019. "Financial Market Misconduct and Public Enforcement: The Case of Libor Manipulation," Management Science, INFORMS, vol. 65(11), pages 5268-5289, November.
  5. Eric Ghysels & Alberto Plazzi & Rossen Valkanov, 2016. "Why Invest in Emerging Markets? The Role of Conditional Return Asymmetry," Journal of Finance, American Finance Association, vol. 71(5), pages 2145-2192, October.
  6. Alberto Plazzi & Walter Torous & Rossen Valkanov, 2010. "Expected Returns and Expected Growth in Rents of Commercial Real Estate," Review of Financial Studies, Society for Financial Studies, vol. 23(9), pages 3469-3519.
  7. Alberto Plazzi & Walter Torous & Rossen Valkanov, 2008. "The Cross‐Sectional Dispersion of Commercial Real Estate Returns and Rent Growth: Time Variation and Economic Fluctuations," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 36(3), pages 403-439, September.
  8. Eric Ghysels & Alberto Plazzi & Rossen Valkanov, 2007. "Valuation in US Commercial Real Estate," European Financial Management, European Financial Management Association, vol. 13(3), pages 472-497, June.

Chapters

  1. Alberto Plazzi & Walter Torous & Umit Yilmaz, 2020. "What You See Is What You Get But Do Investors Reward Good Corporate Governance When They See It?," World Scientific Book Chapters, in: Itzhak Venezia (ed.), Behavioral Finance A Novel Approach, chapter 4, pages 73-98, World Scientific Publishing Co. Pte. Ltd..
  2. Ghysels, Eric & Plazzi, Alberto & Valkanov, Rossen & Torous, Walter, 2013. "Forecasting Real Estate Prices," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 509-580, Elsevier.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Andrea Berardi & Alberto Plazzi, 2018. "Inflation Risk Premia, Yield Volatility and Macro Factors," Swiss Finance Institute Research Paper Series 18-13, Swiss Finance Institute, revised Mar 2018.

    Cited by:

    1. Casiraghi, Marco & Miccoli, Marcello, 2019. "Inflation risk premia and risk-adjusted expectations of inflation," Economics Letters, Elsevier, vol. 175(C), pages 36-39.
    2. Kim, Young Min & Kang, Kyu Ho & Ka, Kook, 2020. "Do bond markets find inflation targets credible? Evidence from five inflation-targeting countries," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 66-84.
    3. Lee, Seojin & Kim, Young Min, 2019. "Inflation expectation, monetary policy credibility, and exchange rates," Finance Research Letters, Elsevier, vol. 31(C).

  2. Priyank Gandhi & Patrick Christian Kiefer & Alberto Plazzi, 2016. "A False Sense of Security: Why U.S. Banks Diversify and Does it Help?," Swiss Finance Institute Research Paper Series 16-43, Swiss Finance Institute.

    Cited by:

    1. Tran, Dung Viet, 2020. "Bank business models and liquidity creation," Research in International Business and Finance, Elsevier, vol. 53(C).

  3. Gandhi, Priyank & Lustig, Hanno & Plazzi, Alberto, 2016. "Equity Is Cheap for Large Financial Institutions: The International Evidence," Research Papers 3454, Stanford University, Graduate School of Business.

    Cited by:

    1. Schoenmaker, Dirk, 2016. "Resolution of International Banks: Can Smaller Countries Cope?," CEPR Discussion Papers 11600, C.E.P.R. Discussion Papers.
    2. Ryan Johnston, 2016. "Banking Policy Review: Did Dodd–Frank End 'Too Big to Fail'?," Economic Insights, Federal Reserve Bank of Philadelphia, vol. 1(4), pages 16-20, October.
    3. Samuel Antill & Asani Sarkar, 2018. "Is size everything?," Staff Reports 864, Federal Reserve Bank of New York.
    4. C�l�rier, Claire & Kick, Thomas & Ongena, Steven, 2017. "Changes in the Cost of Bank Equity and the Supply of Bank Credit," CEPR Discussion Papers 12172, C.E.P.R. Discussion Papers.

  4. Efe Cotelioglu & Francesco A. Franzoni & Alberto Plazzi, 2013. "What Constrains Liquidity Provision? Evidence From Hedge Fund Trades," Swiss Finance Institute Research Paper Series 13-10, Swiss Finance Institute.

    Cited by:

    1. Bruno Biais & Fany Declerck & Sophie Moinas, 2016. "Who supplies liquidity, how and when?," BIS Working Papers 563, Bank for International Settlements.
    2. Marco Di Maggio & Mark L. Egan & Francesco Franzoni, 2019. "The Value of Intermediation in the Stock Market," NBER Working Papers 26147, National Bureau of Economic Research, Inc.
    3. Di Maggio, Marco & Egan, Mark & Franzoni, Francesco, 2019. "The Value of Intermediation in the Stock Market," CEPR Discussion Papers 13936, C.E.P.R. Discussion Papers.
    4. Mathias S. Kruttli & Phillip J. Monin & Sumudu W. Watugala, 2017. "Investor Concentration, Flows, and Cash Holdings: Evidence from Hedge Funds," Working Papers 17-07, Office of Financial Research, US Department of the Treasury.
    5. Mathias Kruttli & Phillip Monin & Sumudu Watugala, 2019. "The Life of the Counterparty: Shock Propagation in Hedge Fund-Prime Broker Credit Networks," Working Papers 19-03, Office of Financial Research, US Department of the Treasury.
    6. Hu, Conghui & Liu, Yu-Jane & Zhu, Ning, 2021. "Deleveraging commonality," Journal of Financial Markets, Elsevier, vol. 53(C).
    7. Eaton, Gregory W. & Irvine, Paul J. & Liu, Tingting, 2021. "Measuring institutional trading costs and the implications for finance research: The case of tick size reductions," Journal of Financial Economics, Elsevier, vol. 139(3), pages 832-851.

  5. Eric Ghysels & Alberto Plazzi & Rossen I. Valkanov, 2011. "Conditional Skewness of Stock Market Returns in Developed and Emerging Markets and its Economic Fundamentals," Swiss Finance Institute Research Paper Series 11-06, Swiss Finance Institute.

    Cited by:

    1. Fujiwara, Ippei & Körber, Lena Mareen & Nagakura, Daisuke, 2013. "Asymmetry in government bond returns," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3218-3226.
    2. Peter Christoffersen & Vihang Errunza & Kris Jacobs & Hugues Langlois, 2012. "Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach," CREATES Research Papers 2012-48, Department of Economics and Business Economics, Aarhus University.
    3. Benoît Sévi & César Baena, 2013. "The explanatory power of signed jumps for the risk-return tradeoff," Economics Bulletin, AccessEcon, vol. 33(2), pages 1029-1046.
    4. Shum, Wai Yan, 2020. "Modelling conditional skewness: Heterogeneous beliefs, short sale restrictions and market declines," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    5. Andrade, P. & Ghysels, E. & Idier, J., 2012. "Tails of Inflation Forecasts and Tales of Monetary Policy," Working papers 407, Banque de France.

  6. Alberto Plazzi & Walter N. Torous & Rossen I. Valkanov, 2011. "Exploiting Property Characteristics in Commercial Real Estate Portfolio Allocation," Swiss Finance Institute Research Paper Series 11-07, Swiss Finance Institute.

    Cited by:

    1. Philippe Bracke, 2013. "House Prices and Rents: Micro Evidence from a Matched Dataset in Central London_x0003_," ERSA conference papers ersa13p112, European Regional Science Association.
    2. Philippe Bracke, 2015. "House Prices and Rents: Microevidence from a Matched Data Set in Central London," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(2), pages 403-431, June.
    3. Tim A. Kroencke & Felix Schindler & Bertram I. Steininger, 2018. "The Anatomy of Public and Private Real Estate Return Premia," The Journal of Real Estate Finance and Economics, Springer, vol. 56(3), pages 500-523, April.

  7. Plazzi, Alberto & Torous, Walt & Valkanov, Rossen, 2004. "13-04 Expected Returns and the Expected Growth in Rents of Commercial Real Estate," University of California at Los Angeles, Anderson Graduate School of Management qt8c68m5tk, Anderson Graduate School of Management, UCLA.

    Cited by:

    1. Alberto Plazzi & Walter Torous & Rossen Valkanov, 2008. "The Cross‐Sectional Dispersion of Commercial Real Estate Returns and Rent Growth: Time Variation and Economic Fluctuations," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 36(3), pages 403-439, September.

Articles

  1. Eric Ghysels & Alberto Plazzi & Rossen Valkanov & Antonio Rubia & Asad Dossani, 2019. "Direct Versus Iterated Multiperiod Volatility Forecasts," Annual Review of Financial Economics, Annual Reviews, vol. 11(1), pages 173-195, December.

    Cited by:

    1. Afees A. Salisu & Rangan Gupta & Riza Demirer, 2021. "Global Financial Cycle and the Predictability of Oil Market Volatility: Evidence from a GARCH-MIDAS Model," Working Papers 202121, University of Pretoria, Department of Economics.

  2. Andrea Berardi & Alberto Plazzi, 2019. "Inflation Risk Premia, Yield Volatility, and Macro Factors," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 17(3), pages 397-431.
    See citations under working paper version above.
  3. Eric Ghysels & Alberto Plazzi & Rossen Valkanov, 2016. "Why Invest in Emerging Markets? The Role of Conditional Return Asymmetry," Journal of Finance, American Finance Association, vol. 71(5), pages 2145-2192, October.

    Cited by:

    1. Xu, Zhongxiang & Chevapatrakul, Thanaset & Li, Xiafei, 2019. "Return asymmetry and the cross section of stock returns," Journal of International Money and Finance, Elsevier, vol. 97(C), pages 93-110.
    2. Ben-David, Itzhak & Franzoni, Francesco & Moussawi, Rabih & Sedunov, John, 2019. "The Granular Nature of Large Institutional Investors," CEPR Discussion Papers 13427, C.E.P.R. Discussion Papers.
    3. Lei, Likun & Shang, Yue & Chen, Yongfei & Wei, Yu, 2019. "Does the financial crisis change the economic risk perception of crude oil traders? A MIDAS quantile regression approach," Finance Research Letters, Elsevier, vol. 30(C), pages 341-351.
    4. Jozef Barun'ik & Matv{e}j Nevrla, 2018. "Tail Risks, Investment Horizons, and Asset Prices," Papers 1806.06148, arXiv.org, revised Dec 2020.
    5. Jondeau, Eric & Zhang, Qunzi & Zhu, Xiaoneng, 2019. "Average skewness matters," Journal of Financial Economics, Elsevier, vol. 134(1), pages 29-47.
    6. Jian, Zhihong & Li, Xupei, 2021. "Skewness-based market integration: A systemic risk measure across international equity markets," International Review of Financial Analysis, Elsevier, vol. 74(C).
    7. Calomiris, Charles W. & Mamaysky, Harry, 2019. "How news and its context drive risk and returns around the world," Journal of Financial Economics, Elsevier, vol. 133(2), pages 299-336.
    8. Hadhri, Sinda & Ftiti, Zied, 2019. "Asset allocation and investment opportunities in emerging stock markets: Evidence from return asymmetry-based analysis," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 187-200.
    9. Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Miffre, Joëlle, 2019. "A comprehensive appraisal of style-integration methods," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 134-150.
    10. Liu, Xiaochun, 2017. "Unfolded risk-return trade-offs and links to Macroeconomic Dynamics," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 1-19.
    11. Li, Mingyi & Onishchenko, Olena & Zhao, Jing, 2020. "Does average skewness matter? Evidence from the Taiwanese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
    12. Liu, Xiaochun, 2019. "On tail fatness of macroeconomic dynamics," Journal of Macroeconomics, Elsevier, vol. 62(C).
    13. Caporin, Massimiliano & Pelizzon, Loriana & Plazzi, Alberto, 2020. "Does monetary policy impact international market co-movements?," SAFE Working Paper Series 276, Leibniz Institute for Financial Research SAFE.
    14. Langlois, Hugues, 2020. "Measuring skewness premia," Journal of Financial Economics, Elsevier, vol. 135(2), pages 399-424.
    15. Charles W. Calomiris & Harry Mamaysky, 2018. "How News and Its Context Drive Risk and Returns Around the World," NBER Working Papers 24430, National Bureau of Economic Research, Inc.
    16. Seema REHMAN & Saqib SHARIF & Wali ULLAH, 2021. "Higher Realized Moments and Stock Return Predictability," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 48-70, December.
    17. Jozef Barunik & Josef Kurka, 2021. "Frequency-Dependent Higher Moment Risks," Working Papers IES 2021/11, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2021.
    18. Shum, Wai Yan, 2020. "Modelling conditional skewness: Heterogeneous beliefs, short sale restrictions and market declines," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    19. Chen, Yanhua & Li, Youwei & Pantelous, Athanasios & Stanley, Eugene, 2020. "Short-run disequilibrium adjustment and long-run equilibrium in the international stock markets: A network-based approach," MPRA Paper 101700, University Library of Munich, Germany.
    20. Paul Karehnke & Frans de Roon, 2020. "Spanning Tests for Assets with Option-Like Payoffs: The Case of Hedge Funds," Management Science, INFORMS, vol. 66(12), pages 5969-5989, December.
    21. Liew, Ping-Xin & Lim, Kian-Ping & Goh, Kim-Leng, 2020. "Does proprietary day trading provide liquidity at a cost to investors?," International Review of Financial Analysis, Elsevier, vol. 68(C).
    22. Li, Yulin & Wald, John K. & Wang, Zijun, 2020. "Sovereign bonds, coskewness, and monetary policy regimes," Journal of Financial Stability, Elsevier, vol. 50(C).
    23. Asgar Ali & K. N. Badhani, 2021. "Beta-Anomaly: Evidence from the Indian Equity Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(1), pages 55-78, March.
    24. Donald Lien & Zijun Wang, 2019. "Quantile information share," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 38-55, January.
    25. Linnenluecke, Martina K. & Chen, Xiaoyan & Ling, Xin & Smith, Tom & Zhu, Yushu, 2017. "Research in finance: A review of influential publications and a research agenda," Pacific-Basin Finance Journal, Elsevier, vol. 43(C), pages 188-199.
    26. Xu, Qifa & Chen, Lu & Jiang, Cuixia & Yu, Keming, 2020. "Mixed data sampling expectile regression with applications to measuring financial risk," Economic Modelling, Elsevier, vol. 91(C), pages 469-486.
    27. Yang, Ann Shawing, 2020. "Misinformation corrections of corporate news: Corporate clarification announcements," Pacific-Basin Finance Journal, Elsevier, vol. 61(C).
    28. Le, Trung H., 2020. "Forecasting value at risk and expected shortfall with mixed data sampling," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1362-1379.
    29. Bertrand Groslambert & Devraj Basu & Wan Ni Lai, 2019. "Is tail risk the missing link between institutions and risk?," Economics Bulletin, AccessEcon, vol. 39(2), pages 1435-1448.
    30. Vo, Xuan Vinh & Truong, Quang Binh, 2018. "Does momentum work? Evidence from Vietnam stock market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 17(C), pages 10-15.

  4. Alberto Plazzi & Walter Torous & Rossen Valkanov, 2010. "Expected Returns and Expected Growth in Rents of Commercial Real Estate," Review of Financial Studies, Society for Financial Studies, vol. 23(9), pages 3469-3519.

    Cited by:

    1. Eirini Andriopoulou & Panagiotis Tsakloglou, 2011. "Once poor, always poor? Do initial conditions matter? Evidence from the ECHP," DEOS Working Papers 1127, Athens University of Economics and Business.
    2. Tom Emmerling & Crocker Liu & Yildiray Yildirim, 2017. "The Hybrid Nature of Real Estate Trusts," ERES eres2017_370, European Real Estate Society (ERES).
    3. Jim Clayton & David Ling & Andy Naranjo, 2009. "Commercial Real Estate Valuation: Fundamentals Versus Investor Sentiment," The Journal of Real Estate Finance and Economics, Springer, vol. 38(1), pages 5-37, January.
    4. Christian Rehring & Steffen Sebastian, 2010. "Dynamics Of Commercial Real Estate Asset Markets, Return Volatility, And The Investment Horizon," ERES eres2010_134, European Real Estate Society (ERES).
    5. John V. Duca & David C. Ling, 2015. "The other (commercial) real estate boom and bust: the effects of risk premia and regulatory capital arbitrage," Working Papers 1504, Federal Reserve Bank of Dallas.
    6. Renhe Liu & Eddie Chi-man Hui & Jiaqi Lv & Yi Chen, 2017. "What Drives Housing Markets: Fundamentals or Bubbles?," The Journal of Real Estate Finance and Economics, Springer, vol. 55(4), pages 395-415, November.
    7. Cenedese, Gino & Mallucci, Enrico, 2016. "What moves international stock and bond markets?," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 94-113.
    8. Levon Goukasian & Mehdi Majbouri, 2010. "The Reaction of Real Estate–Related Industries to the Monetary Policy Actions," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 38(2), pages 355-398, June.
    9. Engsted, Tom & Pedersen, Thomas Q., 2014. "Housing market volatility in the OECD area: Evidence from VAR based return decompositions," Journal of Macroeconomics, Elsevier, vol. 42(C), pages 91-103.
    10. Frank J. Fabozzi & Iason Kynigakis & Ekaterini Panopoulou & Radu S. Tunaru, 2020. "Detecting Bubbles in the US and UK Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 60(4), pages 469-513, May.
    11. Christian Rehring, 2012. "Real Estate in a Mixed‐Asset Portfolio: The Role of the Investment Horizon," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 40(1), pages 65-95, March.
    12. Daisy J. Huang & Charles Ka Yui Leung & Chung-Yi Tse, "undated". "What account for the differences in rent-price ratio and turnover rate? A search-and-matching approach," GRU Working Paper Series GRU_2016_019, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    13. Engsted, Tom & Pedersen, Thomas Q., 2015. "Predicting returns and rent growth in the housing market using the rent-price ratio: Evidence from the OECD countries," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 257-275.
    14. Ana Sequeira, 2013. "Predicting aggregate returns using valuation ratios out-of-sample," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
    15. Jack Corgel & Crocker Liu & Robert White, 2015. "Determinants of Hotel Property Prices," The Journal of Real Estate Finance and Economics, Springer, vol. 51(3), pages 415-439, October.
    16. Ralph S.J. Koijen & Stijn Van Nieuwerburgh, 2011. "Predictability of Returns and Cash Flows," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 467-491, December.
    17. Lucas Hafemann, 2021. "Prudential Policies in the Eurozone: A Propensity Score Matching Approach," MAGKS Papers on Economics 202109, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    18. Guglielmo Maria Caporale & Ricardo M. Sousa, 2011. "Consumption, Wealth, Stock and Housing Returns: Evidence from Emerging Markets," NIPE Working Papers 32/2011, NIPE - Universidade do Minho.
    19. Kraft, Holger & Munk, Claus & Weiss, Farina, 2019. "Predictors and portfolios over the life cycle," Journal of Banking & Finance, Elsevier, vol. 100(C), pages 1-27.
    20. Joshua Gallin, 2008. "The Long‐Run Relationship Between House Prices and Rents," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 36(4), pages 635-658, December.
    21. Chun-Chang Lee & Hsueh-Ling Fan, 2016. "The Impact of Administrative Characteristics and Residential Types on Income Capitalization Rates in Taipei, Taiwan," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 6(10), pages 602-619, October.
    22. Liu, Crocker H. & Rosenthal, Stuart S. & Strange, William C., 2018. "The vertical city: Rent gradients, spatial structure, and agglomeration economies," Journal of Urban Economics, Elsevier, vol. 106(C), pages 101-122.
    23. Engsted, Tom & Hviid, Simon J. & Pedersen, Thomas Q., 2016. "Explosive bubbles in house prices? Evidence from the OECD countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 14-25.
    24. Helmut Herwartz & Fang Xu, 2020. "Low Mortgage Rates and Securitization: A Distinct Perspective on the US Housing Boom," Scandinavian Journal of Economics, Wiley Blackwell, vol. 122(1), pages 164-190, January.
    25. Jianhua Gang & Liang Peng & Thomas G. Thibodeau, 2020. "Risk and Returns of Income Producing Properties: Core versus Noncore," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 48(2), pages 476-503, June.
    26. James D. Shilling & C.F. Sirmans & Barrett A. Slade, 2017. "Spatial Correlation in Expected Returns in Commercial Real Estate Markets and the Role of Core Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 54(3), pages 297-337, April.
    27. Ghysels, Eric & Plazzi, Alberto & Valkanov, Rossen & Torous, Walter, 2013. "Forecasting Real Estate Prices," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 509-580, Elsevier.
    28. Hiebert, Paul & Sydow, Matthias, 2009. "What drives returns to euro area housing? Evidence from a dynamic dividend-discount model," Working Paper Series 1019, European Central Bank.
    29. George Milunovich, 2020. "Forecasting Australia's real house price index: A comparison of time series and machine learning methods," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1098-1118, November.
    30. Daniel Melser & Adrian D. Lee, 2014. "Estimating the Excess Returns to Housing at a Disaggregated Level: An Application to Sydney 2003–2011," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(3), pages 756-790, September.
    31. Xudong An & Yongheng Deng & Joseph Nichols & Anthony Sanders, 2015. "What is Subordination About? Credit Risk and Subordination Levels in Commercial Mortgage-backed Securities (CMBS)," The Journal of Real Estate Finance and Economics, Springer, vol. 51(2), pages 231-253, August.
    32. Dwight Jaffee & Richard Stanton & Nancy Wallace, 2019. "Energy Factors, Leasing Structure and the Market Price of Office Buildings in the U.S," The Journal of Real Estate Finance and Economics, Springer, vol. 59(3), pages 329-371, October.
    33. Arpit Gupta & Stijn Van Nieuwerburgh & Constantine Kontokosta, 2020. "Take the Q Train: Value Capture of Public Infrastructure Projects," NBER Working Papers 26789, National Bureau of Economic Research, Inc.
    34. Doina Chichernea & Norm Miller & Jeff Fisher & Bob White & Michael Sklarz, 2008. "ACross-Sectional Analysis of CapRates by MSA," Journal of Real Estate Research, American Real Estate Society, vol. 30(3), pages 249-292.
    35. Liang Peng & Thomas G. Thibodeau, 2020. "Interest Rates and Investment: Evidence from Commercial Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 60(4), pages 554-586, May.
    36. Moutzouris, Ioannis C. & Nomikos, Nikos K., 2019. "Earnings yield and predictability in the dry bulk shipping industry," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 125(C), pages 140-159.
    37. Galina An & Charles Becker & Enoch Cheng, 2021. "Bubbling Away: Forecasting Real Estate Prices, Rents, and Bubbles in a Transition Economy," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 63(2), pages 263-317, June.
    38. Boudry, Walter I. & Kallberg, Jarl G. & Liu, Crocker H., 2013. "Investment opportunities and share repurchases," Journal of Corporate Finance, Elsevier, vol. 23(C), pages 23-38.
    39. Kraft, Holger & Munk, Claus & Weiss, Farina, 2017. "Predictors and portfolios over the life cycle: Skill vs. luck," SAFE Working Paper Series 139, Leibniz Institute for Financial Research SAFE.

  5. Alberto Plazzi & Walter Torous & Rossen Valkanov, 2008. "The Cross‐Sectional Dispersion of Commercial Real Estate Returns and Rent Growth: Time Variation and Economic Fluctuations," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 36(3), pages 403-439, September.

    Cited by:

    1. Jim Clayton & David Ling & Andy Naranjo, 2009. "Commercial Real Estate Valuation: Fundamentals Versus Investor Sentiment," The Journal of Real Estate Finance and Economics, Springer, vol. 38(1), pages 5-37, January.
    2. Alexander Schätz & Steffen Sebastian, 2009. "The links between property and the economy -- evidence from the British and German markets," Journal of Property Research, Taylor & Francis Journals, vol. 26(2), pages 171-191, September.
    3. Christian Rehring & Steffen Sebastian, 2010. "Dynamics Of Commercial Real Estate Asset Markets, Return Volatility, And The Investment Horizon," ERES eres2010_134, European Real Estate Society (ERES).
    4. Rutger-Jan Lange & Coen N. Teulings, 2021. "The option value of vacant land: Don't build when demand for housing is booming," Tinbergen Institute Discussion Papers 21-022/IV, Tinbergen Institute.
    5. Charles Ka Yui Leung & Jun Zhang, 2011. ""Fire Sales" in Housing Market: Is the House- Search Process Similar to a Theme Park Visit?," International Real Estate Review, Global Social Science Institute, vol. 14(3), pages 311-329.
    6. Leung, Charles Ka Yui & Zhang, Jun, 2011. "“Fire Sales” in housing market: is the house-searching process similar to a theme park visit?," MPRA Paper 29127, University Library of Munich, Germany.
    7. William G. Hardin & Xiaoquan Jiang & Zhonghua Wu, 2017. "Inflation Illusion, Expertise and Commercial Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 55(3), pages 345-369, October.
    8. Stephen Lee & Giacomo Morri, 2015. "Real estate fund active management," Journal of Property Investment & Finance, Emerald Group Publishing, vol. 33(6), pages 494-516, September.
    9. Alexey Akimov & Simon Stevenson & Maxim Zagonov, 2015. "Public Real Estate and the Term Structure of Interest Rates: A Cross-Country Study," The Journal of Real Estate Finance and Economics, Springer, vol. 51(4), pages 503-540, November.
    10. Kevin C.H. Chiang & Xiaguan Jiang & Ming‐Long Lee, 2010. "REIT idiosyncratic risk," Journal of Property Research, Taylor & Francis Journals, vol. 26(4), pages 349-366, February.
    11. Daniel Melser & Adrian D. Lee, 2014. "Estimating the Excess Returns to Housing at a Disaggregated Level: An Application to Sydney 2003–2011," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(3), pages 756-790, September.

  6. Eric Ghysels & Alberto Plazzi & Rossen Valkanov, 2007. "Valuation in US Commercial Real Estate," European Financial Management, European Financial Management Association, vol. 13(3), pages 472-497, June.

    Cited by:

    1. Frank Fabozzi & Robert Shiller & Radu Tunaru, 2009. "Property Derivatives for Managing European Real-Estate Risk," Yale School of Management Working Papers amz2652, Yale School of Management, revised 01 Sep 2009.
    2. David Ling & Gianluca Marcato & Pat McAllister, 2009. "Dynamics of Asset Prices and Transaction Activity in Illiquid Markets: the Case of Private Commercial Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 39(3), pages 359-383, October.
    3. Jeffrey Fisher & David C. Ling & Andy Naranjo, 2009. "Institutional Capital Flows and Return Dynamics in Private Commercial Real Estate Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(1), pages 85-116, March.
    4. Christian Rehring, 2012. "Real Estate in a Mixed‐Asset Portfolio: The Role of the Investment Horizon," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 40(1), pages 65-95, March.
    5. Prashant Das & Patrick Smith & Paul Gallimore, 2018. "Pricing Extreme Attributes in Commercial Real Estate: the Case of Hotel Transactions," The Journal of Real Estate Finance and Economics, Springer, vol. 57(2), pages 264-296, August.
    6. Jack Corgel & Crocker Liu & Robert White, 2015. "Determinants of Hotel Property Prices," The Journal of Real Estate Finance and Economics, Springer, vol. 51(3), pages 415-439, October.
    7. Frank J. Fabozzi & Robert J. Shiller & Radu S. Tunaru, 2010. "Property Derivatives for Managing European Real†Estate Risk," European Financial Management, European Financial Management Association, vol. 16(1), pages 8-26, January.
    8. C. Emre Alper & Salih Fendoglu & Burak Saltoglu, 2009. "MIDAS Volatility Forecast Performance Under Market Stress: Evidence from Emerging and Developed Stock Markets," Working Papers 2009/04, Bogazici University, Department of Economics.
    9. Frank J. Fabozzi & Robert J. Shiller & Radu S. Tunaru, 2012. "A Pricing Framework for Real Estate Derivatives," European Financial Management, European Financial Management Association, vol. 18(5), pages 762-789, November.
    10. Ghysels, Eric & Plazzi, Alberto & Valkanov, Rossen & Torous, Walter, 2013. "Forecasting Real Estate Prices," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 509-580, Elsevier.
    11. Bart Hobijn & John Krainer & David Lang, 2011. "Cap rates and commercial property prices," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue sep19.
    12. David C. Ling & Andy Naranjo & Benjamin Scheick, 2014. "Investor Sentiment, Limits to Arbitrage and Private Market Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(3), pages 531-577, September.
    13. David C. Ling & Andy Naranjo, 2015. "Returns and Information Transmission Dynamics in Public and Private Real Estate Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(1), pages 163-208, March.
    14. Daniele Bianchi & Massimo Guidolin, 2014. "Can Linear Predictability Models Time Bull and Bear Real Estate Markets? Out-of-Sample Evidence from REIT Portfolios," The Journal of Real Estate Finance and Economics, Springer, vol. 49(1), pages 116-164, July.

Chapters

  1. Ghysels, Eric & Plazzi, Alberto & Valkanov, Rossen & Torous, Walter, 2013. "Forecasting Real Estate Prices," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 509-580, Elsevier.

    Cited by:

    1. Hardik A. Marfatia & Rangan Gupta & Esin Cakan, 2017. "The International REIT's Time-Varying Response to the U.S. Monetary Policy and Macroeconomic Surprises," Working Papers 201712, University of Pretoria, Department of Economics.
    2. Liang Jiang & Peter C.B. Phillips & Jun Yu, 2014. "A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market," Cowles Foundation Discussion Papers 1969, Cowles Foundation for Research in Economics, Yale University.
    3. Pedersen, Thomas Quistgaard & Schütte, Erik Christian Montes, 2020. "Testing for explosive bubbles in the presence of autocorrelated innovations," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 207-225.
    4. Bouri, Elie & Gupta, Rangan & Wong, Wing-Keung & Zhu, Zhenzhen, 2018. "Is wine a good choice for investment?," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 171-183.
    5. Engsted, Tom & Pedersen, Thomas Q., 2014. "Housing market volatility in the OECD area: Evidence from VAR based return decompositions," Journal of Macroeconomics, Elsevier, vol. 42(C), pages 91-103.
    6. Christou, Christina & Gupta, Rangan & Nyakabawo, Wendy & Wohar, Mark E., 2018. "Do house prices hedge inflation in the US? A quantile cointegration approach," International Review of Economics & Finance, Elsevier, vol. 54(C), pages 15-26.
    7. Krzysztof Olszewski, 2013. "The Commercial Real Estate Market, Central Bank Monitoring and Macroprudential Policy," Review of Economic Analysis, Digital Initiatives at the University of Waterloo Library, vol. 5(2), pages 213-250, December.
    8. Christiansen, Charlotte & Eriksen, Jonas N. & Møller, Stig V., 2019. "Negative house price co-movements and US recessions," Regional Science and Urban Economics, Elsevier, vol. 77(C), pages 382-394.
    9. Engsted, Tom & Pedersen, Thomas Q., 2015. "Predicting returns and rent growth in the housing market using the rent-price ratio: Evidence from the OECD countries," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 257-275.
    10. Plakandaras, Vasilios & Gupta, Rangan & Papadimitriou, Theophilos & Gogas, Periklis, 2014. "Forecasting the U.S. Real House Price Index," DUTH Research Papers in Economics 10-2014, Democritus University of Thrace, Department of Economics.
    11. Floro, Danvee, 2019. "Testing the predictive ability of house price bubbles for macroeconomic performance: A meta-analytic approach," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 164-181.
    12. Peter Chinloy & William D. Larson, 2017. "The Daily Microstructure of the Housing Market," FHFA Staff Working Papers 17-01, Federal Housing Finance Agency.
    13. Wei, Yu & Cao, Yang, 2017. "Forecasting house prices using dynamic model averaging approach: Evidence from China," Economic Modelling, Elsevier, vol. 61(C), pages 147-155.
    14. Guglielmo Maria Caporale & Ricardo M. Sousa, 2011. "Consumption, Wealth, Stock and Housing Returns: Evidence from Emerging Markets," NIPE Working Papers 32/2011, NIPE - Universidade do Minho.
    15. Kraft, Holger & Munk, Claus & Weiss, Farina, 2019. "Predictors and portfolios over the life cycle," Journal of Banking & Finance, Elsevier, vol. 100(C), pages 1-27.
    16. Glaeser, Edward L. & Nathanson, Charles G., 2017. "An extrapolative model of house price dynamics," Journal of Financial Economics, Elsevier, vol. 126(1), pages 147-170.
    17. Davis, Morris A. & Van Nieuwerburgh, Stijn, 2015. "Housing, Finance, and the Macroeconomy," Handbook of Regional and Urban Economics, in: Gilles Duranton & J. V. Henderson & William C. Strange (ed.), Handbook of Regional and Urban Economics, edition 1, volume 5, chapter 0, pages 753-811, Elsevier.
    18. Engsted, Tom & Hviid, Simon J. & Pedersen, Thomas Q., 2016. "Explosive bubbles in house prices? Evidence from the OECD countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 14-25.
    19. Omokolade Akinsomi & Goodness C. Aye & Vassilios Babalos & Fotini Economou & Rangan Gupta, 2016. "Real estate returns predictability revisited: novel evidence from the US REITs market," Empirical Economics, Springer, vol. 51(3), pages 1165-1190, November.
    20. Yongheng Deng & Eric Girardin & Roselyne Joyeux, 2018. "Fundamentals and the volatility of real estate prices in China: A sequential modelling strategy," Post-Print hal-01996210, HAL.
    21. Joshua Aizenman & Yothin Jinjarak, 2013. "Real Estate Valuation, Current Account and Credit Growth Patterns, Before and After the 2008-9 Crisis," NBER Working Papers 19190, National Bureau of Economic Research, Inc.
    22. Radosław Pietrzyk & Paweł Rokita, 2015. "Stochastic Goals In Financial Planning For A Two-Person Household," Statistics in Transition New Series, Polish Statistical Association, vol. 16(1), pages 111-136, March.
    23. Pablo Kurlat & Johannes Stroebel, 2015. "Testing for Information Asymmetries in Real Estate Markets," Review of Financial Studies, Society for Financial Studies, vol. 28(8), pages 2429-2461.
    24. Wei, Yu & Liu, Jing & Lai, Xiaodong & Hu, Yang, 2017. "Which determinant is the most informative in forecasting crude oil market volatility: Fundamental, speculation, or uncertainty?," Energy Economics, Elsevier, vol. 68(C), pages 141-150.
    25. Radosław Pietrzyk & Paweł Rokita, 2015. "Stochastic goals in financial planning for a two-person household," Statistics in Transition new series, Główny Urząd Statystyczny (Polska), vol. 16(1), pages 111-136, May.
    26. Diego Ardila & Dorsa Sanadgol & Peter Cauwels & Didier Sornette, 2017. "Identification and critical time forecasting of real estate bubbles in the USA," Quantitative Finance, Taylor & Francis Journals, vol. 17(4), pages 613-631, April.
    27. Tim A. Kroencke & Felix Schindler & Bertram I. Steininger, 2018. "The Anatomy of Public and Private Real Estate Return Premia," The Journal of Real Estate Finance and Economics, Springer, vol. 56(3), pages 500-523, April.
    28. Alessia Bruzzo & Marco Mazzoli, 2018. "An Empirical Investigation on the European Housing Market Prices," Review of Economics & Finance, Better Advances Press, Canada, vol. 12, pages 29-42, May.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 13 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MAC: Macroeconomics (5) 2018-08-13 2018-08-27 2019-10-07 2020-02-10 2020-05-25. Author is listed
  2. NEP-BAN: Banking (4) 2016-06-25 2016-07-30 2016-07-30 2016-10-02
  3. NEP-EEC: European Economics (3) 2020-02-10 2020-05-25 2021-04-26
  4. NEP-IFN: International Finance (3) 2016-07-30 2016-10-02 2020-05-25
  5. NEP-MON: Monetary Economics (3) 2018-08-27 2020-02-10 2020-05-25
  6. NEP-CBA: Central Banking (2) 2018-08-27 2020-05-25
  7. NEP-CFN: Corporate Finance (2) 2016-10-02 2017-02-12
  8. NEP-FOR: Forecasting (2) 2019-10-07 2021-03-22
  9. NEP-BEC: Business Economics (1) 2017-02-12
  10. NEP-BIG: Big Data (1) 2021-03-22
  11. NEP-LAW: Law & Economics (1) 2018-07-16
  12. NEP-NET: Network Economics (1) 2016-06-25
  13. NEP-ORE: Operations Research (1) 2021-04-26
  14. NEP-RMG: Risk Management (1) 2016-07-30
  15. NEP-URE: Urban & Real Estate Economics (1) 2021-03-22

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