In this article, the authors find that a typical application of volatility-timing strategies to the
stock market suffers from look-ahead bias, despite existing evidence on the success of the …

Over the last several years, the price of listed real estate stocks has been unusually high
relative to dividends. I find that neither low interest rates nor low risk premia can account for …

We introduce a methodology to estimate common real estate returns and cycles across
public and private real estate markets. We first place REIT indices and direct real estate …

The Norwegian Government Pension Fund Global represents a rare instance of a people
deciding that the financial proceeds from extracting a country's non-renewable resources …

The authors build on traditional mean-variance optimization with a quantitative framework
for combining the best of science and judgment in selecting an asset allocation for long …

By adopting the 'REIT laboratory'and incorporating REIT-specific Fama-French factors, Nick
Martin Trefz builds the foundation to appropriately isolate the parameters of interest and to …

In this article, the authors propose a risk estimation model that addresses both smoothness
and idiosyncratic risk dynamics of narrow private equity portfolio returns. The authors …

We study how investors can use financial securities to speculate on the decrease of house
prices. Unlike most asset types, houses are subject to high trading frictions and cannot be …

This thesis consists of three empirical chapters. First, we examine the long-run linkages and
short-term dynamics between Japan REITs, direct real estate and stocks. Our estimation …

We take US equity Real Estate Investment Trusts (REITs) and construct equity REIT-specific
factors1 along the lines of Fama and French (1993), in order to study the following: 1. The …