Research
Research
Publications
Uncertainty Premia in REIT Returns, 2023, (joint with Marton Lotz and Johannes Strobel), Real Estate Economics, 51(2): 372-407. (https://doi.org/10.1111/1540-6229.12423)
Abstract: We provide a systematic study of how financial and real estate uncertainty affect the aggregate return performance of the US REIT market from 1994 to 2017. A temporal causality analysis reveals a negative uncertainty impact on REIT returns. The asset pricing analysis confirms the predictive relation and suggests that REITs are statistically significantly exposed to changes in market-wide uncertainty, for which investors require a return compensation. We also identify economic state variables to explain time-varying uncertainty exposures as well as periodic hedging characteristics of REITs. Finally, we find evidence that the source of uncertainty matters for compensating expected REIT returns.
Information Precision and Return Co-Movements in Private Commercial Real Estate Markets, 2022, (joint with Roland Füss), Journal of Banking and Finance, 138. (https://doi.org/10.1016/j.jbankfin.2022.106402)
Abstract: We test for return co-movements among international commercial real estate markets. Our spatial econometric model estimates the market exposure to the performance of a reference portfolio. This benchmark portfolio contains all markets with a higher level of transparency, which reveals valuable information about the pricing mechanism. Empirical evidence suggests that these indirect effects transmit from more transparent to less transparent markets. We then study the predictive power of different familiarity-based channels to overcome entry barriers by predicting returns in less transparent property markets. The evaluation of the prediction performance indicates that observed price signals in highly transparent markets are attributed to less transparent markets, which we interpret as informational herding.
Bank Systemic Risk Exposure and Office Market Interconnectedness, 2021, (joint with Roland Füss), Journal of Banking and Finance, 133. (https://doi.org/10.1016/j.jbankfin.2021.106311)
Abstract: We empirically examine how systemic risk in the banking sector leads to correlated risk in office markets of global financial centers. In so doing, we compute an aggregated measure of systemic risk in financial centers as the cumulated expected capital shortfall of local financial institutions. Our identification strategy is based on a double counterfactual approach by comparing normal with financial distress periods as well as office with retail markets. We find that office market interconnectedness arises from systemic risk during financial turmoil periods. Office market performance in a financial center is affected by returns of systemically linked financial center office markets only during a systemic banking crisis. In contrast, there is no evidence of correlated risk during normal times and among the within-city counterfactual retail sector. The decline in office market returns during a banking crisis is larger in financial centers compared to non-financial centers.
Working Papers
Understanding Financial Uncertainty Premia in Housing Markets, 2025, (joint with Donglin He).
Abstract: We study funding freezes in the secondary mortgage market as channel through which financial uncertainty is priced in housing markets. We document higher expected returns in markets with more negative uncertainty exposure. Exploiting MBS market liquidity dry-outs and a decline in collateralized loan value for mortgage funding, we show that markets with more pronounced non-depository shadow bank lending are more vulnerable to financial uncertainty. More restrictive shadow bank lending causes devaluated house prices, but also compensating uncertainty premia, when financial uncertainty is high. Government-sponsored enterprises and unconventional monetary policy, providing funding liquidity, strengthen housing market resiliency during financial distress periods.
Selected presentations: International AREUEA 2023, 2023 Real Estate Finance and Investment Symposium, 3rd Workshop on Residential Housing 2024, Brown bag seminars at the University of St.Gallen, and Yale School of Management.
Credit Cycles in Tokenized Real Estate Markets, 2025, (joint with Wenqian Huang and Valerie Laturnus).
Abstract: We study how investor borrowing activity affects trading behavior and price dynamics in tokenized real estate securities -- an emerging segment of digital capital markets. Using transaction-level data from decentralized exchanges and lending platforms, we show that higher leverage is systematically associated with more token purchases and upward price pressure, especially among large borrowers. By documenting this credit channel, our results highlight a potential source of procyclical volatility in tokenized securities markets and underscore the need for prudential safeguards and interoperable settlement infrastructures as these innovations are integrated into the regulated financial system.
Selected presentations: Annual WBS Gillmore Centre Conference, Durham University, Business School.
Betting on Homes, 2022, (joint with Marcel Fischer, Roland Füss, and Simon Stehle).
Abstract: We analyze the differences in annualized capital gains across heterogeneous investor types in the US residential housing market, namely owner-occupiers, private investors, as well as short- and long-term institutional investors. Our empirical results link the performance differences to heterogeneity in risk-taking. In particular, investor-specific exposure to lagged local return dispersion predicts persistent performance differences of investors within a market. Short-term institutional investors outperform others by exploiting the upside potential of the local return dispersion. In contrast, neither location choice or macroeconomic fundamentals, nor local factors, such as momentum and downside risk, can explain the observed performance disparities.
Selected presentations: DGF 2021, ASSA- AREUEA 2023
Agglomeration Effects and Liquidity Gradient in Local Rental Housing Markets, 2024.
Abstract: This paper empirically analyzes agglomeration effects on liquidity in rental housing markets. Using micro-level data from an online platform, I compare market liquidity measures, such as transaction volume, inventory, and the expected time on the market. Liquidity decreases with increasing distance to the nearby located urban agglomeration center, implying a negative liquidity gradient. Agglomeration effects are systematically lower in more distant rental housing markets. Illiquid markets imply rental price discounts, (counterintuitively) offer lower capitalization rates for investors, and expose landlords to higher market-specific non-execution risk.
Selected presentations: Australasian Finance and Banking Conference 2016, International AREUEA 2017, Swiss Real Estate Research Congress 2018
Work in Progress
Higher Moment Risk Premia in Housing Markets, 2025 (joint with Roland Füss and Donglin He)
Other Publications
Private Equity Infrastructure Funds, 2023 (joint with Roland Füss and Alois Weigand), prepared for The Palgrave Encyclopedia of Private Equity
Radu S. Tunaru: Real-Estate Derivatives: From Econometrics to Financial Engineering, 2018 (book review), Financial Markets and Portfolio Management, 32, 111-113. (https://doi.org/10.1007/s11408-018-0305-8)