Research

Publications

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.


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.


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

Abstract: This paper studies the pricing implications of financial uncertainty on housing markets. Out-of-sample tests show that the exposure to financial uncertainty predicts the cross-sectional variation in market returns. Housing markets with a more negative financial uncertainty beta imply higher future compensating returns compared to markets with more positive betas. This financial uncertainty premium cannot be explained by alternative risk factors. We relate more negative uncertainty betas to the larger market-specific share of more risky mortgage segments, which are financed through securitization and therefore are more vulnerable to funding freezes when financial uncertainty is high.

Selected presentations: International AREUEA 2023 (scheduled)


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


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


Other Publications