9500 Gilman Drive
Rady School of Management
La Jolla, CA 92093
University of California, San Diego (UCSD) - Rady School of Management
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Real Estate, MIDAS, Cap rate, Predictive regression
Mergers, Value Creation, Announcement Returns, Corporate Governance
return asymmetry, international equity markets, portfolio allocation, skewness
ICAPM, risk-return tradeoff, conditional variance, forecasting returns
Cap rate, real estate, return predictability
variance estimation, volatility, asset pricing, MIDAS
real estate, predictability, market efficiency, REIT
returns, stocks, bonds, taxes, government spending, Ricardian Equivalence, fiscal policy
Volatility, Risk, tick-by-tick applications, nonlinear MIDAS, microstructure noise
Economic constraints, Sharpe ratio, Equity premium predictions, Bayesian analysis
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP9377.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Bayesian analysis, Economic constraints, Sharpe Ratio, Stock return predictability
Commercial real estate, cross-sectional volatility, total risk
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: reec.
Return Predictability, Early Exercise Premium, Dividend Growth
Volatility forecasting, multi-period forecasts, mixed-data sampling
Complexity, Security Design, MBS Performance
MIDAS regressions; Bayesian estimation; stochastic volatility; out-of-sample forecasts; GDP growth
File name: DP10160.
Bayesian estimation, GDP growth, MIDAS regressions, out-of-sample forecasts, stochastic volatility
Securitization, Commercial Mortgage-Backed Securities (CMBS), Structured finance
Dynamic portfolio choice, real estate, cap rate
Return predictability, long-horizon regressions, near unit root, local-to-zero variance
File name: jofi.
File name: eufm.
Corporate Bonds; Empirical Portfolio Choice
risk, return, financial crisis, flight-to-safety
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