James D. Shilling

DePaul University

1 East Jackson Blvd.

Chicago, IL 60604

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

31

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53

Scholarly Papers (31)

1.

Portfolio Performance and Strategic Asset Allocation Across Different Economic Conditions

Number of pages: 37 Posted: 15 Mar 2006
Jarjisu Sa-Aadu, James D. Shilling and Ashish Tiwari
University of Iowa - Department of Finance, DePaul University and University of Iowa
Downloads 999 (16,734)
Citation 1

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Portfolio diversification, volatility bounds, mean-variance spanning, regime switching

2.

Is Value-Added and Opportunistic Real Estate Investing Beneficial? If So, Why ?

Journal of Real Estate Research, Vol. 34, No. 4, 2012
Number of pages: 34 Posted: 22 Jan 2013
James D. Shilling and Charles Wurtzebach
DePaul University and DePaul University
Downloads 161 (108,394)
Citation 1

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value-added, opportunistic, investing, risk-adjusted return

3.

Are Commercial Mortgage Defaults Affected by Tax Considerations?

KAIST Business School Working Paper Series No. 2007-007
Number of pages: 40 Posted: 01 Jun 2007
Hoon Cho, Brian A. Ciochetti and James D. Shilling
Korea Advanced Institute of Science and Technology (KAIST), Unaffiliated Authors - Independent and DePaul University
Downloads 68 (287,030)

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4.

How Tax Credits Have Affected the Rehabilitation of the Boston Office Market

Journal of Real Estate Research, Vol. 28, No. 4, 2006
Number of pages: 28 Posted: 13 Dec 2006
James D. Shilling, Kerry D. Vandell, Ruslan Koesman and Zhenguo Lin
DePaul University, University of California, Irvine - Paul Merage School of Business, University of Wisconsin and University of Wisconsin
Downloads 44 (349,362)

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tax credit, rehabilitation, office market, Boston

5.

The Economics of Tenure Choice: 1955-79

NBER Working Paper No. w0543
Number of pages: 39 Posted: 07 Jul 2004 Last Revised: 28 Jun 2010
Patric H. Hendershott and James D. Shilling
University of Aberdeen - Centre for Property Research and DePaul University
Downloads 39 (368,187)
Citation 19

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6.

Large Banks and Efficient Banks: How Do They Influence Credit Supply and Default Risk?

Number of pages: 38 Posted: 10 Nov 2013 Last Revised: 31 Dec 2017
Bo Liu, James D. Shilling and Tien Foo Sing
National University of Singapore (NUS) - Department of Real Estate, DePaul University and National University of Singapore (NUS) - Department of Real Estate
Downloads 32 (358,599)

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Market Structure, Banking Markets, Concentration, Contestability, Credit Expansion, Default Risks

7.

Fiduciary Investment Under Uncertainty: Examining Pension Plan Investment Behavior When Trustees Have Reputational Utility

Number of pages: 40 Posted: 30 Mar 2011
Kiat Ying Seah and James D. Shilling
National University of Singapore (NUS) and DePaul University
Downloads 28 (404,504)

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Pension Fund, Optimism, Entropy, Portfolio Theory, Risk Aversion

8.

The Impact of the Agencies on Conventional Fixed-Rate Mortgage Yields

NBER Working Paper No. w2646
Number of pages: 25 Posted: 16 Jul 2004 Last Revised: 28 Sep 2010
Patric H. Hendershott and James D. Shilling
University of Aberdeen - Centre for Property Research and DePaul University
Downloads 21 (443,716)
Citation 24

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9.

Unconventional Monetary Policy and U.S. Housing Markets Dynamics

Number of pages: 61 Posted: 01 Apr 2015
Yao-Min Chiang, Jarjisu Sa-Aadu and James D. Shilling
National Taiwan University - Department of Finance, University of Iowa - Department of Finance and DePaul University
Downloads 12 (346,290)

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Unconventional Monetary Policy, Housing Starts, Aggregate Liquidity Factors, Housing Markets

10.

The Impacts on Capital Allocation of Some Aspects of the Economic Recovery Tax Act of 1981

NBER Working Paper No. w0825
Number of pages: 47 Posted: 07 Jan 2008
Patric H. Hendershott and James D. Shilling
University of Aberdeen - Centre for Property Research and DePaul University
Downloads 12 (501,741)
Citation 5

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11.

Reforming Conforming Loan Limits: the Impact on Thrift Earnings and Taxpayer Outlays

NBER Working Paper No. w3010
Number of pages: 29 Posted: 14 Apr 2007
Patric H. Hendershott and James D. Shilling
University of Aberdeen - Centre for Property Research and DePaul University
Downloads 12 (507,002)

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12.

On the Portfolio Properties of Real Estate in Good Times and Bad Times

Real Estate Economics, Vol. 38, No. 3, pp. 529-565, Fall 2010
Number of pages: 37 Posted: 18 Aug 2010
J. Sa-Aadu, James D. Shilling and Ashish Tiwari
affiliation not provided to SSRN, DePaul University and University of Iowa
Downloads 2 (571,976)
Citation 3
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13.

REIT Stock Price Volatility and the Effects of Leverage

Real Estate Economics, Vol. 45, Issue 2, pp. 452-477, 2017
Number of pages: 26 Posted: 19 Apr 2017
Yuichiro Kawaguchi, Jarjisu Sa-Aadu and James D. Shilling
Waseda University, University of Iowa - Department of Finance and DePaul University
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14.

Spatial Correlation in Expected Returns in Commercial Real Estate Markets and the Role of Core Markets

Journal of Real Estate Finance and Economics, Vol. 54, No. 3, 2017
Posted: 18 Mar 2017
James D. Shilling and C. F. Sirmans
DePaul University and Florida State University - Department of Risk Management, Insurance, Real Estate & Business Law

Abstract:

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15.

REIT Stock Market Volatility and Expected Returns

Real Estate Economics, Vol. 44, Issue 4, pp. 968-995, 2016
Number of pages: 28 Posted: 13 Oct 2016
Richard Chung, Scott Fung, James D. Shilling and Tammie Mosley
Griffith University - Department of Accounting, Finance and Economics, California State University, East Bay, DePaul University and California State University, East Bay
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16.

'REITarization' Effects on Global Real Estate Investments

Number of pages: 40 Posted: 08 Jul 2016 Last Revised: 29 Nov 2017
Kiat Ying Seah, James D. Shilling, Tien Foo Sing and Long Wang
National University of Singapore (NUS), DePaul University, National University of Singapore (NUS) - Department of Real Estate and National University of Singapore (NUS)
Downloads 0 (255,365)

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REIT, real estate capital flows, cross-border investments, substitution effect, relative performance

17.

REIT Stock Market Volatility and Expected Returns

Real Estate Economics, Forthcoming
Posted: 08 Jan 2015
The Hong Kong Polytechnic University, California State University, East Bay, DePaul University and California State University, East Bay - Department of Management

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implied volatility, REIT stock returns, financial distress, financial crisis

18.

Who Says There is a High Consensus Among Analysts When Market Uncertainty is High? Some New Evidence from the Commercial Real Estate Market

Journal of Real Estate Finance and Economics, Vol. 47, No. 4, 2013
Posted: 08 Nov 2013
James D. Shilling, C. F. Sirmans and Barrett A. Slade
DePaul University, Florida State University - Department of Risk Management, Insurance, Real Estate & Business Law and Unaffiliated Authors - Independent

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Economic fluctuations and growth; Information; Knowledge; Uncertainty

19.

Are Commercial Mortgage Defaults Affected by Tax Considerations?

Journal of Real Estate Finance and Economics, Vol. 46, No. 1, 2013, Forthcoming
Posted: 20 Dec 2012
Hoon Cho, Brian A. Ciochetti and James D. Shilling
Korea Advanced Institute of Science and Technology (KAIST), Unaffiliated Authors - Independent and DePaul University

Abstract:

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default, commercial mortgages, taxes

20.

Seemingly Irrational but Predictable Price Formation in Seoul's Housing Market

Journal of Real Estate Finance and Economics, Vol. 44, No. 4, 2012
Posted: 24 Mar 2012
Hoon Cho, Kyung-Hwan Kim and James D. Shilling
Korea Advanced Institute of Science and Technology (KAIST), Sogang University and DePaul University

Abstract:

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housing demand, business fluctuations, asset pricing

21.

What Determines Stock Price Synchronicity in REITs?

Journal of Real Estate Finance and Economics, Vol. 43, No. 1, 2011
Posted: 02 Apr 2011
The Hong Kong Polytechnic University, California State University, East Bay, DePaul University and California State University, East Bay - Department of Management

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Asset pricing, Synchronicity, Hedge funds, and other private financial institutions

22.

REIT Resiliency and Corporate Governance

46th Annual AREUEA Conference Paper
Posted: 01 Dec 2010
DePaul University, The Hong Kong Polytechnic University, California State University, East Bay and California State University, East Bay - Department of Management

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23.

Loss Recoveries, Realized Excess Returns, and Credit Rationing in the Commercial Mortgage Market

Journal of Real Estate Finance and Economics, Vol. 34, No. 4, 2007
Posted: 11 Jan 2007
Brian A. Ciochetti and James D. Shilling
Unaffiliated Authors - Independent and DePaul University

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asset pricing, information and market efficiency, mortgages

24.

The Role of Real Estate in an Institutional Investor's Portfolio Revisited

Journal of Real Estate Finance and Economics, Vol. 29, No. 3
Posted: 04 Feb 2004
Gregory H. Chun, Jarjisu Sa-Aadu and James D. Shilling
Kimpo College, University of Iowa - Department of Finance and DePaul University

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portfolio choice, asset pricing, and pension funds

25.

Unsmoothing Commercial Property Returns: A Revision to Fisher-Geltner-Webb's Unsmoothing Methodology

Journal of Real Estate Finance and Economics, Vol. 27, No. 3
Posted: 07 Jul 2003
Hoon Cho, Yuichiro Kawaguchi and James D. Shilling
University of Wisconsin - Madison - School of Business, Meikai University - Faculty of Real Estate Science and DePaul University

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Asset Pricing, Real Estate Markets, and Expectations

26.

The Effect of Firm Characteristics on the Use of Percentage Retail Leases

Journal of Real Estate Finance & Economics, Vol. 27, No. 1
Posted: 14 Mar 2003
Gregory H. Chun, Mark Eppli and James D. Shilling
Kimpo College, Marquette University and DePaul University

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firm behavior, asymmetric and private information, accounting, firm oganization and market structure

27.

A Proportional Hazards Model of Commercial Mortgage Default with Originator Bias

Journal of Real Estate Finance & Economics, Vol. 27, No. 1
Posted: 04 Feb 2003
Unaffiliated Authors - Independent, Baruch College - Department of Economics and Finance, University of Wisconsin - Madison - School of Business, Credit Suisse First Boston and DePaul University

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mortgages, asset pricing, bankruptcy, liquidation, prepayment, default

28.

Institutional Investors Tilt Their Real Estate Holdings Toward Quality, Too

Journal of Real Estate Finance and Economics, Vol. 21, Issue 2
Posted: 14 Sep 2000
Stephen Malpezzi and James D. Shilling
University of Wisconsin at Madison and DePaul University

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29.

Determinants of Real Estate Asset Allocations in Private and Public Pension Plans

The Journal of Real Estate Finance and Economics, Vol. 19, Iss. 3
Posted: 21 Nov 1999
Brian A. Ciochetti, Jarjisu Sa-Aadu and James D. Shilling
Unaffiliated Authors - Independent, University of Iowa - Department of Finance and DePaul University

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The Impact of Initial-Year Discounts on Arm Prepayments

REAL ESTATE ECONOMICS, Vol. 25 No. 3, Fall 1997
Posted: 01 Aug 1997
Richard K. Green and James D. Shilling
University of Southern California - Lusk Center for Real Estate and DePaul University

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The Impact of Initial-Year Discounts on Arm Prepayments

Posted: 17 Jun 1997
Richard K. Green and James D. Shilling
University of Southern California - Lusk Center for Real Estate and DePaul University

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31.

Choosing between Fixed and Adjustable-Rate Mortgages: The Case of Commercial Mortgages

J. OF REAL ESTATE FINANCE AND ECONOMICS, Vol. 12 No. 3
Posted: 27 Sep 1996
Upinder Dhillon, Jarjisu Sa-Aadu and James D. Shilling
SUNY at Binghamton - School of Management, University of Iowa - Department of Finance and DePaul University

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