Real estate investment by Bank Holding Companies and their risk and return: nonparametric and GARCH procedures

Public Disclosure, Risk, and Performance at Bank Holding Companies

This paper examines the relationship between the amount of information disclosed by bank holding companies (BHCs) and their subsequent risk profile and performance. Using data from the annual reports of BHCs with large trading operations, we construct an index of publicly disclosed information about the BHCs’ forward-looking estimates of market risk exposure in their trading and market-making a...

The impact of loan rates on direct real estate investment holding period return

Today’s low mortgage interest rates make direct real estate investments attractive to individual investors. However, low rates may result in an investor paying too much for the property. Sensitivity analysis conducted on a set of projected financial statements for a direct real estate investment shows the potential impact of changing rates on holding period return. Higher subsequent loan rates ...

Equity Underwriting Spreads at Commercial Bank Holding Companies and Investment Banks

Real Estate Risk, Corporate Investment and Financing Choice

This paper examines how asset risk impacts corporate investment and financing decisions. We derive a general model that incorporates risk, adjustment cost, and depreciation features of assets-in-place into investment decisions. The model suggests that the risk and adjustment cost of assets-in-place reduce both corporate investment and financing. We empirically test the model in a panel of US fi...

Questioni Di Economia E Finanza Italian Real Estate Investment Funds: Market Structure and Risk Measurement Questioni Di Economia E Finanza Italian Real Estate Investment Funds: Market Structure and Risk Measurement Italian Real Estate Investment Funds: Market Structure and Risk Measurement

This paper describes the Italian real estate investment funds industry, providing an overview of the distinctive features and risk factors of this sector. By using accounting and supervisory data, we: (1) compute the returns of the real estate assets in the portfolio of these funds; (2) construct a price index and a total return index of the real estate assets held by the Italian funds; (3) def...