Real Estate Markets and Lending: Does Local Growth Fuel Risk?

auk Regulatory Agreements Real and Estate Lending

Recent studies have found that banks with low capital ratios have significantly decreased their lending to the real estate sector. This correlation between real estate lending and bank capital could be the result of voluntary decisions by banks to-recapitalize, or it could be the result of direct actions taken by bank regulators. We find that banks with low capital ratios reduce their real esta...

Bubbles in Real Estate Markets

Downside Risk Optimization in Securitized Real Estate Markets

Optimization of international securitized real estate portfolios has been a key topic for several decades. However, most previous analysis has focused on regional diversification by applying the traditional mean-variance (MV) framework suggested by Markowitz (1952) even if the limitations of this approach are well-known. Thus, we focus on a more suitable and appealing downside risk (DR) framewo...

Real estate markets and bank distress

We investigate the relationship between real estate markets and bank distress among German universal and specialized mortgage banks between 1995 and 2004. Higher house prices increase the value of collateral, which reduces the probability of bank distress (PDs). But higher prices at given rents may also indicate excessive expectations regarding the present value of real estate assets, which can...

Common Risk Factors and Risk Premia in Direct and Securitized Real Estate Markets

This study empirically examined the effects of systematic market and common risk factors in explaining the variations in excess returns of securitized and direct real estate using multi-factor asset pricing models (MAP). The homogeneity of risk premia associated with the economic risk factors was also tested to determine whether the two real estate markets were integrated. By constraining the r...