Daniel Ruf

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.

In this paper, we analyze the sizable and systematic differences in annualized capital gains across investor groups in the US housing market. Using data on more than 21 million repeat sales, we investigate the performance of highly heterogeneous buyers: owner-occupiers, private, short-term, and long-term investors. Our results link the differences in capital gains to heterogeneous risk-taking. Investor-specific exposure to lagged local return risk explains a sizable and persistent share of investors' high capital gains. In contrast, neither location choice nor temporal factors on the local or aggregate level, respectively, can help explain investors' outperformance.

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.