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Daniel Ruf
Former Member
Last Name
Ruf
First name
Daniel
Phone
+41 71 224 7059
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1 - 10 of 10
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PublicationInformation Precision and Return Co-Movements in Private Commercial Real Estate MarketsWe 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.Type: journal articleJournal: Journal of Banking & FinanceIssue: 138
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PublicationInvestors in the housing market( 2021)
;Fischer, MarcelIn 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.Type: conference paper -
PublicationRisk Factors in Private Commercial Real Estate( 2018)
;Lin, WeiType: conference paper -
PublicationType: conference paper
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PublicationType: conference paper
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PublicationPrivate Equity Infrastructure Funds(Palgrave Macmillan, 2023-07-24)
;Douglas CummingBenjamin HammerPrivate equity infrastructure funds (PEIFs) can take the form of listed, open-end, or closed-end funds. Listed funds are traded on a stock exchange and can issue new shares or buy back existing shares at any time. In the context of open-end and closed-end funds, investors sign a partnership agreement and provide capital as so-called limited partners to the managers of PEIFs, defined as general partners. More specifically, open-end funds continuously issue and redeem shares in response to changes in investor demand and, hence, allow investors to commit and remove capital over an infinite lifetime. In contrast, closed-end funds have a finite lifetime of on average 7 to 12 years, with the option to extend the investment period for another short-term period of usually up to 3 years (Haran et al. 2020). Despite the long-term time horizon of the underlying assets, closed-end funds are the dominant type of funds giving investors access to a diversified portfolio of infrastructure assets. -
PublicationType: conference poster
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PublicationType: conference speech
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PublicationBank Systemic Risk Exposure and Office Market InterconnectednessWe 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.Type: forthcomingJournal: Journal of Banking and Finance
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