ON DEMAND: CROSS-COUNTRY EVIDENCE FROM COMMERCIAL REAL ESTATE ASSET MARKETS

Using over 25 years of quarterly U.S. and Japanese time series data, this paper examines the determinants of demand for an important class of real assets: commercial real estate. We specify a structural model of market equilibrium that considers direct effects of real investment on built asset price. Our empirical findings are consistent across countries and produce several new results. First, we find that real investment exerts a significant positive direct effect on asset price, which in turn feeds back to impact investment decisions. Second, idiosyncratic risk is found to be strongly positively related to asset price, and to complement supply effects. Third, systematic risk is priced as expected, where the strength of the relation between asset price and systematic risk is found to be higher than in previous studies of capital asset prices. Fourth, lagged values of price determinants (of up to two years) are consistently important in real asset demand estimation. Alternative explanations for our findings are analyzed and discussed. Implications for asset pricing model specification and interpretation are also considered.equity REIT; IPO; interest-rate sensitivity; risk-adjusted return performance

Currency premia and global imbalances

© 2016 The Author 2016. Published by Oxford University Press on behalf of The Society for Financial Studies. We show that a global imbalance risk factor that captures the spread in countries' external imbalances and their propensity to issue external liabilities in foreign currency explains the cross-sectional variation in currency excess returns. The economic intuition is simple: net debtor countries offer a currency risk premium to compensate investors willing to finance negative external imbalances because their currencies depreciate in bad times. This mechanism is consistent with exchange rate theory based on capital flows in imperfect financial markets. We also find that the global imbalance factor is priced in cross-sections of other major asset markets

Acknowledgments: We are grateful to Anat Admati, Ugo Albertazzi, Cindy Alexander,

We present a model in which issuers of asset backed securities choose to release coarse information to enhance the liquidity of their primary market, at the cost of reducing secondary market liquidity. The degree of transparency is inefficiently low if the social value of secondary market liquidity exceeds its private value. We show that various types of public intervention – mandatory transparency standards, provision of liquidit

Assessment of pre-clinical liver models based on their ability to predict the liver-tropism of AAV vectors

The liver is a prime target for in vivo gene therapies using recombinant adeno-associated viral vectors (rAAV). Multiple clinical trials have been undertaken for this target in the past 15 years, however we are still to see market approval of the first liver-targeted AAV-based gene therapy. Inefficient expression of the therapeutic transgene, vector-induced liver toxicity and capsid, and/or transgene-mediated immune responses reported at high vector doses are the main challenges to date. One of the contributing factors to the insufficient clinical outcomes, despite highly encouraging preclinical data, is the lack of robust, biologically- and clinically-predictive preclinical models. To this end, this study reports findings of a functional evaluation of six AAV vectors in twelve preclinical models of the human liver, with the aim to uncover which combination of models is the most relevant for the identification of AAV capsid variant for safe and efficient transgene delivery to primary human hepatocytes. The results, generated by studies in models ranging from immortalized cells, iPSC-derived and primary hepatocytes, and primary human hepatic organoids to in vivo models, increased our understanding of the strengths and weaknesses of each system. This should allow the development of novel gene therapies targeting the human liver

The Interrelationships Between REIT Capital Structure and Investment

We investigate whether Real Estate Investment Trust (REIT) managers actively manipulate performance measures in spite of the strict regulation under the REIT regime. We provide empirical evidence that is consistent with this hypothesis. Specifically, manipulation strategies may rely on the opportunistic use of leverage. However, manipulation does not appear to be uniform across REIT sectors and seems to become more common as the level of competition in the underlying property sector increases. We employ a set of commonly used traditional performance measures and a recently developed manipulation-proof measure (MPPM, Goetzmann, Ingersoll, Spiegel, and Welch (2007)) to evaluate the performance of 147 REITs from seven different property sectors over the period 1991-2009. Our findings suggest that the existing REIT regulation may fail to mitigate a substantial agency conflict and that investors can benefit from evaluating return information carefully in order to avoid potentially manipulative funds