Essays in real estate finance and asset allocation

Chapter 1, “Co-Movements in International Real Estate Markets,” examines returns to investments in commercial real estate (office, retail, and industrial property) and stock markets in 24 markets worldwide, using k-means clustering to test whether portfolio diversification is achieved more effectively across asset types or across countries. The findings suggest that property returns move more closely together across property types within a given city than across cities within a given property type; that stock market returns do not move closely with commercial real estate returns; that returns tend to move together in pairs of countries for which GDP also moves together; and that returns move more closely together in cities that share a common language or that are closer together.; Chapter 2, “Geographic Patterns in GSE Mortgage Purchase Activity,” uses a logit model estimated over 44 metropolitan areas to examine whether Fannie Mae and Freddie Mac are equally likely to purchase mortgage originated to borrowers in market segments defined by borrower income and race, neighborhood income and minority concentration, and central city/suburban location. Data on GSE mortgage purchases is combined with HMDA data to form a comprehensive base of data on all mortgage originations. The findings suggest that, in most markets, the GSEs are significantly less likely to purchase mortgages originated to low-income and minority borrowers and to borrowers in low-income, minority-concentrated, and central-city areas.; Chapter 3, “Intergenerational Transfer Behavior Among the Elderly,” uses recently available AHEAD data to test several implications of the standard model of transfer behavior under competing hypotheses that transfers are motivated by altruistic or strategic (exchange) considerations. Tobit models of amounts transferred from parents to children suggest that transfers are negatively related to child's income, a finding that supports the altruism hypothesis but is also consistent with strategic behavior. Probit models of whether children provide assistance to parents provide some evidence that contradicts the exchange hypothesis, but does not provide strong support for the altruism hypothesis. Tobit models estimated on data for families of different sizes also fail to provide support for the exchange hypothesis.