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Research Seminars & Workshops @ IRES

Professor Roland Fuess
University of St. Gallen

Learning Externalities in Opaque Asset Markets: Evidence from International Commercial Real Estate


07 January 2016 (Thursday)


3.00pm – 4.30pm


TLIAP Executive Learning Center, 21 Heng Mui Keng Terrace, I3 Building, Level 4


This paper uses a unique dataset to empirically test the implications of limited transparency in decentralized markets. We capture differences in the transparency level as a linkage mechanism among international commercial real estate markets. This connectivity arises from learning externalities of international investors. Our identification strategy exploits the specific feature of spatial econometrics to analyse the transmission of these externalities across opaque markets. We find empirical evidence of cross-sectional dependence and co-movements among global property market excess returns. Furthermore, local shocks are amplified via spillovers and feedback loops, which provide a source of instability in international property markets.

About the Speaker

Prof. Dr. Roland Füss is Full Professor of Real Estate Finance at the University of St.Gallen and Member of the Board of the Swiss Institute of Banking and Finance s/bf-HSG and of the School of Finance. Prior to joining the University of St.Gallen Roland Füss was Professor of Finance at the EBS Universität für Wirtschaft und Recht, Germany, where he held the Professorship of Asset Management. In addition, he is a Research Associate at the Centre for European Economic Research (ZEW), Mannheim, Germany. He studied economics at the University of Freiburg from which he also obtained his doctoral degree and 《habilitation》. Currently, Prof. Füss is also a member of the editorial board of several academic journals. His main research topics are in the field of real estate finance and economics, empirical asset pricing, risk management, and applied financial econometrics. His current research projects are related to the price discovery process in financial markets, the market microstructure of illiquid assets, the housing market and the (re-)distribution of wealth, the spatial and temporal diffusion of house price trends, and common factors in commercial real estate. Prof. Füss has authored numerous articles in economics, finance, and real estate journals such as 《Review of Finance》, 《Journal of Financial and Quantitative Analysis》, 《Journal of Money, Credit and Banking》, 《Journal of Economic Dynamics and Control》, 《Journal of Banking and Finance》, 《Public Choice》, and 《Real Estate Economics》.

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