Details about Roland Füss

Access statistics for papers by Roland Füss.

Last updated 2022-12-06. Update your information in the RePEc Author Service.

Short-id: pfs2

Working Papers

2020

1. Sentiment Risk Premia In The Cross-Section of Global Equity
   Working Papers on Finance, University of St. Gallen, School of Finance

2019

2. A Behavioral Explanation to Spatial Dependencies in Commercial Real Estate Asset Prices
   ERES, European Real Estate Society (ERES)
3. Best Land Use with Negative Externalities: Determining Land Values from Residential Rents
   Working Papers on Finance, University of St. Gallen, School of Finance
4. Local House Price Comovements
   Working Papers on Finance, University of St. Gallen, School of Finance
   See also Journal Article in Real Estate Economics (2021)
5. Sentiment Risk Premia in the Cross-Section of Global Equity and Currency Returns
   BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy View citations (1)

2018

6. Office Market Interconnectedness and Systemic Risk Exposure
   Working Papers on Finance, University of St. Gallen, School of Finance
7. Risk Factors in Private Commercial Real Estate
   ERES, European Real Estate Society (ERES)
8. Should Investors Care Where Private Equity Managers Went To School?
   Working Papers on Finance, University of St. Gallen, School of Finance

2017

9. Do Local Governments Tax Homeowner Communities Differently?
   VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking, Verein für Socialpolitik / German Economic Association View citations (1)
   Also in ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research (2017) View citations (2)
   Working Papers on Finance, University of St. Gallen, School of Finance (2017) View citations (2)
10. Homeowner Effect and Strategic Interaction in Local Property Taxation
    ERES, European Real Estate Society (ERES)
11. Pre-Trade Transparency and Return Co-movements in Commercial Real Estate Markets
    Working Papers on Finance, University of St. Gallen, School of Finance
12. Winning a Deal in Private Equity: Do Educational Networks Matter?
    Working Papers on Finance, University of St. Gallen, School of Finance View citations (1)

2016

13. Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance
    Working Papers on Finance, University of St. Gallen, School of Finance
    See also Journal Article in Journal of Banking & Finance (2017)
14. Efficient Land Use with Congestion: Determining Land Values from Residential Rents
    ERES, European Real Estate Society (ERES)

2015

15. Electricity Market Coupling and the Pricing of Transmission Rights: An Option-based Approach
    Working Papers on Finance, University of St. Gallen, School of Finance View citations (2)
16. Multivariate Dynamic Copula Models: Parameter Estimation and Forecast Evaluation
    Working Papers on Finance, University of St. Gallen, School of Finance
17. Something in the Air: Information Density, News Surprises, and Price Jumps
    Working Papers on Finance, University of St. Gallen, School of Finance
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2018)
18. The Economic Drivers of Differences in House Price Inflation Rates across MSAs
    Working Papers on Finance, University of St. Gallen, School of Finance
    See also Journal Article in Journal of Housing Economics (2016)
19. The Role of Spatial and Temporal Structure for Residential Rent Predictions
    Working Papers on Finance, University of St. Gallen, School of Finance
    See also Journal Article in International Journal of Forecasting (2016)

2014

20. Corporate Transparency and Bond Liquidity
    Working Papers on Finance, University of St. Gallen, School of Finance View citations (5)

2013

21. Electricity Derivatives Pricing with Forward-Looking Information
    Working Papers on Finance, University of St. Gallen, School of Finance View citations (4)
    See also Journal Article in Journal of Economic Dynamics and Control (2015)
22. Electricity Spot and Derivatives Pricing when Markets are Interconnected
    Working Papers on Finance, University of St. Gallen, School of Finance View citations (2)
23. Spillover effects among financial institutions: A state-dependent sensitivity value-at-risk approach
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (20)
    See also Journal Article in Journal of Financial and Quantitative Analysis (2014)

2012

24. The sources of risk spillovers among US REITs: Asset similarities and regional proximity
    ERES, European Real Estate Society (ERES) View citations (4)

2011

25. Scattered Trust - Did the 2007-08 financial crisis change risk perceptions?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers

2010

26. WHAT DRIVES CEOS TO TAKE ON MORE RISK? SOME EVIDENCE FROM THE LABORATORY OF REITS
    ERES, European Real Estate Society (ERES)
    See also Journal Article in Journal of Applied Corporate Finance (2011)

2009

27. An Equilibrium Model of German Real Office Rents Using Panel Cointegration Analysis
    ERES, European Real Estate Society (ERES)
28. Does the Top Executive Influence the Performance of US Real Estate Investment Trusts?
    ERES, European Real Estate Society (ERES)
29. Testing the predictability and efficiency of securitized real estate markets
    ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research View citations (7)

2008

30. Capitalizing on Partisan Politics: Expected Government Partisanship and Sector-Specific Redistribution in Germany
    EcoMod2008, EcoMod

Journal Articles

2022

1. Information precision and return co-movements in private commercial real estate markets
   Journal of Banking & Finance, 2022, 138, (C)

2021

2. Bank systemic risk exposure and office market interconnectedness
   Journal of Banking & Finance, 2021, 133, (C)
3. COVID-19’s impact on real estate markets: review and outlook
   Financial Markets and Portfolio Management, 2021, 35, (4), 495-513 View citations (3)
4. Determining Land Values from Residential Rents
   Land, 2021, 10, (4), 1-29
5. Local house price comovements
   Real Estate Economics, 2021, 49, (S1), 169-198 View citations (2)
   See also Working Paper (2019)
6. The Predictability of House Prices: "Human Against Machine"
   International Real Estate Review, 2021, 24, (2), 139-183
7. Winning a deal in private equity: Do educational ties matter?
   Journal of Corporate Finance, 2021, 66, (C) View citations (3)

2020

8. The cross-over effect of irrational sentiments in housing, commercial property, and stock markets
   Journal of Banking & Finance, 2020, 114, (C) View citations (6)

2018

9. Financial crises, price discovery, and information transmission: a high-frequency perspective
   Financial Markets and Portfolio Management, 2018, 32, (4), 333-365 View citations (1)
10. Something in the air: Information density, news surprises, and price jumps
    Journal of International Financial Markets, Institutions and Money, 2018, 53, (C), 50-75 View citations (2)
    See also Working Paper (2015)

2017

11. Are correlations constant? Empirical and theoretical results on popular correlation models in finance
    Journal of Banking & Finance, 2017, 84, (C), 9-24 View citations (30)
    See also Working Paper (2016)
12. Modeling the multivariate dynamic dependence structure of commodity futures portfolios
    Journal of Commodity Markets, 2017, 6, (C), 66-87 View citations (10)

2016

13. Changing Risk Perception and the Time-Varying Price of Risk
    Review of Finance, 2016, 20, (4), 1549-1585 View citations (7)
14. Determinants of Liquidity (Re)Allocation and the Decision to Cross‐List or Cross‐Delist
    International Journal of Finance & Economics, 2016, 21, (4), 447-471
15. The economic drivers of differences in house price inflation rates across MSAs
    Journal of Housing Economics, 2016, 31, (C), 35-53 View citations (7)
    See also Working Paper (2015)
16. The role of spatial and temporal structure for residential rent predictions
    International Journal of Forecasting, 2016, 32, (4), 1352-1368 View citations (6)
    See also Working Paper (2015)

2015

17. Electricity derivatives pricing with forward-looking information
    Journal of Economic Dynamics and Control, 2015, 58, (C), 34-57 View citations (15)
    See also Working Paper (2013)
18. The Sources of Risk Spillovers among U.S. REITs: Financial Characteristics and Regional Proximity
    Real Estate Economics, 2015, 43, (1), 67-100 View citations (13)

2014

19. A jackknife-type estimator for portfolio revision
    Journal of Banking & Finance, 2014, 43, (C), 14-28 View citations (1)
20. Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk Approach
    Journal of Financial and Quantitative Analysis, 2014, 49, (3), 575-598 View citations (54)
    See also Working Paper (2013)
21. Valuation effects of termination of cross-listings
    Journal of Financial Perspectives, 2014, 2, (1), 177-193

2013

22. Spatial Linkages in Returns and Volatilities among U.S. Regional Housing Markets
    Real Estate Economics, 2013, 41, (1), 29-64 View citations (44)

2012

23. A Regime-Switching Approach to Modeling Rental Prices of U.K. Real Estate Sectors
    Real Estate Economics, 2012, 40, (2), 317-350 View citations (4)
24. Disentangling the Short and Long-Run Effects of Occupied Stock in the Rental Adjustment Process
    The Journal of Real Estate Finance and Economics, 2012, 44, (4), 570-590 View citations (3)
25. Excess return sources of active property management: a case study
    Journal of Property Investment & Finance, 2012, 30, (4), 354-374
26. Investment choice and performance potential in the mutual fund industry
    Journal of Asset Management, 2012, 13, (2), 84-101
27. Short and long-term interactions between venture capital returns and the macroeconomy: evidence for the United States
    Review of Quantitative Finance and Accounting, 2012, 38, (3), 391-410 View citations (5)

2011

28. Diversifikationsvorteile verbriefter Immobilienanlagen in einem Mixed‐Asset‐Portfolio
    Perspektiven der Wirtschaftspolitik, 2011, 12, (2), 170-191 View citations (1)
29. The Predictive Power of Anisotropic Spatial Correlation Modeling in Housing Prices
    The Journal of Real Estate Finance and Economics, 2011, 42, (4), 542-565 View citations (7)
30. What Drives CEOs to Take on More Risk? Some Evidence from the Laboratory of REITs
    Journal of Applied Corporate Finance, 2011, 23, (1), 92-105
    See also Working Paper (2010)

2010

31. Capitalizing on Partisan Politics? The Political Economy of Sector-Specific Redistribution in Germany
    Journal of Money, Credit and Banking, 2010, 42, (2-3), 203-235 View citations (11)
    Also in Journal of Money, Credit and Banking, 2010, 42, (2‐3), 203-235 (2010) View citations (2)
32. Macroeconomic determinants of international housing markets
    Journal of Housing Economics, 2010, 19, (1), 38-50 View citations (103)
33. The predictive power of value-at-risk models in commodity futures markets
    Journal of Asset Management, 2010, 11, (4), 261-285 View citations (14)

2008

34. Partisan politics and stock market performance: The effect of expected government partisanship on stock returns in the 2002 German federal election
    Public Choice, 2008, 135, (3), 131-150 View citations (33)
35. The nature of listed real estate companies: property or equity market?
    Financial Markets and Portfolio Management, 2008, 22, (2), 101-126 View citations (13)

2007

36. The tactical and strategic value of hedge fund strategies: a cointegration approach
    Financial Markets and Portfolio Management, 2007, 21, (4), 425-444 View citations (4)

2005

37. Financial Liberalization and Stock Price Behaviour in Asian Emerging Markets
    Economic Change and Restructuring, 2005, 38, (1), 37-62 View citations (12)

Chapters

2020

1. Electricity Market Coupling in Europe: Status Quo and Future Challenges
   Chapter 5 in HANDBOOK OF ENERGY FINANCE Theories, Practices and Simulations, 2020, pp 93-120

2011

2. Estimating the Arbitrage Pricing Theory Factor Sensitivities Using Quantile Regression
   Palgrave Macmillan