Details about Gianluca Marcato

Access statistics for papers by Gianluca Marcato.

Last updated 2020-01-03. Update your information in the RePEc Author Service.

Short-id: pma840

Working Papers

2018

1. Do Property Locations Matter to IPO Valuation? Evidence from U.S. REITs
   ERES, European Real Estate Society (ERES)
2. Liquidity Pricing of Illiquid Assets
   ERES, European Real Estate Society (ERES)
3. Modelling Competitive Mortgage Termination Option Strategies: Default vs Restructuring and Prepayment vs Defeasance
   ERES, European Real Estate Society (ERES)
4. Time to Homeownership and Mortgage Design
   ERES, European Real Estate Society (ERES)

2017

5. INSTITUTIONAL DETERMINANTS OF MORTGAGE FINANCE DEVELOPMENT
   AfRES, African Real Estate Society (AfRES)

2012

6. How accurately do investors' attitudes forecast demand-supply mismatch across real estate sectors?
   ERES, European Real Estate Society (ERES)
7. Liquidity black hole and optimal behavioural model: an applied case
   ERES, European Real Estate Society (ERES)

2011

8. Alternative investments: return driving actors
   ERES, European Real Estate Society (ERES)
9. Liquidity Black Hole and Optimal Behavioral
   ERES, European Real Estate Society (ERES)

2010

10. ALTERNATIVE INVESTMENTS: CORRELATION STRUCTURE AND BUSINESS CYCLES
    ERES, European Real Estate Society (ERES)
11. LIQUIDITY PRICING IN UNLISTED REAL ESTATE FUNDS
    ERES, European Real Estate Society (ERES) View citations (1)
12. MULTIPLE EQUILIBRIA IN GAME THEORY: SHARING PROFITS VS. MARKET PRICE
    ERES, European Real Estate Society (ERES)
13. OPTION PRICING UNDER STOCHASTIC VOLATILITY OF US REITS
    ERES, European Real Estate Society (ERES)
14. REAL OPTION ANALYSIS IN INCOMPLETE MARKETS: THE PRICING OF SIMPLE AND COMPOUND OPTIONS
    ERES, European Real Estate Society (ERES)
15. REAL OPTIONS AND GAME THEORETICAL APPROACHES TO REAL ESTATE DEVELOPMENT PROJECTS: MULTIPLE EQUILIBRIA AND THE IMPLICATIONS OF DIFFERENT TIE-BREAKING RULES
    ERES, European Real Estate Society (ERES)
    Also in Real Estate & Planning Working Papers, Henley Business School, University of Reading
    Real Estate & Planning Working Papers, Henley Business School, University of Reading (2009)

2009

16. Driving Factors in Pricing European CMBS: Bond, Mortgage and Real Estate Characteristics
    Real Estate & Planning Working Papers, Henley Business School, University of Reading
    Also in ERES, European Real Estate Society (ERES) (2009)
17. Style Analysis in Real Estate Markets: Beyond the Sectors and Regions Dichotomy
    Real Estate & Planning Working Papers, Henley Business School, University of Reading View citations (3)
    Also in ERES, European Real Estate Society (ERES) (2008) View citations (1)
18. Testing and Improving Commercial Real Estate Market Segmentations With Cluster Analysis and Neural Network Techniques
    ERES, European Real Estate Society (ERES)

2008

19. The Dynamics of Asset Prices and Transaction Activity in Illiquid Markets: The Case of Private Commercial Real Estate
    Real Estate & Planning Working Papers, Henley Business School, University of Reading
    See also Journal Article Dynamics of Asset Prices and Transaction Activity in Illiquid Markets: the Case of Private Commercial Real Estate, The Journal of Real Estate Finance and Economics, Springer (2009) View citations (12) (2009)

2007

20. Back from Beyond the Bid-Ask Spread: Estimating Liquidity in International Markets
    Real Estate & Planning Working Papers, Henley Business School, University of Reading View citations (13)
    See also Journal Article Back from Beyond the Bid–Ask Spread: Estimating Liquidity in International Markets, Real Estate Economics, American Real Estate and Urban Economics Association (2007) View citations (13) (2007)
21. Pricing Inefficiencies in Real Estate Swaps
    ERES, European Real Estate Society (ERES)
22. Real Option Pricing in Mixed-use Development Projects
    Real Estate & Planning Working Papers, Henley Business School, University of Reading
    Also in ERES, European Real Estate Society (ERES) (2007)

2006

23. An Analysis of Commercial Real Estate Returns: Is there a Smoothing Puzzle?
    Real Estate & Planning Working Papers, Henley Business School, University of Reading
24. Back from Beyond the Bid-Ask Spread: Perspectives on Liquidity
    Real Estate & Planning Working Papers, Henley Business School, University of Reading

2005

25. Momentum Strategies for Long-Memory Processes
    ERES, European Real Estate Society (ERES)

2004

26. CAPM, liquidity and real estate performances
    ERES, European Real Estate Society (ERES)

2003

27. A Framework to Extrapolate Direct Property Performance from Vehicle-based Indices
    ERES, European Real Estate Society (ERES)

2002

28. Real Estate Returns in Stochastic Asset Liability Modelling
    ERES, European Real Estate Society (ERES)
29. Unsmoothed Direct Property Indices and Ungeared Real Estate Stock Indices: a Comparison and Long Term Analysis of Dependency
    ERES, European Real Estate Society (ERES)

Undated

30. Re-thinking Commercial Real Estate Market Segmentation
    Real Estate & Planning Working Papers, Henley Business School, University of Reading

Journal Articles

2019

1. Price Signaling and Return Chasing: International Evidence from Maturing REIT Markets
   Real Estate Economics, 2019, 47, (1), 314-357 View citations (1)

2018

2. Market integration, country institutions and IPO underpricing
   Journal of Corporate Finance, 2018, 53, (C), 87-105 View citations (11)
3. Urban Economic Openness and IPO Underpricing
   The Journal of Real Estate Finance and Economics, 2018, 56, (3), 325-351 View citations (2)
4. Volatility smiles when information is lagged in prices
   The North American Journal of Economics and Finance, 2018, 46, (C), 151-165 View citations (3)

2016

5. Information Content and Forecasting Ability of Sentiment Indicators: Case of Real Estate Market
   Journal of Real Estate Research, 2016, 38, (2), 165-204 View citations (11)

2015

6. An Investigation into Sentiment-Induced Institutional Trading Behavior and Asset Pricing in the REIT Market
   The Journal of Real Estate Finance and Economics, 2015, 51, (2), 160-189 View citations (18)

2012

7. Commercial Real Estate Returns: An Anatomy of Smoothing in Asset and Index Returns
   Real Estate Economics, 2012, 40, (4), 637-661 View citations (7)
8. Pricing Inefficiencies in Private Real Estate Markets Using Total Return Swaps
   The Journal of Real Estate Finance and Economics, 2012, 45, (3), 774-803 View citations (8)

2009

9. Dynamics of Asset Prices and Transaction Activity in Illiquid Markets: the Case of Private Commercial Real Estate
   The Journal of Real Estate Finance and Economics, 2009, 39, (3), 359-383 View citations (12)
   See also Working Paper The Dynamics of Asset Prices and Transaction Activity in Illiquid Markets: The Case of Private Commercial Real Estate, Real Estate & Planning Working Papers (2008) (2008)

2007

10. Back from Beyond the Bid–Ask Spread: Estimating Liquidity in International Markets
    Real Estate Economics, 2007, 35, (4), 599-622 View citations (13)
    See also Working Paper Back from Beyond the Bid-Ask Spread: Estimating Liquidity in International Markets, Real Estate & Planning Working Papers (2007) View citations (13) (2007)

2004

11. The Measurement and Modelling of Commercial Real Estate Performance
    British Actuarial Journal, 2004, 10, (1), 5-61 View citations (4)