PurposeThe purpose of this paper is to compare banks specialised on real estate lending with the overall market in order to the test if they are more or less exposed to liquidity risk.Design/methodology/approachFollowing the approach proposed by the Basel Committee in order to evaluate the bank liquidity exposure, the paper compares the value of these measures between the real estate lending banks (REBs) and all other banks for the Italian market. A panel regression analysis is also performed in order to identify the main drivers of the liquidity risk measures for the two types of banks.FindingsThe paper finds that no significant differences exist between REBs and the overall system if liquidity risk measures used by regulators in order to supervise the banking system are taken into account. Normally liquidity exposure by this type of bank is significantly affected by interbank market dynamics.Research limitations/implicationsThe paper considers only one market in order to test the fitness of the regulatory approach for the REBs and does not take into account the off balance sheet exposure.Practical implicationsEven if REBs suffer from a misalignment between the asset and liability duration, the supervisory authority selects measures that do not penalise them.Originality/valueThe paper represents one of the first empirical analyses on the impact of regulatory requirements for liquidity management by the Basel Committee in order to test if the rules proposed could penalise banks specialised in real estate loans.

Purpose The purpose of this paper is to evaluate the impact of macroeconomic condition and real estate price trend on the amount of residential loan. Design/methodology/approach The paper using a sample of 16 European Countries for the time period 2007–2015 evaluates the impact of change in the gross domestic product (GDP) growth and the inflation rate on the amount of residential loans. The analysis is performed by using a vector autoregressive (VAR) and generalized VAR approach for the full sample and for each country considered. Findings For a short-term horizon, shocks to mortgages, the house price index (HPI) and the GDP have a positive effect on the GDP, a shock to the amount of mortgages has a positive effect on the mortgage supply and a shock to the GDP has a negative effect on HPI. The main results for the long-term horizon are that a GDP shock has a positive and persistent effect on the amount of mortgages, a shock to HPI has a negative and persistent effect on mortgages and a shock to the amount of mortgages seems to have no persistent effect on the GDP or the HPI. Moreover, the analysis shows that a spillover risk among countries exists and a GDP shock in a European area has an effect on the GDP, real estate prices and residential mortgages in almost all European countries. Practical implications Results obtained show that both macroeconomic and housing prices shocks matter for the real estate lending and the effect are different in the short- and in the medium–long-term horizon. Results are also different country by country and they are affected by the level of financial development of the country. Originality/value The paper studies a lending crisis period and evaluates for the European market the impact of shock on macro-variables for mortgages focusing the attention for the first time only on residential mortgages.

Purpose -The purpose of this paper is to study whether geographic and sector diversification allow for a significant reduction in the risk exposure of a portfolio of hotel investments in one of the major tourist markets, the Italian market. Design/methodology/approach -This paper evaluates the benefits related to a Markowitz diversification approach for the construction of a specialised portfolio in the hotel real estate market. The portfolio analysis considers the degree of efficiency of each portfolio, the type of diversification adopted by a more efficient portfolio, the persistence of results over time and the impact of diversification constraints. Findings -The results demonstrate that, while standard geographic and sector diversification allow for good results, the more efficient portfolios are more concentrated. The trade-off is worse if some concentration constraints are established, but the portfolios identified are characterised by higher performance persistence.Research limitations/implications -The analysis only considers high-quality hotels in the Italian market. Unfortunately, some information on costs is not as detailed as would be desired. The availability of a more complete database could increase the significance of the results obtained. Practical implications -The results are relevant for constructing all hotels' portfolios, like those managed by a real estate fund manager, in order to define the type and degree of diversification that allow for minimal risk exposure. Originality/value -This paper is the first to apply the Markowitz theory to the Italian hotel industry in order to identify the best diversification criteria.

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Purpose – The purpose of this paper is to define an approach useful to evaluate real estate funds on the specific characteristics of the Italian market and on the basis of international best practices.\ud Design/methodology/approach – The first step is to identify specific factors and portfolio\ud construction choices that could impact directly on the variability of inflows and outflows related to real estate fund. The analysis is realised constructing standard measures of financial and downside risk and identifying a panel model that allows to explain risk measure dynamics on the basis of some investments and portfolio characteristics. Results obtained are tested with an out of sample procedure in order to evaluate the type of misclassification risk related to each model. The second step is to evaluate the impact of debt policy on the risk assumed by a real estate funds. After an analysis of debt sustainability for each real estate unit on the basis of deadlines and amount of flows related to each\ud investment, the study proposed looks directly at the debt policy of listed real estate funds: the analysis\ud is aimed to evaluate the relationship between leverage choice and inflows/outflows variability and the\ud coherence between declared results and expected results for high-leveraged funds respect to the others. Findings – The results stemming from the use of a real estate database supplied by Beni Stabili Gestioni Societa` di Gestione del Risparmio showed that the portfolio’s construction choice impacts strongly on the variability of results of a real estate fund. The strict linkage between characteristics of debt and type of property makes difficult to evaluate the additional risk related to debt choice but on the basis of Italian market data are possible to point out the higher difficulties for high-leveraged funds to achieve the result communicated to the market (the so-called target IRR).\ud Originality/value – The value added of the paper is to study the relevance of specific risk factors respect to portfolio’s ones in the evaluation of risk exposure for a real estate portfolio and the impact of the leverage choices on the variability of inflows and outflows related to the real estate investments