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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.

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.

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.

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.

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.

This paper is the first to apply the Markowitz theory to the Italian hotel industry in order to identify the best diversification criteria.

In real estate industry, managers' choices in portfolio construction impact directly on the performance of real estate fund. Looking at the literature, real estate diversification criteria are related to tenants' characteristics, to endogenous and exogenous risk and to financial choices. The aim of the paper is to study the role of different risk profiles in the investment selection and in the construction of an efficient real estate portfolio.

The first step is to find out an investment selection model based on the main risk factors. The aim was to check the ability of qualitative criteria (tenant, exogenous, endogenous and financial risks) to identify ex ante the best investment opportunities. The observation of the portfolios' composition on the efficient frontier and the proximity of individual property to the efficient frontier point out which risk factors are more important. The second step is to define a model to construct a portfolio, with non correlated investments, based on the main risk factors. This ability was tested by comparing the classifications made according to quality criteria, which can potentially be used ex ante to construct a diversified portfolio, with the results of cluster analysis. The results from the cluster analysis, free from quality profiles, are therefore considered as the best diversification strategy.

The results stemming from the use of a real estate database supplied by Fimit SGR (Unicredit banking group) showed that an ex ante study of risk profiles can help to identify those investment opportunities which are more or less near to the efficient frontier, although there is no prevailing criterion to identify a portfolio able to maximise investment diversification benefits. To identify more efficient portfolio is necessary to define an evaluation approach that considers simultaneously different risk profiles of real estate investments.

The paper considers the Italian market, a young market for institutional real estate investments characterised by high growing opportunities. The value added of the paper is to study the relationship of different real estate specific risks considered in literature (tenant risk, endogenous and exogenous risk) and financing choices in order to define a more complete model to evaluate real estate portfolios.

The paper aims to investigate the relationship between different investor attention proxies for different types of funds (retail vs institutional ones) looking at a sample of real estate funds.

The authors collect data about searching frequency on Google and all the news published in Italian specialized newspapers for a set of real estate funds. Following the approach proposed by Da, Engelberg and Gao, the authors construct a set of attention proxies and they compare the ranking with some summary statistics and evaluate the causality relationship among them using a Granger causality test.

Results demonstrate that online search frequency is relevant for both institutional and retail funds and normally internet data are able to anticipate the news that will be published in the newspapers.

The analysis proposed is focused only on a small real estate market (Italy) where funds are specialized for the type of investor. A wider database can allow excluding that results achieved are biased by the specific features of the market analysed.

The role of internet proxies attention measures also for institutional investors demonstrate that the managing companies offering financial instruments reserved to institutional investors should consider both channels of information – newspapers and the internet – to measure any positive or negative sign of investor attention to their products.

The article represents the first analysis of investor attention proxies on the real estate market and the first comparison of investor attention proxies for retail and institutional investors.

The 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.

Following 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.

The 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.

The 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.

Even if REBs suffer from a misalignment between the asset and liability duration, the supervisory authority selects measures that do not penalise them.

The 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.

The aim of the paper is to study the degree of independence of customers' portfolio concentration measure from the pricing policy adopted by rating agencies.

The paper tests different measures of customers value (revenues or profits and customer lifetime value) and different concentration measure (top customer or Herfindahl‐Hirschman index) on the customers' portfolio of rating agencies in the time period 1999‐2008. Simulating different pricing models, the paper tests the sensitivity of these measures to discounted fees applied to best customers and identifies measures that are more and less sensitive to the discount applied.

Concentration measures that consider all the customers' portfolios and look at both cost and revenues related to the service on a multi‐period time horizon (CLV) are less sensitive to the discount policy respect to the others.

Results point out some opportunities related to apply more complete approaches defined by marketing science on the financial service industry in order to construct better measures for the economic independence. The paper works only with publicly available data and more details about the fee applied to each customer could increase the significance of the results achieved.

The paper contributes to the current debate on the economic independence of rating agencies stressing the opportunity of rethinking the measures on economic independence that are currently considered by supervisory authorities.

The paper is the first empirical application of standard marketing concepts of customers' concentration measure to the rating industry.

The paper studies the pricing policies adopted by ratings agencies.