This paper examines the relationship between return predictability and REIT characteristics. We build a multifactor model based on a set of firm-specific factors that include (1) Risk factors; (2) Liquidity factors; (3) Expensiveness; (4) Profitability; and (5) Return history. Our model...

We examine the real estate owned (REO) discount by using ZIP code-level data on foreclosure rates, distressed and non-distressed sales in Chicago, Illinois. We find significant differences in price between distressed and non-distressed properties in high- versus low-foreclosure rate...

This research examines how well nominal income, nominal interest rates and employment explain temporal variation in nominal metropolitan area house prices. Rather than use a traditional model of real house prices, we explain nominal house prices with a measure of "intrinsic" house value that...