One of the most controversial topics in modern financial economics is 'excess volatility': the notion that stock prices move too much to be explained by fundamental economic and firm-specific factors. This research measures the extent of excess volatility in a special class of equities: real...

This study analyzes how three groups of market participants - insiders, analysts, and investors - revised their expected returns on New York Real Estate Investment Trusts (REITs) in response to the catastrophic events of September 11, 2001. The attack on the WTC represents a unique experimental...