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...

This paper finds that discounts and premiums of closed-end funds reflect the marketacirc;not;quot;s assessment of anticipated managerial performance. Using single and multiple benchmarks, we present evidence that there is a significant and positive relation between stock fund premiums and future...

We investigate whether international real estate related securities offer any incremental diversification benefits over foreign stocks using mean-variance analysis together with a multifactor latent variable model. The study finds that diversification benefits are primarily driven by...

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...