Real estate investment trusts (REITs) offer a natural experiment in corporate governance due to the fact that they leave little free cash flow for management, which reduces agency problems. We exploit a unique and leading corporate governance database to test whether corporate governance matters...

type="main" <p>This article examines the inflation hedging capacity of the private home. We employ unique long-term data for inflation, house price dynamics and rents for Amsterdam dating back to 1814, allowing us to study total housing returns in different inflation regimes and for varying...</p>

This article investigates the magnitude and determinates of share liquidity over the 1990-2007 period in the world's four largest securitized real estate markets: the United States, the United Kingdom, Continental Europe and Australia. We document a significant and consistent role for market...

This paper examines the extent to which real estate returns are driven by continental factors. This subject is relevant for determining the country allocation of international real estate portfolios. If returns are driven by a continental factor, investors should look for diversification...

Accurate measurement of the returns to real estate investment are essential to sound analysis. This paper improves upon the traditionally employed method-collecting comparable sales data. A dynamic model of real estate appraisal is developed in which agents have incomplete information,...

This paper uses mortgage history data from the Federal Home Loan Mortgage Corporation to analyze the prepayment behavior of homeowners and to test whether borrowers exercise their prepayment options in a manner consistent with contingent claims models. A variety of hazard models are estimated...

This article examines index revision in measuring the prices for owner-occupied housing. We consider revision in the context of equity insurance and the settlement of futures contracts. The usefulness of aggregate housing price indexes in these contexts requires stability as they are extended....

This paper tests the contingent claims model of mortgage default in its ruthless or frictionless form. The principal tests of the model are based on an unconventional source of data, namely, loan loss severities on defaulted mortgages. The frictionless model has well-defined predictions about...