This study examines the integration of REIT, bond, and stock returns. Cointegration and vector autoregressive models are employed to explore the causality and long-run economic linkages among these securities. Our results show that REITs behave more like stocks and less like bonds after the...

This article re-examines the now generally accepted notion that sell-offs of real estate assets provide positive returns for sellers but not for buyers. Following previous research, we use event study methods but we modify the conventional market model to permit its residuals (unexpected...

The deposit-cost markup theory of Jaffe and Rosen's type suggests that the cost of attracting funds determines prices (mortgage loan rates). Other equally plausible theories argue for the reverse chain of events, whereby mortgage loan rates induce changes in the deposit interest rates. We...

This research examined the return behavior of a portfolio of American and New York Stock Exchange real estate firms. A dummy variable procedure was used to test for excess return and/or change in risk behavior across market conditions. The findings were as follows. First, no excess return was...

Small real estate rental firms in the United States tend to be employee-owner firms in which the landlord does maintenance and repairs as a part-time job rather than the principal-agent firms in which the landlord hires part-time workers. Applying work incentives theory to explain this...