This paper studies expectations of capital appreciation in the housing market. We show that expectations impounded in rent-to-price ratio at the beginning of the decade successfully predict appreciation rates, but only if we first control for fluctuations within a transactions and information...

This study investigates why externally advised Real Estate Investment Trusts (REITs) underperform their internally managed counterparts. Consistent with previous studies, we find that REITs managed by external advisors underperform internally managed ones by over 7% per year. Property-level cash...

We investigate relations among inside ownership, managerial expenses, risk sharing and equity valuations. Our engine of analysis - Real Estate Investment Trusts (REITs) - provides a unique and rich framework for analysis since we can calculate extremely accurate measures of asset replacement...

This study investigates why externally advised Real Estate Investment Trusts (REITs) underperform their internally managed counterparts. Consistent with previous studies, we find that REITs managed by external advisors underperform internally managed ones by over 7% per year. Property-level cash...

Some researchers have recently suggested that lower transaction costs induce small (or noise) traders to trade more actively, thus increasing both the noise component and total volatility of asset prices. We empirically evaluate this conjecture by examining changes in volatility surrounding the...

We investigate IPO market efficiency using a sample of equity carve-outs offered during the period of 1985-2005. Unlike IPOs examined in previous studies where trading during the pre-IPO book-building period does not exist and trading on the IPO date is rationed, in equity carve-outs, investors...

The Samuelson hypothesis implies that the volatility of futures price changes increases as a contract's delivery date nears. In markets where the Samuelson hypothesis holds, accurate valuation of options and related derivatives on futures requires that a term structure of futures volatilities be...

We explore the dynamics of real house prices by estimating serial correlation and mean reversion coefficients from a panel data set of 62 metro areas from 1979-1995. The serial correlation and reversion parameters are then shown to vary cross sectionally with city size, real income growth,...

This research examines the implications of contingent claims models for empirical research on default. We focus on the probability of default over a short horizon given the current state of the world, i.e., the conditional probability of default, which more closely resembles the estimates of...

This study documents the wide deviations of securitized real estate assets in equity REITs from the value of the underlying commercial properties. The net asset value of REITs is estimated and used to investigate the sources of premiums/discounts from net asset value in a large sample of equity...