Real estate indices based on appraisals or sale prices of properties are known for their slow response to market news. These indices can therefore be represented (in logarithm) as the sum of a latent 'true' price index and a lagging error. We show that the latent appreciation return and the...

The rapid pace of urbanization and income growth in China in the past decade, spurred in part by the liberalization of the urban housing and labor markets, resulted in considerable growth in urban land rents and wage-rates. The objective of this study is to examine the influence of urban quality...

The rapid pace of urbanization and income growth in China in the past decade, spurred in part by the liberalization of the urban housing and labor markets, resulted in considerable growth in urban land rents and wage rates. The objective of this study is to examine the influence of urban quality...

The traditional theory of urban land markets assumes perfect contestability - the absolute freedom of market entry - that compels developers to bid up the land rent to equal the economic profit from land use. This assumption, however, is untested empirically due to the difficulties in measuring...

We advance the real-option-based empirical analysis of commercial real estate investment in three respects. First, we test several real option implications for real estate construction that have not been examined in the commercial real estate investment literature. In particular, we show that...

We advance the real-option-based empirical analysis of commercial real estate investment in three respects. First, we test several real option implications for real estate construction that have not been examined in the commercial real estate investment literature. In particular and in line with...

This paper develops a methodology to identify asset price response to news in the framework of Campbell-Shiller log-linear present-value equation. We show that slow price adjustment not only induces high serial auto correlation in real estate excess returns, but also dampens their volatility and...