By splitting the spatial effects into building and neighborhood effects, this paper develops a two order spatio-temporal autoregressive model to deal with both the spatio-temporal autocorrelations and the heteroscedasticity problem arising from the nature of multi-unit residential real estate...

This paper seeks to let data define urban housing market segments, replacing the conventional administrative or any pre-defined boundaries used in the previous housing submarket literature. We model housing transaction data using a conventional hedonic function. The hedonic residuals are used to...

This study examines the potential of a two-order spatiotemporal autoregressive model with a Bayesian heteroskedasticity robust procedure in modeling strata-titled Singapore office unit transaction prices and in constructing transaction-based disaggregate office price indexes. The model reduces...

The possible existence of investor clientele groups has received little attention in the real estate finance literature. In this paper we develop a clientele model, which in equilibrium produces a clustering of investors by tax characteristics. Low-tax-bracket investors are concentrated in...

Recent real estate literature has not only proposed a few theories to explain the puzzling macro feature of the positive correlation between price and transaction volume, but also attempted to identify the causal relationships between them. However, there is little empirical evidence to...

Recent work on stock splits have attempted to relate the information value associated with splits with that from dividends signaling. This paper extends this genre of research by evaluating the issue of dividend predictability using REIT data where the self-selection issue associated with...

ERES:conference