As the transaction price of a comparable property in the local housing market is one the most accessible references for sellers and buyers, a change in a house price may result in spillover effects on future transactions of neighbouring properties. Given the dynamics on the real estate market,...

Spatial linkages in returns have not yet received much attention in an asset pricing context, however, they can capture important information about idiosyncratic externalities associated with firms' holdings. We explain abnormal returns of real estate companies by modelling the spatial...

Although spatial techniques have been used to capture the spillovers in asset returns across different regions, they have not yet been applied in an asset pricing context. Combining asset pricing models and equilibrium spatial models can be a good way to disentangle spillover effects across...