We show that recent developments in hedonic pricing theory allow modeling of the equilibrium pricing function as the marginal cost of an additional housing unit plus a markup that varies inversely with the elasticity of demand. Useful information about demand elasticity at a given point on the...

We examine characteristics of housing price dynamics that may be consistent with rational learning and not simply irrational feedback trading. We find significant patterns of temporal and spatial diffusion that are more amenable to explanations that allow for rational components. First, we...

The set of real properties sold during a given period of time may be subdivided into several subsets comprising those properties that sold only once, only twice, and three or more times. The major reason for subdividing the sample is to allow estimation of residential price indices by the...

This paper adopts the methodology in Bali and Cakici (Journal of Financial & Quantitative Analysis, 43, 29–58, <CitationRef CitationID="CR5">2008</CitationRef>) in tracking the evolution of the relation between equity REITs’ idiosyncratic risk and their cross-sectional expected returns between 1981 and 2010. In addition to the full...</citationref>

In this paper, we study the inflation-hedging properties of investments in REITs in Turkey between December 1999 and December 2006. Two main factors motivate the study. First, compared to their counterparts in developed capital markets, Turkish REITs have some important tax incentives as well as...

We study the influence of the evolution in intrastate and interstate deregulations on the total factor productivity growth of U.S. commercial banking during 1971-95. We consider statewide deregulations in intrastate branching, intrastate multibank holding company (MBHC), interstate multibank...

This paper investigates the efficiency of the bond valuation process by analyzing the effect of a call announcement on the US Treasury bond market. The Treasury's action surprised many investors since the Government had not called bonds for the preceding 30 years. Quick adjustment of prices to...

We examine significant volatility shifts in regional housing price changes, adapting a method of Haugen, Talmor and Torous (1991) independent of predefined sampling blocks. We identify 36 volatility events, most of which are purely regional, but three of which are national. We find significant...