type="main" <p>We investigate the dynamics of appraisal smoothing in the National Council of Real Estate Investment Fiduciaries (NCREIF) index return using time-varying asset pricing models. We find that smoothing is on average close to zero but varies substantially over time. From the inception of...</p>

This study introduces GARCH models with cross-sectional market volatility, which are called GARCHX models. The cross-sectional market volatility is a special case of common heteroscedasticity in asset specific returns, which is suggested by Connor and Linton (2001) as an important component in...

Thus paper reports on an investigation into what is an appropriate level of investment management fees. Existing results are extended and several formulae are provided for the case of power utility and normal returns. Using the CRRA utility function with the range of the coefficient of the CRRA...

This paper investigates the boundary of activities undertaken by Korean housebuilding firms. First, it examines the contractual relationships between housebuilding firms and contractors, focusing on the existence of quasi-firm type organization in the Korean housebuilding industry. Second, it...