One of the most controversial topics in modern financial economics is "excess volatility:" the notion that stock prices move too much to be explained by fundamental economic and firm-specific factors. While the initial work of Shiller indicated a high degree of excess volatility, subsequent...

We examine the relation between housing prices in an MSA and its urban economic base. We create and employ new forward-looking employment growth indices that measure the urban economic strength of an MSA and find that it accounts for a significant and sizeable portion of the house price...

This paper documents and explains previously unrecognized post-crash dynamics following the collapse of a housing bubble. A simple model predicts that speculative developers ensure stable pre-crash relative prices between small and large homes while their post-crash exit allows small-home...

This study analyzes the reactions of equity holders and bondholders to the announcement of 427 preferred stock issues. We document an average equity announcement effect of −0.65%. This reaction is positively influenced by a number of measures of firm creditworthiness and transparency and is...

We use a vector autoregression framework to investigate loan pricing in a market with short-term leases (hotels) relative to longer-term leases (office properties), studying how news on the economy and capital markets are incorporated into the relative pricing of risk. We examine the impact of...

type="main" <p>We investigate the comovement among Case-Shiller Home Price Indices for 14 metropolitan areas between 1992 and 2008. We define the portion of this comovement deemed as fundamental (excessive) as the covariation that can (cannot) be attributed to common fundamental factors directly...</p>

We formulate several testable hypotheses on managerial motivation and test our hypotheses by using a sample of 128 organizational form changes in the real estate industry. We find that firms that switch to a more restrictive (tighter) organizational structure have increases in stock value, and...

This article focuses on the specialized class of mutual funds that only invest in REITs. These funds are essentially a mutual fund of mutual funds and should only exist if fund managers have superior ability to select REITs or to time movements in the real estate market. Our empirical analysis...

We study changes in organizational form in the real estate industry based on a sample of 128 changes announced during the period from January 1, 1966 through December 31, 1989. The rich variety of organizational forms of real estate firms with varying degrees of restrictiveness of the equity...