This study revisits the relationship between securitized real estate and local stock markets by focusing on their time-scale co-movement and contagion dynamics across five developed countries. Since securitized real estate market is an important capital component of the domestic stock market in...

Many asset markets are composed of three types of participants: professional investors who possess superior skills or knowledge, uninformed private investors, and liquidity investors. In this paper, we analyze the properties of asset price and trading volume when professional investors are able...

The paper studies the constrained efficiency of the aggregate stock market in which the investor obtains gain-loss utility directly from fluctuations in asset returns, in addition to consumption. I reveal that the competitive equilibrium is inefficient without any frictions as long as the agent...