In performing a Discounted Cash Flow Analysis for an income-producing property, a traditional rule-of-thumb indicates that the going-out capitalization rate should be one-half to one percent higher than the going-in capitalization rate. So far, there has been no theoretical model or empirical...

This paper develops an optimal portfolio selection technique when short sales on real estate assets are restricted. Using the well-known mean-variance efficient concept, we are able to derive the optimal weights for portfolios consisting of both financial assets and real estate assets. Our paper...

This study examines the impact of intra-project externalities and layout variables on the selling prices of 897 condominium units in the cities of Irvine and Santa Ana in Orange County, California. It documents that, at a micro-level, proximity to intra-project externalities such as greenspace,...

This paper develops a stylized model to provide a rational explanation for the boom-and-bust price movement pattern that we frequently observe in the real world. Our stylized model indicates that there are three conditions to form a boom-and-bust price pattern in a community: a move-in of high...

This paper builds a model to provide a complementary explanation to the well-known IPO pricing puzzle. Unlike existing theories in the field, our model does not assume that one agent (issuer, underwriter, informed investor, or uninformed investor) has superior information over another, nor that...

Studies on the calibration of subjective probabilities find that people tend to over-estimate the precision of their knowledge. In this paper we develop a semi-rational model and apply it to the real estate markets in Hong Kong and other Asian countries. The key point is that a person is...

Conventional wisdom tells us that the price level of properties should be supported by the rent they receive. This paper examines the pricing factors of properties by analyzing how individuals allocate their income to housing consumption and other goods, which in turn become the rent (or...

It has been documented that institutional investors did not participate actively in the real estate investment trust (REIT) stock market prior to 1990 and that the percentage of institutional holdings of a REIT stock is positively correlated with the performance of the REIT stock. This article...

Gyourko and Keim (1993) point out that the continued growth of the Real Estate Investment Trust (REIT) market depends critically on the stock market's ability to provide fair and accurate valuations of real estate. Given the recent surge of REIT initial public offerings (more than $15 billion in...

In this paper, we propose a model of mechanism choice in the disposition of real estate assets. Specifically, we consider two alernatives: a search or negotiated sale and auction. Within the search framework, we derive an equilibrium whereby buyers incur costly search and sellers must incur...