We examine the short-run and long-run price reaction of equity real estate investment trust (REIT) shares following credit rating actions, testing the transparency of the REIT structure. Generally, the economic effect on the stock price is subdued for both upgrades and downgrades compared to...

In this study, we explore the pricing patterns of the U.S. residential real estate market in the context of the recent housing bubble and subsequent deflation. We examine 10 consolidated metropolitan statistical areas and construct excess residential market return per risk measured by standard...