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. This research measures the extent of excess volatility in a special class of equities: real...

This study analyzes how three groups of market participants - insiders, analysts, and investors - revised their expected returns on New York Real Estate Investment Trusts (REITs) in response to the catastrophic events of September 11, 2001. The attack on the WTC represents a unique experimental...

We study real estate purchases by major company CEOs, compiling a database of theprincipal residences of nearly every top executive in the Standard amp; Poor s 500 index. When a CEO buys real estate, future company performance is inversely related to the CEO s liquidation of company shares and...

We investigate whether international real estate related securities offer any incremental diversification benefits over foreign stocks using mean-variance analysis together with a multifactor latent variable model. The study finds that diversification benefits are primarily driven by...

This paper does a valuation analysis of senior-subordinated structure tranches backed by non-agency mortgages. The valuation is done using Monte Carlo simulation and employs the CIR interest rate process in conjunction with an empirical model estimated for non-agency mortgage prepayments and...