This paper constructs the first repeat sales house price index in United States history before 1950, using data from Baltimore. It shows that house prices fell more during the 1890s and 1930s than existing data indicate. As a result, while previous data suggest most borrowers should have been...

We investigate if house prices are affected by overconfidence of households who predict house prices using imperfect public information about economic outlook. For this purpose, we develop a new measure of household overconfidence in the Bayesian framework. For the three variables we test –...

In this paper, we apply the Capital Depreciation Model to the estimation of office building scale in 35 major cities. The result shows that the China office market shows an average 40% increase in scale in the past 10 years. Economic growth is the key factors influence the office building price,...

In this paper, we build up a portfolio in the Chinese residential real estate market. We separate 35 big cities in China into 3 groups with different criteria. Then we build portfolios for these groups, by comparing the efficient frontier and Sharpe ratio with the portfolio of full samples. We...

In this paper, we apply the ARMA-GARCH model to Hong Kong real estate market. We analyzed the monthly data of housing, office retail and factories from February 1993 to February 2019. The result of ARCH LM test indicates that volatility clustering is shown in there four kinds of real estate. The...

The long-term upward trend in Hong Kong's housing price and its ever-increasing price-rent ratio has caused extensive concern from investors and researchers. Dynamic Gordon Model ties an asset's worth to the expected value of the future payoff stream accruing to the asset, and it has been widely...

Using data from the housing market of Los Angeles County, we show that experienced asset flippers earn sizable abnormal performance with respect to both investments in the U.S. stock market and in a passive mutual fund tracking a representative U.S. REIT index. Abnormal performance is positive...

This paper studies the pricing of the risk associated with the location of the assets. The location risk is measured by ‘local beta’, which combines the systematic risk of local property markets and the property allocation strategy of real estate firms. The empirical results confirm a higher...

We study the impact of S&P index membership on REIT stock returns. Given the hybrid nature of REITs, their returns may become more like those of other indexed stocks and less like those of their underlying properties. The existing literature does not offer clear predictions on these potential...

For the last several years, the price of listed real estate stocks has been unusually high relative to dividends. We explore whether low interest rates or low risk premia can account for the high valuation ratios and find that they cannot. Lower interest rates have been offset by rising risk...