This paper develops a formal model to examine the effect of changing market conditions and individuals' selling constraints on expected selling price and time-on-market. Using the concept of Relative Liquidity Constraint (RLC) - a stochastic variable that captures the randomness of future...

Due to the heterogeneous nature of real estate assets, housing market is characterized by a sequential search and seller's optimal strategies. This paper provides a side-by-side performance comparison of the two competing stopping rules (i.e., the reservation rule and the number rule) in the...

This paper identifies a critical issue in the Weighted Repeated Sales (WRS) method – the omission of market risk in the weight estimation model specified by Case and Shiller (1989). It demonstrates that the omission of market risk is conceptually unjustified. Through extensive examination of...

Modern Portfolio Theory is a single-period model developed for the efficient securities market, in which asset prices are implicitly assumed to follow a random walk. It is widely agreed that real estate does not fit into the efficient market paradigm; however, mixed-asset portfolio analysis...

Existing research on racial discrimination in mortgage lending has overwhelmingly focused on whether black applicants are more likely to be denied for credit than comparable white applicants. This study investigates whether the approved black applicants are likely charged higher interest rates...

Thinly-traded assets exhibit illiquidity and do not fit in the efficient market paradigm. Direct application of classical finance theories to illiquid assets simply ignores the illiquidity risk of thinly-traded assets. Using commercial real estate as a testing ground, this paper develops a new,...

It is well documented in the literature that long-run asset prices do not follow the random walk, and their returns are not independent and identically-distributed (i.i.d.) over time. But how can this notion – long-run returns and volatilities being horizon dependent - be incorporated into...

This paper documents women on average pay more for mortgages than men. The disparity cannot be fully explained by traditional variables such as mortgage features, borrower characteristics, and market conditions. While the persistence of gender disparity may suggest discrimination, we offer a...

Investment in thinly-traded private assets involves liquidity risk. Existing literature provides limited guidance as it mainly focuses on publicly-traded security assets such as stocks and bonds. This paper develops an analytical tool for quantifying liquidity risk of private assets. Using...

This paper documents women on average pay more for mortgages than men. The disparity cannot be fully explained by traditional variables such as mortgage features, borrower characteristics, and market conditions. While the persistence of gender disparity may suggest discrimination, we offer a...