This study analyzes the relationship between equity and mortgage real estate investment trust (REIT) stock prices by performing cointegration tests and causality tests, and estimating an error correction model. Evidence is found that a stable long-run linear relationship exists based on their...

Using quarterly housing price data, this study investigates the price relationships and the price causality between three adjacent housing markets in the Hampton Roads region in Virginia. The results of the cointegration tests indicate stable long-run equilibrium price relationships between the...

Banking firms have recently been shifting significantly larger portions of their loan portfolios into real estate. This has caused concern about the continuing economic health of banks, since changes in real estate returns potentially have a significant impact on bank default risk and...

This paper examines mean reversion processes in volatility structure of stock markets after extremely high or low stock returns. The stock market volatility is reflected in three aspects, overall volatility, volatility momentum, and volatility concentration, and they are measured by three basic...

Large foreign acquisitions of U.S. real estate always seem to generate considerable public concern. Most recently the reaction has been to Japanese purchases, but similar reactions occurred to Arab petro-dollar purchases in the early 1970s. This study examines the impact of the buyer's...