This paper studies expectations of capital appreciation in the housing market. We show that expectations impounded in rent-to-price ratio at the beginning of the decade successfully predict appreciation rates, but only if we first control for fluctuations within a transactions and information...

Some researchers have recently suggested that lower transaction costs induce small (or noise) traders to trade more actively, thus increasing both the noise component and total volatility of asset prices. We empirically evaluate this conjecture by examining changes in volatility surrounding the...

This study investigates why externally advised Real Estate Investment Trusts (REITs) underperform their internally managed counterparts. Consistent with previous studies, we find that REITs managed by external advisors underperform internally managed ones by over 7% per year. Property-level cash...

We investigate relations among inside ownership, managerial expenses, risk sharing and equity valuations. Our engine of analysis - Real Estate Investment Trusts (REITs) - provides a unique and rich framework for analysis since we can calculate extremely accurate measures of asset replacement...

This study investigates why externally advised Real Estate Investment Trusts (REITs) underperform their internally managed counterparts. Consistent with previous studies, we find that REITs managed by external advisors underperform internally managed ones by over 7% per year. Property-level cash...

We investigate IPO market efficiency using a sample of equity carve-outs offered during the period of 1985-2005. Unlike IPOs examined in previous studies where trading during the pre-IPO book-building period does not exist and trading on the IPO date is rationed, in equity carve-outs, investors...

The Samuelson hypothesis implies that the volatility of futures price changes increases as a contract's delivery date nears. In markets where the Samuelson hypothesis holds, accurate valuation of options and related derivatives on futures requires that a term structure of futures volatilities be...

Enforcement against international cartels surged in the late 1990s. Despite this enforcement activity, there are good reasons to doubt that national laws sufficiently deter cartel formation.The enforcement record of the 1990s shows that private international cartels are not defunct - nor do they...

When a new firm enters a market and starts selling a spatially-differentiated product, the prices of existing products may rise due to a better match between consumers and products. Entry may have three unusual effects. First, the new price is above the monopoly price if the two firms collude...

When a new firm enters a market and starts selling a spatially-differentiated product, the prices of existing products may rise due to a better match between consumers and products. Entry may have three unusual effects. First, the new price is above the monopoly price if the two firms collude...