REIT return data prior to the new REIT era offer important asset pricing information. At issue is whether empiricists should focus attention on returns series covering only the new period. We use a generalized asset pricing and information subset test to disentangle REIT information from...

This article examines the relation between the distribution of capital to real estate investors and a market-based measure of information asymmetry. Previous research suggests that information asymmetries decrease as capital is distributed to outside investors. However, little attention has been...

Anecdotal evidence provides overwhelming support to the belief that sophisticated real estate investors profit by timing long-run real estate cycles. This article examines the investment performance benefits that sophisticated investors may derive from short-run cycles in real estate,...

This paper examines the relation between systematic price changes and the heterogeneity of investors' information sets in real estate asset markets. The empirical implications rely on a theoretical economy in which information asymmetry alters the dynamic relation between returns and trading...