Cheung, Ka Shing; Lee, Joshua - In: Journal of Property Investment & Finance 39 (2021) 6, pp. 561-589
Purpose: Real estate is an asset that is traded in highly segmented, illiquid and informationally inefficient local markets. A short sale in real estate is almost infeasible and therefore impedes informed rational arbitrageurs to trade against mispricing. Thus, real estate returns are prone to...