This article uses recent measures of the risk and return to investment in housing to estimate the effects of including a single family home in the investor portfolio. We estimate the expected return and standard deviation of that return, as well as its correlation with other major investment...

This paper reexamines the ability of dividend yields to predict long-horizon stock returns. The authors use the bootstrap methodology, as well as simulations, to examine the distribution of test statistics under the null hypothesis of no forecasting ability. These experiments are constructed so...

This article applies autoregression and rescaled range statistics to very long stock market series to test the hypothesis that long-term temporal dependencies are present in financial data. For the annual capital appreciation returns to the London Stock Exchange, evidence of persistence in raw...

Simulation techniques allow the author to examine the behavior and accuracy of several repeat sales regression estimators used to construct real estate return indices. He shows that the generalized least squares (GLS) method is the maximum likelihood estimator, and he shows how estimation...

We use a two-year panel of individual accounts in an S&P 500 index mutual fund to examine the trading and investment behavior of more than 91 thousand investors who have chosen a low-cost, passively managed vehicle for savings. This allows us to characterize investors' heterogeneity in terms of...

The correlations among international real estate markets are surprisingly high, given the degree to which they are segmented. While industrial, office and retail properties exist all around the world, they are not economic substitutes because of locational specificity. In addition, the broad...

Aggregate art price patterns mask a lot of underlying variation — both in the time series and in the cross-section. The authors argue that, to increase our understanding of the market for aesthetics, it is helpful to take a micro perspective on the formation of art prices, and acknowledge that...

This paper investigates the impact of equity markets and top incomes on art prices. Using a long-term art market index that incorporates information on repeated sales since the eighteenth century, we demonstrate that both same-year and lagged equity market returns have a significant impact on...