Underlying idiosyncratic and illiquidity risks are suppressed in infrequently reported indexes of house prices and rents. Idiosyncratic risks result from bid-ask spreads for prices and rents. Time series autocovariances generate a distribution of prices and rents. Capital gains and rent-price...

Intuitively, option-like compensation contracts induce risk-shifting behavior, confirmed by numerous empirical studies. However, theoretical work has shown that risk shifting should not happen without a definite expiration date of the option. With a sample of Commodity Trading Advisors (CTAs),...

Based on the quarterly actual rental income of over 9,000 NCREIF commercial properties during 2001Q2-2010Q2, we construct a commercial real estate rental index using a dynamic panel data model. The rental index we construct captures the market-wide fluctuations in rental income, and our model...

Kothari, Lewellen and Warner (2006) document that in the U.S. market aggregate earnings changes are negatively related to contemporaneous market returns. This is puzzling given the well-documented evidence that firm-level earnings changes are positively related to stock returns. In this study we...

Using the actual quarterly rental income generated in the years between 2001 and 2010 by over 9,000 NCREIF commercial properties, we construct a commercial real estate rental index and estimate the time series properties (e.g., mean-reversion speed and volatility) of market-wide rental growth...