We propose newly developed unsmoothing techniques for appraisal-based real estate returns based on a regime-switching Threshold Autoregressive (TAR) model. We show that when true returns follow a TAR process, conventional linear autoregressive technique are misspecified and underestimate true...

Earlier estimates of the behavior of the City of London office market are extended by considering a longer time series of data, covering two full cycles, and by explicitly modeling asymmetric space market responses to employment and supply shocks. A long run structural model linking real rental...

We examine how information risk and transaction costs influence the initial and subsequent market reaction to earnings news. We find that the initial market reaction is higher per unit of earnings surprise for higher information risk firms (information content effect). Furthermore, it is...

Most existing text-based sentiment measures in finance are lexicon-based which are effectively based on word counts of positive and negative sentiment dictionaries, and naturally lose most information. We measure news sentiment using BERT, a state-of-the-art large language model, which reads and...