While homeownership provides consumption benefits, housing is risky. Using zip code housing returns, we document that homeowners are compensated for bearing housing risk. Our sample covers more than 9,000 zip codes across 135 metropolitan statistical areas (MSAs), representing almost 70% of the...

We show that hedge fund activism is associated with positive abnormal stock returns in both the short term and the long term. Using matching procedures to mitigate selection effects, we find that activists' targets do not outperform ex ante similar control firms; this suggests that activists are...

This study documents the publicly traded equity Real Estate Investment Trust (REIT) universe during the modern REIT era (early 1990s through the present). We show the growth and consolidation of the industry, changes in property type focus, increases in institutional ownership, and the growth of...

We examine the industry-level relation between the two dominant asset pricing anomalies, the continuation of past price movements (momentum) and the incomplete reaction to earnings news (post-earnings-announcement drift). With the former having long been established in REIT returns, and the...

This study is based on survey data on investor expectations for 40 metropolitan statistical areas (MSAs) in the US over the period from 2003:Q2 to 2014:Q2. The paper has two main objectives. These are firstly to identify whether expected rates of return across different commercial real estate...