This paper provides new evidence of sales sequence-real estate price relations in a setting in which consumption risk and completion risk are both minimized and where agglomeration economics do not pertain. The results illustrate that the monotonic declining price "afternoon effect" or rising...

We examine the pricing of volatility risk in the cross-section of equity Real Estate Investment Trust (REIT) stock returns over the 1996 – 2010 period. We consider both aggregate (systematic) volatility and firm-specific (idiosyncratic) volatility. In contrast to the negative and significant...

We examine the pricing of volatility risk in the cross-section of equity real estate investment trust (REIT) stock returns over the 1996 to 2010 period. We consider both aggregate (systematic) volatility and firm-specific (idiosyncratic) volatility. In contrast to the negative and significant...

We study the relation between REIT stock volatility and future returns, focusing particularly on the financial crisis period of 2007-2009. There is ongoing debate about whether stock volatility can forecast future returns. Our findings suggest that REIT implied volatility is negatively related...

This paper studies the behavior of REIT stock price synchronicity for the years 1997 through 2007. Theory suggests that REIT stock prices should be largely independent of market changes; and, at the very least, REITs should have a low covariance with other assets, including other REIT stocks....