Choosing the optimal holding period is an important part of real estate investment decisions, because “when to sell” affects “whether to buy.” This paper presents a theoretical model for such decision making. Our model indicates that the optimal holding period is affected by both...

This study examines the heterogeneous appraiser behavior and its implication on the traditional appraisal smoothing theory. We show that the partial adjustment model is consistent with the traditional appraisal smoothing argument (Geltner 1989) only when all the appraisers choose the same...

Thinly-traded private assets do not fit into the traditional finance paradigm of a liquid and well-functioning market where trading is continuous and instantaneous. Since private assets cannot be bought and sold easily, they bear liquidity risk. Classical finance theories cannot properly gauge...

Modern Portfolio Theory is a single-period model developed for the efficient securities market, in which asset prices are implicitly assumed to follow a random walk. It is widely agreed that real estate does not fit into the efficient market paradigm; however, mixed-asset portfolio analysis...