This papers offers a new approach to answering the question, quot;how much of a REIT's return is driven by real estate market influences, and how much by stock and bond factors?quot; Specifically, we develop a method that allows for the decomposition of the volatility of REIT returns into stock...

This paper explores the determinants of both the level of and changes in premiums to NAV in REIT pricing over the 1996-1999 period. The first part of the paper specifies and estimates a model of cross-sectional and time variation in premiums to NAV using a sample of individual REITs. We find...

Research into the appraisal-smoothing phenomenon has primarily focused on methods of adjusting aggregate return series. Based on assumed models of appraiser behaviour, previous research has posited relationships between appraisal-based returns and quot;truequot; real estate returns and employs...

This paper investigates changes in REIT liquidity since the REIT boom of 1993. In contrast to previous research that investigates liquidity via the bid/ask spread, we examine the impact of trades on REIT share price movements. In the first part of the paper, we use trade by trade data for REITs...

The dramatic decline in commercial property values in recent years has changed popular perception about real estate investment risk. This paper aims to generate new insights into real estate investment risk and its implications for real estate valuation. It shows that the risk premium on...