This paper uses hedonic modeling to test the effects of age, both actual and effective, on the value of historic properties within a nationally recognized historic district. Findings show that there is a critical point where the value of historic properties is affected by actual age and the...

Using 20 years of data, we derive a pricing model for timberland market values. We examine the relationship between lumber futures, capitalization rates, anticipated inflation, anticipated construction and timberland value. Using an ordinary least squares regression model and Johansen’s...

This study presents evidence of cointegration between securitized (NAREIT) and direct (NCREIF) real estate total return indices. Since the two real estate indices are cointegrated with one another but not with the stock market, REITs and direct real estate are likely to have similar long-term...

This study is the first to lend empirical support to anecdotal media reports that indicate that real property buyers are willing to pay price premiums based on property names. Using a standard hedonic price model, we explore the price effects of property names that include the terms...

This study investigates systematic monthly return regularities in the listed equity returns of twelve European property companies.? Significant monthly effects exist in all sampled countries with Germany as the single exception. Furthermore, the findings provide evidence of abnormally high...

This paper attempts to contribute in several ways. Theoretically, it proposes simple models of house price dynamics and construction dynamics, all based on the maximization problems of forward-looking agents, which may carry independent interests. Simplified versions of the model implications...

This study evaluates the ability of a range of popular aggregate house price indexes to predict house prices out-of-sample at the transaction level for a small geographic area. The analysis particularly addresses the utility of spatial econometric methods. The results suggest that spatial...

This article employs a real options approach to investigate the determinants of an optimal capital structure in real estate investment. An investor has the option to delay the purchase of an income-producing property because the investor incurs sunk transaction costs and receives stochastic...

This paper analyzes long- and short-term co-movements between 14 international real estate stock markets based on cointegration and correlation analyses. The results indicate that there exist strong long-term relationships within economic and geographical regions, but less long-run linkages...

We apply the stock flow model for the German residential rental market using a data set that includes the overwhelming majority of nomenclature of territorial units for statistics (NUTS) 3 regions for the 2004-2007 period. Aside from proving conditional rental price convergence, we have detected...