This paper analyzes the optimal quality decision of a producer in a multi-period setting withreputation effects. Using a unique database of returns on real estate limited partnerships(RELPs), we empirically examine alternative theoretical predictions of optimal producerstrategy. In particular,...

We study real estate purchases by major company CEOs, compiling a database of theprincipal residences of nearly every top executive in the Standard amp; Poor s 500 index. When a CEO buys real estate, future company performance is inversely related to the CEO s liquidation of company shares and...

We investigate whether international real estate related securities offer any incremental diversification benefits over foreign stocks using mean-variance analysis together with a multifactor latent variable model. The study finds that diversification benefits are primarily driven by...

This paper does a valuation analysis of senior-subordinated structure tranches backed by non-agency mortgages. The valuation is done using Monte Carlo simulation and employs the CIR interest rate process in conjunction with an empirical model estimated for non-agency mortgage prepayments and...

One of the most controversial topics in modern financial economics is 'excess volatility': the notion that stock prices move too much to be explained by fundamental economic and firm-specific factors. This research measures the extent of excess volatility in a special class of equities: real...

This study analyzes how three groups of market participants - insiders, analysts, and investors - revised their expected returns on New York Real Estate Investment Trusts (REITs) in response to the catastrophic events of September 11, 2001. The attack on the WTC represents a unique experimental...

This study analyzes the impact of corporate governance structures at the initial public offering (IPO) date. We test hypotheses that firms with more shareholder-oriented governance structures receive higher valuations at the IPO stage and have better long-term performance. Our sample is a set of...

This study addresses the recent performance of the U.S. residential real estate markets. We investigate the comovement among Case-Shiller Home Price Indices for 14 metropolitan areas between 1992 and 2008. We identify the portion of this comovement deemed as fundamental (excessive), which we...

The current study investigates whether real estate securities continue to act as a perverse inflation hedge in foreign countries given security design differences. Both a stationary and a nonstationary risk free rate are alternatively used in conjunction with the methodology of Fama and Schwert...

This paper analyzes the structural relationship between currency and equity markets in ten Far Eastern countries during the recent Asian crisis. This analysis is done separately for returns and for volatilities. Using a new statistical technology for identifying regime shifts, we are able to...