Currently Browsing: The Journal of Real Estate Finance and Economics 2009

An Analysis of Lockups in REIT IPOs

Hsuan-Chi Chen, Robert (Chi-Wing) Fok and Chiuling Lu Online First™, 21 December 2009 Abstract We analyze how the unique characteristics of real estate investment trusts (REITs) affect IPO lockup agreements from 1980 to 2006. The findings show that, unlike industrial IPOs, lockup periods for REIT IPOs do not cluster at 180 days, tend to cover longer periods, and vary over time. Our results support the commitment device hypothesis instead of the signaling hypothesis. That is, REIT managers tend to use lockup agreements to alleviate moral hazard problems and protect...
read more

REIT Stock Splits and Liquidity Changes

Gow-Cheng Huang, Kartono Liano and Ming-Shiun Pan Online First™, 3 December 2009 Abstract This study examines the motive of stock splits made by REITs. We find that REIT liquidity increases after the split announcement. However, the increase in liquidity is limited to days around the split announcement. After the ex-date, the liquidity tends to revert back to the pre-split level. We find that the positive market reaction around the announcement date is positively related to the change in short-term liquidity but not to the change in long-term liquidity. The...
read more

Inconsistency in Welfare Inferences from Distance Variables in Hedonic Regressions

Justin M. Ross, Michael C. Farmer and Clifford A. Lipscomb Online First™, 2 December 2009 Abstract In hedonic analysis, a common approach for eliciting information regarding the welfare significance of some landmark or (dis)amenity is to control for its distance from each observation. Unfortunately, the effects of distances to amenities on housing prices are generally not consistent indicators of the true price impact of that amenity. Instead these variables serve as proxies for the relative position of every observation in space. Whenever a household considers more...
read more

Arbitrage Free Price Bounds for Property Derivatives

Juerg M. Syz and Paolo Vanini Online First™, 23 November 2009 Abstract Market frictions inhibit the perfect replication of property derivatives, and define the property spread as a price measure in the incomplete real estate market. We identify transaction costs, transaction time, and short sale constraints as the main frictions in this market. Based on these frictions, we set up a framework of arbitrage free price bounds for property derivatives. In turn, we use observed derivative prices to determine the implied cost of the frictions. Lastly, we verify these values ...
read more

The Limited-Service Brokerage Decision: Theory and Evidence

Jonathan A. Wiley, Leonard V. Zumpano and Justin D. Benefield Online First™, 18 November 2009 Abstract This study examines the home seller’s brokerage services decision, comparing full-service brokerage and limited-service arrangements. A model is developed which considers seller motivation and availability of effort, along with the cost of brokerage services, broker productivity and market dynamics as factors of influence in this decision. Limited-service arrangements are found to have a significant impact on price and marketing time. The popularity of...
read more

Do Women Pay More for Mortgages?

Ping Cheng, Zhenguo Lin and Yingchun Liu Online First™, 17 November 2009 Abstract This paper documents women on average pay more for mortgages than men. The disparity cannot be fully explained by traditional variables such as mortgage features, borrower characteristics, and market conditions. While the persistence of gender disparity may suggest discrimination, we offer a different explanation: women pay higher rates because they are more likely to choose lenders by recommendation while men tend to search for the lowest rate. Our empirical test confirms that search...
read more

On the Relationship Between Property Price, Time-on-Market, and Photo Depictions in a Multiple Listing Service

Justin D. Benefield, Christopher L. Cain and Ken H. Johnson Online First™, 17 November 2009 Abstract This paper investigates the relationship of property price and time-on-market to the use of property photo depictions in a multiple listing service. Empirical testing reveals that price as a function of photo depictions is increasing at a decreasing rate for both interior and exterior photos. Testing also reveals that time-on-market as a function of property photos is increasing at a decreasing rate for interior photos, but is not related to exterior photos. Results are...
read more

« Previous Entries