JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship. For more information about JSTOR, please contact support@jstor.org.. The MIT Press is collaborating with JSTOR to digitize, preserve and extend access to The Review of Economics and Statistics.Abstract-Several studies of housing price trends recommend confining statistical analysis to repeat sales of residential properties. Recently, price indices derived from these techniques have formed the basis for inferences about the "efficiency" of housing markets. This paper presents an improved methodology which combines information on repeat sales of unchanged properties, on repeat sales of improved properties, and on single sales, all in one joint estimation.Empirical evidence, based upon a rich sample of transactions on single family houses in a single neighborhood, indicates the clear advantages of the proposed methodology, at least in one typical application.
This paper compares housing price indices estimated using three models with several sets of property transaction data. The commonly used hedonic price model suffers from potential specification bias and inefficiency, while the weighted repeat-sales model presents potentially more serious bias and inefficiency problems. A hybrid model combining hedonic and repeat-sales equations avoids most of these sources of bias and inefficiency. This paper evaluates the performance of each type of model using a particularly rich local housing market database. The results, though ambiguous, appear to confirm the problems with the repeat sales model but suggest that systematic differences between repeat-transacting and single-transacting properties lead to bias in the hedonic and hybrid models as well. Copyright American Real Estate and Urban Economics Association.
The correlations among international real estate markets are surprisingly high, given the degree to which they are segmented. While industrial, office and retail properties exist all around the world, they are not economic substitutes because of locational specificity. In addition, the broad securitization of real estate property companies has, until recently, lagged that of other types of companies. Never-the-less, international property returns move together in dramatic fashion. In this paper, we use eleven years of global property returns to explore the factors influencing this comovement. We attribute a substantial amount of the correlation across world property markets to the effects of changes in GNP, suggesting that real estate is a bet on fundamental economic variables which are correlated across countries. A decomposition shows that a local production factor is more important in some countries than in others.
We extend the literature on the impact of externalities using an approach based on a hybrid of hedonic and repeat-sales methods. The externality in question is groundwater contamination in Scottsdale, Arizona. The use of condominium sales allows us to assume that major physical characteristics remain unchanged, but location parameters may be altered by urban growth and development as well as contamination. We find an economically significant discount for properties located in the contaminated area. Interestingly, it does not appear until several years after the contamination becomes publicly known, and it seems to have disappeared before the end of the study period.The last three decades have seen the emergence of a voluminous literature examining the interaction between environmental factors and real estate markets, much of it concerning the extent to which negative environmental spillovers are capitalized into real estate values. These interests have given rise to two broad categories of real estate literature reviewed in Jackson (2001). The first of these is dominated by the appraisal profession and has focused on valuation concepts and methods (see, e.
Real estate investment trust (REIT) dividend policies and dividend announcement effects during the 2008-2009 liquidity crisis are examined. Multinomial logit results indicate that REITs with higher market leverage or lower marketto-book ratios are more likely to cut dividends, suspend dividends or pay elective stock dividends. These results imply that mitigating going-concern risk is an important motive for REITs adjusting dividend policies during the crisis and support dividend catering theory where investor demand for dividends impacts corporate dividend policies. Moreover, REITs that cut or suspend dividends experience positive cumulative abnormal returns during the post-announcement period after controlling for the potential influence from simultaneous funds from operation announcements. The positive market response over the post-announcement period supports the notion that dividend decisions convey information to investors and is also consistent with the broad catering theory of dividend policy.Research on dividend policy and market reactions to dividend announcements has been conducted in a variety of market environments over the past half century (see, e.g., Lintner 1956, Brav et al. 2005. Little research, however, has focused on these issues in an environment such as the 2008-2009 liquidity crisis. Moreover, although researchers have embraced a wide set of hypotheses and theories including signaling, information asymmetry, agency costs, tax clienteles, firm life cycle and dividend catering to explain dividend behavior, these explanations remain open to debate. 1 During the 2008-2009 crisis, dysfunctional capital markets created an exogenous shock to firms dependent on external capital flows. The broad stock market * National Association of Real Estate Investment Trusts (NAREIT), Washington, DC 20006 or bcase@nareit.com.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.