Dynamics of asset prices and transaction activity in illiquid markets: The case of private commercial real estate

Journal of Real Estate Finance and Economics

Volumn 39, Issue 3, 2009, Pages 359-383

  Ling, David C ^a   Marcato, Gianluca ^b   McAllister, Pat ^b  

^a UNIVERSITY OF FLORIDA   (United States)

^b UNIVERSITY OF READING   (United Kingdom)

Author keywords

Asset pricing; Illiquidity; Private real estate markets; Transaction activity

Indexed keywords

EID: 84893939052     PISSN: 08955638     EISSN: None     Source Type: Journal    
DOI: 10.1007/s11146-009-9182-2     Document Type: Article

References (34)

1. Ambrose, B., & Nourse, H. (1993). Factors influencing capitalization rates. Journal of Real Estate Research, 8(2), 221-237.
2. Bekaert, G., & Harvey, C. R. (2003). Emerging markets finance. Journal of Empirical Finance, 10(1-2), 3-56. doi:10.1016/S0927-5398(02)00054-3.
3. Cauley, S., & Pavlov, A. (2002). Rational delays: The case of real estate. Journal of Real Estate Finance and Economics, 24, 1-2. 143-165. doi:10.1023/A:1013990523388.
4. Cha, H. S., & Lee, B. (2001). The market demand curve for common stocks: Evidence from Equity mutual fund flows. Journal of Financial and Quantitative Analysis, 36(2), 195-220. doi:10.2307/2676271.
5. Chen, G., Firth, M., & Rui, O. (2001). The dynamic relation between stock returns, trading volume, and volatility. The Financial Review, 36(3), 153-174. doi:10.1111/j.1540-6288.2001.tb00024.x.
6. Chen, J., Hudson-Wilson, S., & Nordby, H. (2004). Real estate pricing: Spreads and sensibilities: Why real estate pricing is rational. Journal of Real Estate Portfolio Management, 10(1), 1-22.
7. Clayton, J., Ling, D. C., & Naranjo, A. (2009). Commercial Real Estate Valuation: Fundamentals versus Investor Sentiment. Journal of Real Estate Finance and Economics, 38(1), 5-37.
8. Downs, A. (2007). Credit crisis: The sky is not falling, The Brookings Institution, http://www.brookings.edu/papers/2007/10_mortgage_industry_downs.aspx.
9. Edelen, R. M., & Warner, J. B. (2001). Aggregate price effects of institutional trading: A study of mutual fund flow data and market returns. Journal of Financial Economics, 59(2), 195-220. doi:10.1016/S0304-405X(00) 00085-4.
10. Edwards, F., & Zhang, X. (1998). Mutual funds and stock and bond market stability. Journal of Financial Services Research, 13(3), 257-282. doi:10.1023/A:1008084311260.
11. Fant, L. (1999). Investment behaviour of mutual fund shareholders: The evidence from aggregate fund flows. Journal of Financial Research, 2(4), 391-402.
12. Fisher, J., Ling, D. C., & Naranjo, A. (2009). Institutional Capital Flows and Return Dynamics in Private Commercial Real Estate Markets. Real Estate Economics, 37(1), 85-116.
13. Fortune, P. (1998). Mutual funds, Part II: Fund flows and security returns, New England Economic Review, Federal Reserve Bank of Boston, Jan/Feb: 3-22.
14. Froot, K. A., O'Connell, P. G. J., & Seasholes, M. S. (2001). The Portfolio Flows of International Investors. Journal of Financial Economics, 59(2), 151-193.
15. Gallant, A., Rossi, P., & Tauchen, G. (1992). Stock prices and volume. The Review of Financial Studies, 5 (2), 199-242. doi:10.1093/rfs/5.2.199.
16. Gervais, S., Kaniel, R., & Mingelgrin, D. (2001). The High Volume Return Premium. J Finance, 56(3), 877-919. doi:10.1111/0022-1082.00349.
17. Ghysels, E., Plazzi A., & Valkanov R. (2007). Valuation in the US Commercial Real Estate. European Financial Management, 13, 472-497.
18. Goetzmann, W., & Massa, M. (2003). Index funds and stock market growth. Journal of Business, 76(1), 1-5422. doi:10.1086/344111.
19. Grinblatt, M., & Keloharju, M. (2000). The investment behavior and performance of various investor types: A study of Finland's unique data set. Journal of Financial Economics, 55, 43-67. doi:10.1016/S0304-405X(99) 00044-6.
20. Hendershott, P., & MacGregor, B. (2005). Investor rationality: Evidence from UK capitalization rates. Real Estate Economics, 33, 299-322. doi:10.1111/j.1540-6229.2005.00120.x.
21. Karceski, J. (2002). Returns-chasing behavior, mutual funds, and beta's death. Journal of Financial and Quantitative Analysis, 37(3), 559-599. doi:10.2307/3595012.
22. Kim, W., & Wei, S. (2002). Foreign portfolio investors before and during a crisis. Journal of International Economics, 56, 77-96. doi:10.1016/S0022-1996(01) 00109-X.
23. Ling, D. C., & Naranjo, A. (2003). The dynamics of REIT capital flows and returns. Real Estate Economics, 31(3), 405-436. doi:10.1111/1540-6229.00071.
24. Ling, D. C., & Naranjo, A. (2006). Dedicated REIT Mutual Fund Flows and REIT Performance. Journal of Real Estate Finance and Economics, 32(4), doi:10.1007/s11146-006-6960-y.
25. Marcato, G., & Key, T. (2005). Direct investment in real estate: Momentum profits and their robustness to trading costs. Journal of Portfolio Management, 31, 55-69.
26. Mei, J., & Saunders, A. (1997). Have U.S. financial institutions' real estate investments exhibited "trendchasing" behavior? Review of Economics and Statistics, 79(2), 248-258. doi:10.1162/003465397556601.
27. Mosebach, M., & Najand, M. (1999). Are the structural changes in mutual funds investing driving the U. S. Stock market to its current levels? Journal of Financial Research, 22(3), 317-329.
28. Remolona, E. M., Kleiman, P., & Gruenstein, D. (1997). Market returns and mutual fund flows. Federal Reserve Bank of New York Policy Review, 3(2), 33-52.
29. Santini, D., & Aber, J. (1998). Determinants of net new money flows into mutual funds. Journal of Economics and Business, 50(5), 419-429. doi:10.1016/S0148-6195(98)00011-3.
30. Shiller, R. (1998). Comment on Vincent Warther, "Has the rise of mutual funds increased market instability?" Brooking-Wharton Papers.
31. Sivitanidou, R., & Sivitanides, C. (1999). Office Capitalization Rates: Real Estate and Capital Market Influences. Journal of Real Estate Finance and Economics, 18(3), 297-322.
32. Stein, J. (1995). Prices and trading volume in the housing market: A model with down payment effects. Quarterly Journal of Economics, 110(2), 379-406. doi:10.2307/2118444.
33. Warther, V. A. (1995). Aggregate mutual fund flows and security returns. Journal of Financial Economics, 39, 209-235. doi:10.1016/0304405X(95)00827-2.
34. Zheng, L. (1998). Who moves the market? Working Paper, University of Michigan Business School.