Is the information deficiency in real estate evident in public market trading?

This paper examines the summary informativeness of trading in real estate securities. Prior literature on publicly traded real estate securities suggests that the information deficiency associated with local economies and unique rent dynamics will manifest itself as severe information asymmetry. To date, most studies concerned with these issues have focused on the conventional measures of liquidity (serial correlations, bid-ask spreads, etc.). However, the conventional measures have several shortcomings as pure measures of trading information. To address this issue, we use a vector autoregressive methodology pioneered by Hasbrouck. We examine the empirical proposition that information-gathering activities are related to trade informativeness. The evidence is consistent with a theoretical model in which traders are risk-averse and the number of information gatherers is small.


Information Producers and Valuation: Evidence from Real Estate Markets
Downs, David H.; Güner, Zehra Nuray (Springer Science and Business Media LLC, 2012-01-01)
This paper examines valuation and its relation to information production by licensed appraisers across real estate markets. The testable implications are discussed for either a peer monitoring or a crowding out effect in the data. The empirical model is estimated with data for all 50 US states and DC covering the sample period from 1999 to 2008. While analysis is primarily cross-sectional and not causal, the evidence is consistent with theory stating that the minimum quality associated with residential lice...
Tracking the Evolution of Idiosyncratic Risk and Cross-Sectional Expected Returns for US REITs
Cakici, Nusret; Erol, Işıl; Tirtiroglu, Dogan (Springer Science and Business Media LLC, 2014-04-01)
This paper adopts the methodology in Bali and Cakici (Journal of Financial & Quantitative Analysis, 43, 29-58, 2008) in tracking the evolution of the relation between equity REITs' idiosyncratic risk and their cross-sectional expected returns between 1981 and 2010. In addition to the full sample period, we study this relation for (i) January 1981-December 1992, (ii) January 1993-September 2001, (iii) November 2001-August 2008 and (iv) November 2001-December 2010 and produce empirical results for (i) all sam...
Commercial Real Estate, Information Production and Market Activity
Downs, David H.; Güner, Zehra Nuray (Springer Science and Business Media LLC, 2013-02-01)
This paper addresses several issues related to the production of information across commercial real estate markets. The purpose is to determine the extent to which factors of production might complement or substitute for one another. A simple model is presented to illustrate the potential trade-offs between appraisal- and transactions-based information production. A series of empirical tests are performed on a panel data set constructed for 51 markets covering 9 years, 2001 through 2009. The number of comme...
Is the Turkish equity market integrated with European North American and emerging markets
Özberki, İzzet; Gazioğlu, Şaziye; Department of Economics (2010)
Modern portfolio theory stipulates that an investor can reduce systemic risk simply by diversifying its assets across national boundaries. Therefore, the issue of whether stock markets are cointegrated carries important implications for portfolio diversification. This study aims to identify and model a relationship between four equity markets namely, Turkish, European, North American and emerging markets using cointegration technique. We investigated the existence of cointegrating equation between four stoc...
The volatility spillover among a country’s foreign exchange, bond, and stock markets: a multivariate garch analysis
Kubilay, Mustafa Murat; Danışoğlu, Seza; Department of Financial Mathematics (2012)
The purpose of this study is to examine the volatility spillover among a country’s foreign exchange, bond and stock markets and the volatility transmission from the global bond, stock and commodity markets to these local financial markets. The sample for the study includes data from both emerging and developed economies in the time period between 2004 and 2011. A multivariate GARCH methodology with the BEKK representation is applied for the local financial markets and global variables are included as exogen...
Citation Formats
D. Downs and Z. N. Güner, “Is the information deficiency in real estate evident in public market trading?,” REAL ESTATE ECONOMICS, pp. 517–541, 1999, Accessed: 00, 2020. [Online]. Available: