Eres : Digital Library : Works

Paper eres2007_249:
Size and Calender Anomalies: The Case of International Property Shares

id eres2007_249
authors Brounen, Dirk; Yair Ben-Hamor
year 2007
title Size and Calender Anomalies: The Case of International Property Shares
source 14th Annual European Real Estate Society Conference in London, UK
summary Price anomalies have being intriguing both financial professionals and academics for many years. Academics like to think that asset pricing models have matured sufficiently in that enable those who use them to price assets according to the risks that are being modelled. However, at the same time we continuously observe price behaviour that cannot be attributed to the identified drivers in our theoretical frameworks. These repeating price irregularities, anomalies, create puzzles that are in need of solution, or at least an explanation. Recent studies in the mainstream finance literature show that some of these anomalies have either disappeared or been reversed in the general stock market. This change is often to changes in the market depth, the increase of institutional involvement and the rise of cross-border trading. For real estate shares the issue has been analyzed as well by several authors. However, so far these analyses have been limited to U.S. REITs and not considering potential time variations in price anomalies. In order to assess the effect of market maturity, liquidity and institutional involvement an international scope grants possibilities for new and valuable insights in the matter. Therefore we will study daily price returns of all real estate shares traded on the ten most prominent financial markets in the world: U.S., Canada, U.K., France, Germany, Spain, The Netherlands, Australia, Japan and Singapore. We analyze a period that dates back to 1985 and we will explicitly focus on variations over time.
series ERES:conference
discussion No discussions. Post discussion ...
ratings
session Session E2: International Investment in Real Estate Securities
last changed 2009/11/19 09:01
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