Real Estate—Publications

Real Estate Center: Publication and working papers

Academic papers | Local Press | Conference Presentation

2000-present | 1990-1999

Shaun Bond

Bond, S.A., Loizou, P. and McAllister, P., (2008) “Lease Maturity and Initial Rent: Is There a Term Structure for UK Commercial Property Leases?” The Journal of Real Estate Finance and Economics, 36(4), pp 451-469.

Bond, S.A., Hwang, S., Mitchell, P., and Satchell, S.E., (2007) “Will Private Equity and Hedge Funds Replace Real Estate in Mixed-Asset Portfolios?”, Journal of Portfolio Management, Special Real Estate Issue, Fall 2007.

Bond, S.A. and Hwang, S., (2007) “Smoothing, Nonsynchronous Appraisal and Cross-Sectional Aggregation in Real Estate Price Indices”, Real Estate Economic, 35(3), pp 349-382.

Bond, S.A, Hwang, S., Lin, Z. and Vandell, K. (2007), “Marketing Period Risk in a Portfolio Context: Theory and Empirical Estimates from the UK Commercial Real Estate Market”. Journal of Real Estate Finance and Economics 34(4), pp 447-461.

Bond, S.A. and Satchell, S.E. (2006), “Asymmetry, Loss Aversion and Forecasting.” The Journal of Business, 79(4), pp 1809-1830.

Bond, S.A. and Satchell, S.E. (2006), “Asymmetry and Downside Risk in Foreign Exchange Markets.”, European Journal of Finance, 12(4), pp 313-332.

Bond, S.A., Hwang, S. and Richards, K. (2006) “Optimal Allocation to Real Estate Incorporating Illiquidity Risk”. Journal of Asset Management, 7(1), pp 2-16. (summarised in CFA Digest, February 2007).

Bond, S.A., Dungey, M and Fry, R. (2006) “A web of shocks: Crises Across Asian Real Estate Markets.”, Journal of Real Estate Finance and Economics, 32, pp 253-274.

Bond, S.A. and Hwang, S. (2003) A Measure of Fundamental Volatility in the Commercial Property Market, Real Estate Economics, 31(4), p577-600.

Bond, S.A., Karolyi, G.A. and Sanders, A.B. (2003) International Real Estate Returns: A Multifactor, Multicountry Approach. Real Estate Economics, 31(3), p481-500.

Bond, S.A. and Patel, K. (2003) The Conditional Distribution of Real Estate Returns: Are Higher Moments Time Varying? Journal of Real Estate Finance and Economics, 26, 2, pp 319-339.

Bond, S.A. and Satchell, S.E. (2002) Statistical Properties of the Sample Semi-Variance. Applied Mathematical Finance, 9(4), p 219-239.

Bond, S.A. (2001) ‘A Review of Asymmetric Conditional Density Functions in Autoregressive Conditional Heteroscedasticity Models', in Knight, J. and Satchell, S.E.(eds) Return Distributions in Finance, Butterworth and Heinemann, Oxford.

Mike Ferguson

“Equilibrium ‘Anomalies',” with Richard L. Shockley, Journal of Finance, forthcoming.

“Execution Costs and Their Intraday Variation in Futures Markets,” with Steven C. Mann, Journal of Business, 74 (2001), 125-160.

John Glascock

Analysis of the Hong Kong Housing Market: Before, During and After the HK Crash (a hedonic analysis), with Helen Bao. Presented at the Mid-year AREUEA, 2006. Updated draft in progress.

Volatilities and Momentum Returns in REITs, with Szu-Yin (Kathy) Hung, forthcoming, Journal of Real Estate Finance and Economics.

Property Investment Trusts in the UK, with Abraham Park, pages 467-474. Reading in Handbook of Real Estate Capital Markets, edited by Nico Rottke, 2008, Muller:Cologne.

Momentum Profitability and Market Trend: Evidence from REITs, with Szu-Yin Hung. Forthcoming: Journal of Real Estate Finance and Economics. Vol. 37, Issue 1, August 2008. (Presented at Asian Real Estate Society meeting, 2003. Also presented at the European Real Estate Society meeting Dublin, 18th

Does it pay for acquirers to be friendly? With Sema Dube and Rafael Romero. Journal of Corporate Ownership and Control, January 2008, Vol. 5.

The Relative Effect of Property Type and Country Factors in Reduction of Risk of Internationally Diversified Real Estate Portfolios, with Lynne Kelly. Journal of Real Estate Finance and Economics, Vol. 34, No. 3, May 2007, pp. 369-384. Presented at the Asian Singapore-Hong Kong conference 2005.

Is Hostility in Merger and Acquisition Markets Wasteful? with Sema Dube and Mark Klock, 2007, Journal of Business and Securities Law (published by Michigan State University Law School and Mid-West Securities Law Institute), Vol. 7, Issues 1&2, April 2007, pp. 9-49..

Effects of the Method of Payment and the Mode of Acquisition on Performance and Risk Metrics, 2006, with Sema Dube. International Journal of Managerial Finance, Vol. 2, No. 3, pp. 176-195 (lead article). Later awarded the best paper designation from Emerald Publishing for that year.

Brian Kluger

“Financial Engineering and Rationality: Experimental Evidence Based on the Monty Hall Problem.” Journal of Behavioral Finance. Forthcoming. (with D. Friedman)

“Probability Judgment Error and Speculation in Laboratory Asset Market Bubbles.” Journal of Financial and Quantitative Analysis. 2009. 44, 719-744. (with L. Ackert, N. Charaput and R. Deaves)

“Illustrating the Capital Asset Pricing Model: A Classroom Asset Market.” Perspectives in Economic Education. 2006. 2(1), 34-51. (with P. Adams and M. McBride)

“Are Judgment Errors Reflected in Market Prices and Allocations: Experimental Evidence based on the Monty Hall Problem.” Journal of Finance. 2004. 59, 969-997. (with Steve Wyatt)

“Preferencing, Internalization of Order Flow and Tacit Collusion: Evidence from Experiments.” Journal of Financial and Quantitative Analysis. 2002. 37, 449-469. (with Steve Wyatt)

Norman Miller

“The Economic Impact of House Price Changes: A Panel VAR Approach,” Miller, Norman and Peng, Liang. 2005.
“Determinants of Trading Volume and Endogenous Price Volume Correlation in the Housing Market,” Clayton, Miller, and Peng. 2004.
“A Cross-Sectional Asset-Pricing Analysis of the U.S. Housing Market with Zip Code Data,” Cannon, Miller, and Pandher. 2006.
“It's Time for Some Options in Real Estate,” Miller, Sklarz, Stedman.
“The Impact of Interest Rates and Employment on Nominal Housing Prices,” Miller, Sklarz, Thibodeau. 2005.
'International Residential Real Estate Brokerage Fees and Implications for the U.S. Brokerage Industry,' Delcoure and Miller, 2002.
'Exploring Metropolitan Housing Price Volatility,' Miller, Norman and Peng, Liang. 2006.
'How to Spot a Price Bubble,' Miller, Sklarz. 2003.
'The Impact of Interest Rates and Employment on Nominal Housing Prices,' Miller, Sklarz, and Thibodeau. 2005.
'Risk and Return in the U.S. Housing Market: A Cross-Sectional Asset-Pricing Approach,' Cannon, Miller, Pandher. 2006.

David Brasington

David M. Brasington & Diane Hite A Mixed Index Approach to Identifying Hedonic Price Models. Regional Science and Urban Economics, 38(3), 271-284. 2008
Private Schools and the Willingness to Pay for Public Schooling. Education Finance and Policy, 2(2), 152-174. 2001
David M. Brasington & Donald R. Haurin (2006). Educational Outcomes and House Values: A Test of the Value-Added Approach. Journal of Regional Science,46(2), 245-268.
David M. Brasington & Diane Hite (2005). Demand for Environmental Quality: A Spatial Hedonic Analysis. Regional Science and Urban Economics, 35(1), 57-82.
House Prices and the Structure of Local Government: An Application of Spatial Statistics. Journal of Real Estate Finance and Economics, 29(2), 211-232. 2004
The Supply of Public School Quality. Economics of Education Review,22(4), 367-377. 2003
Snobbery, Racism, or Mutual Distaste: What Promotes and Hinders Cooperationin Local Public Good Provision?. Review of Economics and Statistics, 85(4), 874-883. 2003
Size and School District Consolidation: Do Opposites Attract?. Economica,70(280), 673-690. 2003
The Demand for Local Public Goods: The Case of Public School Quality.Public Finance Review, 30(3), 163-187. 2002
Edge Versus Center: Finding Common Ground in the Capitalization Debate. Journal of Urban Economics, 52(3), 524-541. 2002
Differences in the Production of Education Across Regions and Urban and Rural Areas. Regional Studies, 36(2), 137-145. 2002
Capitalization and Community Size. Journal of Urban Economics, 50(3), 385-395. 2001
A Model of Urban Growth with Endogenous Suburban Production Centers.The Annals of Regional Science, 35(3), 411-430. 2001
Demand and Supply of Public School Quality in Metropolitan Areas: The Role of Private Schools. Journal of Regional Science, 40(3), 583-605. 2001

Olivier Parent

Autant C., Parent O. and J.P. LeSage (2008). “Firm innovation strategies: a spatial cohort multinomial probit approach”, Annals of Economics and Statistics , (Annales d'Economie et de Statistique), 87, 63-80.
Chakir R. and O. Parent (2009). “Determinants of land use changes: a spatial multinomial probit approach”, Papers in Regional Science, 88(2), 327-344
Parent O. (2008) "Proximite technologique, infrastructures de communication et activites innovantes en Europe”, revue de l'OFCE, 104, 219-240.
Parent O. & J.P. LeSage (2008). Using the Variance Structure of the Conditional Autoregressive Spatial Specification to Model Knowledge Spillovers. Journal of Applied Econometrics, 23(2), 235-256.
LeSage J.P. & O. Parent (2007). Bayesian Model Averaging forpatial Econometric Models. Geographical Analysis, 39(3), 241-267.
Parent O. & S. Riou (2005). Bayesian analysis of knowledge Spillovers in European Regions. Journal of Regional Science, 45(4), 747-775.

1990-1999

Shaun Bond

Bond, S.A. (1998) ‘An Econometric Model of Downside Risk', in Knight, J. and Satchell, S.E. (eds) Forecasting Volatility in the Financial Markets, Butterworth and Heinemann, Oxford

Mike Ferguson

“What Constitutes Evidence of Discrimination in Lending?,” with Stephen R. Peters, Journal of Finance, 50 (1995), 739-748. Reprinted in The Economics of Housing (John M. Quigley, ed.), London: Edward Elgar Publishing, 1997.

John Glascock

Darrat, Ali F & Dickens, Ross N & Glascock, John L, 1998. "Mortgage Loan Rates and Deposit Costs: Are They Reliably Linked?," The Journal of Real Estate Finance and Economics, Springer, vol. 16(1), pages 27-42, January. [Downloadable!] (restricted)
Glascock, John L & Hughes, William T, Jr & Varshney, Sanjay B, 1998. "Analysis of REIT IPOs Using a Market Microstructure Approach: Anomalous Behavior or Asset Structure," The Journal of Real Estate Finance and Economics, Springer, vol. 16(3), pages 243-56, May. [Downloadable!] (restricted)
Booth, G Geoffrey & Glascock, John L & Sarkar, Salil K, 1996. "A Reexamination of Corporate Sell-Offs of Real Estate Assets," The Journal of Real Estate Finance and Economics, Springer, vol. 12(2), pages 195-202, March.
Davidson, Wallace N, III & Chhachhi, Indudeep & Glascock, John L, 1996. "A Test for Price Pressure Effects in Tender Offer Stock Repurchases," The Financial Review, Eastern Finance Association, vol. 31(1), pages 25-49, February.
Davidson, Wallace N. & Glascock, John L. & Schwarz, Thomas V., 1995. "Signaling with Convertible Debt," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(03), pages 425-440, September. [Downloadable!]
Robison, H David & Davidson, Wallace N, III & Glascock, John L, 1995. "The Formation of Public Utility Holding Companies and Their Subsequent Diversification Activity," Journal of Regulatory Economics, Springer, vol. 7(2), pages 199-214, March.
Shum, Connie M & Davidson, Wallace N, III & Glascock, John L, 1995. "Voting Rights and Market Reaction to Dual Class Common Stock Issues," The Financial Review, Eastern Finance Association, vol. 30(2), pages 275-87, May.
Davidson, Wallace N, III & Hatfield, Gay & Glascock, John L, 1994. "Common Stock Returns in Corporate Takeover Bids: The Case of Brokerage House Acquisitions," The Financial Review, Eastern Finance Association, vol. 29(1), pages 77-96, February.
Glascock, John L & Turnbull, Geoffrey K, 1994. "On the Supply of Landlord Labor in Small Real Estate Rental Firms," The Journal of Real Estate Finance and Economics, Springer, vol. 8(1), pages 21-33, January.
John L. Glascock & C. F. Sirmans & Geoffrey K. Turnbull, 1993. "Owner Tenancy as Credible Commitment under Uncertainty," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 21(1), pages 69-82. [Downloadable!] (restricted)
John L. Glascock & Minbo Kim & C.F. Sirmans, 1993. "An Analysis of Office Market Rents: Parameter Constancy and Unobservable Variables," Journal of Real Estate Research, American Real Estate Society, vol. 8(4), pages 625-638. [Downloadable!]
Darrat, Ali F & Glascock, John L, 1993. "On the Real Estate Market Efficiency," The Journal of Real Estate Finance and Economics, Springer, vol. 7(1), pages 55-72, July.
Impson, C Michael & Karafiath, Imre & Glascock, John L, 1992. "Testing Beta Stationarity across Bond Rating Changes," The Financial Review, Eastern Finance Association, vol. 27(4), pages 607-18, November.
Meyer, Donald J & Wells, F Stuart & Glascock, John L, 1991. "Inferring Risk Preferences from a Two-Asset Market," Applied Economics, Taylor and Francis Journals, vol. 23(1), pages 65-71, Part A, J.
Glascock, John L. & Henderson, Glenn Jr. & Officer, Dennis T. & Shah, Vivek, 1991. "Examining the sensitivity of the standardized cumulative prediction error as an event study test statistic," Journal of Economics and Business, Elsevier, vol. 43(1), pages 49-57, February. [Downloadable!] (restricted)
Glascock, John L, 1991. "Market Conditions, Risk, and Real Estate Portfolio Returns: Some Empirical Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 4(4), pages 367-73, December.
John L. Glascock & Wallace N. Davidson & C. F. Sirmans, 1991. "The Gains from Corporate Selloffs: The Case of Real Estate Assets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 19(4), pages 567-582. [Downloadable!] (restricted)
John L. Glascock & Shirin Jahanian & C. F. Sirmans, 1990. "An Analysis of Office Market Rents: Some Empirical Evidence," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 18(1), pages 105-119. [Downloadable!] (restricted)

Local Press

“Moving the Banks Forward,” Miller, Norm. Cincinnati Business Courier, 3 March 2006.

Presentations

"Risk Management for Real Estate", John Glascock, 2009 Tsinghua, EBS and Cincinnati Annual Real Estate Conference, Beijing, China link: John Glascock- Tsinghua.pdf
"Liquidity Crisis, Why?" John Glascock, 2009 Renmin University, Beijing, China link:John Glascock -Renmin.pdf

“Real Estate Trends, Global and Local Markets,” Eric Gardner, MAI, CCIM.