High-Impact Research - Finance - Real Estate

The Department seeks to be a source of high-impact scholarly research on important issues in Finance and Real Estate.  Our goal is to consistently produce research that appears in the best journals in our fields.  The list below provides a recent sample of publications in the very best finance and real estate journals. (The author with the UC affiliation at the time of publication or acceptance is highlighted in bold.)

Journal of Finance

  • “Uncovering the Risk-Return Relation in the Stock Market,” Journal of Finance, 61: 1433-1463, 2006, Hui Guo and Robert Whitelaw.
  • “Toward a National Market System for U.S. Exchange-Listed Equity Options,” forthcoming in the Journal of Finance, Robert Battalio , Brian Hatch, and Robert Jennings.
  • "Are Judgement Errors Reflected in Market Prices and Allocations? Experimental Evidence Based on the Monty Hall Problem" forthcoming in the Journal of Finance, Brian Kluger and Steve B. Wyatt.
  • "Delegated Portfolio Management and Prolonged Mispricing", in the Journal of Finance , Feb. 2003. Eitan Goldman and Steve L. Slezak.
  • "Equilibrium Anomalies", forthcoming, in the Journal of Finance , Michael Ferguson and Richard Schockley.

Journal of Financial Economics

  • “Are Fairness Opinions Fair? The Case of Mergers and Acquisitions,” forthcoming Journal of Financial Economics, D. Kisgen, J. Qian, and Weihong Song.
  • “An Equilibrium Model of Incentive Contracts in the Presence of Information Manipulation,” Journal of Financial Economics, 80:603-626, 2006, Eitan Goldman and Steve L. Slezak. 
  • “The Impact of Specialist Firm Acquisitions on Market Quality,” Journal of Financial Economics 66:139-67, 2002, Brian Hatch and Shane Johnson.
  • "The Value and Incentive Effects of Non-traditional executive stock option plans" Journal of Financial Economics 57:3-34, 2000, Shane Johnson and Yisong Tian .
  • "Indexed executive stock option " Journal of Financial Economics 57:35-64, 2000, Shane Johnson and Yisong Tian .

Review of Financial Studies

  • “Average Idiosyncratic Volatility in G7 Countries,” forthcoming Review of Financial Studies, Hui Guo and Robert Savickas.
  • “Does the Limit Order Routing Decision Matter?,” Review of Financial Studies, 15:159-194, 2002, with Robert Battalio, Jason Greene, Brian Hatch and Robert Jennings.

Journal of Financial and Quantitative Analysis

  • “Probability Judgment Error and Speculation in Laboratory Asset Market Bubbles,” forthcoming Journal of Financial and Quantitative Analysis. L. F. Ackert, N. Charaput, R. Deaves, and Brian Kluger.
  • “Is the Value Premium a Proxy for Time-Varying Investment Opportunities: Some Time Series Evidence,” forthcoming Journal of Financial and Quantitative Analysis, Hui Guo, Robert Savickas, J. Yang, and Z. Wang.
  • “Limited Stock Market Participation and Asset Prices in a Dynamic Economy.” Journal of Financial and Quantitative Analysis, 39: 495-516, 2004, Hui Guo.
  • “On The Impossibility Of Weak-Form Efficient Markets,” Journal of Financial and Quantitative Analysis, 38, 2003. Steve Slezak.     
  • "Preferencing, Internalization Of Order Flow And Tacit Collusion: Evidence From Experiments" Journal of Financial and Quantitative Analysis, September 2002. Brian Kluger and Steve B. Wyatt.

Journal of Business

  • “Asymmetry, Loss Aversion and Forecasting.” Journal of Business, 79: 1809-1830, 2006, Shaun A. Bond and S.E. Satchell.
  • “On the Out-of-Sample Predictability of Stock Market Returns,” Journal of Business, 79: 645-670, 2006, Hui Guo.
  • “Execution Costs and Their Intraday Variation in Futures Markets,” Mike Ferguson and Steven C. Mann, Journal of Business , 74 (2001), 125-160.

Journal of Real Estate Finance and Economics

  • “Volitalities and Momentum Returns in Real Estate Investment Trusts,” forthcoming Journal of Real Estate Finance and Economics., John Glascock and K. Hung.
  •  “Lease Maturity and Initial Rent: Is There a Term Structure for UK Commercial Property Leases," forthcoming Journal of Real Estate Finance and Economics, Shaun A. Bond, P. Loizou, and P. McAllister.
  • “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: 447-461, 2007, Shaun A. Bond, S. Hwang,  Z. Lin, and K Vandell.
  • “The Relative Effect of Property Type and Country Factors in Reduction of Risk of Internationally Diversified Real Estate Portfolios,” Journal of Real Estate Finance and Economics, 34: 369-384, 2007, John Glascock and Lynne Kelly.
  • “A web of shocks: Crises Across Asian Real Estate Markets,” Journal of Real Estate Finance and Economics, 32: 253-274, 2006, Shaun A. Bond, M. Dungey, and R. Fry.
  • “The Riskiness of REITs Surronding the October 1997 Stock Market Decline,” Journal of Real Estate Finance and Economics, 28: 339-354, 2004, John Glascock, David Michayluk, Karyn Neuhauser.
  • “Is Lending Discrimination Always Costly?,” Mike Ferguson and Stephen R. Peters , Journal of Real Estate Finance and Economics , 21 (2000), 23-44
  • “The Conditional Distribution of Real Estate Returns: Are Higher Moments Time Varying?,” Journal of Real Estate Finance and Economics, 26: 319-339, 2003, Shaun A. Bond, and K. Patel.
  • “REIT Returns and Inflation: Perverse or Reverse Causality Effects?,” Journal of Real Estate Finance and Economics, 24: 301-318, 2002, John Glascock, Chiuling Lu, and Raymond So.
  • “Further Evidence on the Integration of REIT, Bond and Stock Returns,” Journal of Real Estate Finance and Economics, 20: 177-195, 2000, John Glascock, Chiuling Lu, and Raymond So.
  • “Is Lending Discrimination Always Costly?,” Journal of Real Estate Finance and Economics, 21: 23-44, 2000, Mike Ferguson and Stephen R. Peters.  
  • “Two Decades of Commercial Property Returns: A Repeated-Measures Regression-Based Version of the NCREIF Index,” Journal of Real Estate Finance & Economics, 2000, David Geltner and William Goetzmann.

Real Estate Economics

  • “Smoothing, Nonsynchronous Appraisal and Cross-Sectional Aggregation in Real Estate Price Indices,” Real Estate Economic, 35: 349-382, 2007, Shaun A. Bond and S. Hwang.
  • “A Measure of Fundamental Volatility in the Commercial Property Market,” Real Estate Economics, 31: 577-600, 2003, Shaun A. Bond, and S. Hwang.
  • “International Real Estate Returns: A Multifactor, Multicountry Approach,” Real Estate Economics, 31: 481-500, 2003, Shaun A. Bond, G. A. Karolyi, and A. B. Sanders.
News And Events