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https://hdl.handle.net/2142/87429
Description
Title
Essays in Real Estate Pricing
Author(s)
Pagliari, Joseph L., Jr
Issue Date
2002
Doctoral Committee Chair(s)
Roger Cannaday
Department of Study
Finance
Discipline
Finance
Degree Granting Institution
University of Illinois at Urbana-Champaign
Degree Name
Ph.D.
Degree Level
Dissertation
Keyword(s)
Economics, Finance
Language
eng
Abstract
"Second, real estate investment trusts are used to pursue two related research questions: (a) Can a firm's characteristics be used to determine its pricing (as measured by the firm's dividend yield)? (b) After adjusting for these characteristics, do ""value"" firms outperform ""growth"" firms? The first of these questions is hedonically addressed. It was found that a significant portion of the cross-sectional variation in REIT dividend yields can be ascribed, using hedonic techniques, to the differences in their characteristics. The explanatory power of the hedonic models generally improved as the time period becomes more recent and the data set becomes more robust. The ""excess"" dividend yield (from the findings of the first question) was then viewed as the basis for identifying characteristic-adjusted growth and value firms. A zero-investment portfolio is formed each year acquiring the value firms and selling short the growth firms. However, no (statistically significant) arbitrage profits can be earned. This is interpreted as a yet another affirmation of the efficient market hypothesis and, by extension, a refutation that value firms---once adjusted for their characteristics---outperform growth firms."
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