Title

Asymmetric information and the predictability of real estate returns.

SelectedWorks Author Profiles:

Gary A. Patterson

Document Type

Article

Publication Date

2000

Date Issued

January 2000

Date Available

August 2014

ISSN

0895-5638

Abstract

This article examines the relation between systematic price changes and the heterogeneity of investors' information sets in real estate asset markets. The empirical implications rely on a theoretical economy in which information asymmetry alters the dynamic relation between returns and trading volume. We employ a filter-rule methodology to determine predictability in returns and augment the return-based conditioning set with trading volume. The additional conditioning information is necessary since the model is underspecified when predictability is based on returns alone. Our results provide new insight into the coexistence of informational and noninformational exchange in the speculative markets for real estate assets. Specifically, we find that the predictability of real estate returns is generally more indicative of portfolio rebalancing effects than an adverse-selection problem. These results are unique in addressing the time-variation in information asymmetry.

Comments

Citation only. Full-text article is available through licensed access provided by the publisher. Published in The Journal of Real Estate Finance and Economics, 20, 225-244. doi: 10.1023/A:1007833506453. Members of the USF System may access the full-text of the article through the authenticated link provided.

Language

en_US

Publisher

Springer

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.