A foreclosed property can have a negative impact on the prices of other properties within its neighborhood and these reduced property prices can lead to further foreclosures within the neighborhood; this is known as the foreclosure contagion effect. This effect has been demonstrated, within the real estate literature, to occur. Traditionally, real estate research have used statistical regressio...

Portfolio theory shows that diversification can enhance the riskreturn trade-off. This study uses the absolute location of commercial real estate property along with spatial statistics to address the inherent problem of determining geographical diversification based upon a set of economic and property-specific attributes, some of which are unobservable or must be proxied with noise. We find tha...

Problems with appraisal-based return series combined with certain similarities between commercial real estate, bonds and stock suggest that equity REIT returns provide an accurate source of real estate pricing information. A model for deriving a discount rate for unsecuritized commercial real estate was developed. The model is a three factor Arbitrage Pricing model that measures the sensitivity...