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Introduction to the special issue.

Publication: Real Estate Economics
Publication Date: 22-MAR-05 		Format: Online
Delivery: Immediate Online Access
Full Article Title: Introduction to the special issue.(about stock prices in real estate industry)

Article Excerpt
This special issue of Real Estate Economics (REE) includes eight papers on various aspects of REIT security pricing. All papers went through the usual refereeing and editorial process, and all reflect REE's ongoing commitment to advance the scope of knowledge in the area of real estate finance and economics, and to facilitate the exchange of information and opinions among academics, professionals and government on urban economics and real estate issues. Several of the papers were first presented at American Real Estate and Urban Economics Association (AREUEA) meetings. Two were regular REE submissions that fit naturally in this issue.

The first paper in this issue is by Downs and Patterson. This paper looks at stochastic discount factors, and whether REIT returns are related to a common stochastic discount rate. The theory is that asset prices are obtained by discounting the payoffs using a stochastic discount factor, and portfolios of assets with the same price but distinct expected payoffs must therefore have a different intertemporal marginal rate of substitution. Furthermore, if markets are complete, one can exploit this observation to derive the greatest lower bounds on the standard deviation of the intertemporal marginal rate of...

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