Findings from University of California in the Area of Real Estate Reported (Using the CCAPM with Stochastic Taxation and Money Supply to Examine US…

Findings from University of California in the Area of Real Estate Reported (Using the CCAPM with Stochastic Taxation and Money Supply to Examine US REITs Pricing Bubbles)

By a News Reporter-Staff News Editor at Real Estate Weekly News — Investigators discuss new findings in Real Estate. According to news reporting out of Berkeley, California, by VerticalNews editors, research stated, “We examine three issues relating to U.S. real estate investment trust (REIT) pricing. First, using a modified capital consumption asset pricing model (CCAPM) with stochastic taxation and money supply, we compute the fundamental values for REITs for our sample period, 1972-2013.”

Our news journalists obtained a quote from the research from the University of California, “Second, for publicly traded equity REITs, we define a bubble to be the difference between the actual stock market price and the fundamental value derived from our theoretical model. U.S. REITs have, among other corporate structural features, special rules governing dividend distributions and corporate taxation that make them an especially attractive and preferred vehicle for testing for the presence of pricing bubbles. Our findings suggest that during our sample period, U.S. REITs experienced many price bubbles, some of which were quite large.”

According to the news editors, the research concluded: “Third, our results imply that monetary policy, in the short run, plays a role in the formation of these pricing bubbles.”

For more information on this research see: Using the CCAPM with Stochastic Taxation and Money Supply to Examine US REITs Pricing Bubbles. Journal of Real Estate Research, 2017;39(4):441-465. Journal of Real Estate Research can be contacted at: Amer Real Estate Soc, Clemson Univ, Sch Business & Behavioral Sci, Dept Finance, 314 Sirrine Hall, Clemson, SC 29634, USA.

Our news journalists report that additional information may be obtained by contacting R.H. Edelstein, University of California, Berkeley, CA 94720, United States.

Keywords for this news article include: Berkeley, California, United States, North and Central America, Real Estate, University of California.

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