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Information asymmetry, long-run relationship and price discovery in property investment markets

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  • Peijie Wang
  • Colin Lizieri
  • George Matysiak

Abstract

The relationships between 'direct' and 'indirect' property investment, emphasizing information asymmetry and price discovery, have been investigated in the framework of cointegration and using the concept of Granger causality. The implications of information asymmetry in the market have been discussed and explanations offered.

Suggested Citation

  • Peijie Wang & Colin Lizieri & George Matysiak, 1997. "Information asymmetry, long-run relationship and price discovery in property investment markets," The European Journal of Finance, Taylor & Francis Journals, vol. 3(3), pages 261-275.
    • Handle: RePEc:taf:eurjfi:v:3:y:1997:i:3:p:261-275
    DOI: 10.1080/135184797337471
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    References listed on IDEAS

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    Cited by:

    1. Nai Jia Lee & Tien Foo Sing & Dinh Hoang Tran, 2013. "REIT Share Price and NAV Deviations: Noise or Sentiment?," International Real Estate Review, Global Social Science Institute, vol. 16(1), pages 28-47.
    2. Christian Rehring, 2012. "Real Estate in a Mixed‐Asset Portfolio: The Role of the Investment Horizon," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 40(1), pages 65-95, March.
    3. Devaney, Steven & Xiao, Qin, 2017. "Cyclical co-movements of private real estate, public real estate and equity markets: A cross-continental spectrum," Journal of Multinational Financial Management, Elsevier, vol. 42, pages 132-151.
    4. Peijie Wang, 2003. "Cycles and Common Cycles in Property and Related Sectors," International Real Estate Review, Global Social Science Institute, vol. 6(1), pages 22-42.
    5. Peijie Wang, 2001. "Property and the economy in the short-term and the long-run," Applied Economics, Taylor & Francis Journals, vol. 33(3), pages 327-337.
    6. Kim Hin David Ho & Satyanarain Rengarajan, 2017. "Industrial Real Estate Market Dynamics in Singapore: A VAR Approach," International Real Estate Review, Global Social Science Institute, vol. 20(4), pages 417-450.

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