This paper examines the variance of hourly market returns during 1964–1989. Results indicate that return volatility falls from the opening hour until early afternoon and rises thereafter and is significantly greater for intraday versus overnight periods. Market variance is also shown to change significantly over time, rising after NASDAQ began in 1971, rising after trading in stock options began in 1973, falling after fixed commissions were eliminated in 1975, rising after trading in stock index futures was introduced in 1982, and falling after margin requirements for stock index futures became larger in 1988.

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This paper examines the determinants of industrial properly value. We use the factor-analytic linear structural relations (LISREL) model to confront measurement problems associated with related work. A simultaneous test of the effects on property value of factors summarizing physical property, national market, local market, interest rate and location variables is performed. Findings indicate that the value of industrial buildings during 1987-1991 in the Dallas/Fort Worth area is primarily related to local market effects and to physical characteristics and location of the property. Copyright American Real Estate and Urban Economics Association.

We examine the performance of real estate mutual funds during January 1991–December 1997. As a group, the sampled funds outperformed the Wilshire Real Estate Securities Index on a risk‐adjusted basis by more than 5 percentage points annually. We attempt to explain these surprising findings by examining the fund's asset allocations across stocks, bonds and real estate property types using Sharpe's (1992) effective‐mix test. We find that all of the superior performance is attributable to fund managers' decisions to overweight outperforming property types (apartments and health care) relative to the Wilshire Real Estate Securities Index weights. Performance of the funds matches a multiple‐property‐type benchmark that takes account of the fund's exposure to each property type. Therefore, real estate funds demonstrated superior allocation across property types, but neither superior nor inferior selection within property type, during 1991–1997. Our findings emphasize the importance of asset allocation for real estate mutual‐fund performance.

This paper examines the variance of hourly market returns during . Results indicate that return volatility falls from the opening hour until early afternoon and rises thereafter and is significantly greater for intraday versus overnight periods. Market variance is also shown to change significantly over time, rising after NASDAQ began in 1971, rising after trading in stock options began in 1973, falling after fixed commissions were eliminated in 1975, rising after trading in stock index futures was introduced in 1982, and falling after margin requirements for stock index futures became larger in 1988. WOOD, MCINISH, AND ORD (1985), Harris (1986), and McInish and Wood (1989) examine intraday stock returns over brief periods and find that market volatility is high near the open and close of the trading day. Market volatility also has been found to be greater during trading versus nontrading periods (French and Roll (1986)) and during open-to-open versus close-to-close periods (Amihud and Mendelson (1987)). This paper extends previous volatility studies by examining market variance on an hourly basis for the 1964-1989 period.1 Tests of the stability and ordering of market volatility are performed (a) across intraday hours, (b) between trading and nontradingwperiods, and (c) between open-to-open and close-to-close periods. Market volatility is also examined between dates of important structural changes in financial markets, such as the introduction of NASDAQ (1971), standardized stock options (1973), negotiable commissions (1975), stock index futures (1982), and increased margin requirements for trading in stock index futures (1988).The remainder of the paper is composed of three sections. Section I describes the data. Section II presents the hypotheses, methodology, and results. Section III summarizes the main findings of the paper.