This study is the first to examine the relationship between conspicuous demand and housing price dynamics. We hypothesize that conspicuous consumers would want high‐end homes to signal their wealth and this housing consumption behavior would induce greater deviations from fundamental house prices. We test this by using a unique dataset that matches the consumers’ appetite for nonhousing luxury goods from Google Insights for Search to housing premiums that they pay for high‐end houses in U.S. Metropolitan Statistical Areas (MSAs) during 2004–2011. The estimation results demonstrate that controlling for a wide range of MSA demographic and economic characteristics, conspicuous demand has a significant, positive relationship with housing premiums. This relationship varies spatially and temporally. Conspicuous demand has a stronger relationship with a price increase in high‐end homes in MSAs with a steady, higher housing premium than in MSAs with a volatile, lower premium during the boom period. In MSAs with a steady, higher housing premium, the relationship remains significant even during the bust period, potentially contributing to maintaining higher housing premiums.

This article examines the rationale behind IPO underpricing using a sample of REIT IPOs in Asia. Although the IPOs registered an average initial return of 3.08%, the issuers were able to sell the IPO shares above their fundamental values by timing the listings in periods when existing REIT stocks are traded at a premium to their net asset values (NAV). An IPO could therefore be underpriced and yet produce a net gain for the issuer. The issuers' net gain from IPO is, however, negatively related to long-run performance of REIT IPOs.

This study examines the information diffusion process in the U.S. Real Estate Investment Trust (REIT) market with a focus on the impacts of changing market environments, information supply, and information demand on the lead-lag effect. The results suggest that a significant lead-lag relationship exists between the lagged returns of big REITs and the current returns of small REITs. This relationship has slightly decreased along with policy and environment changes that occurred in the U.S. REIT market during the study period from 1986 to 2012, while still remaining significant in the most recent REIT market. The process of information diffusion is becoming unstable in recent years and the reverse leadlag effect from small REITs to big REITs is observed especially when REIT market liquidity and return volatility are high. The lead-lag effect among REITs is driven largely by slow adjustment to negative information, which is magnified by a lack of information supply, especially as demand for such information increases. Finally, information flow from REITs with more media coverage to those with less media coverage becomes even more sluggish than the information flow from big REITs to small REITs.

We examine the performance of pairs trading in the U.S. REIT market compared with that in the U.S. general stock market over the period 1987 to 2008. The results suggest that the REIT market provided superior profit opportunities for this strategy over common stocks after accounting for the effect of the bidask bounce between 1993 and 2000. This was likely because of the unique characteristics of REITs, which permitted the selection of good pairs of close substitutes and the structural changes that occurred in 1993 in the REIT market. The superior trading profits in REITs disappear after 2000.Pairs trading has been one of the most popular quantitative arbitrage strategies used by hedge fund managers on Wall Street. First implemented by Nunzio Tartaglia's quant group at Morgan Stanley in the mid-1980s (Vidyamurthy 2004), the basic idea behind pairs trading is to find two stocks whose prices have historically moved together and, when the spread between them widens, short the winner and buy the loser. The expectation is that the prices of the two stocks will again converge and the investor will profit by unwinding the positions. Several academic studies propose frameworks to implement pairs trading rather than provide empirical evidence of the effectiveness of pairs trading. Vidyamurthy (2004) explains the link between pricing theory and pairs trading providing an implementation strategy based on cointegration. Elliott, van der Hoek and Malcolm (2005) propose an analytical framework for pairs trading applying a mean-reverting Gaussian Markov chain model. Huck (2009) applies multicriteria decision techniques for the selection of pairs for pairs trading. Regardless of its popularity on Wall Street, only a few studies empirically examine the effectiveness of pairs trading mainly due to the proprietary nature of the strategy. Recently, Gatev, Goetzmann and Rouwenhorst (2006) found that using daily historical price information, pairs trading produced significant profits between 1962 and 2002 in the U.S. stock market, which were robust to conservative estimates of transaction costs and were different from profits achievable from a typical contrarian strategy of buying losers and

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