A Reexamination of Corporate Sell-Offs of Real Estate Assets

G Geoffrey Booth, John Glascock and Salil K Sarkar

The Journal of Real Estate Finance and Economics, 1996, vol. 12, issue 2, 195-202

Abstract: This article re-examines the now generally accepted notion that sell-offs of real estate assets provide positive returns for sellers but not for buyers. Following previous research, we use event study methods but we modify the conventional market model to permit its residuals (unexpected returns) to be described by a time-varying conditional variance. We also differ from previous work in that our sample contains only sell-offs that can be precisely dated. Although we find substantial evidence of time-varying volatility in the unexpected return series, our economic results confirm the conventional viewpoint. Copyright 1996 by Kluwer Academic Publishers

Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:kap:jrefec:v:12:y:1996:i:2:p:195-202

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