The role of liquidity in asset pricing model has attracted much attention in recent financial studies; however there is a paucity of literature with respect to liquidity risk and asset pricing in the direct housing market. The housing market is characterized by costly searching, inelastic supply and short-sale constraints. It is expected that the housing market should incur more significant illiquid effects, since it is much more illiquid than stock market. Motivated by this intuition, this thesis aims to explore 1) whether and to what extent liquidity can explain variations in over-time/crosssectional housing returns; and 2) whether liquidity factor plays a role in explaining the second moment (i.e. volatility) of housing price. We employ the panel regression and Fama-MacBeth two-stage procedure to investigate over-time and cross-sectional relations between liquidity and housing return. Liquidity asset pricing theory suggests that assets with lower degree of liquidity offer higher expected returns. Consistent with this prediction, the panel regression results suggest that housing return is a decreasing function of liquidity in previous year, while it is positively relative to contemporary liquidity shocks. For the cross-sectional asset pricing tests, housing estate specific betas are estimated using rolling time-series regressions of a three-factor asset pricing model. We investigate the proposition that housing estates with greater return sensitivity to market liquidity earns higher expected return. Using a disaggregate dataset of 55 popular housing estates, we find (1) both market liquidity beta and housing estate specific liquidity risk are significantly priced in the cross-sectional housing estate returns, implying that cross-sectional differences in estate premium partially represent the liquidity premium. (2) The market beta, sentiment beta and market liquidity beta explain 14.36% of variations in cross-sectional estate returns. The results are robust across different specifications. (3) Investors are less willing to bear liquidity risk during the down markets, which shed new light on the positive price-volume correlation. These findings complement the cross-sectional liquidity-return relationship in the financial literature. Measuring housing price volatility is fundamental to the study of the dynamics of housing price risk. We investigate the effects of liquidity on housing price volatility in different housing classes (classified by size of the housing unit according to the Rating and Valuation Department’s definitions). Housing price volatility is measured as the conditional variance of a GARCH model under the Adaptive Expectations framework. We reveal that volatility transmits from small housing units to large housing units, which indirectly supports the trade-up effect in previous literature. Besides, the starter and high-end housing classes are extraordinarily sensitive to negative and positive liquidity shocks respectively. Consistent with the friction search theory, we find that the pricing errors are alleviated as the trading volume increases, since the valuated price tends to be more accurate as more information arrives. Lastly, the variance decomposition and impulse response results imply that the positive liquidity shock accounts for a large proportion of variations in housing volatility. / published_or_final_version / Real Estate and Construction / Doctoral / Doctor of Philosophy

This study examines several issues related to mutual fund herd behavior. First, a unifying and consistent framework for measuring herd behavior is developed. This framework generates portfolio-level measures for each fund manager over each quarter, and relates herd behavior to other aspects of portfolio dynamics. Simulations indicate significant and persistent non-random herd behavior. Second, mechanisms that potentially underly herd behavior are tested. Empirical results indicate that herding funds tend to i) change their holdings towards levels similar to peers, ii) have less experienced managers, and iii) underperform their peers. These results are consistent with a career concerns theory of herding. Third, the impact of mutual fund herding on stock liquidity is examined. Empirical results indicate that herd behavior can lead to correlation in stock-level liquidity. / text

No description available.

The aim of this thesis study is to enlighten the economic relationship among consumption, income and liquidity constraints in Turkish Economy. For this aim, generalized instrumental variables estimation technique (GIVE) is used to estimate reduced-form consumption equations derived by Hall (1978) and improved by Campbell and Mankiw (1989). Estimations are realized for two separate periods of Turkish Economy. For the sub-period of 1987 to 1995, it is observed that a significant part of households consume their current disposable income. It is thought that the presence of liquidity constraints forced households to determine their consumption simply according to their current disposable income. However, it is observed that the dependence of households to disposable income decreased substantially, when analyzed for the overall period of 1987 to 2002. Financial deepening in the economy and the rise of real credit volume contributed to the decline of the level of liquidity constraints and enabled households to allocate their income across subsequent periods evenly. Thus, it is concluded that private consumption behavior is consistent with the Permanent Income / Life- Cycle Consumption theory for 1987 to 2002 period in Turkish Economy.

Thesis (Ph. D.)--West Virginia University, 2007. / Title from document title page. Document formatted into pages; contains xii, 180 p. : ill. (some col.). Includes abstract. Includes bibliographical references.

Thesis (Ph.D.)--University of Delaware, 2008. / Principal faculty advisors: Jay F. Coughenour, Dept. of Finance; and William Latham, III, Dept. of Economics. Includes bibliographical references.

Thesis (Ph. D.)--University of Missouri-Columbia, 2004. / Typescript. Vita. Includes bibliographical references (leaves 106-112). Also available on the Internet.

Thesis (Ph. D.)--University of Missouri-Columbia, 2004. / Typescript. Vita. Includes bibliographical references (leaves 106-112). Also available on the Internet.

Thesis (Ph. D.)--Ohio State University, 2004. / Title from first page of PDF file. Document formatted into pages; contains x, 68 p.; also includes graphics. Includes bibliographical references (p. 46-48).

Thesis (Ph. D.)--University of Chicago, Dept. of Economics, March 2000. / Includes bibliographical references. Also available on the Internet.