Seasonality in commercial real estate transaction volume and capital returns
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123448680-MIT.pdf
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Author(s)
Wang, Xiaohu, S.M. Massachusetts Institute of Technology
Advisor(s)
Henry Pollakowski.
Date Issued
2006
Publisher
Massachusetts Institute of Technology
Abstract
In this thesis I examine the existence of seasonality in quarterly transaction volume and capital returns in commercial real estate markets from 1984 to 2005, based on MIT's Transaction-Based Index. Evidence is provided that (1) transaction volume distributions in fourth quarter and capital returns distributions on all properties in third quarter have large means relative to the remaining three quarters; (2) there exists 4-quarter lagged systematic seasonality in capital returns on all properties, based on the results from an autocorrelation function.
Description
Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Architecture, 2006.
This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections.
Includes bibliographical references (leaf 39).
Subjects
Architecture.
MIT Department
Massachusetts Institute of Technology. Department of Architecture
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