Seasonality in commercial real estate transaction volume and capital returns
Author(s)Wang, Xiaohu, S.M. Massachusetts Institute of Technology
Massachusetts Institute of Technology. Dept. of Architecture.
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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.
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).
DepartmentMassachusetts Institute of Technology. Dept. of Architecture.
Massachusetts Institute of Technology