Seasonality in commercial real estate transaction volume and capital returns

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.

Department dc:contributor.department

Massachusetts Institute of Technology. Department of Architecture

Grantor dc:publisher

Massachusetts Institute of Technology

Year dc:date.issued

2006

Author dc:creator

• Wang, Xiaohu, S.M. Massachusetts Institute of Technology

Advisor dc:contributor.advisor

• Henry Pollakowski.

• Architecture.

Statement dc:rights

• M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission.

Licence dc:rights.uri

• http://dspace.mit.edu/handle/1721.1/37448
• http://dspace.mit.edu/handle/1721.1/7582

Language dc:language.iso

eng

Identifier URI

http://dspace.mit.edu/handle/1721.1/37448

OAI identifier oai:identifier

oai:dspace.mit.edu:1721.1/37448