| This dissertation contains three essays on asymmetric information in real estate markets.; The first essay presents a theoretical model of the decision to disclose property condition defects by real estate brokers. The model describes that the potential costs of disclosure are longer time-on-the-market and a reduced selling price, while the benefit is a reduced legal liability of the broker. The comparative static results of the model predict a number of factors that should influence the broker's decision, including market conditions, insurance, commission structures and the legal environment in which the broker operates.; The second essay examines the topic of agency disclosure based on the results of a recent survey. The findings of this study indicate that there are some problems with the effectiveness of the current practices. In particular, the level of reported agency disclosure is found to vary substantially from one state to the next. In addition, there are particularly vulnerable demographics of the home buying population such as first-time home buyers, Asians, Hispanics and elderly buyers that report disclosure at significantly lower rates than the rest of the population.; The third essay investigates the impact of institutional investment on the turn-of the-month effect, using a sample of REITs over the period 1980 to 2004, because of a tax law change in 1993 which had a dramatic impact on the level of institutional investment in this security class. This study finds that there is a significant change in the turn-of-the-month effect following the rule change and that the level institutional holdings can account for some of this change. In addition, the findings provide support for two popular explanations for the influence of institutional investment: the 'window dressing' and the 'preferred habitat' hypotheses. However, there is some evidence that institutional investors deliberately avoid trading on the last trading day of the month, when the turn-of-the-month effect is the most pronounced. Overall, these findings suggest that institutional investors do have an impact on the turn-of-the-month effect, but it is unlikely that this seasonality is exclusively the result of institutional investment in the market. |
