Liang Peng

Smeal College of Business, The Pennsylvania State University

University Park

State College, PA 16802

United States

SCHOLARLY PAPERS

29

DOWNLOADS
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Top 2,265

in Total Papers Downloads

12,724

CITATIONS
Rank 3,261

SSRN RANKINGS

Top 3,261

in Total Papers Citations

169

Scholarly Papers (29)

1.

A New Historical Database For The NYSE 1815 To 1925: Performance And Predictability

Yale ICF Working Paper No. 00-13; Yale SOM Working Paper No. ICF - 00-13
Number of pages: 45 Posted: 14 Aug 2000
Yale School of Management - International Center for Finance, Yale School of Management and Smeal College of Business, The Pennsylvania State University
Downloads 3,942 (1,553)
Citation 31

Abstract:

2.

Building A Venture Capital Index

Yale ICF Working Paper No. 00-51
Number of pages: 54 Posted: 30 Aug 2001
Liang Peng
Smeal College of Business, The Pennsylvania State University
Downloads 1,911 (5,878)
Citation 32

Abstract:

Venture Capital, Index Estimation, Repeat Sales Regression, Re-Weighting

3.

Do Individual Investors Learn from Their Trading Experience?

Yale ICF Working Paper No. 03-32
Number of pages: 28 Posted: 15 Nov 2003
Gina Nicolosi, Liang Peng and Ning Zhu
Northern Illinois University, Smeal College of Business, The Pennsylvania State University and China Academy of Financial Research (CAFR)
Downloads 1,219 (12,544)
Citation 24

Abstract:

individual investors, learning, rationality, trading

4.
Downloads 1,042 ( 16,503)
Citation 16

The Subprime Crisis and House Price Appreciation

Yale ICF Working Paper No. 1340577
Number of pages: 46 Posted: 11 Feb 2009
Yale School of Management - International Center for Finance, Smeal College of Business, The Pennsylvania State University and Yale School of Management
Downloads 987 (17,587)
Citation 16

Abstract:

The Subprime Crisis and House Price Appreciation

NBER Working Paper No. w15334
Number of pages: 47 Posted: 15 Sep 2009
Yale School of Management - International Center for Finance, Smeal College of Business, The Pennsylvania State University and Yale School of Management
Downloads 55 (323,726)
Citation 16

Abstract:

The Subprime Crisis and House Price Appreciation

Journal of Real Estate Finance and Economics, Vol. 44, Nos. 1 & 2, 2012
Posted: 29 Nov 2011
Yale School of Management - International Center for Finance, Smeal College of Business, The Pennsylvania State University and Yale School of Management

Abstract:

Mortgage, Subprime, House prices, Expectations

5.

A New Approach of Valuing Illiquid Asset Portfolios

Yale ICF Working Paper No. 00-24
Number of pages: 35 Posted: 08 Feb 2001
Liang Peng
Smeal College of Business, The Pennsylvania State University
Downloads 998 (17,144)
Citation 3

Abstract:

6.
Downloads 499 ( 46,091)
Citation 9

Venture Capital and Sequential Investments

EFA 2009 Bergen Meetings Paper, Cowles Foundation Discussion Paper No. 1682R
Number of pages: 57 Posted: 04 Nov 2008 Last Revised: 20 Feb 2015
Dirk Bergemann, Ulrich Hege and Liang Peng
Yale University - Cowles Foundation - Department of Economics, Toulouse School of Economics and Smeal College of Business, The Pennsylvania State University
Downloads 235 (109,304)
Citation 9

Abstract:

Venture Capital, Sequential investment, Stage financing, Intertemporal returns

Venture Capital and Sequential Investments

Cowles Foundation Discussion Paper No. 1682RR
Number of pages: 65 Posted: 20 Oct 2009
Dirk Bergemann, Ulrich Hege and Liang Peng
Yale University - Cowles Foundation - Department of Economics, Toulouse School of Economics and Smeal College of Business, The Pennsylvania State University
Downloads 164 (153,896)
Citation 9

Abstract:

venture capital, sequential investment, stage financing, intertemporal returns

Venture Capital and Sequential Investments

Cowles Foundation Discussion Paper No. 1682R
Number of pages: 62 Posted: 25 Mar 2009 Last Revised: 15 Mar 2013
Dirk Bergemann, Ulrich Hege and Liang Peng
Yale University - Cowles Foundation - Department of Economics, Toulouse School of Economics and Smeal College of Business, The Pennsylvania State University
Downloads 100 (227,673)
Citation 9

Abstract:

Venture capital, Sequential investment, Stage financing, Intertemporal returns

The Bias of the RSR Estimator and the Accuracy of Some Alternatives

Yale SOM Working Paper No. ICF - 00-27
Number of pages: 37 Posted: 08 Feb 2001
Liang Peng and William N. Goetzmann
Smeal College of Business, The Pennsylvania State University and Yale School of Management - International Center for Finance
Downloads 321 (77,782)
Citation 13

Abstract:

Repeat sales estimators, Real estate index, Simulation

The Bias of the Rsr Estimator and the Accuracy of Some Alternatives

NBER Working Paper No. t0270
Number of pages: 36 Posted: 29 Mar 2001 Last Revised: 29 Sep 2010
Liang Peng and William N. Goetzmann
Smeal College of Business, The Pennsylvania State University and Yale School of Management - International Center for Finance
Downloads 27 (428,210)
Citation 13

Abstract:

Risk and Returns of Commercial Real Estate: A Property Level Analysis

Number of pages: 50 Posted: 15 Aug 2010
Liang Peng
Smeal College of Business, The Pennsylvania State University
Downloads 346 (71,284)

Abstract:

commercial real estate, risk and returns, Monte Carlo simulations

Risk and Returns of Commercial Real Estate: A Property Level Analysis

46th Annual AREUEA Conference Paper
Posted: 01 Dec 2010
Liang Peng
Smeal College of Business, The Pennsylvania State University

Abstract:

9.

On the Choice of Asset Price Indices: Performance Measurement versus Asset Class Analysis

Number of pages: 25 Posted: 03 Dec 2003
Liang Peng
Smeal College of Business, The Pennsylvania State University
Downloads 322 (76,936)

Abstract:

Asset price index, choice of indices, performance measurement, asset class attributes analysis

Price-Volume Correlation in the Housing Market: Causality and Co-Movements

Number of pages: 49 Posted: 18 Mar 2008
Jim Clayton, Norman G. Miller and Liang Peng
University of Connecticut School of Business, University of San Diego - Real Estate Institute and Smeal College of Business, The Pennsylvania State University
Downloads 288 (88,010)
Citation 8

Abstract:

housing market, price volume correlation, trading volume

Price-Volume Correlation in the Housing Market: Causality and Co-Movements

Journal of Real Estate Finance and Economics, Vol. 40, No. 1, 2010
Posted: 26 Sep 2009
Jim Clayton, Liang Peng and Norman G. Miller
University of Connecticut School of Business, Smeal College of Business, The Pennsylvania State University and University of San Diego - Real Estate Institute

Abstract:

housing market, price volume correlation, Granger causality

11.
Downloads 258 ( 99,537)
Citation 2

Repeat Sales Regression on Heterogeneous Properties

Number of pages: 48 Posted: 18 Mar 2008 Last Revised: 19 Sep 2010
Liang Peng
Smeal College of Business, The Pennsylvania State University
Downloads 258 (99,059)
Citation 2

Abstract:

repeat sales regression, heterogeneity, EM algorithm, Chi-square test, Monte Carlo simulation

Repeat Sales Regression on Heterogeneous Properties

Journal of Real Estate Finance and Economics, Vol. 45, No. 3, 2012
Posted: 27 Nov 2012
Liang Peng
Smeal College of Business, The Pennsylvania State University

Abstract:

Repeat sales regression, Heterogeneity, EM algorithm, Chi-square test, Monte Carlo simulation

12.

Estimating Indices in the Presence of Seller Reservation Prices

Yale ICF Working Paper No. 03-05
Number of pages: 49 Posted: 08 Apr 2003
Liang Peng and William N. Goetzmann
Smeal College of Business, The Pennsylvania State University and Yale School of Management - International Center for Finance
Downloads 237 (104,274)
Citation 18

Abstract:

Government Interference and the Efficiency of the Land Market in China

Number of pages: 27 Posted: 23 Aug 2009 Last Revised: 15 Mar 2010
Liang Peng and Thomas G. Thibodeau
Smeal College of Business, The Pennsylvania State University and University of Colorado at Boulder - Leeds School of Business
Downloads 210 (122,301)
Citation 1

Abstract:

land market, government interference, market efficiency

Government Interference and the Efficiency of the Land Market in China

Journal of Real Estate Finance and Economics, Vol. 45, No. 4, 2012
Posted: 29 Nov 2012
Liang Peng and Thomas G. Thibodeau
Smeal College of Business, The Pennsylvania State University and University of Colorado at Boulder - Leeds School of Business

Abstract:

land market, movernment interference, market efficiency

Mortgage Fund Flows, Capital Appreciation, and Real Estate Cycles

Number of pages: 32 Posted: 20 Aug 2009
Marcel Arsenault and Liang Peng
Independent and Smeal College of Business, The Pennsylvania State University
Downloads 195 (131,263)

Abstract:

real estate cycles, commercial real estate, mortgage fund flows, positive feedback loop

Mortgage Fund Flows, Capital Appreciation, and Real Estate Cycles

Journal of Real Estate Finance and Economics, Vol. 47, No. 2, 2013
Posted: 21 Aug 2013
Marcel Arsenault, Jim Clayton and Liang Peng
Independent, University of Connecticut School of Business and Smeal College of Business, The Pennsylvania State University

Abstract:

real estate cycles, commercial real estate, mortgage fund flows, positive feedback loop

15.
Downloads 194 (132,066)
Citation 7

Exploring Metropolitan Housing Price Volatility

Number of pages: 37 Posted: 16 Dec 2003
Norman G. Miller and Liang Peng
University of San Diego - Real Estate Institute and Smeal College of Business, The Pennsylvania State University
Downloads 194 (131,870)
Citation 7

Abstract:

home value appreciation, housing price volatility, metropolitan economy, panel VAR

Exploring Metropolitan Housing Price Volatility

Journal of Real Estate Finance and Economics, Forthcoming
Posted: 14 Nov 2005
Norman G. Miller and Liang Peng
University of San Diego - Real Estate Institute and Smeal College of Business, The Pennsylvania State University

Abstract:

home value appreciation, housing price volatility, urban economy, panel VAR

16.

Time Variation of Liquidity in the Private Real Estate Market: An Empirical Investigation

Journal of Real Estate Research (JRER), Vol. 30, No. 2, 2008
Number of pages: 36 Posted: 24 Jan 2008 Last Revised: 30 Dec 2008
Jim Clayton, Greg H. MacKinnon and Liang Peng
University of Connecticut School of Business, Saint Mary's University, Canada - Department of Finance, Information Systems & Management Science and Smeal College of Business, The Pennsylvania State University
Downloads 99 (188,768)
Citation 4

Abstract:

time variation, market liquidity, valuation strategy, optimal valuation

17.

Risk Segmentation of American Homes

Number of pages: 41 Posted: 23 May 2010
Liang Peng and Thomas G. Thibodeau
Smeal College of Business, The Pennsylvania State University and University of Colorado at Boulder - Leeds School of Business
Downloads 69 (271,283)
Citation 1

Abstract:

18.

The Economic Impact of Anticipated House Price Changes — Evidence from Home Sales

Real Estate Economics, Vol. 39, Issue 2, pp. 345-378, 2011
Number of pages: 34 Posted: 26 May 2011
University of San Diego - Real Estate Institute, Smeal College of Business, The Pennsylvania State University and Collateral Analytics
Downloads 2 (544,851)
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Abstract:

19.

Idiosyncratic Risk of House Prices: Evidence from 26 Million Home Sales

Real Estate Economics, Vol. 45, Issue 2, pp. 340-375, 2017
Number of pages: 36 Posted: 19 Apr 2017
Liang Peng and Thomas G. Thibodeau
Smeal College of Business, The Pennsylvania State University and University of Colorado at Boulder - Leeds School of Business
Downloads 0 (554,999)
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Abstract:

20.

Do Discount Rates Predict Returns and Risk for Private Equity? Evidence from Commercial Real Estate

Number of pages: 41 Posted: 28 Nov 2016 Last Revised: 25 Sep 2017
Liang Peng
Smeal College of Business, The Pennsylvania State University
Downloads 0 (361,687)

Abstract:

Return predictability, risk predictability, cap rats, private equity, and commercial real estate

21.

Interest Rates and Investment: Evidence from Commercial Real Estate

Number of pages: 47 Posted: 15 Jun 2016 Last Revised: 16 Aug 2016
Liang Peng and Thomas G. Thibodeau
Smeal College of Business, The Pennsylvania State University and University of Colorado at Boulder - Leeds School of Business
Downloads 0 (286,553)

Abstract:

interest rate, investment under uncertainty, real options, and commercial real estate

22.

Pricing Mortgages: Endogenous Interest Rate and Leverage

Number of pages: 42 Posted: 04 Mar 2016
Liang Peng
Smeal College of Business, The Pennsylvania State University
Downloads 0 (390,983)

Abstract:

mortgage, interest rate, financial leverage, commercial real estate

The Risk and Return of Commercial Real Estate: A Property Level Analysis

Real Estate Economics, Vol. 44, Issue 3, pp. 555-583, 2016
Number of pages: 29 Posted: 22 Jul 2016
Liang Peng
Smeal College of Business, The Pennsylvania State University
Downloads 0
  • Add to Cart

Abstract:

The Risk and Return of Commercial Real Estate: A Property Level Analysis

Real Estate Economics
Posted: 08 Jan 2015
Liang Peng
Smeal College of Business, The Pennsylvania State University

Abstract:

commercial real estate, risk and return, cross-sectional approach, Monte Carlo simulation

24.

Does the Diversification Potential of Securitized Real Estate Vary Over Time and Should Investors Care?

Journal of Real Estate Finance and Economics, Vol. 47, No. 2, 2013
Posted: 22 Aug 2013
Liang Peng
Smeal College of Business, The Pennsylvania State University

Abstract:

Dynamic conditional correlation, Portfolio allocation, Forecast evaluation

Risk Segmentation of American Homes: Evidence from Denver

Real Estate Economics, Vol. 41, Issue 3, pp. 569-599, 2013
Number of pages: 31 Posted: 14 Sep 2013
Liang Peng and Thomas G. Thibodeau
Smeal College of Business, The Pennsylvania State University and University of Colorado at Boulder - Leeds School of Business
Downloads 0
  • Add to Cart

Abstract:

Risk Segmentation of American Homes: Evidence from Denver

Real Estate Economics, Forthcoming
Posted: 16 May 2012
Thomas G. Thibodeau and Liang Peng
University of Colorado at Boulder - Leeds School of Business and Smeal College of Business, The Pennsylvania State University

Abstract:

home value risk, submarkets

26.

Renovating America: When and Why Institutional Investors Renovate and Expand Commercial Real Estate

46th Annual AREUEA Conference Paper
Posted: 29 Nov 2010
Liang Peng and Thomas G. Thibodeau
Smeal College of Business, The Pennsylvania State University and University of Colorado at Boulder - Leeds School of Business

Abstract:

27.

The Economic Impact of Anticipated House Price Changes – Evidence from Home Sales

Real Estate Economics, Forthcoming
Posted: 31 Aug 2010 Last Revised: 15 Sep 2011
University of San Diego - Real Estate Institute, Smeal College of Business, The Pennsylvania State University and Collateral Analytics

Abstract:

home sales, wealth effect, collateral effect, housing market, vector error correction model, multifactor error structure, panel data

28.

The Economic Impact of Anticipated House Price Changes - Evidence from Home Sales

Posted: 28 May 2010
University of San Diego - Real Estate Institute, Smeal College of Business, The Pennsylvania State University and Collateral Analytics

Abstract:

Housing market, home sales

29.
Downloads 0 (569,319)

House Prices and Economic Growth

Journal of Real Estate Finance and Economics, Forthcoming
Posted: 04 Jul 2009
University of San Diego - Real Estate Institute, Smeal College of Business, The Pennsylvania State University and Collateral Analytics

Abstract:

Economic growth, House prices, Wealth effect, Collateral effect, Common correlated effects estimators, Long horizon predictability

House Prices and Economic Growth

Journal of Real Estate Finance and Economics, Vol. 42, No. 4, 2011
Posted: 02 Feb 2011
University of San Diego - Real Estate Institute, Smeal College of Business, The Pennsylvania State University and Collateral Analytics

Abstract:

Economic growth, House prices, Wealth effect, Collateral effect, Common correlated effects estimators, Long horizon predictability

Other Papers (1)

Total Downloads: 129    Citations: 21
1.

Do Individual Investors Learn from Their Trade Experience?

Journal of Financial Markets, Forthcoming
Number of pages: 34 Posted: 25 Mar 2005 Last Revised: 30 Oct 2008
Gina Nicolosi, Liang Peng and Ning Zhu
Northern Illinois University, Smeal College of Business, The Pennsylvania State University and China Academy of Financial Research (CAFR)
Downloads 120
Citation 21

Abstract:

Learning, rationality, self-attribution, over-confidence, individual investors