Liang Peng

Smeal College of Business, The Pennsylvania State University

University Park

State College, PA 16802

United States

  • Smeal College of Business, The Pennsylvania State University

SCHOLARLY PAPERS

31

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135

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126

Scholarly Papers (31)

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1.

A New Historical Database for the NYSE 1815 to 1925: Performance and Predictability

Number of pages: 45 Posted: 14 Aug 2000
William N. Goetzmann, Roger G. Ibbotson and Liang Peng
Yale School of Management - International Center for Finance, Yale School of Management and Smeal College of Business, The Pennsylvania State University
Downloads 4,644 (2,813)
Citation 34

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2.

Building a Venture Capital Index

Number of pages: 54 Posted: 30 Aug 2001
Liang Peng
Smeal College of Business, The Pennsylvania State University
Downloads 2,125 (10,250)
Citation 40

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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 1,289 (22,299)
Citation 40

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individual investors, learning, rationality, trading

4.

The Subprime Crisis and House Price Appreciation

Downloads 1,078 ( 28,929)
Citation 8

The Subprime Crisis and House Price Appreciation

Yale ICF Working Paper No. 1340577
Number of pages: 46 Posted: 11 Feb 2009
William N. Goetzmann, Liang Peng and Jacqueline Yen
Yale School of Management - International Center for Finance, Smeal College of Business, The Pennsylvania State University and Yale School of Management
Downloads 1,011 (31,283)
Citation 8

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The Subprime Crisis and House Price Appreciation

NBER Working Paper No. w15334
Number of pages: 47 Posted: 15 Sep 2009 Last Revised: 27 May 2022
William N. Goetzmann, Liang Peng and Jacqueline Yen
Yale School of Management - International Center for Finance, Smeal College of Business, The Pennsylvania State University and Yale School of Management
Downloads 67 (464,231)

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The Subprime Crisis and House Price Appreciation

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

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Mortgage, Subprime, House prices, Expectations

5.

A New Approach of Valuing Illiquid Asset Portfolios

Number of pages: 35 Posted: 08 Feb 2001
Liang Peng
Smeal College of Business, The Pennsylvania State University
Downloads 1,053 (29,959)
Citation 6

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6.

Venture Capital and Sequential Investments

Downloads 613 ( 62,246)
Citation 19

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: 10 Dec 2019
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 314 (135,382)
Citation 11

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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 176 (237,040)
Citation 15

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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 123 (316,518)

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Venture capital, Sequential investment, Stage financing, Intertemporal returns

7.

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

Downloads 449 ( 91,280)

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 449 (90,480)

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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

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8.

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

Downloads 375 (112,303)
Citation 2

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

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 341 (124,076)
Citation 3

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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: 30 Mar 2022
Liang Peng and William N. Goetzmann
Smeal College of Business, The Pennsylvania State University and Yale School of Management - International Center for Finance
Downloads 34 (627,591)

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9.

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

Downloads 366 (115,434)
Citation 11

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 366 (114,592)
Citation 11

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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

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housing market, price volume correlation, Granger causality

10.

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 334 (127,654)

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

11.

Repeat Sales Regression on Heterogeneous Properties

Downloads 274 (156,641)

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 274 (155,942)
Citation 3

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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

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

12.

Estimating Indices in the Presence of Seller Reservation Prices

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 258 (166,514)
Citation 2

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13.

Government Interference and the Efficiency of the Land Market in China

Downloads 241 (177,903)

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 241 (177,405)
Citation 7

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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

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land market, movernment interference, market efficiency

14.

Exploring Metropolitan Housing Price Volatility

Downloads 218 (195,720)

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 218 (195,461)
Citation 9

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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

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

15.

Mortgage Fund Flows, Capital Appreciation, and Real Estate Cycles

Downloads 216 (197,357)

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 216 (197,098)
Citation 7

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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

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

16.

The Cap Rate Premium Puzzle

Number of pages: 41 Posted: 28 Nov 2016 Last Revised: 21 Aug 2021
Liang Peng
Smeal College of Business, The Pennsylvania State University
Downloads 166 (248,818)
Citation 2

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Real estate, return and risk, predictability, cap rates

17.

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 164 (251,400)

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time variation, market liquidity, valuation strategy, optimal valuation

18.

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 121 (318,788)
Citation 1

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

19.

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 85 (401,569)
Citation 1

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20.

How Different Is Real Estate? A Story of Factors

Number of pages: 52 Posted: 14 Oct 2020
Liang Peng
Smeal College of Business, The Pennsylvania State University
Downloads 67 (458,218)

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Real estate, risk premium, factors

21.

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 50 (525,412)

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mortgage, interest rate, financial leverage, commercial real estate

22.

Divergence of House Prices in the United States: 2000 to 2015

Number of pages: 44 Posted: 01 Oct 2020
Liang Peng and Lei Zhang
Smeal College of Business, The Pennsylvania State University and North Dakota State University
Downloads 43 (558,258)

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house price, price appreciation, divergence

23.

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
Norman G. Miller, Liang Peng and Michael Sklarz
University of San Diego - Real Estate Institute, Smeal College of Business, The Pennsylvania State University and Collateral Analytics
Downloads 3 (865,816)
Citation 1

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24.

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 1 (893,458)
Citation 2

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25.

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

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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
Citation 5

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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

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

26.

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

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Dynamic conditional correlation, Portfolio allocation, Forecast evaluation

27.

Risk Segmentation of American Homes: Evidence from Denver

Downloads 0 (910,098)

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
Citation 1

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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

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home value risk, submarkets

28.

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

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29.

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
Norman G. Miller, Liang Peng and Michael Sklarz
University of San Diego - Real Estate Institute, Smeal College of Business, The Pennsylvania State University and Collateral Analytics

Abstract:

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

30.

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

Posted: 28 May 2010
Norman G. Miller, Liang Peng and Michael Sklarz
University of San Diego - Real Estate Institute, Smeal College of Business, The Pennsylvania State University and Collateral Analytics

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Housing market, home sales

31.

House Prices and Economic Growth

Downloads 0 (910,098)

House Prices and Economic Growth

Journal of Real Estate Finance and Economics, Forthcoming
Posted: 04 Jul 2009
Norman G. Miller, Liang Peng and Michael Sklarz
University of San Diego - Real Estate Institute, Smeal College of Business, The Pennsylvania State University and Collateral Analytics

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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
Norman G. Miller, Liang Peng and Michael Sklarz
University of San Diego - Real Estate Institute, Smeal College of Business, The Pennsylvania State University and Collateral Analytics

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

Other Papers (1)

Total Downloads: 150
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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 150

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