Author Page for Liang Peng

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

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 4,341 (1,871)

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 2,022 (6,897)

Abstract:

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 1,255 (15,012)

Abstract:

4.

The Subprime Crisis and House Price Appreciation

Downloads 1,056 ( 19,493)

3

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 999 (20,843)

Abstract:

The Subprime Crisis and House Price Appreciation

NBER Working Paper No. w15334

Number of pages: 47 Posted: 15 Sep 2009 Last Revised: 12 Oct 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 57 (364,517)

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

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

Abstract:

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 1,035 (20,065)

Abstract:

6.

Venture Capital and Sequential Investments

Downloads 555 ( 47,609)

3

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 274 (108,588)

Abstract:

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 170 (172,855)

Abstract:

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 111 (243,560)

Abstract:

7.

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

Downloads 386 ( 74,453)

2

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 386 (73,766)

Abstract:

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:

8.

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

Downloads 355 ( 82,039)

2

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 328 (89,182)

Abstract:

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 (486,761)

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 330 (89,165)

Abstract:

10.

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

Downloads 313 ( 94,535)

2

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 313 (93,984)

Abstract:

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:

11.

Repeat Sales Regression on Heterogeneous Properties

Downloads 267 (112,064)

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 267 (111,539)

Abstract:

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:

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 251 (119,563)

Abstract:

13.

Government Interference and the Efficiency of the Land Market in China

Downloads 234 (128,354)

2

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 234 (127,864)

Abstract:

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:

14.

Mortgage Fund Flows, Capital Appreciation, and Real Estate Cycles

Downloads 205 (145,689)

2

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 205 (145,485)

Abstract:

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:

15.

Exploring Metropolitan Housing Price Volatility

Downloads 204 (146,391)

2

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 204 (146,205)

Abstract:

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:

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 146 (196,309)

Abstract:

17.

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 87 (284,768)

Abstract:

18.

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 80 (299,606)

Abstract:

19.

Is Risk of Real Estate Predictable?

Number of pages: 44 Posted: 28 Nov 2016 Last Revised: 01 Nov 2018

Liang Peng

Smeal College of Business, The Pennsylvania State University

Downloads 69 (325,905)

Abstract:

20.

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 42 (409,170)

Abstract:

21.

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 2 (625,444)

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Abstract:

22.

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 (637,860)

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Abstract:

23.

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

Downloads 0 (655,960)

2

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

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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:

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:

25.

Risk Segmentation of American Homes: Evidence from Denver

Downloads 0 (655,960)

2

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

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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:

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

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:

28.

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

Abstract:

29.

House Prices and Economic Growth

Downloads 0 (655,960)

2

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

Abstract:

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

Liang Peng

Smeal College of Business, The Pennsylvania State University

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Scholarly Papers (29)

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

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

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

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Risk Segmentation of American Homes: Evidence from Denver

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Other Papers (1)

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