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Paper eres2001_264:
On demand: Cross-country evidence form Commercial Real Estate Asset Markets

id eres2001_264
authors Riddiough, Timothy J.; Ott Steven and Yi , Ha-Chin; Yoshida, Jiro
year 2001
title On demand: Cross-country evidence form Commercial Real Estate Asset Markets
source 8th European Real Estate Society Conference (26-29 June 2001) Alicante, Spain
summary Using over 25 years of quarterly US and Japanese time series data, this paper examines the determinants of demand for an important class of real assets: commercial real estate. We specify a structural model of market equilibrium that considers direct effects of real investment on built asset price. Our empirical findings are consistent across countries and produce several new results. First, we find that real investment exerts a significant positive direct effect on asset price, which in turn feeds back to impact investment decisions. Second, idiosyncratic risk is found to be strongly positively related to asset price, and to complement supply effects. Third, systematic risk is priced as expected, where the strength of the relation between asset price and systematic risk is found to be higher than in previous studies of capital asset prices. Fourth, lagged values of price determinants (of up to two years) are consistently important in real asset demand estimation. Alternative explanations for our findings are analyzed and discussed. Implications for asset pricing model specification and interpretation are also considered.
series ERES:conference
content file.pdf (185,239 bytes)
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ratings
session Empirical Modelling of Commercial Property Market
last changed 2009/07/10 18:07
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