Eres : Digital Library : Works

Paper eres2007_215:
Commercial Real Estate Return Cycles: Do Capital Flows Matter?

id eres2007_215
authors Ling, David; Jeffrey Fisher & Andy Naranjo
year 2007
title Commercial Real Estate Return Cycles: Do Capital Flows Matter?
source 14th Annual European Real Estate Society Conference in London, UK
summary This paper examines the short- and long-run dynamics among institutional capital flows and returns in private real estate markets. The main tool of analysis we employ is a vector autoregressive (VAR) regression model in which both institutional capital flows and returns are specified as endogenous variables in a two equation simultaneous system and in which we also control for various financial and economic variables. When aggregating across U.S. CBSAs and property types, we find some evidence that both lagged NCREIF returns and lagged NCREIF flows significantly influence current returns. However, these aggregate results mask significant cross-sectional variation across different metropolitan areas and property types. In particular, we provide evidence that our aggregate results are driven by a limited number of large CBSAs. We find no evidence that returns are predictive of future NPI capital flows. We also document that institutional capital are not generally predictive of relative future capital flows.
series ERES:conference
discussion No discussions. Post discussion ...
ratings
session Session D1: Capital Flows and Investment Strategies
last changed 2009/11/19 09:01
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