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Paper eres2013_145:
Do Public Real Estate Returns Really Lead Private Returns?

id eres2013_145
authors Oikarinen, Elias; Martin Hoesli, Camilo Serrano
year 2013
title Do Public Real Estate Returns Really Lead Private Returns?
source Book of Proceedings of 20th Annual European Real Estate Society Conference in Vienna, Austria (ISBN: 978-3-85437-323-0), pp. 189-218
summary We use sector level REIT and transaction-based direct real estate data for the period 1994-2010 to provide a clearer understanding of the dynamic relations between public and private real estate returns. We add leverage to private returns to make the private data more comparable with the REIT data. We also include economic fundamentals in the analysis to take account of the influence of fundamentals on real estate market dynamics. Moreover, we consider the influence of the 'escrow lag' in the recording of private market prices. The estimated vector error-correction and vector autoregressive models, Granger causality tests, impulse response functions and variance decompositions all provide evidence of REIT returns leading private returns in the office, retail, and apartment sectors. These lead-lag relations appear to be due to the slow reaction of private market returns to shocks in REIT returns and in some economic fundamentals. In the industrial sector, such lead-lag relation cannot be observed, however.
keywords Direct real estate, Securitized real estate, Vector error-correction models, Generalized impulse response function, Escrow lag
series ERES:conference
type paper session
content file.pdf (1,616,312 bytes)
discussion No discussions. Post discussion ...
session Z-4: Panels
last changed 2014/10/21 21:51
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