Time-varying Macroeconomic Risk of Real Estate Returns
||Kroencke, Tim A.; Felix Schindler; Bertram I. Steininger
||Time-varying Macroeconomic Risk of Real Estate Returns
||23rd Annual European Real Estate Society Conference in Regensburg, Germany
||Macroeconomic risks have a huge effect on the economy in general and on both stock and real estate market in particular. Studies assume that across all U.S. stocks around 60% of the cumulative annual excess returns are earned on announcement days of important macroeconomic factors. However, according to the efficient-market hypothesis, in the majority of cases the surprise component -- the unexpected part -- of macroeconomic news should have an influence on the daily excess returns. We find that real estate returns are much less exposed to the risk of macroeconomic announcement days than stocks and bonds in the U.S. In the U.K., we are not able to find statistically significant differences of the daily excess returns for stocks, bonds, or real estate. Digging deeper, we find that mostly surprise components of retail sales and unemployment rate are statistically significant linked with real estate returns. Nonetheless their impact changed after 2009 and their signs are different in the U.S. and the U.K. Properties in the U.K. show a negative link to unexpected inflation over the whole sample, whereas in the U.S., this only partly applies before 2009.
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||Real Estate Investment
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