IDEAS home Printed from https://ideas.repec.org/a/jre/issued/v5n31990p371-380.html
   My bibliography  Save this article

A Transfer Function Analysis of Real Estate Capitalization Rates

Author

Abstract

A national multifamily and nonresidential real estate capitalization rate shows sensitivity to the analogous earnings/price ratio aggregated from the stock market. Both time series seen to have the same ARIMA characteristics. However, a transfer function analysis indicates that the sensitivity comes with a one quarter lag. Thus, even sophisticated real estate investors seem slow to adjust to changes in business cycle and monetary conditions that cause quicker changes in the stock market.

Suggested Citation

  • Richard D. Evans, 1990. "A Transfer Function Analysis of Real Estate Capitalization Rates," Journal of Real Estate Research, American Real Estate Society, vol. 5(3), pages 371-380.
    • Handle: RePEc:jre:issued:v:5:n:3:1990:p:371-380
    as

    Download full text from publisher

    File URL: http://pages.jh.edu/jrer/papers/pdf/past/vol05n03/v05p371.pdf
    File Function: Full text
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. George W. Gau & Ko Wang, 1990. "A Further Examination of Appraisal Data and the Potential Bias in Real Estate Return Indexes," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 18(1), pages 40-48, March.
    2. S. Michael Giliberto, 1988. "A Note on the use of Appraisal Data in Indexes of Performance Measurement," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 16(1), pages 77-83, March.
    3. Darrat, Ali F & Glascock, John L, 1989. "Real Estate Returns, Money and Fiscal Deficits: Is the Real Estate Market Efficient?," The Journal of Real Estate Finance and Economics, Springer, vol. 2(3), pages 197-208, September.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. John McDonald & Sofia Dermisi, 2009. "Office Building Capitalization Rates: The Case of Downtown Chicago," The Journal of Real Estate Finance and Economics, Springer, vol. 39(4), pages 472-485, November.
    2. Das, Prashant & Füss, Roland & Hanle, Benjamin & Russ, Isabel Nina, 2020. "The cross-over effect of irrational sentiments in housing, commercial property, and stock markets," Journal of Banking & Finance, Elsevier, vol. 114(C).
    3. Daisy J. Huang & Charles Ka Yui Leung & Chung-Yi Tse, 2018. "What Accounts for the Differences in Rent-Price Ratio and Turnover Rate? A Search-and-Matching Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 57(3), pages 431-475, October.
    4. Doina Chichernea & Norm Miller & Jeff Fisher & Bob White & Michael Sklarz, 2008. "ACross-Sectional Analysis of CapRates by MSA," Journal of Real Estate Research, American Real Estate Society, vol. 30(3), pages 249-292.
    5. Brent W. Ambrose & Hugh O. Nourse, 1993. "Factors Influencing Capitalization Rates," Journal of Real Estate Research, American Real Estate Society, vol. 8(2), pages 221-238.
    6. Zahra Saderion & Barton Smith & Charles A. Smith, 1994. "An Integrated Approach to the Evaluation of Commercial Real Estate," Journal of Real Estate Research, American Real Estate Society, vol. 9(2), pages 151-168.
    7. Patric H. Hendershott & Bryan D. MacGregor, 2003. "Investor Rationality: Evidence from UK Property Capitalization Rates," NBER Working Papers 9894, National Bureau of Economic Research, Inc.
    8. Alain Chaney & Martin Hoesli, 2015. "Transaction-Based and Appraisal-Based Capitalization Rate Determinants," International Real Estate Review, Global Social Science Institute, vol. 18(1), pages 1-43.
    9. Jun Li & Xiaoli Liang, 2020. "Beyond the Cap Rate: Valuation of Multifamily Properties," The Journal of Real Estate Finance and Economics, Springer, vol. 60(1), pages 99-110, February.
    10. G. Donald Jud & Daniel T. Winkler, 1995. "The Capitalization Rate of Commercial Properties and Market Returns," Journal of Real Estate Research, American Real Estate Society, vol. 10(5), pages 509-518.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Mukesh K. Chaudhry & Rohan A. Christie-David & William H. Sackley, 1999. "Long-Term Structural Price Relationships in Real Estate Markets," Journal of Real Estate Research, American Real Estate Society, vol. 18(2), pages 335-354.
    2. Waldo L. Born & Stephen A. Pyhrr, 1994. "Real Estate Valuation: The Effect of Market and Property Cycles," Journal of Real Estate Research, American Real Estate Society, vol. 9(4), pages 455-486.
    3. Darrat, Ali F & Glascock, John L, 1993. "On the Real Estate Market Efficiency," The Journal of Real Estate Finance and Economics, Springer, vol. 7(1), pages 55-72, July.
    4. Martin Hoesli & Colin Lizieri & Bryan MacGregor, 2008. "The Inflation Hedging Characteristics of US and UK Investments: A Multi-Factor Error Correction Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 36(2), pages 183-206, February.
    5. Mahamitra Das & Nityananda Sarkar, 2020. "Revisiting the Anomalous Relationship between Inflation and Real Estate Investment Trust Returns in Presence of Structural Breaks: Empirical Evidence from the USA and the UK," International Journal of Economics and Financial Issues, Econjournals, vol. 10(1), pages 250-258.
    6. Gwangheon Hong & Bong Lee, 2013. "Does Inflation Illusion Explain the Relation between REITs and Inflation?," The Journal of Real Estate Finance and Economics, Springer, vol. 47(1), pages 123-151, July.
    7. Peijie Wang & Colin Lizieri & George Matysiak, 1997. "Information asymmetry, long-run relationship and price discovery in property investment markets," The European Journal of Finance, Taylor & Francis Journals, vol. 3(3), pages 261-275.
    8. Das, Mahamitra & Sarkar, Nityananda, 2019. "Revisiting the Anomalous Relationship between Inflation and REIT Returns in Presence of Structural Breaks: Empirical Evidence from the USA and the UK," MPRA Paper 95130, University Library of Munich, Germany, revised 05 Nov 2019.
    9. K.W. Chau, 1997. "Political Uncertainty and the Real Estate Risk Premiums in Hong Kong," Journal of Real Estate Research, American Real Estate Society, vol. 13(3), pages 297-316.
    10. Das, Mahamitra & Sarkar, Nityananda, 2017. "Re-investigating the anomalous relationship between inflation and equity REIT returns: A regime-switching approach," MPRA Paper 95135, University Library of Munich, Germany, revised 05 Nov 2018.
    11. William B. Brueggeman & A.H. Chen & T.G. Thibodeau, 1992. "Some Additional Evidence on the Performance of Commingled Real Estate Investment Funds," Journal of Real Estate Research, American Real Estate Society, vol. 7(4), pages 433-448.
    12. Ying Hao & Hsiang-Hui Chu & Kuan-Cheng Ko & Lin Lin, 2016. "Momentum Strategies and Investor Sentiment in the REIT Market," International Review of Finance, International Review of Finance Ltd., vol. 16(1), pages 41-71, March.
    13. G. Donald Jud & John D. Benjamin & G. Stacy Sirmans, 1996. "What Do We Know about Apartments and Their Markets?," Journal of Real Estate Research, American Real Estate Society, vol. 11(3), pages 243-258.
    14. Robert Edelstein & Daniel Quan, 2006. "How Does Appraisal Smoothing Bias Real Estate Returns Measurement?," The Journal of Real Estate Finance and Economics, Springer, vol. 32(1), pages 41-60, February.
    15. Gunther Maier & Shanaka Herath, 2009. "Real Estate Market Efficiency: A Survey of Literature," SRE-Disc sre-disc-2009_07, Institute for Multilevel Governance and Development, Department of Socioeconomics, Vienna University of Economics and Business.
    16. Stanley D. Smith & Larry R. Woodward & Craig T. Schulman, 2000. "The Effect of the Tax Reform Act of 1986 and Overbuilt Markets on Commercial Office Property Values," Journal of Real Estate Research, American Real Estate Society, vol. 19(3), pages 301-320.
    17. Chyi Lin Lee & Ming-Long Lee, 2012. "Do European real estate stocks hedge inflation? Evidence from developed and emerging markets," ERES eres2012_155, European Real Estate Society (ERES).
    18. David C. Ling & Andy Naranjo, 1999. "The Integration of Commercial Real Estate Markets and Stock Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 27(3), pages 483-515, September.
    19. Sampagnaro, Gabriele & Battaglia, Francesca, 2010. "Reliability and Heterogeneity of Real Estate Indexes and their Impact on the Predictability of Returns," MPRA Paper 23378, University Library of Munich, Germany.
    20. Justin D. Benefield & Randy I. Anderson & Leonard V. Zumpano, 2009. "Performance differences in property‐type diversified versus specialized real estate investment trusts (REITs)," Review of Financial Economics, John Wiley & Sons, vol. 18(2), pages 70-79, April.

    More about this item

    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:jre:issued:v:5:n:3:1990:p:371-380. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: JRER Graduate Assistant/Webmaster (email available below). General contact details of provider: http://www.aresnet.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.