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Industrial Real Estate Prices and Market Efficiency

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Abstract

This study employs a multivariate Granger-causality procedure to examine causal relationships between selected economic and financial variables and industrial real estate prices. Empirical results indicate that relationships between several of these variables' lagged values and current values of price exist. We also find a significant relationship between past and current prices.

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  • William L. Attebery & Ronald C. Rutherford & Mark E. Eakin, 1993. "Industrial Real Estate Prices and Market Efficiency," Journal of Real Estate Research, American Real Estate Society, vol. 8(3), pages 377-386.
    • Handle: RePEc:jre:issued:v:8:n:3:1993:p:377-386
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    1. William Rayburn & Michael Devaney & Richard Evans, 1987. "A Test of Weak‐Form Efficiency in Residential Real Estate Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 15(3), pages 220-233, September.
    2. Linneman, Peter, 1986. "An empirical test of the efficiency of the housing market," Journal of Urban Economics, Elsevier, vol. 20(2), pages 140-154, September.
    3. Gau, George W, 1984. "Weak Form Tests of the Efficiency of Real Estate Investment Markets," The Financial Review, Eastern Finance Association, vol. 19(4), pages 301-320, November.
    4. Case, Karl E & Shiller, Robert J, 1989. "The Efficiency of the Market for Single-Family Homes," American Economic Review, American Economic Association, vol. 79(1), pages 125-137, March.
    5. Karl L. Guntermann & Richard L. Smith, 1987. "Efficiency of the Market for Residential Real Estate," Land Economics, University of Wisconsin Press, vol. 63(1), pages 34-45.
    6. 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.
    7. McIntosh, Willard & Henderson, Glenn V, Jr, 1989. "Efficiency of the Office Properties Market," The Journal of Real Estate Finance and Economics, Springer, vol. 2(1), pages 61-70, February.
    8. George W. Gau, 1987. "Efficient Real Estate Markets: Paradox or Paradigm?†," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 15(2), pages 1-12, June.
    9. George W. Gau, 1985. "Public Information and Abnormal Returns in Real Estate Investment," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 13(1), pages 15-31, March.
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    Cited by:

    1. Robert Thompson & Sotiris Tsolacos, 2000. "Projections in the Industrial Property Market using a Simultaneous Equation System," Journal of Real Estate Research, American Real Estate Society, vol. 19(2), pages 165-188.
    2. Thomas O. Jackson, 2002. "Environmental Contamination and Industrial Real Estate Prices," Journal of Real Estate Research, American Real Estate Society, vol. 23(1/2), pages 179-200.
    3. Noriko Ashiya, 2015. "Determinants of Potential Seller/Lessee Benefits in Sale¡VLeaseback Transactions," International Real Estate Review, Global Social Science Institute, vol. 18(1), pages 89-112.
    4. An, Xudong & Deng, Yongheng & Gabriel, Stuart A., 2011. "Asymmetric information, adverse selection, and the pricing of CMBS," Journal of Financial Economics, Elsevier, vol. 100(2), pages 304-325, May.
    5. Eli Beracha & Hilla Skiba, 2011. "Momentum in Residential Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 43(3), pages 299-320, October.
    6. Bob Thompson & Sotiris Tsolacos, 2001. "Industrial Land Values — A Guide to Future Markets?," Journal of Real Estate Research, American Real Estate Society, vol. 21(1/2), pages 55-76.
    7. Bob Thompson & Sotiris Tsolacos, 1999. "Rent Adjustments and Forecasts in the Industrial Market," Journal of Real Estate Research, American Real Estate Society, vol. 17(2), pages 151-168.
    8. Stefania Tonin & Margherita Turvani, 2011. "Environmental contamination and industrial real estate market: an application of hedonic price method in Italy," ERSA conference papers ersa10p511, European Regional Science Association.
    9. Daniel Lo & Yung Yau & Michael McCord & Martin Haran, 2022. "Dynamics between Direct Industrial Real Estate and the Macroeconomy: An Empirical Study of Hong Kong," Land, MDPI, vol. 11(10), pages 1-23, September.
    10. Shengfu Yang & Shougeng Hu & Weidong Li & Chuanrong Zhang & Dongdong Song, 2020. "Spatio-Temporal Nonstationary Effects of Impact Factors on Industrial Land Price in Industrializing Cities of China," Sustainability, MDPI, vol. 12(7), pages 1-17, April.
    11. Kim Hin David Ho & Satyanarain Rengarajan, 2017. "Industrial Real Estate Market Dynamics in Singapore: A VAR Approach," International Real Estate Review, Global Social Science Institute, vol. 20(4), pages 417-450.

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    JEL classification:

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

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