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What Moves Retail Property Returns at the Metropolitan Level?

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  • Eppli, Mark J
  • Shilling, James D
  • Vandell, Kerry D

Abstract

In this article the determinants of metropolitan-level appraisal-based retail property returns are examined by estimating a six-equation model of retail construction starts, retail sales, stock-market returns, commercial mortgage rates, inflation, and the logarithm of stock-market volatility. Residuals from these equations are then used to explain actual movements in retail real estate returns. Our empirical procedure looks at both unadjusted and unsmoothed appraisal-based retail real estate returns. The general finding is that unsmoothed appraisal-based retail real estate returns lag significantly behind market conditions. Furthermore, the results suggest that very little of the variation in metropolitan-level appraisal-based retail real estate returns can be explained by macroeconomic news events. Copyright 1998 by Kluwer Academic Publishers

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Bibliographic Info

Article provided by Springer in its journal Journal of Real Estate Finance & Economics.

Volume (Year): 16 (1998)
Issue (Month): 3 (May)
Pages: 317-42

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Handle: RePEc:kap:jrefec:v:16:y:1998:i:3:p:317-42

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Web page: http://www.springerlink.com/link.asp?id=102945

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Cited by:
  1. William G. Hardin III & Marvin L. Wolverton, 2000. "Micro-Market Determinants of Neighborhood Center Rental Rate," Journal of Real Estate Research, American Real Estate Society, vol. 20(3), pages 299-322.
  2. Jonathan Wiley & Douglas Walker, 2011. "Casino Revenues and Retail Property Values: The Detroit Case," The Journal of Real Estate Finance and Economics, Springer, vol. 42(1), pages 99-114, January.
  3. Stephen Malpezzi & James D. Shilling & Yu Yun Jessie Yang, 2001. "The Stock of Private Real Estate Capital in U.S. Metropolitan Areas," Journal of Real Estate Research, American Real Estate Society, vol. 22(3), pages 243-270.
  4. Tracey West & Andrew C. Worthington, 2003. "Macroeconomic risk factors in Australian commercial real estate, listed property trust and property sector stock returns: A comparative analysis using GARCH-M," School of Economics and Finance Discussion Papers and Working Papers Series 160, School of Economics and Finance, Queensland University of Technology.

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