Response speeds of direct and securitized real estate to shocks in the fundamentals
AbstractThis paper contributes to the literature by identifying the response patterns of direct and indirect real estate returns to shocks in the market fundamentals. The response speeds are estimated with vector autoregressive models using TBI and NAREIT returns for the period 1994-2009 in the United States. To avoid the potential influence of different property mixes and of leverage on the dynamics, we use sector level data and deleveraged NAREIT returns. The findings indicate that REIT returns lead direct real estate returns even when catering for the property type and for leverage. Our estimations suggest that this lead-lag relationship is due to the sluggish reaction of direct real estate prices to unexpected changes both in the fundamentals and in REIT prices. The findings further suggest that the perceived lead-lag relations are not only due to the slow adjustment of sellers' reservation prices, but also due to the sluggish reaction of demand in the direct real estate market.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Aboa Centre for Economics in its series Discussion Papers with number 60.
Date of creation: Oct 2010
Date of revision:
Vector Autoregressive Models; Generalized Impulse Response Functions; Direct Real Estate; Securitized Real Estate; Dynamics;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
This paper has been announced in the following NEP Reports:
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Hoesli, Martin & Oikarinen, Elias, 2012. "Are REITs real estate? Evidence from international sector level data," Journal of International Money and Finance, Elsevier, vol. 31(7), pages 1823-1850.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Aleksandra Maslowska).
If references are entirely missing, you can add them using this form.