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Continental Shift? An Analysis of Convergence Trends in European Real Estate Equities

  • Colin Lizieri

    ()

    (University of Reading, Whiteknights, Reading, RG6 6AW UK)

  • Patrick McAllister

    ()

    (University of Reading, Whiteknights, Reading, RG6 6AW UK)

  • Charles Ward

    ()

    (University of Reading, Whiteknights, Reading, RG6 6AW UK)

This paper investigates the effects of European monetary integration on the behavior of stock returns in European real estate companies from the perspective of a dollar-denominated investor. A range of statistical tests is applied to assess changes in segmentation, co-movement and causality. The results suggest that, relative to the wider equity markets, the dispersion of performance is higher, correlations are lower, a common contemporaneous factor has much lower explanatory power whilst lead-lag relationships are stronger. Less and slower integration is attributed to the relatively small size of the real estate securities market and the local nature of many real estate companies’ portfolios.

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Article provided by American Real Estate Society in its journal Journal of Real Estate Research.

Volume (Year): 25 (2003)
Issue (Month): 1 ()
Pages: 1-22

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Handle: RePEc:jre:issued:v:25:n:1:2003:p:1-22
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Order Information: Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
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