A Transfer Function Analysis of Real Estate Capitalization Rates
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.
Volume (Year): 5 (1990)
Issue (Month): 3 ()
|Contact details of provider:|| Postal: |
Web page: http://www.aresnet.org/
|Order Information:|| Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323|
Web: http://pages.jh.edu/jrer/about/get.htm Email:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- 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.
- 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.
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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (JRER Graduate Assistant/Webmaster)
If references are entirely missing, you can add them using this form.