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What Moves Retail Property Returns at the Metropolitan Level?

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

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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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
Contact details of provider: Web page: http://www.springerlink.com/link.asp?id=102945

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