Global Real Estate Markets - Cycles and Fundamentals
The correlations among international real estate markets are surprisingly high, given the degree to which they are segmented. While industrial, office and retail properties exist all around the world, they are not economic substitutes because of locational specificity. In addition, the broad securitization of real estate property companies has, until recently, lagged that of other types of companies. Never-the-less, international property returns move together in dramatic fashion. In this paper, we use eleven years of global property returns to explore the factors influencing this co-movement. We attribute a substantial amount of the correlation across world property markets to the effects of changes in GNP, suggesting that real estate is a bet on fundamental economic variables which are correlated across countries. A decomposition shows that a local production factor is more important in some countries than in others.
|Date of creation:||Feb 2000|
|Contact details of provider:|| Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.|
Web page: http://www.nber.org
More information through EDIRC
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.:
- Eichholtz, Piet M A & Hartzell, David J, 1996. "Property Shares, Appraisals and the Stock Market: An International Perspective," The Journal of Real Estate Finance and Economics, Springer, vol. 12(2), pages 163-178, March.
- Crocker H. Liu & David J. Hartzell & Martin E. Hoesli, 1997.
"International Evidence on Real Estate Securities as an Inflation Hedge,"
Real Estate Economics,
American Real Estate and Urban Economics Association, vol. 25(2), pages 193-221.
- Martin Hoesli, 1993. "International evidence on real estate securities as an inflation hedge," ERES eres1993_108, European Real Estate Society (ERES).
- Piet Eichholtz & Ronald Huisman & Kees Koedijk & Lisa Schuin, 1998. "Continental Factors in International Real Estate Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 26(3), pages 493-509.
- Piet M.A. Eichholtz, 1996. "The Stability of the Covariances of International Property Share Returns," Journal of Real Estate Research, American Real Estate Society, vol. 11(2), pages 149-158.
When requesting a correction, please mention this item's handle: RePEc:nbr:nberwo:7566. 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: ()
If references are entirely missing, you can add them using this form.