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Pre-Trade Transparency and Return Co-movements in Commercial Real Estate Markets

Listed author(s):
  • Fuess, Roland

    ()

  • Ruf, Daniel

    ()

This paper examines the effect of pre-trade transparency on return co-movements in international commercial real estate. We introduce a reference portfolio as a market's individual return benchmark. For each property market, the portfolio includes all markets with a higher pre-trade transparency. Their proximity in transparency levels imposes a learning-based linkage mechanism. A large variation in excess returns is explained by the risk exposure to the reference portfolio. Through the implied transmission channel, spillover and feedback effects arise from local shocks and lead to co-movements across real estate markets. Specifically, cultural familiarity allows investors to overcome the limited pre-trade transparency.

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File URL: http://ux-tauri.unisg.ch/RePEc/usg/sfwpfi/WPF-1520.pdf
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Paper provided by University of St. Gallen, School of Finance in its series Working Papers on Finance with number 1520.

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Length: 49 pages
Date of creation: Sep 2015
Date of revision: Jan 2017
Handle: RePEc:usg:sfwpfi:2015:20
Contact details of provider: Phone: +41 71 243 40 11
Fax: +41 71 243 40 40
Web page: http://www.unisg.ch/de/universitaet/schools/finance

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  1. Judson A. Caskey, 2009. "Information in Equity Markets with Ambiguity-Averse Investors," Review of Financial Studies, Society for Financial Studies, vol. 22(9), pages 3595-3627, September.
  2. John C. Driscoll & Aart C. Kraay, 1998. "Consistent Covariance Matrix Estimation With Spatially Dependent Panel Data," The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 549-560, November.
  3. Mele, Antonio & Sangiorgi, Francesco, 2009. "Ambiguity, information acquisition and price swings in asset markets," LSE Research Online Documents on Economics 24424, London School of Economics and Political Science, LSE Library.
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