Pre-Trade Transparency and Return Co-movements in Commercial Real Estate Markets
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.
|Date of creation:||Sep 2015|
|Date of revision:||Jan 2017|
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- 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.
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"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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