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Global Real Estate Markets: Cycles And Fundamentals

  • William N. Goetzmann

    ()

    (Yale University, School of Management)

  • Bradford Case

    ()

    (Monetary and Financial Studies Section)

  • K. Geert Rouwenhorst

    ()

    (School of Management)

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.

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Paper provided by Yale School of Management in its series Yale School of Management Working Papers with number ysm116.

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Date of creation: 05 Apr 1999
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Handle: RePEc:ysm:somwrk:ysm116
Contact details of provider: Web page: http://icf.som.yale.edu/

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  1. 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.
  2. Hoesli, Martin, 1993. "International evidence on real estate securities as an inflation hedge," ERES eres1993_108, European Real Estate Society (ERES).
  3. 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.
  4. 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 163-78, March.
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