Cointegration of real estate stocks and REITs with common stocks, bonds and consumer price inflation: an international comparison
This paper analyses the performance of real estate securities and their relationship to other asset classes as well as to consumer price inflation in an international comparison over the period from 1990 to 2004. The analysis focuses on the long run relationships, applying three different cointegration tests. It covers the US, Canada, Australia, Japan, the Netherlands, Belgium, France and Germany. Results show that real estate securities in most countries had a high performance in nominal and real terms. The average performance over the whole period (1990 – 2004) has been particularly high in capital market oriented countries in the sample (US, Australia), and also in France. Real estate securities have outperformed bond markets on a risk adjusted basis only in the US and in Australia, while an outperformance of stock markets can be observed also in Japan and France. Particularly in the period 2001 to 2004 real estate security market have soared in most countries with the notable exception of Germany. In general, real estate securities seem to represent an asset class distinct from bonds and stocks in most countries. In the long run they seem provide a potential for further diversification of asset portfolios. Additionally, real estate stocks provide a (weak) hedge against consumer price inflation in almost every country.
|Date of creation:||2006|
|Date of revision:|
|Contact details of provider:|| Postal: L 7,1; D - 68161 Mannheim|
Web page: http://www.zew.de/
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.:
- Severine Cauchie & Martin Hoesli, 2004.
"The integration of securitized real estate and financial assets,"
eres2004_574, European Real Estate Society (ERES).
- Séverine CAUCHIE & Martin HOESLI, 2004. "The Integration of Securitized Real Estate and Financial Assets," FAME Research Paper Series rp111, International Center for Financial Asset Management and Engineering.
- John Okunev & Pat Wilson, 1995.
"Using Non-Linear Tests to Examine Integration Between Real Estate and Equity Markets,"
Working Paper Series
47, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- John Okunev & Patrick J. Wilson, 1997. "Using Nonlinear Tests to Examine Integration Between Real Estate and Stock Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 25(3), pages 487-503.
- Colin Lizieri & Patrick McAllister & Charles Ward, 2003. "Continental Shift? An Analysis of Convergence Trends in European Real Estate Equities," Journal of Real Estate Research, American Real Estate Society, vol. 25(1), pages 1-22.
- Martin Hoesli, 1993.
"International evidence on real estate securities as an inflation hedge,"
eres1993_108, European Real Estate Society (ERES).
- 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.
- MacKinnon, James G, 1996.
"Numerical Distribution Functions for Unit Root and Cointegration Tests,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 11(6), pages 601-18, Nov.-Dec..
- James G. MacKinnon, 1995. "Numerical Distribution Functions for Unit Root and Cointegration Tests," Working Papers 918, Queen's University, Department of Economics.
- Raimond Maurer & Steffen Sebastian, 2002.
"Inflation Risk Analysis of European Real Estate Securities,"
Working Paper Series: Finance and Accounting
51, Department of Finance, Goethe University Frankfurt am Main.
- Raimond Mauer & Steffen P. Sebastian, 2002. "Inflation Risk Analysis of European Real Estate Securities," Journal of Real Estate Research, American Real Estate Society, vol. 24(1), pages 47-78.
- Maurer, Raimond & Sebastian, Steffen, 2000. "Inflation Risk Analysis of European Real Estate Securities," Sonderforschungsbereich 504 Publications 00-07, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
- Fama, Eugene F. & Schwert, G. William, 1977. "Asset returns and inflation," Journal of Financial Economics, Elsevier, vol. 5(2), pages 115-146, November.
- F.C. Neil Myer & James R. Webb, 1994. "Retail Stocks, Retail REITs, and Retail Real Estate," Journal of Real Estate Research, American Real Estate Society, vol. 9(1), pages 65-84.
- Neil R. Ericsson & James G. MacKinnon, 2002.
"Distributions of error correction tests for cointegration,"
Royal Economic Society, vol. 5(2), pages 285-318, 06.
- Neil R. Ericsson & James G. MacKinnon, 2000. "Distributions of Error Correction Tests for Cointegration," Econometric Society World Congress 2000 Contributed Papers 0561, Econometric Society.
- Neil R. Ericsson & James G. MacKinnon, 1999. "Distributions of error correction tests for cointegration," International Finance Discussion Papers 655, Board of Governors of the Federal Reserve System (U.S.).
- 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.
When requesting a correction, please mention this item's handle: RePEc:zbw:zewdip:5451. 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: (ZBW - German National Library of Economics)
If references are entirely missing, you can add them using this form.