The Nature of Listed Real Estate Companies: Property or Equity Market?
Journal
Financial Markets and Portfolio Management
ISSN
1555-4961
ISSN-Digital
1555-497X
Type
journal article
Date Issued
2008-06-01
Author(s)
Abstract
This paper addresses the question of whether shares of public real estate companies should be treated as real estate or as equity investments. Because theoretical considerations do not suffice for making such a classification, we empirically investigate correlation structures and cointegration relationships of private and public real estate and equity markets for the United States and the United Kingdom. Our results suggest that public real estate stocks show similarities to the general stock market with regard to short-term return co-movements. For long-term investment horizons, the interdependence between direct and securitized real estate is much stronger. However, in the latter case, real estate stocks substantially lead the private property markets.
Language
English
HSG Classification
contribution to scientific community
Refereed
Yes
Publisher
Springer
Publisher place
Heidelberg
Volume
22
Number
2
Start page
101
End page
126
Pages
26
Subject(s)
Eprints ID
216332