This paper investigates the role of fundamentals and investor sentiment in commercial real estate valuation. In real estate markets, heterogeneous properties trade in illiquid, highly segmented and informationally inefficient local markets. Moreover, the inability to short sell private real...

This study examines the effects of weekly and monthly capital flows into the dedicated REIT mutual fund sector on aggregate REIT returns and, simultaneously, the effects of industry-level REIT returns on subsequent REIT mutual fund flows. The dynamic relation between REIT capital flows and...

This paper investigates the return performance of publicly traded real estate companies. The analysis spans the 1984 to 1999 time period and includes return data on over 600 companies in 28 countries. The return data reveal a substantial amount of variation in mean real estate returns and...

This paper presents evidence on predictability of excess returns for equity REITs relative to the aggregate stock market, small capitalization stocks, and T-bills using best fit models from prior time periods. We find that excess equity REIT returns are far less predictable out-of-sample than...

A great deal of research has focused on the linkages between stock and bond market returns and macroeconomic events such as fluctuations in interest rates, inflation rates and industrial production. Although the comovements of real estate and other asset prices suggests that these same...

A great deal of research has focused on the linkages between stock and bond market returns and macroeconomic events such as fluctuations in interest rates, inflation rates and industrial production. Although the comovements of real estate and other asset prices suggests that these same...

This paper investigates the role of fundamentals and investor sentiment in commercial real estate valuation. In real estate markets, heterogeneous properties trade in illiquid, highly segmented and informationally inefficient local markets. Moreover, the inability to short sell private real...

This paper tests whether commercial real estate markets (both exchange-traded and non-exchange-traded) are integrated with stock markets using multifactor asset pricing models. The results support the hypothesis that the market for exchange-traded real estate companies, including REITs, is...

Despite their widespreao use as benchmarks of U.S. commercial real estate returns, indexes produced by the National Council of Real Estate Investment Fiduciaries (NCREIF) are subject to measurement problems that severely impair their ability to capture the true risk-return...