The primary contribution of this study is to comprehensively assess whether public real estate and stock markets are linked at the local, regional, and global levels, and assess the evolution of their dynamic relationship and gradual integration during the last two decades. For individual pairs...

The concept of financial leverage is a paradigm in real estate investment and vital to most investment decision making. Financial theory suggests that the amount of leverage indicates the degree of risk tolerance associated with an investment. Clearly, leverage increases the buying power of an...

This paper examines persistence in price movements and predictability of the US housing market both on a local level across 20 cities in the US and on a nationwide level. We use a time series approach instead of often applied multivariate approaches to exclude potential biases across local...

This paper analyzes diversification benefits from international securitized real estate in a mixed-asset context. We apply regression-based mean-variance efficiency tests, conditional on currency-unhedged and fully hedged portfolios to account for foreign exchange risk exposure. From the...

This paper extends the analysis of predictability and persistence of inflation-adjusted house price movements in the UK housing market both on a regional level across 13 regions and on a nationwide level. Applying a univariate time series approach, the results from the quarterly...

This paper analyzes diversification benefits from international securitized real estate in a mixed-asset context. We apply regression-based mean-variance efficiency tests, conditional on currency-unhedged and fully hedged portfolios to account for systematic foreign exchange movements. From the...

The components of GDP (residential investment, durables, nondurables, equipment and software, and business structures) display a pronounced lead-lag structure. We investigate the implications of this lead-lag structure for the cross-section of asset returns. We find that the leading GDP...

This paper conducts tests of the random walk hypothesis and market efficiency for twelve emerging securitized real estate markets as well as for four developed securitized real estate markets from 1992 to 2009. Random walk properties of equity prices influence return dynamics and market...