This paper examines the relation between investor sentiment and returns in private markets. Relative to more liquid public markets, private investment markets exhibit significant limits to arbitrage that restrict an investor's ability to counteract mispricing. We utilize private commercial real...

This paper examines the effects of geographic portfolio concentration on the return performance of U.S. public REITs versus private commercial real estate over the 1996-2013 time period. We document significant cross-sectional and temporal differences in the geographic concentration of property...

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 examines U.S. public and private commercial real estate returns at the aggregate level and by the four major property types over the 1994-2012 time period. Returns are carefully adjusted for differences between public and private markets in financial leverage, property type focus, and...