The Substitutability of Real Estate Assets
Diery Seck
Real Estate Economics, 1996, vol. 24, issue 1, 75-95
Abstract:
This paper investigates the degree of substitutability between securitized real estate assets and real estate assets whose prices are appraisal‐based. Given the insensitivity of unsecuritized asset's returns to the returns on stock market indices, equilibrium asset pricing models cannot be used to compare these two avenues of investment. Two assets are deemed substitutable if the information sets underlying unbiased, minimum error variance estimates of their pricing parameters are identical. The empirical evidence shows that the prices of the transactions‐based assets—real estate investment trusts and the stock price index of the home building industry—follow a random walk while the prices of the appraisal‐based assets—FRC/NCREIF indices—do not. The variance decompositions of the vector autoregressions also show that the level of economic activity helps predict the price indices of appraisal‐based assets while the stock market index and the term structure of interest rates are better predictors of the prices of transactions‐based assets
Date: 1996
References: View complete reference list from CitEc
Citations: View citations in EconPapers (27)
Downloads: (external link)
https://doi.org/10.1111/1540-6229.00681
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:bla:reesec:v:24:y:1996:i:1:p:75-95
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1080-8620
Access Statistics for this article
Real Estate Economics is currently edited by Crocker Liu, N. Edward Coulson and Walter Torous
More articles in Real Estate Economics from American Real Estate and Urban Economics Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().