A Transfer Function Analysis of Real Estate Capitalization Rates

Richard D. Evans ()
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Richard D. Evans: Economics Department Memphis State University Memphis, Tennessee 38152, http://fcbe.memphis.edu/welcome.html

Journal of Real Estate Research, 1990, vol. 5, issue 3, 371-380

Abstract: A national multifamily and nonresidential real estate capitalization rate shows sensitivity to the analogous earnings/price ratio aggregated from the stock market. Both time series seen to have the same ARIMA characteristics. However, a transfer function analysis indicates that the sensitivity comes with a one quarter lag. Thus, even sophisticated real estate investors seem slow to adjust to changes in business cycle and monetary conditions that cause quicker changes in the stock market.

JEL-codes: L85 (search for similar items in EconPapers)
Date: 1990
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Citations: View citations in EconPapers (12)

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