Continental Shift? An Analysis of Convergence Trends in European Real Estate Equities

Colin Lizieri, Patrick McAllister () and Charles Ward
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Patrick McAllister: University of Reading, Whiteknights, Reading, RG6 6AW UK

Journal of Real Estate Research, 2003, vol. 25, issue 1, 1-22

Abstract: This paper investigates the effects of European monetary integration on the behavior of stock returns in European real estate companies from the perspective of a dollar-denominated investor. A range of statistical tests is applied to assess changes in segmentation, co-movement and causality. The results suggest that, relative to the wider equity markets, the dispersion of performance is higher, correlations are lower, a common contemporaneous factor has much lower explanatory power whilst lead-lag relationships are stronger. Less and slower integration is attributed to the relatively small size of the real estate securities market and the local nature of many real estate companies’ portfolios.

JEL-codes: L85 (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (10)

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Journal Article: Continental Shift? An Analysis of Convergence Trends in European Real Estate Equities (2003)
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