What Moves Retail Property Returns at the Metropolitan Level?

Mark J Eppli, James D Shilling and Kerry Vandell

The Journal of Real Estate Finance and Economics, 1998, vol. 16, issue 3, 317-42

Abstract: In this article the determinants of metropolitan-level appraisal-based retail property returns are examined by estimating a six-equation model of retail construction starts, retail sales, stock-market returns, commercial mortgage rates, inflation, and the logarithm of stock-market volatility. Residuals from these equations are then used to explain actual movements in retail real estate returns. Our empirical procedure looks at both unadjusted and unsmoothed appraisal-based retail real estate returns. The general finding is that unsmoothed appraisal-based retail real estate returns lag significantly behind market conditions. Furthermore, the results suggest that very little of the variation in metropolitan-level appraisal-based retail real estate returns can be explained by macroeconomic news events. Copyright 1998 by Kluwer Academic Publishers

Date: 1998
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