Uncertainty and commercial real estate excess returns in European markets

Elmar Lang, Ferdinand Mager and Kerstin Hennig

Journal of Property Research, 2022, vol. 39, issue 4, 321-337

Abstract: We examine the link between uncertainty and the excess returns of direct commercial real estate markets using the well-established economic policy uncertainty index (EPU) and a novel measure of uncertainty, the world uncertainty index (WUI). Using a panel dataset of 17 European markets, we find a strong positive relation between the two uncertainty measures and excess returns in our univariate models and when we add real estate control variables. However, once macroeconomic control variables are included, only the WUI remains significant. We relate this finding to the more country-specific nature of the WUI, while the EPU potentially gives more weight to global news.

Date: 2022
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/09599916.2022.2054353 (text/html)
Access to full text is restricted to subscribers.

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:taf:jpropr:v:39:y:2022:i:4:p:321-337

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RJPR20

DOI: 10.1080/09599916.2022.2054353

Access Statistics for this article

Journal of Property Research is currently edited by Bryan MacGregor

More articles in Journal of Property Research from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().