Securitized Real Estate and its Link with Financial Assets and Real Estate: An International Analysis

Martin Hoesli and Camilo Moreno

Journal of Real Estate Literature, 2007, vol. 15, issue 1, 57-84

Abstract: This paper provides cross-country evidence of the link between securitized real estate and stocks, bonds, and direct real estate. First, the behavior of betas in sixteen countries is examined and then the causes of their variation are identified. Second, securitized real estate returns are regressed on “pure” stock, bond, and real estate factors. The betas are generally found to decrease over the 1990-2004 period, but the causes for such decline differ across countries. Securitized real estate returns are found to be positively associated with stock and direct real estate returns, but negatively related to bond returns. Financial assets contribute greatly to the variance of securitized real estate, while the impact of direct real estate is limited. However, a large fraction of the variance is not accounted for by these factors, especially in the United States, which suggests that other factors are at play.

Date: 2007
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/10835547.2006.12090193 (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:rjelxx:v:15:y:2007:i:1:p:57-84

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/rjel20

DOI: 10.1080/10835547.2006.12090193

Access Statistics for this article

Journal of Real Estate Literature is currently edited by Sophia Dermisi and Kimberly Winson

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