Commercial Real Estate Return Cycles: Do Capital Flows Matter?

David Ling (), Jeffrey Fisher, A. Naranjo, Jeffrey Fisher and Andy Naranjo

ERES from European Real Estate Society (ERES)

Abstract: This paper examines the short- and long-run dynamics among institutional capital flows and returns in private real estate markets. The main tool of analysis we employ is a vector autoregressive (VAR) regression model in which both institutional capital flows and returns are specified as endogenous variables in a two equation simultaneous system and in which we also control for various financial and economic variables. When aggregating across U.S. CBSAs and property types, we find some evidence that both lagged NCREIF returns and lagged NCREIF flows significantly influence current returns. However, these aggregate results mask significant cross-sectional variation across different metropolitan areas and property types. In particular, we provide evidence that our aggregate results are driven by a limited number of large CBSAs. We find no evidence that returns are predictive of future NPI capital flows. We also document that institutional capital are not generally predictive of relative future capital flows.

JEL-codes: R3 (search for similar items in EconPapers)
Date: 2007-01-01
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://eres.architexturez.net/doc/oai-eres-id-eres2007-215 (text/html)

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:arz:wpaper:eres2007_215

Access Statistics for this paper

More papers in ERES from European Real Estate Society (ERES) Contact information at EDIRC.
Bibliographic data for series maintained by Architexturez Imprints ().