Pre-Trade Transparency and Return Co-movements in Commercial Real Estate Markets

Roland Fuess () and Daniel Ruf ()
Authors registered in the RePEc Author Service: Roland Füss ()

No 1520, Working Papers on Finance from University of St. Gallen, School of Finance

Abstract: This paper examines the effect of pre-trade transparency on return co-movements in international commercial real estate. We introduce a reference portfolio as a market's individual return benchmark. For each property market, the portfolio includes all markets with a higher pre-trade transparency. Their proximity in transparency levels imposes a learning-based linkage mechanism. A large variation in excess returns is explained by the risk exposure to the reference portfolio. Through the implied transmission channel, spillover and feedback effects arise from local shocks and lead to co-movements across real estate markets. Specifically, cultural familiarity allows investors to overcome the limited pre-trade transparency.

Keywords: Commercial real estate; cross-sectional dependence; opaque markets; spatial econometrics (search for similar items in EconPapers)
JEL-codes: C33 D82 D83 G15 R30 (search for similar items in EconPapers)
Pages: 49 pages
Date: 2015-09, Revised 2017-01
New Economics Papers: this item is included in nep-cse, nep-geo, nep-ifn and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://ux-tauri.unisg.ch/RePEc/usg/sfwpfi/WPF-1520.pdf (application/pdf)

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:usg:sfwpfi:2015:20

Access Statistics for this paper

More papers in Working Papers on Finance from University of St. Gallen, School of Finance Contact information at EDIRC.
Bibliographic data for series maintained by ().