Global Real Estate Markets: Cycles And Fundamentals

William Goetzmann, Bradford Case () and K. Rouwenhorst
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Bradford Case: Monetary and Financial Studies Section

Yale School of Management Working Papers from Yale School of Management

Abstract: The correlations among international real estate markets are surprisingly high, given the degree to which they are segmented. While industrial, office and retail properties exist all around the world, they are not economic substitutes because of locational specificity. In addition, the broad securitization of real estate property companies has, until recently, lagged that of other types of companies. Never-the-less, international property returns move together in dramatic fashion. In this paper, we use eleven years of global property returns to explore the factors influencing this co-movement. We attribute a substantial amount of the correlation across world property markets to the effects of changes in GNP, suggesting that real estate is a bet on fundamental economic variables which are correlated across countries. A decomposition shows that a local production factor is more important in some countries than in others.

JEL-codes: F3 F4 R1 R33 (search for similar items in EconPapers)
Date: 1999-04-05
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Citations: View citations in EconPapers (28)

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Related works:
Working Paper: Global Real Estate Markets: Cycles And Fundamentals (2001)
Working Paper: Global Real Estate Markets - Cycles and Fundamentals (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:ysm:somwrk:ysm116

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