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| Content Provider | Springer Nature Link |
|---|---|
| Author | Yavas, Abdullah Yildirim, Yildiray |
| Copyright Year | 2009 |
| Abstract | Although the correlation between the public and private market pricing of real estate has generated considerable research effort, the methods utilized in previous studies have failed to capture the dynamic nature of this correlation. This paper proposes a new statistical method to address this issue. This method, known as the dynamic conditional correlation GARCH model, enables us to study the dynamics of the correlation between the two markets over time and enrich our understanding of the public and private market pricing of real assets. We find that the correlation between NAV returns and REIT returns is dynamic for all REIT types and there is a strong degree of persistence in the series of correlation. Our Granger-causality tests show that price discovery generally takes place in the securitized public market. However, we also find significant variations across property types and individual firms within each type. Our results indicate that constructing an optimal portfolio requires firm level analysis of causality and correlation between REIT returns and NAV returns. |
| Starting Page | 1 |
| Ending Page | 29 |
| Page Count | 29 |
| File Format | |
| ISSN | 08955638 |
| Journal | The Journal of Real Estate Finance and Economics |
| Volume Number | 42 |
| Issue Number | 1 |
| e-ISSN | 1573045X |
| Language | English |
| Publisher | Springer US |
| Publisher Date | 2009-04-01 |
| Publisher Place | Boston |
| Access Restriction | One Nation One Subscription (ONOS) |
| Subject Keyword | Price discovery REIT returns NAV returns Finance /Banking Regional/Spatial Science |
| Content Type | Text |
| Resource Type | Article |
| Subject | Finance Urban Studies Accounting Economics and Econometrics |
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