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  1. The Journal of Real Estate Finance and Economics
  2. The Journal of Real Estate Finance and Economics : Volume 42
  3. The Journal of Real Estate Finance and Economics : Volume 42, Issue 1, January 2011
  4. Price Discovery in Real Estate Markets: A Dynamic Analysis
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The Journal of Real Estate Finance and Economics : Volume 54
The Journal of Real Estate Finance and Economics : Volume 53
The Journal of Real Estate Finance and Economics : Volume 52
The Journal of Real Estate Finance and Economics : Volume 51
The Journal of Real Estate Finance and Economics : Volume 50
The Journal of Real Estate Finance and Economics : Volume 49
The Journal of Real Estate Finance and Economics : Volume 48
The Journal of Real Estate Finance and Economics : Volume 47
The Journal of Real Estate Finance and Economics : Volume 46
The Journal of Real Estate Finance and Economics : Volume 45
The Journal of Real Estate Finance and Economics : Volume 44
The Journal of Real Estate Finance and Economics : Volume 43
The Journal of Real Estate Finance and Economics : Volume 42
The Journal of Real Estate Finance and Economics : Volume 42, Issue 4, May 2011
The Journal of Real Estate Finance and Economics : Volume 42, Issue 3, April 2011
The Journal of Real Estate Finance and Economics : Volume 42, Issue 2, February 2011
The Journal of Real Estate Finance and Economics : Volume 42, Issue 1, January 2011
Price Discovery in Real Estate Markets: A Dynamic Analysis
The Capitalization of Building Codes in House Prices
An Analysis of Mortgage Termination Risks: A Shared Frailty Approach with MSA-Level Random Effects
Does Focus Really Matter? Specialized vs. Diversified REITs
Auction Price Formation with Costly Occupants: Evidence Using Data from the Osaka District Court
Casino Revenues and Retail Property Values: The Detroit Case
The Journal of Real Estate Finance and Economics : Volume 41
The Journal of Real Estate Finance and Economics : Volume 40
The Journal of Real Estate Finance and Economics : Volume 39
The Journal of Real Estate Finance and Economics : Volume 38
The Journal of Real Estate Finance and Economics : Volume 37
The Journal of Real Estate Finance and Economics : Volume 36
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The Journal of Real Estate Finance and Economics : Volume 29
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The Journal of Real Estate Finance and Economics : Volume 25
The Journal of Real Estate Finance and Economics : Volume 24
The Journal of Real Estate Finance and Economics : Volume 23
The Journal of Real Estate Finance and Economics : Volume 22
The Journal of Real Estate Finance and Economics : Volume 21
The Journal of Real Estate Finance and Economics : Volume 20
The Journal of Real Estate Finance and Economics : Volume 19
The Journal of Real Estate Finance and Economics : Volume 18
The Journal of Real Estate Finance and Economics : Volume 17
The Journal of Real Estate Finance and Economics : Volume 16
The Journal of Real Estate Finance and Economics : Volume 15
The Journal of Real Estate Finance and Economics : Volume 14

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Price Discovery in Real Estate Markets: A Dynamic Analysis

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 PDF
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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