scholarly journals Search for a Common Factor in Public and Private Real Estate Returns

2013 ◽  
Author(s):  
Andrew Ang ◽  
Neil Nabar ◽  
Sam Wald
Keyword(s):  
Real Estate ◽  
Common Factor ◽  
Public And Private ◽  
Real Estate Returns ◽  
Private Real Estate

scholarly journals International Real Estate Review

2016 ◽  
Vol 19 (1) ◽  
pp. 27-49
Author(s):  
William Mingyan Cheung ◽  
◽  
James Chicheong Lei ◽  
Desmond Tsang ◽  
◽  
...  
Keyword(s):  
Real Estate ◽  
Price Discovery ◽  
Common Factor ◽  
Significant Proportion ◽  
Real Estate Market ◽  
Reverse Causality ◽  
Public And Private ◽  
Real Estate Markets ◽  
The Public ◽  
Private Real Estate

This study examines whether property transaction affects the price discovery process in real estate markets. Prior literature shows that price discovery generally first takes place in the securitized public real estate investment trust (REIT) market. We conjecture that property transaction provides novel information to the direct real estate market and can change the dynamics between public and private real estate returns. We employ a unique dataset of property transactions to construct "transaction windows¨ and specifically examine the causality between public and private real estate markets around these periods. We form firm-level pairs of public and private price series, and estimate the normalized common factor loadings per Gonzalo and Granger (1995) by using a vector error-correction model. Our findings show that a significant proportion of price discovery happens in the private market instead of the public REIT market. Our results are robust to investments of different property types and different lengths of transaction windows. Overall, the findings in this study imply that property acquisition and disposition provide crucial information to the private real estate market and induce a reverse causality between the public and private markets.

Another Look at Private Real Estate Returns by Strategy

2019 ◽  
Vol 45 (7) ◽  
pp. 95-112 ◽  
Author(s):  
Mitchell A. Bollinger ◽  
Joseph L. Pagliari
Keyword(s):  
Real Estate ◽  
Real Estate Returns ◽  
Private Real Estate
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