A1 Refereed original research article in a scientific journal

Do Public Real Estate Returns Really Lead Private Returns?




AuthorsMartin Hoesli, Elias Oikarinen, Camilo Serrano

PublisherInstitutional Investor Inc

Publication year2015

JournalJournal of Portfolio Management

Journal name in sourceJOURNAL OF PORTFOLIO MANAGEMENT

Journal acronymJ PORTFOLIO MANAGE

Volume10

Issue6

First page 1

Last page18

Number of pages14

ISSN0095-4918

DOIhttps://doi.org/10.3905/jpm.2015.41.6.105


Abstract

In this article, the authors use sector-level unlevered real estate investment trust (REIT) and direct real estate data to study whether the "escrow lag" in the recording of private market prices could explain the observed lead lag relationship between REITs and direct real estate markets. They find evidence of REIT returns leading private returns in the office and retail sectors even after catering for a 90-day escrow lag. These lead lag relationships are due to the slow reaction of private market returns to shocks in REIT returns, the risk premium, and consumer sentiment. In contrast, the authors do not observe such a lead lag relationship in the apartment and industrial sectors. The findings have implications regarding portfolio allocation, return predictability, and recommended shifts in the allocation between private and public real estate during crisis periods.




Last updated on 2024-26-11 at 21:54