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SUMMARY:Do Public Real Estate Returns Really Lead Private Market Returns? 
 - Elias Oikarinen (Turku School of Economics)\, Martin Hoesli (University 
 of Geneva) & Camilo Serrano (IAZI AG\, Zurich)
DTSTART:20121031T160000Z
DTEND:20121031T170000Z
UID:TALK41091@talks.cam.ac.uk
CONTACT:Joanna Laver
DESCRIPTION:This paper analyses the response patterns of US direct and lis
 ted real estate returns to shocks in market fundamentals.  Response speeds
  are estimated with VAR models using Transaction Based Indices (TBI) and N
 AREIT returns for the period 1994-2009.  To avoid the potential influence 
 of different property mixes and of leverage on the dynamics\, we use secto
 r level data and deleveraged NAREIT returns.  REIT returns are found to le
 ad TBI returns regardless of the property sector\; this lead-lag relations
 hip being due to the sluggish reaction of the TBI returns to unexpected ch
 anges both in the fundamentals and in REIT prices.  The findings suggest t
 hat the lead-lag relations cannot be explained by the potentially slower a
 djustment of sellers’ reservation prices than of demand in the direct re
 al estate market.  In the office and retail sectors\, securitized real est
 ate returns lead direct market returns even when catering for the ‘escro
 w period’ in the direct market\; while in the apartment and industrial s
 ectors\, the escrow period may explain the lead-lag relation.
LOCATION:Mill Lane Lecture Room 1
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