Price Discovery in American and British Property Markets

Price Discovery in American and British Property Markets This paper examines the securitized (public) and unsecuritized (private) commercial property markets in the United States and the United Kingdom for evidence of price discovery. Appraisal‐based returns are corrected for smoothing, without presupposing the true returns to be uncorrelated or unpredictable across time. Real Estate Investment Trusts (REITs) and property company returns are corrected for leverage. We find evidence that price discovery occurs in the securitized market structure in both countries, and that this price information does not fully transmit to the unsecuritized markets for a year or more. In Britain, the unsecuritized market appears to be more closely and immediately linked to the securitized market than is the case in the U.S. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Real Estate Economics Wiley

Price Discovery in American and British Property Markets

Real Estate Economics, Volume 23 (1) – Mar 1, 1995

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Publisher
Wiley
Copyright
Copyright © 1995 Wiley Subscription Services, Inc., A Wiley Company
ISSN
1080-8620
eISSN
1540-6229
DOI
10.1111/1540-6229.00656
Publisher site
See Article on Publisher Site

Abstract

This paper examines the securitized (public) and unsecuritized (private) commercial property markets in the United States and the United Kingdom for evidence of price discovery. Appraisal‐based returns are corrected for smoothing, without presupposing the true returns to be uncorrelated or unpredictable across time. Real Estate Investment Trusts (REITs) and property company returns are corrected for leverage. We find evidence that price discovery occurs in the securitized market structure in both countries, and that this price information does not fully transmit to the unsecuritized markets for a year or more. In Britain, the unsecuritized market appears to be more closely and immediately linked to the securitized market than is the case in the U.S.

Journal

Real Estate EconomicsWiley

Published: Mar 1, 1995

References

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