Macroeconomic Risk Factors and the Role of Mispriced Credit in the Returns from International Real Estate Securities
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Authors
Pavlov, Andrey
Steiner, Eva
Wachter, Susan
Abstract
We examine the canonical influence of global market, currency and inflation risks on the returns from international real estate securities. In addition, we study how mispricing of credit in the local banking systems is related to the returns from these securities. We analyse a global sample of real estate securities over the period 1999 to 2011 to test our hypotheses. We find support for the anticipated relationships between macroeconomic risk factors and the returns from international real estate securities. Our evidence also supports the expected link between local credit market conditions and the performance of international real estate securities.
Description
Keywords
Real estate investment firms, International asset pricing, Macroeconomic risk factors, Credit markets
Journal Title
Real Estate Economics
Conference Name
Journal ISSN
1080-8620
1540-6229
1540-6229
Volume Title
43
Publisher
American Real Estate and Urban Economics Association
Publisher DOI
Sponsorship
Susan Wachter thanks the Research Sponsor Program of the Zell/Lurie Real Estate Center at The Wharton School of the University of Pennsylvania for its support.