Do Public Real Estate Returns Really Lead Private Returns?

Martin Hoesli*, Elias Oikarinen, Camilo Serrano

*Corresponding author for this work

Research output: Contribution to journalArticle

10 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)105-117
Number of pages13
JournalJournal of Real Estate Portfolio Management
Volume41
Issue number6
Early online date30 Sep 2015
DOIs
Publication statusPublished - Sep 2015

Keywords

  • DYNAMICS
  • MARKETS
  • INDEX

Cite this

Do Public Real Estate Returns Really Lead Private Returns? / Hoesli, Martin; Oikarinen, Elias; Serrano, Camilo.

In: Journal of Real Estate Portfolio Management, Vol. 41, No. 6, 09.2015, p. 105-117.

Research output: Contribution to journalArticle

Hoesli, Martin ; Oikarinen, Elias ; Serrano, Camilo. / Do Public Real Estate Returns Really Lead Private Returns?. In: Journal of Real Estate Portfolio Management. 2015 ; Vol. 41, No. 6. pp. 105-117.
@article{6ea871fc2d77421ba5badb99ac51f6e3,
title = "Do Public Real Estate Returns Really Lead Private Returns?",
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.",
keywords = "DYNAMICS, MARKETS, INDEX",
author = "Martin Hoesli and Elias Oikarinen and Camilo Serrano",
year = "2015",
month = "9",
doi = "10.3905/jpm.2015.41.6.105",
language = "English",
volume = "41",
pages = "105--117",
journal = "Journal of Real Estate Portfolio Management",
issn = "1083-5547",
publisher = "INST INVESTOR INC",
number = "6",

}

TY - JOUR

T1 - Do Public Real Estate Returns Really Lead Private Returns?

AU - Hoesli, Martin

AU - Oikarinen, Elias

AU - Serrano, Camilo

PY - 2015/9

Y1 - 2015/9

N2 - 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.

AB - 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.

KW - DYNAMICS

KW - MARKETS

KW - INDEX

U2 - 10.3905/jpm.2015.41.6.105

DO - 10.3905/jpm.2015.41.6.105

M3 - Article

VL - 41

SP - 105

EP - 117

JO - Journal of Real Estate Portfolio Management

JF - Journal of Real Estate Portfolio Management

SN - 1083-5547

IS - 6

ER -