Information Precision and Return Co-Movements in Private Commercial Real Estate Markets
| Item Type | Journal paper |
| Abstract | We test for return co-movements among international commercial real estate markets. Our spatial econometric model estimates the market exposure to the performance of a reference portfolio. This benchmark portfolio contains all markets with a higher level of transparency, which reveals valuable information about the pricing mechanism. Empirical evidence suggests that these indirect effects transmit from more transparent to less transparent markets. We then study the predictive power of different familiarity-based channels to overcome entry barriers by predicting returns in less transparent property markets. The evaluation of the prediction performance indicates that observed price signals in highly transparent markets are attributed to less transparent markets, which we interpret as informational herding. |
| Authors | Füss, Roland & Ruf, Daniel |
| Journal or Publication Title | Journal of Banking & Finance |
| Language | English |
| Keywords | Commercial real estate, Cross-sectional dependence, Market transparency, Prediction, Spatial econometrics |
| Subjects | business studies finance |
| HSG Classification | contribution to scientific community |
| HSG Profile Area | SOF - System-wide Risk in the Financial System |
| Refereed | Yes |
| Date | May 2022 |
| Publisher | Elsevier |
| Series Name | School of Finance Working Paper Series |
| Number | 138 |
| Page Range | 106402 |
| ISSN | 0378-4266 |
| Publisher DOI | https://doi.org/10.1016/j.jbankfin.2022.106402 |
| Official URL | https://www.sciencedirect.com/science/article/pii/... |
| Contact Email Address | roland.fuess@unisg.ch |
| Depositing User | Prof. Dr. Roland Füss |
| Date Deposited | 24 Sep 2015 14:33 |
| Last Modified | 21 Nov 2022 15:19 |
| URI: | https://www.alexandria.unisg.ch/publications/244146 |
DownloadFull text not available from this repository. (Request a copy)CitationFüss, Roland & Ruf, Daniel (2022) Information Precision and Return Co-Movements in Private Commercial Real Estate Markets. Journal of Banking & Finance, (138). 106402. ISSN 0378-4266 Statisticshttps://www.alexandria.unisg.ch/id/eprint/244146
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