Transparency, Learning Spillovers, and Return Co-Movements in Private Commercial Real Estate Markets

Item Type Monograph (Working Paper)
Abstract

We propose a new spatial asset pricing approach to test for information-based re-turn co-movements among international commercial real estate markets. Our model estimates the average exposure of individual markets to the performance of their reference portfolio, including all markets with a higher transparency level. We empirically quantify learning spillovers from more transparent to less transparent markets. Conditional on the reference portfolio, we test for different learning-based channels by predicting returns in less transparent property markets. The evalua-tion of their forecast performance indicates that price signals in highly transparent markets allow international investors to overcome limited pre-trade transparency in opaque markets.

Authors Füss, Roland & Ruf, Daniel
Language English
Keywords Commercial real estate; cross-sectional dependence; market transparency; prediction; spatial econometrics.
Subjects business studies
economics
finance
HSG Classification contribution to scientific community
Refereed No
Date 2015
Publisher SoF - HSG
Place of Publication St. Gallen
Series Name School of Finance Working Paper Series
Number 2015/20
Number of Pages 59
Contact Email Address roland.fuess@unisg.ch
Depositing User Prof. Dr. Roland Füss
Date Deposited 24 Sep 2015 14:33
Last Modified 31 Aug 2018 00:22
URI: https://www.alexandria.unisg.ch/publications/244146

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Citation

Füss, Roland & Ruf, Daniel: Transparency, Learning Spillovers, and Return Co-Movements in Private Commercial Real Estate Markets. School of Finance Working Paper Series, 2015, 2015/20.

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https://www.alexandria.unisg.ch/id/eprint/244146
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