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 24 May 2022 00:25
URI: https://www.alexandria.unisg.ch/publications/244146

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Füss, 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

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