What Does the Stock Market Tell Us About Real Estate Returns?
研究了纽约和美国证券交易所上市的房地产相关企业的风险与回报，发现交易型房地产投资组合的滞后回报能预测基于评估的指数回报，表明股票市场反映了后来才体现在房地产评估中的信息。
This paper analyzes the risks and returns of different types of real estate‐related firms traded on the New York and American stock exchanges (NYSE and AMEX). We examine the relation between real estate stock portfolio returns and returns on a standard appraisal‐based index, and find that lagged values of traded real estate portfolio returns can predict returns on the appraisal‐based index after controlling for persistence in the appraisal series. The stock market reflects information about real estate markets that is later imbedded in infrequent property appraisals. Additional analysis suggests that the differences in the return and risk characteristics across different types of traded real estate firms can be explained in part by appealing to real estate market fundamentals relating to the degree of dependence of the real estate firm upon rental cash flows from existing buildings. These findings highlight the heterogeneity of securitized real estate‐related firms.