Do Real Estate Prices and Stock Prices Move Together? An International Analysis
利用17个国家14年的数据，研究了股票回报与房地产价格及租金变化的关系，发现长期存在显著关联，且房地产价格受GDP增长影响，能长期对冲通胀。
The relationship between stock prices and real estate prices has been the subject of substantial debate in both the academic and practitioner literatures. Existing studies have focused on the time series of stock and real estate returns using data from a single country, such as the U.S. By necessity, these studies examine return and price changes over short intervals, creating a bias when property values are smoothed from year to year. Using data from 17 different countries over 14 years, this paper examines the relation between stock returns and changes in property values and rents. Consistent with other country‐specific studies, we find that, with the exception of Japan, the contemporaneous relation between yearly real estate price changes and stock returns is not statistically significant. However, when the data are pooled across countries and when we look at longer measurement intervals, a significant relation between stock returns and both rents and value changes becomes apparent. Real estate prices are also found to be significantly influenced by GDP growth rates and provide a good long‐term hedge against inflation but a poor year‐to‐year hedge.