The Integration of Commercial Real Estate Markets and Stock Markets
用多因子资产定价模型检验商业房地产市场（包括交易所交易和非交易所交易）是否与股票市场一体化，发现交易所交易的房地产公司与股票市场一体化程度在1990年代显著提高，但基于评估的回报数据不支持一体化假说。
This paper tests whether commercial real estate markets (both exchange‐traded and non‐exchange‐traded) are integrated with stock markets using multifactor asset pricing models. The results support the hypothesis that the market for exchange‐traded real estate companies, including REITs, is integrated with the market for exchange‐traded (non‐real‐estate) stocks. Moreover, the degree of integration has significantly increased during the 1990s. However, when appraisal‐based returns (adjusted for smoothing) are used to construct real estate portfolio returns, the results fail to support the integration hypothesis, although this may reflect the inability of these estimated private market returns to accurately proxy for commercial real estate returns. Interestingly, the growth rate in real per capita consumption is consistently priced in both commercial real estate markets and stock markets, whereas previous studies have found mixed evidence on the role of consumption in explaining ex ante stock returns.