Price Discovery in American and British Property Markets
研究了美国和英国证券化（公开）与非证券化（私募）商业地产市场的价格发现过程，发现两国证券化市场率先发现价格，且该信息需一年以上才完全传导至非证券化市场，英国的非证券化市场与美国相比与证券化市场联系更紧密。
This paper examines the securitized (public) and unsecuritized (private) commercial property markets in the United States and the United Kingdom for evidence of price discovery. Appraisal‐based returns are corrected for smoothing, without presupposing the true returns to be uncorrelated or unpredictable across time. Real Estate Investment Trusts (REITs) and property company returns are corrected for leverage. We find evidence that price discovery occurs in the securitized market structure in both countries, and that this price information does not fully transmit to the unsecuritized markets for a year or more. In Britain, the unsecuritized market appears to be more closely and immediately linked to the securitized market than is the case in the U.S.