Do Public Real Estate Returns Really Lead Private Returns?
利用行业层面的无杠杆REIT和直接房地产数据，研究私人市场价格记录的“托管滞后”能否解释REIT与直接房地产市场的领先滞后关系，发现办公和零售部门中REIT收益领先私人收益，即使考虑90天托管滞后仍存在。
In this article, the authors use sector-level unlevered real estate investment trust (REIT) and direct real estate data to study whether the “escrow lag” in the recording of private market prices could explain the observed lead–lag relationship between REITs and direct real estate markets. They find evidence of REIT returns leading private returns in the office and retail sectors even after catering for a 90-day escrow lag. These lead–lag relationships are due to the slow reaction of private market returns to shocks in REIT returns, the risk premium, and consumer sentiment. In contrast, the authors do not observe such a lead–lag relationship in the apartment and industrial sectors. The findings have implications regarding portfolio allocation, return predictability, and recommended shifts in the allocation between private and public real estate during crisis periods. <b>TOPICS:</b>Real estate, portfolio management/multi-asset allocation