Global Real Estate Markets: Cycles and Fundamentals

23 Pages Posted: 5 Apr 1999

See all articles by Brad Case

Brad Case

Fannie Mae

William N. Goetzmann

Yale School of Management - International Center for Finance; National Bureau of Economic Research (NBER)

K. Geert Rouwenhorst

Yale School of Management - International Center for Finance

Multiple version iconThere are 2 versions of this paper

Date Written: March 7, 1999

Abstract

The correlations among international real estate markets are surprisingly high, given the degree to which they are segmented. While industrial, office and retail properties exist all around the world, they are not economic substitutes because of locational specificity. In addition, the broad securitization of real estate property companies has, until recently, lagged that of other types of companies. Never-the-less, international property returns move together in dramatic fashion. In this paper, we use eleven years of global property returns to explore the factors influencing this co-movement. We attribute a substantial amount of the correlation across world property markets to the effects of changes in GNP, suggesting that real estate is a bet on fundamental economic variables which are correlated across countries. A decomposition shows that a local production factor is more important in some countries than in others.

JEL Classification: F3, F4, R1, R33

Suggested Citation

Case, Bradford and Goetzmann, William N. and Rouwenhorst, K. Geert, Global Real Estate Markets: Cycles and Fundamentals (March 7, 1999). Yale ICF Working Paper No. 99-03. Available at SSRN: https://ssrn.com/abstract=157019 or http://dx.doi.org/10.2139/ssrn.157019

Bradford Case

Fannie Mae ( email )

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William N. Goetzmann (Contact Author)

Yale School of Management - International Center for Finance ( email )

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National Bureau of Economic Research (NBER)

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K. Geert Rouwenhorst

Yale School of Management - International Center for Finance ( email )

165 Whitney Avenue
P.O. Box 208200
New Haven, CT 06520-8200
United States
203-432-6046 (Phone)
203-432-8931 (Fax)

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