Macroeconomic Risk Factors and the Role of Mispriced Credit in the Returns from International Real Estate Securities

Real Estate Economics, Forthcoming

Posted: 6 Dec 2013

See all articles by Andrey D. Pavlov

Andrey D. Pavlov

Simon Fraser University (SFU) - Finance Area

Eva Steiner

Cornell SC Johnson College of Business

Susan M. Wachter

University of Pennsylvania - Wharton School, Department of Real Estate ; University of Pennsylvania - Finance Department

Multiple version iconThere are 2 versions of this paper

Date Written: October 16, 2013

Abstract

We examine the canonical influence of global market, currency and inflation risks on the returns from international real estate securities. In addition, we study how mispricing of credit in the local banking systems is related to the returns from these securities. We analyse a global sample of real estate securities over the period 1999 to 2011 to test our hypotheses. We find support for the anticipated relationships between macroeconomic risk factors and the returns from international real estate securities. Our evidence also supports the expected link between local credit market conditions and the performance of international real estate securities.

Keywords: Real estate investment firms, International asset pricing, Macroeconomic risk factors, Credit markets

Suggested Citation

Pavlov, Andrey D. and Steiner, Eva Maria and Wachter, Susan M., Macroeconomic Risk Factors and the Role of Mispriced Credit in the Returns from International Real Estate Securities (October 16, 2013). Real Estate Economics, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2363521

Andrey D. Pavlov (Contact Author)

Simon Fraser University (SFU) - Finance Area ( email )

Burnaby, British Columbia V5A 1S6
Canada
604 291 5835 (Phone)
604 291 4920 (Fax)

Eva Maria Steiner

Cornell SC Johnson College of Business ( email )

465B Statler Hall
Ithaca, NY 14853
United States

HOME PAGE: http://https://sha.cornell.edu/faculty-research/faculty/ems457/

Susan M. Wachter

University of Pennsylvania - Wharton School, Department of Real Estate ( email )

The Wharton School
3620 Locust Walk
Philadelphia, PA 19104-6330
United States
215-898-6355 (Phone)

HOME PAGE: http://real.wharton.upenn.edu/~wachter/index.html

University of Pennsylvania - Finance Department ( email )

The Wharton School
3620 Locust Walk
Philadelphia, PA 19104
United States

HOME PAGE: http://real.wharton.upenn.edu/~wachter/index.html

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