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
Date Written: October 16, 2013
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
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