Commercial Real Estate Prices and Stock Market Returns: An International Analysis

FINANCIAL ANALYSTS JOURNAL

Posted: 27 Sep 1996

See all articles by Daniel C. Quan

Daniel C. Quan

Cornell University - School of Hotel Administration

Sheridan Titman

University of Texas at Austin - Department of Finance; National Bureau of Economic Research (NBER)

Abstract

The movement towards the "globalization" of institutional investments necessitates an understanding of the historical relationship between international commercial real estate price changes and stock returns. Existing studies have focused on the time-series of stock and real estate returns using data from a single country, like the U.S. By necessity, these studies examine returns and price changes over short intervals creating a bias when property values are smoothed from year to year. This paper examines the relation between stock returns and changes in property values and rents on data from 17 different countries. Although we find no relation between real estate values and rents and stock returns in the U.S., we find significant relations in a number of different countries. When the data is pooled, we find a very strong relation between stock returns and both value changes and changes in rental rates.

JEL Classification: F3, R1

Suggested Citation

Quan, Daniel C. and Titman, Sheridan, Commercial Real Estate Prices and Stock Market Returns: An International Analysis. FINANCIAL ANALYSTS JOURNAL. Available at SSRN: https://ssrn.com/abstract=9155

Daniel C. Quan (Contact Author)

Cornell University - School of Hotel Administration ( email )

436 Statler Hall
Cornell University
Ithaca, NY 14853-6902
United States
607-255-6404 (Phone)
607-255-1277 (Fax)

Sheridan Titman

University of Texas at Austin - Department of Finance ( email )

Red McCombs School of Business
Austin, TX 78712
United States
512-232-2787 (Phone)
512-471-5073 (Fax)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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