Price Discovery in American and British Property Markets
作者:
Richard Barkham,
David Geltner,
期刊:
Real Estate Economics
(WILEY Available online 1995)
卷期:
Volume 23,
issue 1
页码: 21-44
ISSN:1080-8620
年代: 1995
DOI:10.1111/1540-6229.00656
出版商: Blackwell Publishing Ltd
数据来源: WILEY
摘要:
This paper examines the securitized (public) and unsecuritized (private) commercial property markets in the United States and the United Kingdom for evidence of price discovery. Appraisal‐based returns are corrected for smoothing, without presupposing the true returns to be uncorrelated or unpredictable across time. Real Estate Investment Trusts (REITs) and property company returns are corrected for leverage. We find evidence that price discovery occurs in the securitized market structure in both countries, and that this price information does not fully transmit to the unsecuritized markets for a year or more. In Britain, the unsecuritized market appears to be more closely and immediately linked to the securitized market than is the case in the U.
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