Real Estate Papers

Document Type

Journal Article

Date of this Version

2015

Publication Source

Real Estate Economics

Volume

43

Issue

1

Start Page

241

Last Page

270

DOI

10.1111/1540-6229.12084

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 analyze 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.

Copyright/Permission Statement

This is the peer reviewed version of the following article: Pavlov, A., Steiner, E. and Wachter, S. (2015), Macroeconomic Risk Factors and the Role of Mispriced Credit in the Returns from International Real Estate Securities. Real Estate Economics, 43: 241–270., which has been published in final form at doi: 10.1111/1540-6229.12084. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving http://olabout.wiley.com/WileyCDA/Section/id-820227.html#terms.

Keywords

real estate investment firms, international asset pricing, macroeconomic risk factors, credit markets

Embargo Date

2-16-2017

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Date Posted: 27 November 2017

This document has been peer reviewed.