Cyclical co-movements of private real estate, public real estate and equity markets: a cross-continental spectrum

Devaney, S. ORCID: https://orcid.org/0000-0002-1916-2558 and Xiao, Q. (2017) Cyclical co-movements of private real estate, public real estate and equity markets: a cross-continental spectrum. Journal of Multinational Financial Management, 42-43. pp. 132-151. ISSN 1042444X doi: 10.1016/j.mulfin.2017.10.002

Abstract/Summary

Whether returns from investing in real estate shares reflect equity market or real estate market trends is an important question for investors seeking liquid, low cost exposure to real estate. We consider the relationship between real estate shares, private real estate investments and equity markets for five real estate investment locations: Australia, Hong Kong, Singapore, UK and US. We utilise spectral and cross-spectral techniques to decompose each time series into cyclical components of differing frequencies. This allows correlations for a range of cyclical components to be analysed. Our results suggest that returns from real estate shares share a number of short frequency cycles with the equity market. Longer cycles are evident in both real estate shares and private real estate returns, but these cycles are not always shared. Hence, real estate shares and private real estate may not always be close substitutes, even over longer horizons, but the relationship varies across our locations.

Item Type	Article
URI	https://reading-clone.eprints-hosting.org/id/eprint/75389
Item Type	Article
Refereed	Yes
Divisions	Henley Business School > Real Estate and Planning
Publisher	Elsevier
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