This article investigates spatial linkages in returns, idiosyncratic risks and volatilities across 19 U.S. regional housing markets. Using Case & Shiller housing price indices from 1995 through 2009, we find that interconnections across markets can be “wider” and “stronger” than would normally be expected. They are “wider” because, in addition to geographic closeness, economic proximity is also an important source of influence; they are “stronger” because of the significant contagion effects during the 2007–2009 subprime and financial crises. The increased comovement and interdependence, especially among more geographically diverse regions with similar economic conditions, may help explain the failure of geographic portfolio diversification strategies.

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PurposeGerman real estate markets used to show little transparency in the past. This has changed over the last 15 years. The purpose of this study therefore is to examine the current state of transparency.Design/methodology/approachThe study investigates and discusses the concept of transparency in general, availability of private and public market data, major real estate investment products, performance measurement, changes in the regulatory environment and the emergence of organizations and publications. The findings of this study are obtained in a comparative manner: The transparency status of the 1990s in the different areas researched is compared to the current German and other international standards. The authors describe the relatively opaque German real estate market as it was at the beginning of the 1990s and show how it has improved to date.FindingsThe results show that transparency in the German real estate market has noticeably improved in all researched areas. But still, compared with the USA or the UK, the German real estate industry and real estate market still lack transparency and are characterized by information asymmetries and opaqueness.Originality/valueThe results indicate that the German real estate market and industry become more mature and bit by bit converge with their US and UK archetype.

This paper conducts tests of the random walk hypothesis and market efficiency for 14 national public real estate markets. Random walk properties of equity prices influence the return dynamics and determine the trading strategies of investors. To examine the stochastic properties of local real estate index returns and to test the hypothesis that public real estate stock prices follow a random walk, the single variance ratio tests of Lo and MacKinlay (1988) as well as the multiple variance ratio test of Chow and Denning (1993) are employed. Weak-form market efficiency is tested directly using non-parametric runs tests. Empirical evidence shows that weekly stock prices in major securitized real estate markets do not follow a random walk. The empirical findings of return predictability suggest that investors might be able to develop trading strategies allowing them to earn excess returns compared to a buy-and-hold strategy.