Price Discovery in Real Estate Markets: A Dynamic Analysis

Yavaş, Abdullah; Yıldırım, Yıldıray

doi:10.1007/s11146-009-9172-4

Cited by 48 publications

(35 citation statements)

References 31 publications

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“…This suggess that price discovery may take place in the direct property market rather than in the listed property market. This is in contrast to the findings of both Yavas and Yildirim (2011) and Barkham and Geltner (1995) as discussed in section 4. The reason may be the data frequency used for the estimate, keeping in mind that share prices change on a daily basis, while the data used is only the annual weighted average.…”

Section: Multiple Regression Of Identified Datacontrasting

confidence: 99%

“…It should however be considered to perform the test on index data, similar to the mentioned literature, taking into consideration more frequently observed direct property data. If the findings of Yavas and Yildirim (2011) and Barkham and Geltner (1995) are also applicable here, it would suggest that price discovery takes place in the short term in the listed sector, but over longer periods, prices are corrected by direct property behaviour.…”

Section: Multiple Regression Of Identified Datamentioning

confidence: 75%

“…It was also mentioned earlier that the different structure of vehicles may also show different results, and therefore special care should be taken when assessing listed property for the purpose of analysing direct property behaviour. Yavas and Yildirim (2011) investigated the price discovery in real estate markets. As in most other literature investigated, they concentrate on the returns in REITs against the returns in the net asset values (NAV).…”

Section: Related Literaturementioning

confidence: 99%

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Towards a listed real estate investment valuation model

Boshoff

2013

SAJEMS

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This paper presents a Listed Real Estate Investment Valuation Model that was developed to investigate the movement in indirect real estate investment through the consideration of the underlying assets of property loan stock companies. Specific reference is given to information that is made available to shareholders by way of annual financial statements in order to determine the extent to which shareholders can make investment decisions based on this information. The study enhances the knowledge of direct vs. indirect real estate investment behaviour and provides more insight into price discovery in the property sector.Key words: valuation models, indirect property, listed property, price discovery JEL: G120, 170, 300 320 IntroductionStock-market-listed property investment funds bring the two different investment classes, i.e. the stocks and bond market and the property market, together as comparable entities. Previous literature has shown that price discovery takes place in the listed property market, which might be an indication of market activity also in the direct property market. The objective of this paper is to develop a model that can measure the relationship between the share prices of Property Loan Stock (PLS) companies and their underlying assets, by investigating specifically the information provided to shareholders by means of annual financial statements.In order to develop such a model, the stock exchange listed PLS companies in South Africa are taken as case study, with the aim to formalise the Listed Real Estate Investment Valuation Model (LREIV model). Null hypothesis and alternative hypothesisIn order to formalise the LREIV model, it is necessary to consider the null hypothesis, which could be stated as follows:

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Section: Multiple Regression Of Identified Datacontrasting

confidence: 99%

Section: Multiple Regression Of Identified Datamentioning

confidence: 75%

Section: Related Literaturementioning

confidence: 99%

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Towards a listed real estate investment valuation model

Boshoff

2013

SAJEMS

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“…The studies by Wheaton (1999), Yavas andYildirim (2011), andOikarinen et al (2010) indicate that the price dynamics may notably differ between real estate sectors. Since the overall indices typically vary considerably with respect to the property-type mixes, the use of aggregate data may mask valuable sector specific information and diminish the observed interrelationships between securitized and direct markets.…”

Section: Related Literaturementioning

confidence: 99%

Are REITs real estate? Evidence from international sector level data

Hoesli

Oikarinen²

2012

Journal of International Money and Finance

144

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“…While a few recent studies use the DCC model of Engle (2002) to explore correlation dynamics in the real estate literature (e.g., Liow et al, 2009;Yavas and Yildirim, 2009;Case, Yang, and Yildirim, 2009), little research has been done to explore the asymmetric conditional correlation dynamics, with the notable exception of Michayluk, Wilson and Zurbruegg (2006). Nevertheless, the Asymmetric Dynamic Covariance model (though flexible) used in Michayluk, Wilson and Zurbruegg (2006) may involve numerous parameters, thereby requiring more data points for efficient estimation and thus encountering serious challenges and difficulties in estimating a higher-dimension system.…”

Section: Introductionmentioning

confidence: 99%

Asymmetric Correlation and Volatility Dynamics among Stock, Bond, and Securitized Real Estate Markets

Yang

Zhou

Leung

2010

J Real Estate Finan Econ

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We apply a multivariate asymmetric generalized dynamic conditional correlation GARCH model to daily index returns of S&P500, US corporate bond, and their real estate counterparts (REITs and CMBS) from 1999 to 2008. We document, for the first time, evidence for asymmetric volatilities and correlations in CMBS and REITs. Due to their high levels of leverage, REIT returns exhibit stronger asymmetric volatilities. Also, both REIT and stock returns show strong evidence of asymmetries in their conditional correlation, suggesting reduced hedging potential of REITs against the stock market downturn during the sample period. There is also the evidence that corporate bonds and CMBS may provide diversification benefits for stocks and REITs. Furthermore, we demonstrate that default spread and stock market volatility play a significant role in driving dynamics of these conditional correlations and that there is a significant structural break in the correlations caused by the recent financial crisis.

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Price Discovery in Real Estate Markets: A Dynamic Analysis

Abstract: Price discovery, REIT returns, NAV returns,

Cited by 48 publications

References 31 publications

Towards a listed real estate investment valuation model

Towards a listed real estate investment valuation model

Are REITs real estate? Evidence from international sector level data

Asymmetric Correlation and Volatility Dynamics among Stock, Bond, and Securitized Real Estate Markets

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