Securitized Real Estate and its Link with Financial Assets and Real Estate: An International Analysis
Year: 2007
Type: article
Abstract: This paper provides cross-country evidence of the link between securitized real estate and stocks, bonds, and direct real estate. First, the behavior of betas in sixteen countries is examined and then the causes of their variation are identified. Second, securitized real estate returns are regressed on “pure” stock, bond, and real estate factors. The betas are generally found to decrease over the 1990-2004 period, but the causes for such decline differ across countries. Securitized real estate returns are found to be positively associated with stock and direct real estate returns, but negatively related to bond returns. Financial assets contribute greatly to the variance of securitized real estate, while the impact of direct real estate is limited. However, a large fraction of the variance is not accounted for by these factors, especially in the United States, which suggests that other factors are at play.
Authors: Martin Hoesli, Camilo Moreno
Language: English
Topic: Housing Market and Economics
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1522472045