Macroeconomic Risk Factors and the Role of Mispriced Credit in the Returns from International Real Estate Securities

Andrey Pavlov, Eva Steiner, Susan Wachter

Research output: Contribution to journalArticlepeer-review

18 Scopus citations

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.

Original languageEnglish (US)
Pages (from-to)241-270
Number of pages30
JournalReal Estate Economics
Volume43
Issue number1
DOIs
StatePublished - Mar 1 2015

All Science Journal Classification (ASJC) codes

  • Accounting
  • Finance
  • Economics and Econometrics

Fingerprint Dive into the research topics of 'Macroeconomic Risk Factors and the Role of Mispriced Credit in the Returns from International Real Estate Securities'. Together they form a unique fingerprint.

Cite this