The integration of the real estate market and the stock market: Some preliminary evidence |
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| Authors: | Crocker H. Liu David J. Hartzell Wylie Greig Terry V. Grissom |
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| Affiliation: | (1) Department of Finance, New York University, Stern School of Business, 900 Tisch Hall, 10003 New York, NY, USA;(2) University of North Carolina, School of Business, 27514 Chapel Hill, NC, USA;(3) The RREEF Funds, 650 California Street, 18th Floor, 94108 San Francisco, CA, USA;(4) Texas Real Estate Research Center, Texas A&M University, 78743 College Station, TX, USA |
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| Abstract: | ![]()
The current study investigates whether the commercial real estate market is segmented from the stock market using the framework of Jorion and Schwartz (1986). Evidence is found to support the hypothesis that segmentation does exist as the result of indirect barriers such as the cost, amount, and quality of information for real estate rather than legal constraints. However, this evidence is contingent on whether real estate returns are computed with appraised values or imputed sale prices and on which market proxy is chosen. |
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| Keywords: | segmentation integration real estate stocks |
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