What Moves Retail Property Returns at the Metropolitan Level? |
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Authors: | Eppli Mark J Shilling James D Vandell Kerry D |
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Institution: | (1) Department of Finance, George Washington University, 2023 G. Street, NW, Washington, DC;(2) School of Business, University of Wisconsin, Madison, WI, 53706; e-mail |
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Abstract: | In this article the determinants of metropolitan-level appraisal-based retail property returns are examined by estimating a six-equation model of retail construction starts, retail sales, stock-market returns, commercial mortgage rates, inflation, and the logarithm of stock-market volatility. Residuals from these equations are then used to explain actual movements in retail real estate returns. Our empirical procedure looks at both unadjusted and unsmoothed appraisal-based retail real estate returns. The general finding is that unsmoothed appraisal-based retail real estate returns lag significantly behind market conditions. Furthermore, the results suggest that very little of the variation in metropolitan-level appraisal-based retail real estate returns can be explained by macroeconomic news events. |
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Keywords: | expected property returns informational efficiency |
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