Dynamic Interactions Between Private and Public Real Estate Markets: Some International Evidence |
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Authors: | Nafeesa Yunus J. Andrew Hansz Paul J. Kennedy |
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Affiliation: | 1. Department of Finance and Economics,, Merrick School of Business, The University of Baltimore, 1420 N. Charles St, Baltimore, MD, 21201, USA 2. Department of Finance and Business Law, Gazarian Real Estate, Center, Craig School of Business, California State University, Fresno, 5245 North Backer Avenue, PB7, Fresno, CA, 93740, USA 3. Real Estate Investment Strategy,, Abu Dhabi Investment Authority, 211, Corniche, PO Box?3600, Abu Dhabi, United Arab Emirates
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Abstract: | This study evaluates long-run relationships and short-run linkages between the private (unsecuritized) and the public (securitized) real estate markets of Australia, Netherlands, United Kingdom and the United States. Results indicate the existence of long-run relationships between the public and private real estate markets of each of the countries under consideration. This implies that for all countries, investors would not have realized long-term portfolio diversification benefits from allocating funds in both the private and public real estate markets since these assets are substitutable over the long run. Short-run analyses also reveal significant causal relationships between private and public markets of all countries under consideration. As expected, it was found that price discovery occurred in the public real estate market in that it leads but is not led by its private real estate market counterpart. |
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