Accessibility navigation


Continental shift? An analysis of convergence trends in European real estate equities

Lizieri, C., Ward, C. and McAllister, P., (2002) Continental shift? An analysis of convergence trends in European real estate equities. Working Papers in Land Management & Development. 06/02. Working Paper. University of Reading, Reading. pp28.

[img]
Preview
Text - Published Version
· Please see our End User Agreement before downloading.

127kB

It is advisable to refer to the publisher's version if you intend to cite from this work. See Guidance on citing.

Abstract/Summary

European economic and political integration have been recognised as having implications for patterns of performance in national real estate and capital markets and have generated a wide body of research and commentary. In 1999, progress towards monetary integration within the European Union culminated in the introduction of a common currency and monetary policy. This paper investigates the effects of this ‘event’ on the behaviour of stock returns in European real estate companies. A range of statistical tests is applied to the performance of European property companies to test for changes in segmentation, co-movement and causality. The results suggest that, relative to the wider equity markets, the dispersion of performance is higher, correlations are lower, a common contemporaneous factor has much lower explanatory power whilst lead-lag relationships are stronger. Consequently, the evidence of transmission of monetary integration to real estate securities is less noticeable than to general securities. Less and slower integration is attributed to the relatively small size of the real estate securities market and the local and national nature of the majority of the companies’ portfolios.

Item Type:Report (Working Paper)
Divisions:Henley Business School > Real Estate and Planning
ID Code:24555
Publisher:University of Reading
Publisher Statement:The copyright of each working paper remains with the author. If you wish to quote from or cite any paper please contact the appropriate author; in some cases a more recent version of the paper may have been published elsewhere.

Downloads

Downloads per month over past year

University Staff: Request a correction | Centaur Editors: Update this record

Page navigation