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Macroeconomic Risk Factors and the Role of Mispriced Credit in the Returns from International Real Estate Securities
Author(s) -
Pavlov Andrey,
Steiner Eva,
Wachter Susan
Publication year - 2015
Publication title -
real estate economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.064
H-Index - 61
eISSN - 1540-6229
pISSN - 1080-8620
DOI - 10.1111/1540-6229.12084
Subject(s) - real estate , commercial mortgage backed security , real estate investment trust , economics , capitalization rate , currency , monetary economics , financial economics , business , financial system , finance
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.