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The nature of listed real estate companies: property or equity market?

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Abstract

This paper addresses the question of whether shares of public real estate companies should be treated as real estate or as equity investments. Because theoretical considerations do not suffice for making such a classification, we empirically investigate correlation structures and cointegration relationships of private and public real estate and equity markets for the United States and the United Kingdom. Our results suggest that public real estate stocks show similarities to the general stock market with regard to short-term return co-movements. For long-term investment horizons, the interdependence between direct and securitized real estate is much stronger. However, in the latter case, real estate stocks substantially lead the private property markets.

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Authors and Affiliations

  1. IVG Immobilien AG, Zanderstrasse 5-7, 53177, Bonn, Germany

    Jaroslaw Morawski

  2. Department of Banking and Finance, Albert-Ludwigs-Universität Freiburg, Bertoldstrasse 17, 79085, Freiburg im Breisgau, Germany

    Heinz Rehkugler

  3. European Business School (EBS), International University Schloss Reichartshausen, Endowed Chair of Asset Management, Rheingaustr. 1, 65375, Oestrich-Winkel, Germany

    Roland Füss

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  1. Jaroslaw Morawski
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  2. Heinz Rehkugler
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  3. Roland Füss
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Correspondence to Jaroslaw Morawski.

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Morawski, J., Rehkugler, H. & Füss, R. The nature of listed real estate companies: property or equity market?. Financ Mark Portfolio Manag 22, 101–126 (2008). https://doi.org/10.1007/s11408-008-0075-9

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