Global Financial Integration and Real Estate Security Returns

42 Pages Posted: 1 Jun 2006

See all articles by Robert H. Edelstein

Robert H. Edelstein

University of California, Berkeley - Fisher Center for Real Estate and Urban Economics

Ashok Bardhan

University of California, Berkeley - Haas School of Business

Desmond Tsang

McGill University - Desautels Faculty of Management

Multiple version iconThere are 2 versions of this paper

Date Written: May 2007

Abstract

Have globalization and increasing economic and financial integration affected the rates of return of publicly traded real estate companies around the world? Using a set of multi-factor models for annual data for 946 firms from 16 countries over the sample period, 1995-2002, we estimate the impact of a country's economic openness on returns of publicly traded real estate firms, controlling for the effects of global capital markets, domestic macro-economic, and firm-specific variables. We find that a country's real estate security excess (risk-adjusted) returns are negatively related to its openness. The results are robust across different multi-factor model specifications, and suggest that real property market efficiency may have been enhanced for non-tradable goods such as real estate in globalizing economies.

Keywords: globalization, economic openness, international financial market, real estate returns, international financial integration

JEL Classification: F36, F21, G15

Suggested Citation

Edelstein, Robert H. and Bardhan, Ashok and Tsang, Desmond, Global Financial Integration and Real Estate Security Returns (May 2007). Available at SSRN: https://ssrn.com/abstract=905313 or http://dx.doi.org/10.2139/ssrn.905313

Robert H. Edelstein (Contact Author)

University of California, Berkeley - Fisher Center for Real Estate and Urban Economics ( email )

Haas School of Business
Berkeley, CA 94720-1900
United States
510-643-6105 (Phone)
510-643-7357 (Fax)

Ashok Bardhan

University of California, Berkeley - Haas School of Business ( email )

545 Student Services Building, #1900
2220 Piedmont Avenue
Berkeley, CA 94720
United States

Desmond Tsang

McGill University - Desautels Faculty of Management ( email )

1001 Sherbrooke St. West
Montreal, Quebec H3A1G5 H3A 2M1
Canada

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