Continental Shift? An Analysis of Convergence Trends in European Real Estate Equities

22 Pages Posted: 7 Jan 2007

See all articles by Colin Lizieri

Colin Lizieri

University of Cambridge - Department of Land Economy

Patrick McAllister

affiliation not provided to SSRN

Charles W.R. Ward

University of Reading

Abstract

This study investigates the effects of European monetary integration on the behavior of stock returns in European real estate companies from the perspective of a dollar-denominated investor. A range of statistical tests is applied to assess 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 and a common contemporaneous factor has much lower explanatory power whilst lead-lag relationships are stronger. Less and slower integration is attributed to the relatively small size of the real estate securities market and the local nature of many real estate companies' portfolios.

Keywords: European, monetary integration, stock returns, real estate companies

JEL Classification: L85, R21, R31, E22, E31, E42-47, E51-53, F30-39

Suggested Citation

Lizieri, Colin M. and McAllister, Patrick and Ward, Charles W.R., Continental Shift? An Analysis of Convergence Trends in European Real Estate Equities. Journal of Real Estate Research Vol. 25, No. 1, 2003, Available at SSRN: https://ssrn.com/abstract=955331

Colin M. Lizieri (Contact Author)

University of Cambridge - Department of Land Economy ( email )

19 Silver Street
Cambridge, CB3 9EP
United Kingdom

HOME PAGE: http://www.landecon.cam.ac.uk/staff/profiles/clizieri.htm

Patrick McAllister

affiliation not provided to SSRN ( email )

No Address Available

Charles W.R. Ward

University of Reading ( email )

ICMA Centre,
Henley Business School
Reading, RG6 6AB
United Kingdom
T: +44 (0)118 378 8239 (Phone)

HOME PAGE: http://www.icmacentre.ac.uk/about_us/academic_staff/professor_charles_ward,

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