Public versus private pricing of real estate and fundamental value discovery
Date
2019-09
Authors
Nakab, Sebastián
relationships.isContributorOfPublication
Nakab, Alejandro
Journal Title
Journal ISSN
Volume Title
Publisher
Universidad de San Andrés. Departamento de Economía
Abstract
This paper examines the relationship between Real Estate Investment Trust ("REIT") stock prices and the value of direct real estate owned by REITs for the past 8 years. Using panel VAR models, we argue and find evidence that REIT prices explain private market valuations and can be used as a leading indicator of nominal cap rate movements and, effectively, net asset values. In fact, we show that no new information on values that affects REITs trading performance is baked into research estimates of private market valuations. We are able to get to these conclusions based on weekly data from Green Street Advisors (Wall Street's most respected real estate research firm) on nominal and implied capitalization rates as well as net asset values from November, 2011 through August, 2019.
Description
Fil: Nakab, Sebastián. Universidad de San Andrés. Departamento de Economía; Argentina.
Keywords
Citation
Nakab, S. (2019). Public versus private pricing of real estate and fundamental value discovery. [Tesis de maestría, Universidad de San Andrés. Departamento de Economía]. Repositorio Digital San Andrés. http://hdl.handle.net/10908/18467