Document Type

Article

Publication Date

5-1998

Source Publication

The Journal of Real Estate Finance and Economics

Source ISSN

0895-5638

Abstract

In this article the determinants of metropolitan-level appraisal-based retail property returns are examined by estimating a six-equation model of retail construction starts, retail sales, stock-market returns, commercial mortgage rates, inflation, and the logarithm of stock-market volatility. Residuals from these equations are then used to explain actual movements in retail real estate returns. Our empirical procedure looks at both unadjusted and unsmoothed appraisal-based retail real estate returns. The general finding is that unsmoothed appraisal-based retail real estate returns lag significantly behind market conditions. Furthermore, the results suggest that very little of the variation in metropolitan-level appraisal-based retail real estate returns can be explained by macroeconomic news events.

Comments

Accepted version. The Journal of Real Estate Finance and Economics, Vol. 16, No. 3 (May 1998): 317-342. DOI. © Springer Publishing Company 1998. Used with permission.

Mark Eppli was affiliated with George Washington University at the time of publication.