欧洲市场的不确定性与商业地产超额回报

IF 2.1 Q2 URBAN STUDIES Journal of Property Research Pub Date : 2022-03-24 DOI:10.1080/09599916.2022.2054353
Elmar Lang, Ferdinand Mager, Kerstin Hennig
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引用次数: 0

摘要

摘要:我们使用公认的经济政策不确定性指数(EPU)和一种新的不确定性指标——世界不确定性指数,研究了不确定性与直接商业房地产市场超额收益之间的联系。使用17个欧洲市场的面板数据集,我们发现在我们的单变量模型中,以及当我们添加房地产控制变量时,这两个不确定性指标与超额收益之间存在很强的正相关关系。然而,一旦包括宏观经济控制变量,只有WUI仍然重要。我们将这一发现与WUI更具体的国家性质联系起来,而EPU可能会对全球新闻给予更多的重视。
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Uncertainty and commercial real estate excess returns in European markets
ABSTRACT We examine the link between uncertainty and the excess returns of direct commercial real estate markets using the well-established economic policy uncertainty index (EPU) and a novel measure of uncertainty, the world uncertainty index (WUI). Using a panel dataset of 17 European markets, we find a strong positive relation between the two uncertainty measures and excess returns in our univariate models and when we add real estate control variables. However, once macroeconomic control variables are included, only the WUI remains significant. We relate this finding to the more country-specific nature of the WUI, while the EPU potentially gives more weight to global news.
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来源期刊
CiteScore
3.80
自引率
5.30%
发文量
13
期刊介绍: The Journal of Property Research is an international journal. The title reflects the expansion of research, particularly applied research, into property investment and development. The Journal of Property Research publishes papers in any area of real estate investment and development. These may be theoretical, empirical, case studies or critical literature surveys.
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