Response speeds of direct and securitized real estate to shocks in the fundamentals



Figure 3 The reactions of the securitized and direct industrial property returns to shocks in the fundamentals

quarters from the shock


01 23456789 10 11 12

quarters from the shock


quarters from the shock



0.06

0.05

0.04

0.03

0.02

0.01

0.00

-0.01

-0.02



01 23456789 10 11 12

quarters from the shock


0123456789 10 11 12


quarters from the shock




-0.04


Response of dTBI to dIRN

0.04

0.00

0.03

0.02

0.01

-0.01

-0.02

-0.03

0123456789 10 11 12


-0.04


Response ofdTBIto dSE

0.04

0.00

0.03

0.02

0.01

-0.01

-0.02

-0.03

01 23456789 10 11 12


quarters from the shock


quarters from the shock


Response of dRET to dIRN
0.04 -
---------------------------------------------------------------------

0.03 -     

0.02 -
4
0.01 -           X

____ X

0.00-- ʌ-Z~Z∑3 = ≈""

-0.01 -        " *"

-0.02 -

-0.03 -

-0.04  --------------1-----------1------------1-----------1-----------1-----------1------------1-----------1-----------1------------1-----------1-----------1------------1-

01 23456789 10 11 12

quarters from the shock



22




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