Endnotes
1 For a general discussion concerning the price discovery mechanism between the markets, see Geltner et al.
(2003).
2 The data used in this study were sourced from Thomson Datastream and from NAREIT.
3 It is often assumed that it is the real interest rate that affects real returns. However, the real interest rate is
typically observed only with considerable lag while changes in the nominal interest rate are perceived
immediately. The selection between the real and nominal rates is done using the Akaike Information Criteria. In
any case, the results do not change notably when the real interest rate is used in all the models.
4 SE and D capture, to some extent, the same economic fundamentals. In a DCF valuation, SE affects the
numerator and D the denominator. Therefore, the correlation between the levels and differences of SE and D is
negative, large and highly statistically significant.
5 This contrasts with the results by Chau et al. (2001) according to which securitized real estate returns contain
no independent information about the returns on direct real estate in the Hong Kong market.
31
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