{"id":"https://openalex.org/W1875355470","doi":"https://doi.org/10.1111/1540-6229.12069","title":"Returns and Information Transmission Dynamics in Public and Private Real Estate Markets","display_name":"Returns and Information Transmission Dynamics in Public and Private Real Estate Markets","publication_year":2015,"publication_date":"2015-01-15","ids":{"openalex":"https://openalex.org/W1875355470","doi":"https://doi.org/10.1111/1540-6229.12069","mag":"1875355470"},"language":"en","primary_location":{"id":"doi:10.1111/1540-6229.12069","doi":"https://doi.org/10.1111/1540-6229.12069","is_oa":false,"landing_page_url":"https://doi.org/10.1111/1540-6229.12069","pdf_url":null,"source":{"id":"https://openalex.org/S129086836","display_name":"Real Estate Economics","issn_l":"1080-8620","issn":["1080-8620","1540-6229"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-2","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Real Estate Economics","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5031098986","display_name":"David Curtis Ling","orcid":"https://orcid.org/0000-0001-9395-0395","observed_orcids":["https://orcid.org/0000-0001-9395-0395"]},"institutions":[{"id":"https://openalex.org/I33213144","display_name":"University of Florida","ror":"https://ror.org/02y3ad647","country_code":"US","type":"education","lineage":["https://openalex.org/I33213144"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"David C. Ling","raw_affiliation_strings":["Department of Finance, Insurance and Real Estate, Hough Graduate School of Business University of Florida Gainesville FL 32611"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Finance, Insurance and Real Estate, Hough Graduate School of Business University of Florida Gainesville FL 32611","institution_ids":["https://openalex.org/I33213144"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5037422502","display_name":"Andy Naranjo","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I33213144","display_name":"University of Florida","ror":"https://ror.org/02y3ad647","country_code":"US","type":"education","lineage":["https://openalex.org/I33213144"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Andy Naranjo","raw_affiliation_strings":["Department of Finance, Insurance and Real Estate, Hough Graduate School of Business University of Florida Gainesville FL 32611"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Finance, Insurance and Real Estate, Hough Graduate School of Business University of Florida Gainesville FL 32611","institution_ids":["https://openalex.org/I33213144"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5031098986","https://openalex.org/A5037422502"],"corresponding_institution_ids":["https://openalex.org/I33213144"],"apc_list":{"value":3400,"currency":"USD","value_usd":3400},"apc_paid":null,"fwci":20.6477,"has_fulltext":false,"cited_by_count":139,"citation_normalized_percentile":{"value":0.99301613,"is_in_top_1_percent":true,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":100},"biblio":{"volume":"43","issue":"1","first_page":"163","last_page":"208"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.8003000020980835,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.8003000020980835,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10632","display_name":"Housing Market and Economics","score":0.17489999532699585,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T14390","display_name":"Real estate and construction management","score":0.006399999838322401,"subfield":{"id":"https://openalex.org/subfields/2216","display_name":"Architecture"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/real-estate-investment-trusts","display_name":"real estate investment trusts","score":0.7990000247955322},{"id":"https://openalex.org/keywords/information-transfer","display_name":"information transmission","score":0.8669999837875366},{"id":"https://openalex.org/keywords/asset-pricing","display_name":"asset pricing","score":0.6389999985694885},{"id":"https://openalex.org/keywords/reit-performance","display_name":"REIT performance","score":0.4009999930858612},{"id":"https://openalex.org/keywords/property-type","display_name":"property type","score":0.527999997138977},{"id":"https://openalex.org/keywords/financial-leverage","display_name":"leverage","score":0.781000018119812},{"id":"https://openalex.org/keywords/management-fees","display_name":"management fees","score":0.7639999985694885},{"id":"https://openalex.org/keywords/market-liquidity","display_name":"market liquidity","score":0.4830000102519989}],"concepts":[{"id":"https://openalex.org/C38815200","wikidata":"https://www.wikidata.org/wiki/Q697852","display_name":"Real estate investment trust","level":3,"score":0.8363861441612244},{"id":"https://openalex.org/C82279013","wikidata":"https://www.wikidata.org/wiki/Q684740","display_name":"Real estate","level":2,"score":0.6649795770645142},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5747544765472412},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.5384718179702759},{"id":"https://openalex.org/C153083717","wikidata":"https://www.wikidata.org/wiki/Q6535263","display_name":"Leverage (statistics)","level":2,"score":0.5323494076728821},{"id":"https://openalex.org/C99221444","wikidata":"https://www.wikidata.org/wiki/Q1532069","display_name":"Private information retrieval","level":2,"score":0.5061420798301697},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.4916091561317444},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.4431838393211365},{"id":"https://openalex.org/C38731271","wikidata":"https://www.wikidata.org/wiki/Q456272","display_name":"Private investment in public equity","level":4,"score":0.44179999828338623},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.40753257274627686},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.38411587476730347},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.3579337000846863},{"id":"https://openalex.org/C71110296","wikidata":"https://www.wikidata.org/wiki/Q476115","display_name":"Private equity","level":2,"score":0.3460976481437683},{"id":"https://openalex.org/C202093079","wikidata":"https://www.wikidata.org/wiki/Q5418962","display_name":"Private equity firm","level":3,"score":0.20617279410362244},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.0},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.0},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1111/1540-6229.12069","doi":"https://doi.org/10.1111/1540-6229.12069","is_oa":false,"landing_page_url":"https://doi.org/10.1111/1540-6229.12069","pdf_url":null,"source":{"id":"https://openalex.org/S129086836","display_name":"Real Estate Economics","issn_l":"1080-8620","issn":["1080-8620","1540-6229"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-2","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Real Estate Economics","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:bla:reesec:v:43:y:2015:i:1:p:163-208","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1111/1540-6229.12069","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":30,"referenced_works":["https://openalex.org/W1497246083","https://openalex.org/W1530995593","https://openalex.org/W1573023960","https://openalex.org/W1579091683","https://openalex.org/W1974645869","https://openalex.org/W1995834279","https://openalex.org/W2006808353","https://openalex.org/W2007785900","https://openalex.org/W2015800048","https://openalex.org/W2016035592","https://openalex.org/W2032256557","https://openalex.org/W2039667918","https://openalex.org/W2040615997","https://openalex.org/W2075224224","https://openalex.org/W2089556049","https://openalex.org/W2113305199","https://openalex.org/W2125520394","https://openalex.org/W2130052345","https://openalex.org/W2130613857","https://openalex.org/W2136120210","https://openalex.org/W2164632629","https://openalex.org/W3021190191","https://openalex.org/W3121203533","https://openalex.org/W3121400309","https://openalex.org/W3122058403","https://openalex.org/W3123937781","https://openalex.org/W3123957507","https://openalex.org/W3124586183","https://openalex.org/W3124931737","https://openalex.org/W3126060407"],"related_works":["https://openalex.org/W3125493289","https://openalex.org/W2084986970","https://openalex.org/W3167585398","https://openalex.org/W2807855054","https://openalex.org/W4254380633","https://openalex.org/W2029133601","https://openalex.org/W2300907343","https://openalex.org/W2973361083","https://openalex.org/W1971839603","https://openalex.org/W1604850313"],"abstract_inverted_index":{"This":[0],"paper":[1],"examines":[2],"U.S.":[3],"public":[4,34],"and":[5,15,35,44,123],"private":[6,36,63,95,116,136],"commercial":[7,89],"real":[8,56],"estate":[9,57],"returns":[10,84,105,118,138],"at":[11],"the":[12,17,23,72],"aggregate":[13],"level":[14],"by":[16,66],"four":[18],"major":[19],"property":[20,41],"types":[21],"over":[22,71],"1994\u20132012":[24,73],"time":[25],"period.":[26,75],"Returns":[27],"are":[28,143],"carefully":[29],"adjusted":[30],"for":[31],"differences":[32],"between":[33],"markets":[37],"in":[38,93],"financial":[39],"leverage,":[40],"type":[42],"focus":[43],"management":[45],"fees.":[46],"Unconditionally,":[47],"we":[48],"find":[49],"that":[50,82,102],"passive":[51],"portfolios":[52],"of":[53],"unlevered":[54],"core":[55],"investment":[58],"trusts":[59],"(REITs)":[60],"outperformed":[61],"their":[62,120],"market":[64,96,117,137],"benchmark":[65],"49":[67],"basis":[68],"points":[69],"(annualized)":[70],"sample":[74],"Our":[76],"baseline":[77],"vector":[78],"autoregression":[79],"results":[80,99],"suggest":[81,101],"REIT":[83,104],"do":[85],"not":[86],"embed":[87],"additional":[88],"real\u2010estate\u2010specific":[90],"information":[91,112,132],"useful":[92],"predicting":[94],"returns.":[97],"These":[98],"strongly":[100],"equity":[103],"react":[106],"to":[107,135],"fundamental":[108,131],"(latent)":[109],"asset":[110,140],"pricing":[111,141],"more":[113],"quickly":[114],"than":[115],"given":[119],"greater":[121],"liquidity":[122],"price":[124],"revelation.":[125],"REITs":[126],"therefore":[127],"serve":[128],"as":[129],"a":[130],"transmission":[133],"channel":[134],"when":[139],"variables":[142],"omitted.":[144]},"counts_by_year":[{"year":2026,"cited_by_count":15},{"year":2025,"cited_by_count":8},{"year":2024,"cited_by_count":8},{"year":2023,"cited_by_count":12},{"year":2022,"cited_by_count":15},{"year":2021,"cited_by_count":13},{"year":2020,"cited_by_count":14},{"year":2019,"cited_by_count":15},{"year":2018,"cited_by_count":5},{"year":2017,"cited_by_count":7},{"year":2016,"cited_by_count":17},{"year":2015,"cited_by_count":6},{"year":2014,"cited_by_count":3},{"year":2013,"cited_by_count":1}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}