Author: Richard D. Evans

Start Page: 371
End Page: 380
Volume: 5
Issue Number: 3
Year: 1990
Publication: Journal of Real Estate Research

Abstract: A national multifamily and nonresidential real estate capitalization rate shows sensitivity to the analogous earnings/price ratio aggregated from the stock market. Both time series seen to have the same ARIMA characteristics. However, a transfer function analysis indicates that the sensitivity comes with a one quarter lag. Thus, even sophisticated real estate investors seem slow to adjust to changes in business cycle and monetary conditions that cause quicker changes in the stock market.