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Our aim in this study is to investigate the relative importance of the economic policy uncertainty and of the geopolitical risk on U.S. REITs (Real Estate Investment Trusts) returns with a special focus on the different real estate sectors.

We use an augmented Fama-French (1993)’s asset pricing model, including economic policy uncertainty indices (EPU), introduced by Baker et al. (2016), and geopolitical risk indices (GPR) recently developed by Caldara and Iacoviello (2022), to price the potential risk factors for U.S. Nareit indices returns. To obtain robust economic results, we correct for the problems of errors-in-variables in linear asset pricing models; we advocate the use of higher moments estimators as instruments in a generalized method of moments (GMM) framework.

Our results report that economic policy uncertainty (EPU), and geopolitical risk (GPR) are priced for the different Nareit sectors for the last three decades. The GPR index stands as a relevant risk factor. The coefficient estimates are low compared to Fama-French risk factors. They are higher for Shopping Centers, Retail and Region Malls and lower for Health Care and Lodging/Resorts. EPU indices are also priced and less statistically significant. Health Care sector, followed by Shopping Centers and Retail are the most policy-sensitive sectors.

In their “2023–2024 Top Ten Issues Affecting Real Estate” “political unrest and global economic health” is ranked 1 issue by the Counselors of Real Estate. Our results report that economic policy uncertainty and geopolitical risk are priced for the different Nareit sectors. They suggest implications for investors, insurers, bankers, policymakers and other stakeholders. The geopolitical risk index (GPR) stands as a relevant and significant risk factor for REITs returns.

Based on parsimonious robust asset pricing models, the results shed a new light on the relative importance of geopolitical risk and economic policy uncertainty in the real estate sector, with a special focus on the different U.S. REITs sectors. They suggest possible implications for investors, insurers, bankers, policymakers and other stakeholders in a context marked by higher uncertainty shocks and geopolitical risks.

The aim of this study is to shed light on the relative importance of money supply and exchange rates variations on office markets prices dynamics.

Using a parsimonious real estate asset pricing model, the authors focus on the two biggest European office markets; namely the United Kingdom and Germany. The authors use a panel approach based on a robust econometric methodology (GMM with correction errors-in-variables). The authors take into account the variations of exchange rates and money supplies for the most important currencies.

The results highlight the impact of money supplies and exchange rates on office prices after the Global Financial Crisis. The authors report that the monetary policies in the UK and in Germany (Euro zone) have had significant influences in the real estate sector after the Global Financial Crisis. However, the authors identified significant differences between British and German office markets for the 2009–2019 period regarding the impact of money supply and exchange rates variations on the office prices dynamics.

The results highlight the impact of money supplies and exchange rates on office prices after the Global Financial Crisis. The detailed and exclusive database (composed of the main office markets in the United Kingdom and in Germany) allows the authors to identify significant differences and opportunities for investors.

The authors use a parsimonious model and apply a panel approach based on a robust econometric methodology to analyse the impact of exchange rates and money supply variations on the office prices dynamics. The detailed and exclusive database (composed of the main office markets in the United Kingdom and in Germany) allows the authors to identify significant differences for investors.

The purpose of this paper is to analyze and revisit the risk and performance of publicly traded real estate companies from 14 countries over the period 2000–2015, marked by the unprecedented Global Financial Crisis, in presence of errors-in-variables (EIV) and illiquidity (measured by serial correlation, following Getmansky et al. (2004)).

The authors extend the seminal work of Bond et al. (2003), and shed a new light on the relative performance of listed real estate before and after the GFC. First, the authors suggest the use of various asset pricing models (APM) including the Fama and French (2015) five-factor APM with global and country-level factors. Second, the authors implement unbiased estimators to correct for the econometric bias induced by EIV in APM. Third, the authors deal with the impact of illiquidity (measured by serial correlation) on the risk properties of international securitized real estate returns.

The findings show that post-GFC, a radical change in international listed real estate risk factors has resulted in more homogeneous markets internationally and less diversification opportunities for international investors.

The authors suggest the use of robust linear APM (including the Fama and French (2015) five-factor APM) to analyze the risk and performance of publicly traded real estate companies from 14 countries over the period 2000–2015.

The authors analyze and revisit the risk and performance of publicly traded real estate companies from 14 countries over the period 2000–2015, marked by the unprecedented Global Financial Crisis.

The aim of this study is to analyse the effect of conventional and unconventional monetary policy shocks on housing price dynamics in Europe (2000–2020). We propose a pan-European comparative analysis at a city market level, contrary to the previous literature.

We build a quarterly market dataset for 13 European cities (Paris, Lyon, Marseille, Berlin, Munich, Frankfurt, Amsterdam, Madrid, Barcelona, Seville, London, Birmingham and Manchester). We proceed in two steps. First, we develop a structural VAR (vector autoregression) model. Second, we conduct a forecast error variance decomposition analysis.

We show that a contractionary policy rate has a negative influence on house prices with relevant differences. A balance sheet shock displays a heterogeneous effect on housing prices. Globally, we observe that a conventional monetary policy shock explains a larger share of total housing price variance than an unconventional monetary policy shock. Finally, our results report that conventional and unconventional monetary policy shocks have a greater impact in more liberalized credit markets.

We develop a pan-European analysis of house prices at a market level for a sample of 13 European cities. A parsimonious structural VAR model is used to study the dynamics of conventional and unconventional monetary policies on house prices in major European markets: Paris, Lyon, Marseille, Berlin, Munich, Frankfurt, Amsterdam, Madrid, Barcelona, Seville, London, Birmingham and Manchester. Our results highlighting the relative importance of conventional and unconventional monetary shocks, identify the existence of heterogeneous effects of monetary policies in European city markets.

The aim of this study is to shed light on the relative importance of Chinese (Mainland China and Hong Kong: CH-HK) foreign direct investments (FDIs) in real estate (FDIRE) on the dynamics of Asia-Pacific (APAC) public real estate markets after the Global Financial Crisis.

Using a parsimonious real estate asset-pricing model including macroeconomic risk factors, the authors develop a metric to measure FDIs in the real estate sector. The authors use a panel VAR approach based on robust econometric methodology (generalized method of moments) and deal with potential endogeneity and an eventual causality problem. The authors also compute multiple metrics to measure the Chinese, US and Japanese FDIs in the real estate sector.

The study results report a positive significant impact of CH-HK FDIRE on APAC public real estate returns, while FDIRE originating from outside China are not significant. The authors also show that Chinese investors use the channel of FDIs in Diversified Listed Property Companies (LPCs) and Hotel and Family LPCs to gain exposure to the APAC real estate markets. The study results suggest that APAC property markets are mainly impacted and emphasize the importance of an intercontinental diversification strategy for investors in LPCs in the APAC region.

Contrary to Bond et al. (2003) who identified that APAC public real estate markets were overwhelmingly idiosyncratic in the decade preceding China's WTO membership (1990–2001), the study findings underline that Chinese FDIRE became a common factor affecting all eight markets in this study in the decade following the global financial crisis (2007–2017). The results emphasize the importance of an intercontinental diversification strategy for investors in LPCs in the APAC region.

The authors use a parsimonious model, introduce metrics to measure FDIRE and apply a panel VAR approach based on a robust econometric methodology to shed light on China's economic globalization strategy on Asia-Pacific public real estate markets after the GFC. The study results highlighting the major impact of CH-HK FDIRE on securitized real estate market returns dynamics, identify the existence of an Asian common factor driven by Chinese FDI inflows into neighbouring countries.

The purpose of this study is to highlight the determinants of market rents and to build a hedonic market rent index for each urban area and rental sector in France for the period 1970–2013. The authors also analyse the market rent dynamics over this period, with a special attention to the turning points in the French housing policy.

For this purpose, the authors implement a hedonic model, called stratified time dummy variable, using the Box–Cox transformation as a functional form.

The contribution of this study to the housing research is threefold: First, the study improves our understanding of the French’s rental submarket specificities and their valuation. It sheds new light on the determinants of rents. Second, this study builds a hedonic market rent index over the period 1970–2013 for each geographical and sectoral segment (Paris urban area, urban areas of more and less than 100,000 inhabitants and private and public rental sectors). Third, this study explains rent dynamics focusing on the turning points in the French housing policy.

Finally, the authors provide the first long-term market rent index in France by submarket (geographical and sectoral). In the case of the French market, no long-term market rent exists. The only long series available is an indexed rent.

This paper aims to explore the relationship between the financialisation dynamics of listed property companies (LPCs) and their participation in the metropolisation dynamics, in ten European countries between 2000 and 2017. The study takes place in a context of globalised real estate markets and modification of traditional urban economics.

The measure of financialisation corresponds to a beta increase, in the sense of the capital asset pricing model, and is corroborated by an informativeness index. LPC-owned properties are classified along two spatial segmentations. Panel models are used to analyse the relation between financial and urban hierarchies (through building arbitrages).

Financialisation is generally associated with a decrease in the number of assets owned, especially in the Netherlands and the UK, whereas non-financialised companies tend to increase their number of assets, especially in “flight-to-quality” countries such as Germany and Switzerland. In the first case, non-urban spaces and small and medium urban areas are arbitraged in favour of urban cores and metropoles. In the second, investments are reallocated towards hinterlands and the lower segments of the urban hierarchy. Over the study period, the parallelism between the financial hierarchy and the urban hierarchy was reinforced. Spain illustrates the risks of this evolution, whereas Sweden and Belgium present specificities.

This paper illustrates how LPCs function as transmitting channels in the new spatial and urban organisation.