caa a22 4500 445316586 CHVBK 20180317142649.0 cr unu---uuuuu 170323e20110101xx s 000 0 eng 10.1007/s11146-009-9172-4 doi (NATIONALLICENCE)springer-10.1007/s11146-009-9172-4 Price Discovery in Real Estate Markets: A Dynamic Analysis [Elektronische Daten] [Abdullah Yavas, Yildiray Yildirim] Although the correlation between the public and private market pricing of real estate has generated considerable research effort, the methods utilized in previous studies have failed to capture the dynamic nature of this correlation. This paper proposes a new statistical method to address this issue. This method, known as the dynamic conditional correlation GARCH model, enables us to study the dynamics of the correlation between the two markets over time and enrich our understanding of the public and private market pricing of real assets. We find that the correlation between NAV returns and REIT returns is dynamic for all REIT types and there is a strong degree of persistence in the series of correlation. Our Granger-causality tests show that price discovery generally takes place in the securitized public market. However, we also find significant variations across property types and individual firms within each type. Our results indicate that constructing an optimal portfolio requires firm level analysis of causality and correlation between REIT returns and NAV returns. Springer Science+Business Media, LLC, 2009 Price discovery nationallicence REIT returns nationallicence NAV returns nationallicence Yavas Abdullah Smeal College of Business Administration, Pennsylvania State University, 16802, University Park, PA, USA aut Yildirim Yildiray Whitman School of Management, Syracuse University, 13244, Syracuse, NY, USA aut The Journal of Real Estate Finance and Economics Springer US; http://www.springer-ny.com 42/1(2011-01-01), 1-29 0895-5638 42:1<1 2011 42 11146 https://doi.org/10.1007/s11146-009-9172-4 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s11146-009-9172-4 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Yavas Abdullah Smeal College of Business Administration, Pennsylvania State University, 16802, University Park, PA, USA aut NATIONALLICENCE 700 1- Yildirim Yildiray Whitman School of Management, Syracuse University, 13244, Syracuse, NY, USA aut NATIONALLICENCE 773 0- The Journal of Real Estate Finance and Economics Springer US; http://www.springer-ny.com 42/1(2011-01-01), 1-29 0895-5638 42:1<1 2011 42 11146 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer