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Author Plazzi, Alberto
Title Essays on Real Estate and International Asset Pricing
book jacket
Descript 177 p
Note Source: Dissertation Abstracts International, Volume: 72-03, Section: A, page:
Adviser: Walter Torous
Thesis (Ph.D.)--University of California, Los Angeles, 2010
The three chapters of the dissertation are ideally divided into two main topics. The first two chapters analyze the commercial real estate market by using a transaction-based database of commercial real estate properties available for several U.S. metropolitan areas over an extended sample period. The first chapter uses a present-value approach to test for return and rent growth predictability in this market. I document that for apartments, industrial properties, and retail properties price changes are mostly driven by time variation in discount rates. For offices, on the contrary, there is reliable evidence of time variation in expected rent growth. I also analyze the impact of commercial real estate on a portfolio choice problem, and show that it provides diversification benefits beyond those of residential real estate. This result suggests that real estate properties differ in the timing of their reaction to economic shocks with respect to other assets. These results extend the findings of A. Plazzi, W. Torous, and R. Valkanov (Review of Financial Studies, forthcoming). The second chapter focuses on the cross-sectional dispersions of returns and growth in rents as a measure of the risk faced by commercial real estate investors. The cross-sectional dispersion is time-varying, and its fluctuations are explained by macroeconomic variables. This chapter is a version of A. Plazzi, W. Torous, and R. Valkanov (2008, Real Estate Economics, 36, 403--439)
In the third chapter I explore the determinants of comovements between the U.S. and U.K. stock markets from an asset pricing perspective. I define financial integration as the cross-country correlation in discount rate shocks and real integration as the corresponding correlation in dividend growth shocks. I find that real integration is a major determinant of stock price comovements, and it accounts for nearly 53% of the run-up in return correlation between the two countries during the last two decades. I also find that the relative importance of real integration is lower for domestic firms which operate just within the U.S
School code: 0031
Host Item Dissertation Abstracts International 72-03A
Subject Economics, Finance
Alt Author University of California, Los Angeles
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