#07-27
Global Financial Integration and Real Estate Security Returns
Ashok Bardhan, Robert Edelstein, and Desmond Tsang
Abstract: Has increasing global economic and financial integration affected the rates of
return of publicly traded real estate companies around the world? Using a set of multifactor
models for annual data for 946 firms from 16 countries over the sample period,
1995-2002, we estimate the impact of a country’s economic openness on returns of
publicly traded real estate firms, controlling for the effects of global capital markets,
domestic macro-economic conditions, and firm-specific variables. We find that a
country’s real estate security excess (risk-adjusted) returns are negatively related to its
openness. The results are robust across different multi-factor model specifications, and
are a testament to increasing global financial integration and its interplay with the real
estate sector.
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