In this article the determinants of metropolitan-level appraisal-based retail property returns are examined by estimating a six-equation model of retail construction starts, retail sales, stock-market returns, commercial mortgage rates, inflation, and the logarithm of stock-market volatility. Residuals from these equations are then used to explain actual movements in retail real estate returns. Our empirical procedure looks at both unadjusted and unsmoothed appraisal-based retail real estate returns. The general finding is that unsmoothed appraisal-based retail real estate returns lag significantly behind market conditions. Furthermore, the results suggest that very little of the variation in metropolitan-level appraisal-based retail real estate returns can be explained by macroeconomic news events.
Available at: http://works.bepress.com/mark_eppli/20/
Accepted version. The Journal of Real Estate Finance and Economics, Vol. 16, No. 3 (May 1998): 317-342. DOI. © 1998 Springer Publishing Company. Used with permission.
Mark Eppli was affiliated with George Washington University at the time of publication.
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