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1、REALESTATEANDTHESTOCKMARKET:AMETA-REGRESSIONANALYSISAuthors:DeirdreReilly,BrianLuceyandConstantinGurdgievInstitution:TrinityCollegeDublinABSTRACTTherealestatefinanceliteratureprovidesdiverseandcontradictoryfindingsregardingthedistributionofrealestatere
2、turnsandthelinkagebetweenthesereturnsandstockmarketreturns.Despitetheimportanceofthisrelationshiptotheeconomyingeneralrelativelylittleisknownofwhatcausessuchdifferences.Inthispaper,throughapplyingthetechniqueofmeta-regressionanalysistotheempiricalstudi
3、esintheareaasignificantstepismadetowardsobjectivelyintegratingandsynthesisingtheresultsandidentifyingsystematicvariationsintheresultsofstudies.1.INTRODUCTIONThedistributionalpropertiesofthereturnsofcommonstockshavebeenthesubjectofnumerousempiricalstudi
4、es.AnalysisofkurtosisintheequitymarketdatesbackasfarasMandelbrot(1963)andFama(1965).Forrealestateassets,thereexistsasubstantialbodyofresearchinvestigatingthefirsttwomomentsofreturns(meanandvariance),howeveranalysesofthethirdandfourthmoments(skewnessand
5、kurtosis)isverylimited.Theoverwhelmingmajorityofstudiesthatdoinvestigatethesefourpropertiesfindrealestatereturnstobenon-normallydistributed.Thereislittle,ifany,concreteanalysisofwhatarethefactorsaffectingthedegreeofnon-normality,orinthecasewherereturns
6、arefoundtobenormallydistributed(LizeriandWard,1997;Seileretal.,1999;BrownandMatysiak,2000),whatarethefeaturesofsuchstudies.Despitetheimportanceofrealestateassetstothegeneraleconomy,surprisinglylittleisknownofhowsuchassetsinteractwithothermacroeconomicv
7、ariables.Thereismuchdisagreementinliteratureregardingthenatureoftherelationshipbetweenrealestatepricesandthestockmarket.Thereismixedevidenceastowhethersucharelationshipactuallyexists,andwhereoneisfoundonthesizeanddirectionoftherelationship.Thelackofane
8、xtendedperiodofanalysisandtheomissionofstructuralchangeperiodsinexistingliteraturehasledtoconfusionregardingthenatureofanyrelationship.Thepurposeofthispaperistoovercomemanyoftheselimitationsbyemployingmeta-regressionanalysistointegratea
