Analysis of the distribution and stationarity of real estate returns and assessment of the relationship between real estate and the financial asset markets

Abstract

Notwithstanding the importance of real estate assets to the general economy and the significance of housing assets in the balance sheets of households, there is a relatively small body of research examining the distribution of returns to real estate assets and the relationship between real estate assets and other financial assets and macroeconomic variables. Through the use of meta-regression analyzes, this thesis provides an extensive, integrated and objective review of the existing real estate literature regarding the distribution of real estate returns and the relationship between real estate returns and the stock market, and also allows for an assessment of the sensitivity of the overall estimates to variations in the underlying studies. Among other findings, it was established that the frequency of the data, the type of real estate asset, the type of stock market index (large or small capitalization), the time period and the methodology used in the analysis all had a systematic effect on the results of studies.