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The current study investigates whether the commercial real estate market is segmented from the stock market using the framework of Jorion and Schwartz (1986). Evidence is found to support the hypothesis that segmentation does exist as the result of indirect barriers such as the cost, amount, and quality of information for real estate rather than legal constraints. However, this evidence is contingent on whether real estate returns are computed with appraised values or imputed sale prices and on which market proxy is chosen.


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© Springer. Final version published as: Liu, C. H., Hartzell, D. J., Greig, W., & Grissom, T. V. (1990). The integration of the real estate market and the stock market: Some preliminary evidence. Journal of Real Estate Finance and Economics, 3(3), 261-282. Reprinted with permission. All rights reserved.

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