Universal Journal of Accounting and Finance 7(4): 83-95, 2019 http://www.hrpub.

org
DOI: 10.13189/ujaf.2019.070401

The Impacts of Financial Freedom on International

Real Estate Securities
Mei-Se Chien1, Chih-Yang Cheng2,*, Yi-Chung Hsu3

1
Department of Finance and Information, National Kaohsiung University of Science and Technology, Taiwan, China
2
Department of Finance, National Sun Yat-Sen University, Taiwan, China
3
Department of Public Finance and Taxation, National Taichung University of Science and Technology, Taiwan, China

Received September 19, 2019; Revised November 13, 2019; Accepted November 23, 2019

Copyright©2019 by authors, all rights reserved. Authors agree that this article remains permanently open access under
the terms of the Creative Commons Attribution License 4.0 International License

Abstract The aim of the paper is to study how trade multiplied and the importance of trade liberalization, such
freedom and financial freedom affect the excess return of as Free Trade Agreement (FTA), and financial
real estate security, and we apply annual data for 1,108 liberalization is increasing dramatically. Trade
publicly traded real estate companies of 24 countries from liberalization promotes the economic integration across
2006 to 2013 to examine it. The main findings are as countries, which will reduce the trade costs and motivate
follows : First, for whole sample, the coefficients of the the growth of trade demand. Hence, trade liberalization of a
index of trade freedom, the index of financial freedom, are country usually will bring about higher economic profit. As
significantly negative, which means that higher freedom to financial liberalization, which can cause that foreign
of trade and financial will increase efficiency of real estate investors are able to add foreign real estate physical assets
market but the excess return of real estate will decrease. or foreign real-estate-related financial securities to their
Second, comparing the effect of the indexes to affect portfolio, as well as also facilitate the participation by
excess return of real estate securities in three different domestic real estate firms in global opportunities. However,
regions, the indexes of financial freedom and Trade trade liberalization and financial liberalization will
freedom are vital factors, but all of four indexes of freedom promote the global economic integration, which will also
are important in Europe and other area. Third, the bring about closer linkage of international real estate
coefficients of indexes of monetary freedom and indexes of securities. In the trend of trade and financial liberalization,
trade freedom are negative in both of high and non-high how will the international real property securities be
income groups. Finally, for the group of non-high income affected by these factors?
level, the coefficient of index of investment freedom is Reviewing the past relative literature, the issue of
negative and the coefficient of index of financial freedom international diversification of real estate portfolios has
is positive, which are different with the results of the whole received more discussions, such as [9, 11, 29, 31, 32, 33,
sample. 36], among others. Some studies analysis the relationship
between economic openness, especially current account or
Keywords Real Estate, Trade Freedom, Financial capital inflows, and the real estate sector. [1, 18, 19, 28]
Freedom, Generalized Method of Moment There is little existing literature which includes openness or
capital flows to compare real estate security returns across
countries, but Bardhan et al. [4] is an exceptional literature,
which shows that a country’s openness will negatively
affect real estate security excess returns. However, there is
1. Introduction no literature to study the relationship between economic
Real estate has traditionally been regarded as a local freedom and real estate security returns. For fill the gap, the
phenomenon. In the past few decades, globalization has paper establish a model to estimate the impacts of the
progressively brought about the internationalization of indices of financial freedom and trade freedom on real
services sectors as much as of manufacturing, which estate firms securities returns.
caused many sub-sectors of the real estate industry have This paper contributes to the relevant literature of real
been enthusiastic participants in the global surge (Bardhan estate security returns across countries as follows: First,
and Kroll [3]). In the past two decades, globalization has although some empirical studies have showed that a
84 The Impacts of Financial Freedom on International Real Estate Securities

positive relationship exists between economic freedom and assets are included in a mixed-asset portfolio. Some other
GDP [7, 10, 23, 24, 38], such a linage has yet to be studies have documented the benefits of including real
discussed between economic freedom and real estate estate in mixed-asset portfolios [34, 35, 40]. Recently, the
security returns. Considering financial liberalization and issue of international diversification of real estate
trade liberalization could change return of the real estate portfolios has received more discussions. Worzala and
securities, this paper provides new evidence that sheds Sirmans [41] have remarkably reviewed international real
light on the topic by adding four indices of economic estate stock literature, which put a light on the
freedom into multifactor model of Bardhan et al. [4] to diversification benefits in a mixed-asset portfolio
estimate the impact of economic freedom index on real framework or a real estate-only portfolio framework.
property securities. Second, the paper applies a dataset Other literature contains [9, 13, 29, 31, 32, 33, 36].
sufficiently large to allow robust conclusions to be drawn; Some papers study the impacts of international
specifically, the sample used in this study consists of world-wide regional and country-specific factors on
annual data for 1,108 publicly traded real estate companies international real estate security returns. Eichholtz et al. [14]
from 24 countries over the period 2006 - 2013. Comparing examine whether the continental factors will influence on
with the dataset of Bardhan et al. [4], annual data for 946 return of real estate, and the results confirm the existence of
firms of 16 countries form1995 to 2002, the paper uses a “continental” differences of real estate returns in European,
wide and updated range of data, including more developing North American and Asia-Pacific. For a sample of
countries’ data and more up-to-date data. Third, the 21countries, Hamelink and Hoesli [26] discuss the effects
methodology of Bardhan et al. [4] is a static panel model, of various factors on real estate security returns across
pooled regression, which cannot allow us to analyze the different countries, and their result shows that there are
possible dynamism existing in multifactor model of return some significant factors, such as country, scale and
of real estate securities. Hence, the paper uses dynamic value/growth, to influence return. Eichholtz and Huisman
panel estimators, dynamic generalized method of moments [12] investigate the factors to determine the cross-sectional
(GMM), rather than static panel models to avoid the fault variation of excess returns on international property firms,
of pooled regression. The general estimates are considered and they find that interest rates, firm size and
for the sample covering shorter periods and more countries, country-specific variables are significant factors. Being
and the explanatory variables of estimating model are not based on an international CAPM model, Ling and Naranjo
strictly exogenous, fixed effects, the heteroscedasticity, as [30] find little proof of abnormal and risk-adjusted returns
well as autocorrelation within countries. for real estate firms at the country level, but there are a
The remainder of the paper is as follows. Section 2 strong worldwide factor and an orthogonal
provides a summary of the literature. Section 3 describes country-specific factor to drive the return of international
the methodology. Section 4 presents the empirical results, real estate. Similarly, in this study of Bond et al. [6] it
and Section 5 provides some conclusions. employ the data of country-level commercial real estate
indexes by using the CAPM and controlling for Fama and
French [16] factors.to examine the risk and return of
2. Literature publicly traded real estate, their finding presented the
country-specific risk and the Fama and French [17] factors
In past literature of real estate markets, some studies are significant determinants of real estate returns. We are
have investigated about international determinants of real aware of other papers which support the same evidence,
estate returns across different country. Some papers put the such as [20, 21, 37, 39].
light on international real estate diversification and discuss Some recent studies analyze the relationship between
mean-variance portfolio performance, such as [11, 22]. economic openness, especially current account or capital
Eichholtz [11] analysis the covariance structure of inflows, and the real estate sector. Aizenman and Jinjarak
international real estate returns by applying monthly data [1] regresses changes in real estate prices on the ratio of
from 1973 to 1993, and the result of Eichholtz [11] displays current account to GDP by using cross-country data from
that the covariance of international real estate returns is 43 countries, their results display that the current account is
unstable. Goetzmann and Wachter [22], employing negatively correlated with real estate prices. While other
mean-variance analysis, confirm that three clusters of relative empirical works also find that a positive and
office markets that tend to move together by using the significant relationship between capital inflows and booms
sample of office markets across countries and classify three in real estate prices such as [1, 18, 19, 28]. In particularly,
groups to research by achieving the mean-variance taking international economic openness into the model,
analysis. Bardhan et al. [5] indicate that openness of national
Conover et al. [8] demonstrate that not only foreign economies has a positive impact on urban residential rents
shares but also foreign real property security offer among 55 cities around the world. However, there is little
diversification gains. Hoesli et al. [27] employ both hedged existing literature comparing real estate security returns
and unhedged returns and indicate that portfolio across countries to include international economics
diversification benefits will be improved if real estate variables, such as measures of openness or capital flows.
 Universal Journal of Accounting and Finance 7(4): 83-95, 2019 85

Empirical research by Bardhan et al. [4] is an exceptional realized excess return for market portfolio over risk-free
literature, which examine the impact of a country’s rate. SIZE, PTBV, and LNTUR are firm’s market
economic openness on returns of real estate firms, using a capitalization and annual total trading volume, respectively,
set of multifactor models for annual data for 946 firms and both are measured in U.S. dollars. PTBV is the
from 16 countries. The results of Bardhan et al. [4] show company market capitalization divided by reported book
that a country’s openness will negatively affect real estate value. Moreover, there are two independent
security excess returns. macroeconomic variables, that is, GDP is change in gross
Recently, some empirical studies have showed that domestic product and SPREAD is calculated by using
economic freedom leads economic growth (Heckelman “10-year bond rate” be reduced by “3-month treasure rate”.
[25]) and that a positive relationship exists between Furthermore, the model includes some variables to
measure globalization and liberalization, being shown as
economic freedom and GDP [7, 10, 23, 24, 38]. However,
the followings: OPENNESS is exports plus imports as a
such an association has yet to be discussed between
percentage of GDP, as a measure the degree of openness
economic freedom and real estate security returns. Hence,
for the country; FDI/GDP the ratio of Foreign Direct
being based on the model of Bardhan et al. [4], the paper Investment (FDI) to the GDP, as a measure the degree of
will examine how economic freedom affect a country’s globalization; TF represents the index of trade freedom;
economic openness on returns of publicly traded real estate 𝑀𝐹𝑖,𝑡 represents the index of monetary freedom; FF
firms, controlling for the effects of global capital markets, represents the index of investment freedom; FF represents
domestic economic and firm-specific variables. the index of financial freedom. Finally,εis the error term.
The subscript i represents firm i, j means country i, and t is
period t.
3. Methodology
The paper applies the Generalized-Method-of-Moments
(GMM) method of Arellano and Bond [2] for dynamic
4. Data and Empirical Results
panel data, which can eliminate weak instrumental variable This research examines the dynamic linkages of excess
and enhance the effectiveness of the limited sample. Our return of real estate security, macroeconomic variables,
panel consists of data for 1,108 publicly traded real estate trade freedom, and financial freedom by applying panel
firms of 24 countries over the period 2006-2013. For data. This section will estimate the multifactor model with
analysis how trade freedom and financial freedom affect some indices of different economic freedom, as equation
the excess return of real estate security, the paper adds (1), by using the method about Generalized Method of
some indices of economic freedom into multifactor model Moment (GMM) to investigate the impacts of trade
of Bardhan et al. [4] to examine the effects. The corrected freedom and financial freedom on the excess return of real
model takes the form: estate securities.
𝑅(𝑅𝑖,𝑗,𝑡 − 𝑅𝑗,𝑡 ) = 𝛽1 𝑅(𝑅𝑖,𝑗,𝑡−1 − 𝑅𝑗,𝑡−1 ) + 𝛽2 𝑀𝐾𝑇𝑗,𝑡 +
𝛽3 𝑆𝐼𝑍𝐸𝑖,𝑗,𝑡 +𝛽4 𝑃𝑇𝐵𝑉𝑖,𝑗,𝑡 +𝛽5 𝐿𝑁𝑇𝑈𝑅𝑖,𝑗,𝑡 +𝛽6 𝐺𝐷𝑃𝑗,𝑡 +𝛽7 𝑆𝑃𝑅𝐸𝐴𝐷𝑗,𝑡 +4.1. Data
𝛽8 𝑂𝑃𝐸𝑁𝑁𝐸𝑆𝑆𝑗,𝑡 + 𝛽9 𝐹𝐷𝐼/𝐺𝐷𝑃𝑗,𝑡 + 𝛽10 𝑇𝐹𝑗,𝑡 + 𝛽11 𝑀𝐹𝑗,𝑡 +
𝛽12 𝐼𝐹𝑗,𝑡 + 𝛽13 𝐹𝐹𝑗,𝑡 + 𝜀𝑖,𝑗,𝑡 (1) This empirical analysis covers annual data for 1,108
publicly traded real estate companies from 24 countries
Where 𝑅𝑖,𝑗,𝑡 is the estimated exposure of firm i’s real among 2006 to 2013. The numbers of firms in our sample
estate return for the country j in time period t, and 𝑅𝑗,𝑡 is are more than the numbers of firms in previous research,
the country j’s risk-free rate in time period t, hence, the for example, the sample of Eichholtz et al. [14] covered
dependent variable, 𝑅𝑖,𝑗,𝑡 − 𝑅𝑗,𝑡 , means the firm i’s real 250 biggest real property companies, and the sample of
estate excess annual return over country j’s risk-free rate in Bardhan et al. [4] included 946 real estate firms. The
period t. study utilizes 1,108 real estate firms, and Figure 1 show
As to the independent variables, MKT represents the the numbers of firms in our sample by country.
86 The Impacts of Financial Freedom on International Real Estate Securities

Figure 1. Sample number of firms by country

The equation (1), controlling for the effects of global variables as well as the sources of the data.
capital markets, domestic macroeconomic conditions and
firm-specific variables, will be estimated by using Table 1. The data of variables
generalized method of moment (GMM). Except for the Variables Proxy Source
dependent variable being the realized return of publicly excess return of publicly traded
traded real estate equity for company, the independent R Datastream a
real estate equity
variables of equation (1) include the excess annual returns excess return of market MKT Datastream a
of market, size of company, market value to book value , Firm’s market capitalization SIZE Datastream
interest spread, GDP, trading volume, openness1, index of
Market-to-book ratio PTBV Datastream
global, and several indices of economic freedom. It is
Total value of firm’s trading
worth noting that some literature, for example Fard et al. volume (turnover)
LNTUR Datastream
[15], selected FDI/GDP as a proxy variable to measure the Gross domestic product GDP IMF
degree of globalization, hence, this paper also includes
Rate spread SPREAD Datastream b
FDI/GDP to be one of indexes of globalization. The data
of all variables are collected as the followings: The data of openness OPENNESS IMFc
GDP and openness are obtained from IMF website, the Global index FDI/GDP
The world
data of several economic freedom indexes obtain from Bank
Heritage
Heritage Foundation website, and the other data of Index of Trade Freedom TF
Foundation
variables are from Datastream Database. Heritage
Index of Monetary Freedom MF
Being different from the model of Bardhan et al. [4], Foundation
the model of the research includes several indices of Index of Investment Freedom IF
Heritage
economic freedom. The first is the index of trade freedom Foundation
Heritage
which is a measure of the absence of tariff and non-tariff Index of Financial Freedom FF
Foundation
barriers that affect imports and exports of goods and
services. The second is the index is monetary freedom a. R=𝐑𝐑 𝐢𝐢𝐢𝐢 − 𝐑𝐑 𝐟𝐟𝐟𝐟 , 𝐑𝐑 𝐢𝐢𝐢𝐢 is realized return of publicly traded
which is a measure of price stability with an assessment of real estate equity, and 𝐑𝐑 𝐟𝐟𝐟𝐟 is risk-free rate of country,
price controls. Both of inflation and price controls distort and both are collected from Datastream. Besides,
market activity. The third is the index of investment MKT=𝐑𝐑 𝐬𝐬𝐬𝐬 − 𝐑𝐑 𝐟𝐟𝐟𝐟 , 𝐑𝐑 𝐬𝐬𝐬𝐬 is realized returns of the stock
freedom which is a measure whether constraints on the index for country.
flow of investment capital. The fourth is the index of b. Rate spread is calculated by using “10-year bond rate”
financial freedom which is a measure of banking be reduced by “3-month treasure rate”, and both rates
efficiency as well as a measure of independence from are collected from Datastream.
government control and interference in the financial sector. c. Openness = (imports + exports)/GDP, both imports,
Table 1 presents detailed definitions and proxies of all exports and GDP are collected from IMF.

1 Openness = (imports + exports)/GDP

 Universal Journal of Accounting and Finance 7(4): 83-95, 2019 87

Table 2. The countries in different subsamples

Asia Europe Other

Hong Kong India United Kingdom Netherlands Canada
Singapore Indonesia France Demark United States
Area Japan Philippines Germany Switzerland New Zealand
Taiwan Thailand Italy Finland Australia
China Malaysia Sweden South Africa
High income non-high income
United Kingdom Netherlands Singapore China Thailand
France Demark Japan India Malaysia
Income level Germany Switzerland Taiwan Indonesia South Africa
Italy Finland Canada Philippines
Sweden Hong Kong United States
New Zealand Australia

Additionally, in order to compare the results of including models (7) and (8). The model (7) is added three
different samples by different areas and by income levels, indices of economic freedom, IF, MF, and FF, into model
the research also will execute GMM estimations of three (6), and model (8) contains all of variables.
area-subsamples and two income-subsamples. Three The result of model (1), in column 1 of Table 3, show
area-subsamples include Asia, Europe and other area. that the coefficient of MKT, excess return of market, is
According to income classifications of the World Bank in significantly positive, which means that increasing excess
2013, the paper divided the 24 countries into high income return of market will raise the realized return of real estate
group (GNI per capita > US$12,736) and non-high income company. Then, model (2) is added the variable
group (GNI per capita < US$12,736). Table 2 presents the OPENNESS, (imports + exports)/GDP, into model (1), to
classification results. investigate the effect of openness. The estimated
coefficient of MKT, in model (2), is also positive, same as
4.2. The GMM Estimation of the Whole Sample the result of model (1). Comparing the results of other
models in Table 3, several features can present as the
Table 3 displays sets of GMM estimated results to followings.
Equation (1) for the whole sample of 24 countries. In First, according to Table 3, we can find the coefficients
Table 3, models (1) and (2) are the model of single-factor of the variable R(-1) , the lag of excess return for real estate,
CAPM, the former does not include OPENNESS but the are positive in most of models, which means that there are
latter does. Being based on models (1) and (2), models (3), continuous impacts on excess return of real estate. On the
(4) and (5) include different factors of company and other hand, the results of most of models show the
macroeconomics. In model (3), according to the coefficient of the MKT is significantly positive, which
suggestion of Bardhan et al. [4], except for excess return means real estate firm returns are positive to excess return
of market (MKT), there are three variables of company, of market. Second, the log of firm size is negative, which
that is, firm’s size (SIZE), market-to-book ratio (MKT), supports the argument of a small firm effect of Fama and
and trading volume (LNTUR), as well as two French [16]. In other words, real estate firm returns are
macroeconomic variables, including GDP growth and negative to firm size, which means that investors may be
interest rate spread. Comparing with model (3), model (4) able to get abnormal profits by investing in smaller real
adds one more variable, OPENNESS, to examine the estate firms. Third, the coefficients of the market-to-book
effect of globalization on excess return of property firm. ratio and trading volume , for most of models, is
Being different from model (4), model (5) includes a insignificant at 5% level, which is same as the finding of
different variable, globalization indicators (FDI/GDP), to Bardhan et al. [4]. Fourth, as to the proxies for the local
replace OPENNESS for investigating the effect of demand and the local supply factors, for most of models,
globalization on excess return of property firm, while the coefficient of GDP growth is positive and the
model (6) considers both openness and FDI/GDP. coefficient of interest rate spread is negative, which is
Another group is models with freedom indicators, same as theoretical expectation.
88 The Impacts of Financial Freedom on International Real Estate Securities

Table 3. The results of GMM for all countries

Variables/Model 1 2 3 4 5 6 7 8
0.235** 0.163*** 0.012 0.108*** 0.060* 0.129*** 0.144** 0.146**
R(-1)
(0.041) (0.000) (0.990) (0.001) (0.062) (0.002) (0.030) (0.037)
9.862*** 5.543 10.574 18.418 16.212 2.638 39.964** 20.920**
MKT
(0.000) (0.504) (0.473) (0.122) (0.231) (0.866) (0.021) (0.030)
-12.095 -26.653 -12.420** -13.354 -14.671** -11.320*
SIZE
(0.729) (0.399) (0.010) (0.646) (0.031) (0.081)
-0.122 -0.055 -0.361*** 0.016 -0.242 -0.273
PTBV
(0.920) (0.534) (0.000) (0.872) (0.319) (0.322)
-4.701*** -6.516*** -6.278** -8.685*** -4.585 -4.363***
LNTUR
(0.008) (0.008) (0.025) (0.000) (0.205) (0.003)
19.854 19.711 35.616 39.651 15.523 15.420*
GDP
(0.348) (0.372) (0.154) (0.157) (0.432) (0.073)
-26.064* -15.238 -10.541 -17.443 -16.774*** -15.970**
SPREAD
(0.078) (0.149) (0.332) (0.234) (0.004) (0.041)
-1.023 -0.542 -1.347 -1.280** -1.422
OPENNESS
(0.348) (0.847) (0.496) (0.025) (0.344)
16.063*** 28.528*** 28.805* 29.824*
FDI/GDP
(0.005) (0.000) (0.060) (0.091)
6.268* 6.661**
IF
(0.065) (0.014)
-3.102** -3.451**
MF
(0.036) (0.032)
-3.940 -4.112**
FF
(0.451) (0.041)
-8.459***
TF
(0.004)
P-Value 0.672 0.365 0.659 0.987 0.955 0.873 0.842 0.689
Note: P-Values are presented in parentheses. *Significance at the 10% level, **Significance at the 5% level, ***Significance at the 1% level. The
Sargan test: The null hypothesis is defined as the instruments used that are not correlated with the residuals.

Moreover, there are some furthermore discussions of investors have higher possibilities to get higher returns of
effects of openness and economic freedom on the excess financial commodities, such as real estate securities.
return of real estate securities as the followings. First, the Additionally, lower monetary freedom means higher
coefficient of OPENNESS for most of models is negative, inflation which will cause higher price of real estate for
same as the result of Bardhan et al. [4], which displays investor to hedge the risks of higher inflation, and then
that real estate firm excess returns decrease in the more excess returns of real estate securities will also be higher.
open economies. Second, comparing the results of models As to the impact of financial freedom, being a measure of
(4) and (5), the coefficient of OPENNESS is significantly banking efficiency and a measure of independence from
negative, but the coefficient of FDI/GDP is significantly government control and interference in the financial sector,
positive, which shows that increasing international trade higher financial freedom will cause higher competitions
will reduce real estate firm excess returns while increasing and efficiencies for financial markets, which will decrease
Foreign Direct Investment (FDI) will increase real estate excess returns of financial commodities, such as real estate
firm excess returns. securities.
Third, according to the results of models (7), including Fourth, comparing the results of model (4), (5), (6) and
three indices of economic freedom, the coefficient of IF is (7), after adding three indices of economic freedom, the
positive, but the coefficients of MF and FF are negative, absolute values of coefficients of MKT, SPREAD,
which implies increasing investment freedom will cause OPENNESS, and FDI/GDP become bigger, hence, if
higher excess return of real estate securities, conversely, three indicators of economic freedom is taken into the
higher monetary freedom and financial freedom will model of excess return of real estate securities, four
decrease excess return of real estate securities but the variables, excess return of market, interest spread,
coefficient of FF is insignificant. What caused the results? openness, and FDI/GDP, will show higher effects.
If the government deregulates some constraints of Conversely, the absolute value of coefficient of GDP
investment capital, investors can more freely allocate the becomes smaller, which means that the effect of economic
portfolios of their investment, which could cause that the growth on excess return of real estate securities becomes
 Universal Journal of Accounting and Finance 7(4): 83-95, 2019 89

smaller. abnormal profits by investing in smaller real estate

Fifth, all of indicators are included into the model at the companies, supporting the argument of a small effect
same time, as model (8), which shows a better estimating (Fama and French [16]).
result because there are more significant coefficients of Third, on the aspect of the coefficients of
explanatory variables in model (8), comparing with the macroeconomic variable, according to the Tables 4 and 5,
results of model (7). The empirical results of model (8) the coefficients of GDP growth, the proxy for local
display that the coefficients of IF, MF, FF have same demand factor, are significantly positive of most of
signs as the results of model (7). The coefficient of TF, an models in Europe and Asia, but most of them are
extra index of model (8), is significantly negative, which insignificant in other area. This means that higher
means that higher trade freedom will lower excess return economic growth could stimulate the excess return of real
of real estate securities. The index of trade freedom is a estate firms in Europe and Asia, but there is no same
composite measure of the absence of tariff and non-tariff effect in other area. The coefficients of SPREAD the
barriers, and higher index could increase international trade proxy for local supply factor are insignificantly positive of
for a country, and the related increasing international most of models in three regions. Hence, the local demand
economic integration could reduce the excess returns of factor “GDP” is the important determinant for excess
real estate companies vis-`a-vis the risk-free rate (Bardhan return of real estate securities in all of three regions.
et al. [4]). Therefore, higher trade freedom could decrease Fourth, the results of Table 6 are different from the
the excess returns of real estate securities results of the whole sample and other two regions. Most of
the coefficients of company’s factors, including SIZE,
4.3. The GMM Estimations of Different Subsamples PTBV and LNTUR, are significant in other area, but the
coefficients of macroeconomic variables are not, implying
This section presents some further discussions about the more import factors for excess return of real estate
whether the effects of the different variables on excess securities are company’s factors not macroeconomic
return of real estate securities will be similar or different variables in other regions. The countries of other area’s
in three different regions or in two different income sample include the countries in South Pacific, Africa, and
groups. America. Hence, the coefficients of macroeconomic
variables are insignificant could be caused by the
4.3.1. The GMM Estimations of Three Areas diversification of economic systems and policies in
Tables 4, 5, and 6 are the results of GMM estimation in different regions’ countries.
Asian countries, –European countries, and other area’s Fifth, in light of the coefficients of openness and
countries. Comparing the results of these tables, several FDI/GDP, for three regions, the signs of coefficients are
features can display as the followings. the same as the results of the full sample. In Asia, Table 4
First, the coefficients of R (-1) are also positive and the coefficient of openness is significant, but globalization
significant in all of models in Asia and other area, same as index “FDI/GDP” is insignificant for most of models.
the result of all countries’ sample. Conversely, the Amassing the possible reason, the economic development
coefficients of R (-1) are negative and significant in most policy of many Asian countries is “export leads economic
of models in Europe, that is to say, for the investors of real growth”, which could cause that the variable “OPENNESS”
estate in Europe, if the excess return of real estate at the became a key determinant of excess return of real estate
previous period is negative, which could cause the property in Asia. The results of Europe and other area,
increasing demand of real estate and a positive excess Tables 5 and 6 are different from the results of Asia. In
return at the current period because the price of real estate Europe and other area, the coefficients of both variables,
is enough low to invest. On the contrary, if the excess OPENNESS and FDI/GDP, are significant for most of
return of real estate at the previous period is positive, models in Table 5 and 6. Finally, comparing the effects of
which could bring about the decreasing demand of real four indexes of liberalization on excess return of real estate
estate and a negative excess return at the current period securities in three regions, models (7) and (8) in Tables 4, 5,
because the price of real estate is too high to buy. and 6, the indexes of financial freedom and Trade freedom
Second, in terms the coefficients of company’s factors, are vital factors to change excess return of real estate
the coefficient of SIZE is significantly negative in most of securities in Asia, but all of four indexes of freedom can
the models for three different regions, which means that affect excess return of real estate securities in Europe and
the firm’s size is the important determinant for excess other area.
return of real estate. That is to say, investors may get
90 The Impacts of Financial Freedom on International Real Estate Securities

Table 4. The results of GMM in Asia

Variables/Model 1 2 3 4 5 6 7 8
0.615* 0.186*** 0.201*** 0.417*** 0.281*** 0.356*** 0.196*** 0.211***
R(-1)
(0.077) (0.000) (0.001) (0.000) (0.000) (0.000) (0.004) (0.002)
4.669* 1.173 15.634** 34.573* 32.880** 21.068 15.158 14.138
MKT
(0.098) (0.763) (0.034) (0.095) (0.021) (0.123) (0.285) (0.272)
-29.825 -49.354 -59.530*** -75.309** -72.381*** -79.091***
SIZE
(0.321) (0.171) (0.004) (0.038) (0.005) (0.003)
-0.014 -0.083 -0.045 -0.009 -0.135*** -0.283***
PTBV
(0.516) (0.494) (0.509) (0.928) (0.001) (0.002)
-13.256 -0.867 -13.051** -0.250 -18.577* -18.861*
LNTUR
(0.145) (0.821) (0.019) (0.952) (0.092) (0.073)
2.831** 3.133* 0.406 7.232** 1.545 0.857
GDP
(0.016) (0.060) (0.576) (0.045) (0.977) (0.958)
-18.101 -22.523 -45.965*** -2.058 -38.062 -27.664
SPREAD
(0.312) (0.222) (0.005) (0.913) (0.212) (0.382)
-0.097* -2.305*** -1.952*** -1.803* -1.787***
OPENNESS
(0.062) (0.001) (0.006) (0.072) (0.003)
1.273 6.665 10.111 7.787*
I/GDP
(0.643) (0.308) (0.143) (0.061)
6.479 6.149
IF
(0.120) (0.211)
-5.370 -3.769
MF
(0.209) (0.390)
-10.822** -7.636*
FF
(0.023) (0.064)
-10.018***
TF
(0.001)
P-Value 0.730 0.583 0.674 0.525 0.341 0.956 0.896 0.894
Note: P-Values are presented in parentheses. *Significance at the 10% level, **Significance at the 5% level, ***Significance at the 1% level. The
Sargan test: The null hypothesis is defined as the instruments used that are not correlated with the residuals.
Table 5. The results of GMM in Europe
Variables/Model 1 2 3 4 5 6 7 8
-1.503* -0.423** -0.327** -0.574*** -0.214 -0.341 -0.239*** -0.387***
R(-1)
(0.063) (0.180) (0.017) (0.001) (0.123) (0.014) (0.001) (0.004)
12.187 5.410 18.632 18.195 8.162* 7.248** 11.351 33.986**
MKT
(0.140) (0.552) (0.207) (0.415) (0.081) (0.011) (0.331) (0.032)
-63.888* -79.558 -56.125* -31.122 -25.401 -16.430*
SIZE
(0.074) (0.580) (0.073) (0.214) (0.670) (0.087)
5.447* 7.569* 5.623 1.782 4.866** 1.721
PTBV
(0.085) (0.092) (0.251) (0.309) (0.049) (0.825)
-25.719 -5.726 6.361 3.167 8.493 32.774
LNTUR
(0.274) (0.655) (0.629) (0.169) (0.476) (0.458)
1.914** 12.976*** 4.112* 5.605** 2.817 12.484*
GDP
(0.036) (0.009) (0.071) (0.041) (0.652) (0.069)
-3.514 -41.420* -5.318 -15.026** -0.446 -33.114
SPREAD
(0.698) (0.077) (0.317) (0.011) (0.981) (0.328)
-2.873** -11.831 -3.625** -4.573* 1.742
OPENNESS
(0.028) (0.117) (0.013) (0.093) (0.328)
7.016** 3.591* 3.287 42.613
FDI/GDP
(0.046) (0.065) (0.811) (0.320)
7.778** 1.710*
IF
(0.047) (0.084)
-3.061 -17.334**
MF
(0.745) (0.012)
-4.464** -11.438
FF
(0.022) (0.416)
-79.495**
TF
(0.048)
P-Value 0.672 0.806 0.998 0.994 0.877 0.581 0.997 0.994
Note: P-Values are presented in parentheses. *Significance at the 10% level, **Significance at the 5% level, ***Significance at the 1% level. The
Sargan test: The null hypothesis is defined as the instruments used that are not correlated with the residuals.
 Universal Journal of Accounting and Finance 7(4): 83-95, 2019 91

Table 6. The results of GMM in other area

Variables/Model 1 2 3 4 5 6 7 8
0.215** 0.294* 0.146*** 0.304*** 0.157*** 0.324*** 0.086* -0.071
R(-1)
(0.041) (0.064) (0.000) (0.000) (0.000) (0.000) (0.080) (0.544)
14.236** 2.733 9.953* 12.525 9.058* 20.635* 16.553 24.326**
MKT
(0.010) (0.297) (0.097) (0.179) (0.069) (0.085) (0.426) (0.041)
-13.901 -13.651 -12.892** -19.043* -49.435 -91.274*
SIZE
(0.881) (0.915) (0.041) (0.069) (0.419) (0.079)
7.824*** 7.167*** 7.925*** 7.094*** 7.038*** 4.651***
PTBV
(0.000) (0.000) (0.000) (0.000) (0.000) (0.000)
-1.842 -7.530 -11.993 -7.684* -8.531*** -11.308
LNTUR
(0.856) (0.961) (0.891) (0.093) (0.003) (0.465)
18.953*** 22.617** 18.897*** 12.863** 13.429 32.763*
GDP
(0.000) (0.024) (0.000) (0.012) (0.203) (0.057)
-19.452*** -21.147* -13.182 -12.236 -0.810 -36.573**
SPREAD
(0.000) (0.065) (0.618) (0.110) (0.959) (0.012)
-1.722*** -6.135* -8.123** -6.544 -6.517
OPENNESS
(0.003) (0.072) (0.031) (0.216) (0.159)
2.515** 12.717 15.646* 7.153
FDI/GDP
(0.031) (0.178) (0.085). (0.637)
4.372 18.039*
IF
(0.514) (0.056)
-25.708*** -4.653
MF
(0.000) (0.464)
-52.640*** -22.888*
FF
(0.004) (0.090)
-61.757*
TF
(0.059)
P-Value 0.546 0.824 0.728 0.668 0.732 0.651 0.317 0.139
Note: P-Values are presented in parentheses. *Significance at the 10% level, **Significance at the 5% level, ***Significance at the 1% level. The
Sargan test: The null hypothesis is defined as the instruments used that are not correlated with the residuals.

4.3.2. The GMM Estimations of Different Income Groups group, the coefficient of Spread is also insignificant for
Tables 7 and 8 are the results of high income countries most of models, but the coefficient of GDP is significant
and non-high income countries, respectively. Comparing for most of models. In short, both of macroeconomics
the results of Tables 7 and 8, several features can display factors and company’s factors can influence on the excess
as the followings. return of real estate securities in non-high income
First, the coefficients of R (-1) are positive and countries, but there is only company’s factors affecting
significant in all of models in non-high income groups, the excess return of real estate securities in high income
which is the same with the result of all countries’ sample. countries.
As to the coefficients of R (-1) in high income countries, Third, comparing the coefficients of openness and
same as the results of Europe, they are negative and FDI/GDP in high and non-high income groups, in Tables 7
significant in most of models. and 8, the coefficient of OPENNESS is significantly
Second, in terms of the coefficients of company’s positive for most of models in high income group, and it is
factors, the variables SIZE and LNTUR are significant for significantly negative for most of models in non-high
most of the models in both of high and non-high income income group. Namely, higher degree of openness will
groups, which means that firm’s size and turnover are increase excess returns of real estate securities in high
important determinant for excess return of real estate income countries, but there is a converse effect in non-high
securities in both groups. It’s noteworthy that the sign of income countries. The coefficients of FDI/GDP are
the variable LNTUR is positive in high income group; insignificant for most of models in both groups. Hence, no
conversely, it is negative in non-high income group. In matter in high or non-high income countries, the ratio of
other words, increasing the turnover will raise excess total trade to GDP is a key factor to affect excess return of
return of real estate securities in high income countries, real estate securities, but the ratio of FDI to GDP is less
but there is a reverse effect in non-high income countries. important.
The coefficients of GDP and Spread are insignificant for Forth, in light of the effects of four indexes of
most of models in high income group. In non-high income liberalization on excess return of real estate securities in
92 The Impacts of Financial Freedom on International Real Estate Securities

high and non-high income groups, models (7) and (8) in investments, which cause capital outflows to invest
Tables 7 and 8, the coefficients of MF and TF are negative foreign assets in developing or undeveloped countries.
in both of income groups, which implies higher monetary Hence, the excess return of real estate securities could be
freedom and Trade freedom will decrease excess return of lower because of higher domestic capital outflows as
real estate securities in both of income groups. The sign of investment freedom increases.
the coefficients of IF is on contrary to each other in high Finally, in Tables 7 and 8, the sign of the coefficient of
and non-high income groups. The coefficient of IF is FF is also on contrary to each other in high and non-high
positive in high income group, but it is negative in groups. Being different from the sing of IF, the coefficient
non-high income group. Hence, increasing investment of FF is negative in high income group, while it is positive
freedom will cause higher excess return of real estate in non-high income group. In developing or undeveloped,
securities in high income countries, but there is converse financial system is inefficient because of the existence of
effect in non-high income countries. What caused the government control and interference in the financial sector.
results? The countries in non-high income group are If the government of developing or undeveloped countries
developing or undeveloped countries, and there are more can relax more restrictions of financial system, the results
controls and restrictions of capital outflow to invest of higher financial freedom could improve the efficiency
foreign assets. If the governments of developing or of financial system, and it will improve the excess returns
undeveloped countries relax more restrictions of foreign of real estate securities in non-high income countries.
Table 7. The results of GMM in high income group

Variables/Model 1 2 3 4 5 6 7 8
-0.378*** -0.390*** -3.05*** -0.390*** 0.361*** -0.384*** -0.337*** -0.446***
R(-1)
(0.000) (0.000) (0.000) (0.001) (0.003) (0.000) (0.000) (0.000)
60.798 67.701 10.721 83.933 61.460 59.200*** 84.721*** 60.429**
MKT
(0.072) (0.411) (0.490) (0.103) (0.639) (0.002) (0.001) (0.040)
-88.345** -96.906 -25.064** -71.872 -110.821 -88.139**
SIZE
(0.036) (0.104) (0.020) (0.299) (0.201) (0.026).
-0.915 -1.406* -0.251 -1.489 -0.782 -0.593
PTBV
(0.314) (0.060) (0.813) (0.255) (0.551) (0.557)
32.234*** 33.650 26.058 42.983*** 60.532*** 41.813***
LNTUR
(0.000) (0.211) (0.253) (0.000) (0.002) (0.003)
2.833 11.849 1.167*** 1.546 27.359** 13.374
GDP
(0.306) (0.289) (0.006) (0.673) (0.012) (0.337)
-26.452 -20.110** -12.045 -39.024* -30.681 -18.144
SPREAD
(0.127) (0.020) (0.176) (0.052) (0.229) (0.737)
15.411* 7.095** 10.859** 2.321 6.108
OPENNESS
(0.097) (0.021) (0.029) (0.620) (0.169)
1.009 7.726 3.512** 2.970
FDI/GDP
(0.978) (0.458) (0.021) (0.865)
11.799 14.779*
IF
(0.201) (0.092)
-43.183*** -44.237**
MF
(0.009) (0.011)
-7.501 -10.202*
FF
(0.293) (0.010)
-29.473
TF
(0.304)
P-Value 0.436 0.939 0.140 0.596 0.557 0.141 0.154 0.140
Note: P-Values are presented in parentheses. *Significance at the 10% level, **Significance at the 5% level, ***Significance at the 1% level. The
Sargan test: The null hypothesis is defined as the instruments used that are not correlated with the residuals.
 Universal Journal of Accounting and Finance 7(4): 83-95, 2019 93

Table 8. The results of GMM in non-high income group

Variables/Model 1 2 3 4 5 6 7 8
0.118* 0.119* 0.015*** 0.167*** 0.013*** 0.018 0.182 -0.181***
R(-1)
(0.091) (0.082) (0.000) (0.007) (0.000) (0.142) (0.125) (0.000)
16.133** 11.164** 9.375*** 3.027*** 10.101*** 8.016 12.724** 14.983*
MKT
(0.031) (0.034) (0.001) (0.000) (0.002) (0.583) (0.039) (0.062)
-12.593*** -1.947 -12.189*** -15.687*** -12.315 -8.481
SIZE
(0.000) (0.526) (0.000) (0.000) (0.110) (0.555)
0.035 0.480*** 0.057** 0.181 1.096 1.163***
PTBV
(0.199) (0.001) (0.049) (0.122) (0.158) (0.000)
-4.946*** -1.831** -3.717*** -4.703** -2.245* -3.794***
LNTUR
(0.000) (0.022) (0.000) (0.014) (0.091) (0.004)
3.009*** 0.557*** 6.155*** 8.605*** 9.812** 2.984
GDP
(0.000) (0.007) (0.000) (0.003) (0.021) (0.887)
-1.093 -1.462* -5.306* -6.654 -3.258 -1.758
SPREAD
(0.662) (0.080) (0.093) (0.453) (0.121) (0.661)
-0.916 -0.044** -0.747** -0.179** -0.184
OPENNESS
(0.121) (0.037) (0.013) (0.049) (0.851)
7.497** 0.774 3.013* 15.352
FDI/GDP
(0.011) (0.903) (0.069) (0.367)
-11.132*** -23.680***
IF
(0.001) (0.006)
-1.261 -12.847**
MF
(0.150) (0.016)
26.123** 42.046
FF
(0.031) (0.244)
-70.347***
TF
(0.008)
P-Value 0.528 0.548 0.149 0.330 0.328 0.275 0.981 0.747
Note: P-Values are presented in parentheses. *Significance at the 10% level, **Significance at the 5% level, ***Significance at the 1% level. The
Sargan test: The null hypothesis is defined as the instruments used that are not correlated with the residuals.

5. Conclusions effectively allocate the portfolios of their investment.

Finally, higher inflation will bring about lower monetary
This paper investigates the impact of trade and financial freedom, which will increase excess return of real estate
freedom on excess return of real estate securities for 1,108 securities because the price of real estate will caused by
firms in 24 countries, not only consider common risk and higher inflation.
returns factor but also potentially related variables. To Second, for the empirical results of three different
analyze the possible dynamism existing in multifactor regions, the variable OPENNESS is a main determinant of
model of return of real estate securities, the paper uses excess return of real estate in Asia, because the economic
dynamic generalized method of moments. The important development policy for most of Asian countries is “export
results of the paper are as the followings: leads economic growth”. The indexes of financial freedom
First, according to the empirical results of the whole and Trade freedom are vital factors to impact excess return
sample, increasing international trade will reduce real of real estate securities in Asia, but excess return of real
estate firm excess returns while increasing Foreign Direct estate securities are affected by all of four indexes of
Investment (FDI) will increase real estate firm excess freedom in Europe and other area.
returns. Besides, the coefficients of the index of trade Third, on the aspect of the empirical results of two
freedom and the index of financial freedom are income groups, the coefficient of OPENNESS is
significantly negative. Because higher trade freedom and significantly positive for most of models in high income
financial freedom will increase international trade and group, but there is inverse result in non-high income group.
financial integration across countries, which could increase Higher monetary freedom and Trade freedom will cause
efficiency of real estate market in a country and then will excess return of real estate securities in both of income
reduce the excess returns of real estate companies groups and increasing investment freedom will cause lower
vis-`a-vis the risk-free rate. Next, increasing investment excess return of real estate securities in non-high income
freedom will cause higher excess return of real estate group, while there is converse effect in high income group.
securities, because investors can more freely and Being different from the sing of investment freedom, the
94 The Impacts of Financial Freedom on International Real Estate Securities

coefficient of financial freedom is negative in high income better for real estate than for stocks and bonds? Financial
group, while it is positive in non-high income group. analyst’s journal, 52(1), 56-62, 1996.
In general, the signs of the coefficients for most of [14] Eichholtz, P., Huisman, R., Koedijk, K., & Schuin, L.
variables in three different regions are similar the results of Continental factors in international real estate returns. Real
the full sample, but there are some regional differences of Estate Economics, 26(3), 493-509, 1998.
key variables to determine excess return of real estate [15] Fard, M. S., Cheong, K. C., & Yap, S. F. Reopening the
securities. Besides, comparing the differences of two Debate on Globalisation and Economic Growth through
income groups, because most of the non-high income Technology Transfer. Malaysian Journal of Economic
countries are developing or undeveloped, financial systems Studies, 51(2), 231, 2014.
of these countries are unstable, which causes the [16] Fama, E. F., & French, K. R. The cross-section of expected
coefficients of index of investment freedom and financial stock returns. The Journal of Finance, 47(2), 427-465, 1992.
freedom are not consistent with the results of high income
groups and whole samples. [17] Fama, E. F., & French, K. R. Value versus growth: The
international evidence. The journal of finance, 53(6),
1975-1999, 1998.
[18] Ferrero, A. House prices booms and current account deficits.
In 2011 Meeting Papers, number 1386. Society for
REFERENCES Economic Dynamics, 2011.
[19] Ferrero, A. House price booms, current account deficits, and
[1] Aizenman, J., & Jinjarak, Y. Current account patterns and
low interest rates. FRB of New York Staff Report, (541),
national real estate markets. Journal of Urban Economics,
2012.
66(2), 75-89, 2009.
[2] Arellano, M., & Bond, S. Some tests of specification for [20] Glascock, J. L., & Kelly, L. J. The relative effect of property
panel data: Monte Carlo evidence and an application to type and country factors in reduction of risk of international
employment equations. The review of economic studies, diversified real estate portfolios. Journal of Real Estate
58(2), 277-297, 1991. Finance and Economics, 34(3), 369–384, 2007.

[3] Ashok Bardhan and Cynthia A. Kroll. Globalization and the [21] Glascock, J. L., Lu, C., & So, R. W. M. Excess return and
Real Estate Industry: Issues, Implications, Opportunities. risk characteristics of Asian exchange listed real estate.
Industry Studies Association Working Papers, 2007. Available at SSRN 907427, 2006.

[4] Bardhan, A., Edelstein, R., & Tsang, D. Global financial [22] Goetzmann, W.N. and S.M. Wachter. The Global Real
integration and real estate security returns. Real Estate Estate Crash: Evidence from an International Database.
Economics, 36(2), 285-311, 2008. Yale School of Management and the Wharton School.
Unpublished working paper, 1996.
[5] Bardhan, A. D., Edelstein, R. H., & Leung, C. A note on
globalization and urban residential rents. Journal of Urban [23] Grubel, H. G. Economic freedom and human welfare: Some
Economics, 56(3), 505-513, 2004. empirical findings. Cato J., 18, 287, 1998.

[6] Bond, S. A., Karolyi, G. A., & Sanders, A. B. International [24] Haan, J.D. & Sturm, J. On the relationship between
real estate returns: a multifactor, multicountry approach. economic freedom and economic growth. European Journal
Real Estate Economics, 31(3), 481-500, 2003. of Political Economy, 16(2), 215-241, 2000.

[7] Berggren, N. The benefits of economic freedom: a survey. [25] Heckelman, J.C. Economic freedom and economic growth:
The independent review, 8(2), 193-211, 2003. A short-run causal investigation. Journal of Applied
Economics, 3(1), 71–91, 2000.
[8] Conover, M., Friday, S., & Sirmans, S. Diversification
benefits from foreign real estate investments. Journal of [26] Hamelink, F., & Hoesli, M. What factors determine
Real Estate Portfolio Management, 8(1), 17-25, 2002. international real estate security returns? Real Estate
Economics, 32(3), 437-462, 2004.
[9] Cotter, J., & Stevenson, S. Multivariate modeling of daily
REIT volatility. The Journal of Real Estate Finance and [27] Hoesli, M., Lekander, J., & Witkiewicz, W. International
Economics, 32(3), 305-325, 2006. evidence on real estate as a portfolio diversifier. Journal of
Real Estate Research, 26(2), 161-206, 2004.
[10] Cole, J. H. Contribution of Economic Freedom to World
Economic Growth, 1980-99. Cato J., 23, 189, 2003. [28] Jinjarak, Y. and Sheffrin, S. Causality, real estate prices, and
the current account. Journal of Macroeconomics, 33(2):
[11] Eichholtz, P.M.A. The Stability of the Covariances of 233-246, 2011.
International Property Share Returns. Journal of Real Estate
Research,11(2), 149–158, 1995. [29] Kallberg, J. G., Liu, C. H., & Pasquariello, P. Regime shifts
in Asian equity and real estate markets, 2002.
[12] Eichholtz, P.M.A. and R. Huisman. The Cross Section of
Global Property Share Returns. S.J.Brown and C.H.Liu, [30] Ling, D. C., & Naranjo, A. Commercial real estate return
editors. A Global Perspective on Real Estate Cycles. Boston: performance: a cross-country analysis. The Journal of Real
Kluwer Academic Publishers, 1999. Estate Finance and Economics, 24(1-2), 119-142, 2002.
[13] Eichholtz, P. M. Does international diversification work [31] Ling, D. C., & Naranjo, A. The integration of commercial
 Universal Journal of Accounting and Finance 7(4): 83-95, 2019 95

real estate markets and stock markets. Real Estate

Economics, 27(3), 483-515, 1999.
[32] Liow, K. H. Dynamic relationship between stock and
property markets. Applied Financial Economics, 16(5),
371-376, 2006.
[33] Liow, K. H., & Yang, H. Long-term co-memories and
short-run adjustment: securitized real estate and stock
markets. The Journal of Real Estate Finance and Economics,
31(3), 283-300, 2005.
[34] Liu, C. H., & Mei, J. The predictability of international real
estate markets, exchange rate risks and diversification
consequences. Real Estate Economics, 26(1), 3-39, 1998.
[35] MacKinnon, G. H., & Al Zaman, A. Real estate for the long
term: The Effect of return predictability on long‐horizon
allocations. Real Estate Economics, 37(1), 117-153, 2009.
[36] Michayluk, D., Wilson, P. J., & Zurbruegg, R. Asymmetric
volatility, correlation and returns dynamics between the US
and UK securitized real estate markets. Real Estate
Economics, 34(1), 109-131, 2006.
[37] Ooi, J., & Liow, K. H. Risk-adjusted performance of real
estate stocks: Evidence from developing markets. Journal of
Real Estate Research, 26(4), 371-396, 2004.
[38] Powell, B. Economic freedom and growth: The case of the
Celtic tiger. Cato Journal, 22(3), 431–448, 2003.
[39] Serrano, C., & Hoesli, M. Forecasting EREIT returns.
Journal of Real Estate Portfolio Management, 13(4),
293-310, 2007.
[40] Wilson, P. J., & Okunev, J. Evidence of segmentation in
domestic and international property markets. Journal of
Property Finance, 7(4), 78-97, 1996.
[41] Worzala, E., & Sirmans, C. F. Investing in international real
estate stocks: a review of the literature. Urban Studies,
40(5-6), 1115-1149, 2003.