infonet-economy

This paper proposes an empirical framework that is based on pre-trade transparency to test for information-based return co-movements among international commercial real estate markets. We introduce a benchmark portfolio that includes property markets with a higher pre-trade transparency to assess expected returns in less transparent markets. Investors can earn abnormal returns in opaque markets relative to the reference portfolio. Revealed post-trade information in the benchmark portfolio results in spillover effects to less transparent markets. Conditional on the reference portfolio, we analyze learning externalities to less transparent markets. Specially, we identify cultural familiarity as a source of learning-based return co-movements.