TY - CONF T1 - On demand: Cross-country evidence form Commercial Real Estate Asset Markets T2 - 8th European Real Estate Society Conference Y1 - 2001 A1 - Riddiough, Timothy J. A1 - Ott Steven A1 - Yi , Ha-Chin A1 - Jiro Yoshida AB - Using over 25 years of quarterly US and Japanese time series data, this paper examines the determinants of demand for an important class of real assets: commercial real estate. We specify a structural model of market equilibrium that considers direct effects of real investment on built asset price. Our empirical findings are consistent across countries and produce several new results. First, we find that real investment exerts a significant positive direct effect on asset price, which in turn feeds back to impact investment decisions. Second, idiosyncratic risk is found to be strongly positively related to asset price, and to complement supply effects. Third, systematic risk is priced as expected, where the strength of the relation between asset price and systematic risk is found to be higher than in previous studies of capital asset prices. Fourth, lagged values of price determinants (of up to two years) are consistently important in real asset demand estimation. Alternative explanations for our findings are analyzed and discussed. Implications for asset pricing model specification and interpretation are also considered. JA - 8th European Real Estate Society Conference T3 - ERES: Conference CY - Alicante, Spain U3 - RePEc:arz:wpaper:eres2001_264 J1 - Conference 2001 ID - oai:eres.id:eres2001_264 M3 - 10.15396/eres2001_264 ER -