Commercial Real Estate Return Performance: A Cross-Country Analysis

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Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets (2011, background): “4 See Ling and Naranjo (2002) for a study finding evidence of a worldwide factor driving securitized real estate returns.”
International Real Estate Returns: A Multifactor, Multicountry Approach (2003, unknown): “Building on the work of Ling and Naranjo (2002), it can be stated that a country distress factor proxied by a value-growth portfolio captures more, or at least a similar amount, of the time-series variation of real estate returns than does a specific country risk proxy for most countries.”