View Carlson-Titman-Tiu Paper - The Paul Merage School of Business

Table 6: The link between public and private returns in the data
The Table presents estimations of the model:
P REt = const. + β 0 REIT REITt + β0 r Rt + β 0 T reasT reas10t + β1 REIT REITt−4:t−1 + β 1 r Rt−4:t−1 + β 1 T reasT reas10t−4:t−1 + ɛt
on public and private real estate indices from the Ziman and respectively NCREIF databases. REITt, P REt are the returns of public, respectively
private real estate companies in quarter t, Rt is the proxy for the instantaneous discount rate (we use the Fama-French SMB portfolio returns of
quarter t). The returns with subscripts t − 4 : t − 1 represent the average returns of the respective index in quarters t − 4, t − 3, t − 2 and t − 1.
The model is that of equation (12). The t-statistics are Newey-West corrected for serial correlation in variables. Data spans the time period 1988
Q2 to 2009 Q1.
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