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

Table 6 (cont.): The link between public and private returns
R¯ 2
REITt SMBt T reas10t REIT t−4:t−1 SMB t−4:t−1 T reas10 t−4:t−1
Office Coef. 0.1889
t-stat 2.1514 11.34%
Coef. 0.2228 -0.1166
t-stat 2.5853 -2.3705 14.51%
Coef. 0.2339 -0.1944 -0.3071
t-stat 4.3960 -3.8531 -3.2413 28.24%
Coef. 0.1559 -0.0809 0.5008 -0.2752
t-stat 2.6575 -1.9985 3.5561 -2.1577 33.87%
Coef. 0.1378 -0.1063 -0.1971 0.4346 -0.3421 -0.6527
t-stat 2.9759 -2.6067 -3.6532 4.6509 -2.8789 -3.0502 52.33%
Ind Coef. 0.1764
t-stat 2.1679 16.27%
Coef. 0.2027 -0.0904
t-stat 2.4905 -2.5034 19.32%
Coef. 0.2119 -0.1548 -0.2542
t-stat 3.9448 -3.6307 -2.9302 34.48%
Coef. 0.1483 -0.0620 0.3973 -0.1849
t-stat 2.7191 -2.4169 3.3434 -1.9174 37.95%
Coef. 0.1354 -0.0860 -0.1696 0.3384 -0.2352 -0.5158
t-stat 3.2062 -2.9218 -3.3221 4.9887 -2.4981 -3.3641 57.53%
Retail Coef. 0.0978
t-stat 1.2212 5.66%
Coef. 0.1025 -0.0163
t-stat 1.2124 -0.5362 4.61%
Coef. 0.1417 -0.0856 -0.2380
t-stat 2.3129 -2.0767 -2.7717 20.71%
Coef. 0.0717 -0.0145 0.3208 -0.0185
t-stat 1.2031 -0.4933 2.4721 -0.2103 17.77%
Coef. 0.0742 -0.0389 -0.1558 0.3672 -0.1049 -0.5189
t-stat 1.7215 -1.1513 -3.4409 5.5157 -1.0792 -2.9405 42.24%
Apt Coef. 0.1914
t-stat 1.5404 14.45%
Coef. 0.2056 -0.0522
t-stat 1.6131 -1.7450 15.09%
Coef. 0.2274 -0.1242 -0.2809
t-stat 2.5752 -2.8021 -2.6963 37.90%
Coef. 0.1853 -0.0483 0.3746 -0.0391
t-stat 1.7891 -1.9939 1.9784 -0.4820 24.67%
Coef. 0.1897 -0.0963 -0.2391 0.2935 -0.0697 -0.3733
t-stat 2.6452 -2.9085 -3.2407 2.6360 -0.8268 -2.7751 49.46%
Hotel Coef. 0.1337
t-stat 1.9647 8.52%
Coef. 0.1878 -0.1826
t-stat 2.8387 -2.6792 14.74%
Coef. 0.1790 -0.2301 -0.2177
t-stat 3.1800 -3.1324 -1.6069 19.40%
29
Coef. 0.1211 -0.1224 0.3699 -0.4132
t-stat 2.5232 -2.5008 3.6281 -2.9968 37.27%
Coef. 0.1060 -0.1361 -0.1383 0.3487 -0.4472 -0.4058
t-stat 2.1693 -2.7029 -1.4367 4.2773 -3.3746 -1.9766 42.10%