Does orthogonalization really purge equity-based property valuations of their general stock market influences?

This paper uses a recently developed nonlinear Granger causality test to de termine whether linear orthogonalization really does remove general stock m arket influences on real estate returns to leave pure industry effects in t he latter. The results suggest that there is no nonlinear relationship betw een the US equity-based property index returns and returns on a general sto ck market index, although there is evidence of nonlinear causality for the corresponding UK series.