Template-Type: ReDIF-Article 1.0
Author-Name: Patric H. Hendershott
Author-X-Name-First: Patric H.
Author-X-Name-Last: Hendershott
Title: Uses of equilibrium models in real estate research
Abstract:
Equilibrium analysis is a valuable tool in real estate investment
research. In this survey, I show how equilibrium models have been used to
estimate the required risk premium for different classes of real estate,
to explain real house prices, and to determine investment rental market
adjustment and valuation (as well as to predict future rent, price and
value developments). Equilibrium analysis has also increased our
understanding of differences in coupon/rental rates on loans/leases with
and without various option like features. Because the work on leases has
lagged behind that on loans or mortgages, application of the mortgage
research methodology to lease is an especially fertile area for research.
Journal: Journal of Property Research
Pages: 1-13
Issue: 1
Volume: 14
Year: 1997
Month: 1
X-DOI: 10.1080/095999197368726
File-URL: http://hdl.handle.net/10.1080/095999197368726
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Handle: RePEc:taf:jpropr:v:14:y:1997:i:1:p:1-13
Template-Type: ReDIF-Article 1.0
Author-Name: Martin Hoesli
Author-X-Name-First: Martin
Author-X-Name-Last: Hoesli
Author-Name: Bernard Thion
Author-X-Name-First: Bernard
Author-X-Name-Last: Thion
Author-Name: Craig Watkins
Author-X-Name-First: Craig
Author-X-Name-Last: Watkins
Title: A hedonic investigation of the rental value of apartments in central Bordeaux
Abstract:
In recent research it has been argued that the hedonic regression
technique can be usefully applied to the valuation of residential
property. This research has focused on the valuation of owneroccupied
dwellings. It is the aim of this paper to show how this technique can also
usefully be applied to the private rented sector. This research implicitly
recognizes both the importance of physical characteristics and the
existence of market segmentation (reflected in neighbourhood premiums) in
determining rental values, and finds that empirical results support this.
It is argued that the model developed can help provide an understanding of
the structure of local housing markets and the factors influencing the
determination of rents. This should prove useful, both for landlords and
tenants, in estimating the rental value of a property on the basis of the
income approach to valuation.
Journal: Journal of Property Research
Pages: 15-26
Issue: 1
Volume: 14
Year: 1997
Month: 1
X-DOI: 10.1080/095999197368735
File-URL: http://hdl.handle.net/10.1080/095999197368735
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Handle: RePEc:taf:jpropr:v:14:y:1997:i:1:p:15-26
Template-Type: ReDIF-Article 1.0
Author-Name: Neil Crosby
Author-X-Name-First: Neil
Author-X-Name-Last: Crosby
Author-Name: Graeme Newell
Author-X-Name-First: Graeme
Author-X-Name-Last: Newell
Author-Name: George Matysiak
Author-X-Name-First: George
Author-X-Name-Last: Matysiak
Author-Name: Nick French
Author-X-Name-First: Nick
Author-X-Name-Last: French
Author-Name: Bill Rodney
Author-X-Name-First: Bill
Author-X-Name-Last: Rodney
Title: Client perception of property investment valuation reports in the UK
Abstract:
Property appraisers and the appraisal/valuation process have recently
been the focus of attention in many parts of the world. This paper
concentrates on one part of the valuation process: the final valuation
report submitted to the client. The paper presents the results of a
questionnaire survey conducted in December 1994 of clients who commission
valuation reports from external valuers in the United Kingdom (UK).
Generally, UK clients are satisfied with valuation reports received from
external valuers. Where the users of valuation reports are themselves
valuers, the level of satisfaction is more pronounced. However, there is a
common criticism that valuers provide more information on the factual
elements within a report - for example, the physical location and the
layout and measurements of the building - than they do on the valuation
methodology and the state of the market. While over half the respondents
wanted to see more regulation of valuers through professional
institutional guidelines, very few requested more government regulation.
The findings imply that there is room for improvement in the provision of
information within valuation reports. Valuers need to provide additional
information in valuation reports concerning conditions and trends in
property and wider markets, and provide comparable transactions data on
which the valuation is based. Research should be focused on how such
information can be provided in a market that restricts data and where
valuers are increasingly litigated against for alleged professional
negligence.
Journal: Journal of Property Research
Pages: 27-47
Issue: 1
Volume: 14
Year: 1997
Month: 1
X-DOI: 10.1080/095999197368744
File-URL: http://hdl.handle.net/10.1080/095999197368744
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Handle: RePEc:taf:jpropr:v:14:y:1997:i:1:p:27-47
Template-Type: ReDIF-Article 1.0
Author-Name: Steven C. Bourassa
Author-X-Name-First: Steven C.
Author-X-Name-Last: Bourassa
Author-Name: Max Neutze
Author-X-Name-First: Max
Author-X-Name-Last: Neutze
Author-Name: Ann Louise Strong
Author-X-Name-First: Ann Louise
Author-X-Name-Last: Strong
Title: Assessing betterment under a public premium leasehold system: principles and practice in Canberra
Abstract:
This article sets forth principles for assessing betterment under a
public premium leasehold system of land tenure. Canberra, Australia, is
employed as a case study. Recovery of the betterment which results as the
city grows has been an important objective of public land ownership in
Canberra. Up-front premiums and betterment charges replaced land rents in
1970. Betterment charges are applicable when permission to change land use
is granted and there is an increase in the value of the lease. Different
definitions used over time have failed to measure betterment correctly. A
correct definition is derived, and it is argued that a 100% charge should
be levied to maintain the government's ownership of development rights.
Such a charge would not stifle redevelopment but would remove the subsidy
it currently receives.
Journal: Journal of Property Research
Pages: 49-68
Issue: 1
Volume: 14
Year: 1997
Month: 1
X-DOI: 10.1080/095999197368753
File-URL: http://hdl.handle.net/10.1080/095999197368753
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:14:y:1997:i:1:p:49-68
Template-Type: ReDIF-Article 1.0
Author-Name: Colin Lizieri
Author-X-Name-First: Colin
Author-X-Name-Last: Lizieri
Author-Name: Stephen Satchell
Author-X-Name-First: Stephen
Author-X-Name-Last: Satchell
Title: Property company performance and real interest rates: a regime-switching approach
Abstract:
Quantitative analysis of property performance has tended to rely on
linear models. This paper explores the possible insights of using
non-linear, regime based models. It is argued that there may exist
different regimes depending on the level of real interest rates. This is
tested empirically using a Threshold Autoregressive (TAR) model on
property company data. It is found that behaviour differs in high interest
rate and low interest rate regimes.
Journal: Journal of Property Research
Pages: 85-97
Issue: 2
Volume: 14
Year: 1997
Month: 1
X-DOI: 10.1080/095999197368654
File-URL: http://hdl.handle.net/10.1080/095999197368654
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Handle: RePEc:taf:jpropr:v:14:y:1997:i:2:p:85-97
Template-Type: ReDIF-Article 1.0
Author-Name: Neil Crosby
Author-X-Name-First: Neil
Author-X-Name-Last: Crosby
Author-Name: Nick French
Author-X-Name-First: Nick
Author-X-Name-Last: French
Author-Name: Charles Ward
Author-X-Name-First: Charles
Author-X-Name-Last: Ward
Title: Contemporary UK market valuation methods for over-rented investment properties: a framework for risk adjustment
Abstract:
This paper develops the recent series of papers published in the Journal
of Property Research on the market valuation of investment properties by
contemporary approaches. In the previous papers, an arbitrage model has
been developed and compared with the real value and short cut or modified
DCF alternatives to the valuation of fully let and reversionary
properties. This paper investigates the application of these models to
over-rented properties where the existing contract rent is in excess of
the current rental value. This examination reveals some interesting
insights into the applications of the various models concerning the need
to be explicit regarding future rental growth and concludes that models
which do not reveal their rental growth assumptions can still be
successfully applied to the over-rented situation. The paper examines the
discount rate choice within contemporary approaches and maintains that the
low-risk discount rate, based upon the risk free fixed interest rate
adjusted for risks based upon covenant strength and property illiquidity,
is a more appropriate input than a discount rate based upon other property
risks such as cash flow change uncertainty and obsolescence (equated
yields). It also highlights areas for future research to improve the
information base for the discount rate choice.
Journal: Journal of Property Research
Pages: 99-115
Issue: 2
Volume: 14
Year: 1997
Month: 1
X-DOI: 10.1080/095999197368663
File-URL: http://hdl.handle.net/10.1080/095999197368663
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Handle: RePEc:taf:jpropr:v:14:y:1997:i:2:p:99-115
Template-Type: ReDIF-Article 1.0
Author-Name: Peter A. Kemp
Author-X-Name-First: Peter A.
Author-X-Name-Last: Kemp
Author-Name: David Rhodes
Author-X-Name-First: David
Author-X-Name-Last: Rhodes
Title: The motivations and attitudes to letting of private landlords in Scotland
Abstract:
There has been a resurgence of interest in the residential lettings
market in Scotland and elsewhere in the UK, yet until very recently little
detailed knowledge was available about private landlords. Policy debates
on private renting commonly employ stereotypical images about the nature
of private landlordism that are not grounded in empirical research. This
paper presents findings from the first national survey of private
landlords in Scotland, giving special attention to their motivations for
letting and their attitudes towards it. It was found that the owners of
residential lettings are a diverse collection of households and firms, not
all of whom would regard themselves as 'landlords'. Letting residential
property is a largely small scale and part-time activity and there is
little involvement by the financial institutions in this sector. Less than
half of all landlords regard themselves as property investors but most
hold fairly positive views about letting residential accommodation. A
substantial minority of landlords are apparently unaware of the major
changes that have taken place in the residential lettings market in
Scotland since 1988 and are relatively ignorant about the law of landlord
and tenant. There are some important differences between landlords in
urban as compared with rural Scotland.
Journal: Journal of Property Research
Pages: 117-132
Issue: 2
Volume: 14
Year: 1997
Month: 1
X-DOI: 10.1080/095999197368672
File-URL: http://hdl.handle.net/10.1080/095999197368672
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Handle: RePEc:taf:jpropr:v:14:y:1997:i:2:p:117-132
Template-Type: ReDIF-Article 1.0
Author-Name: Yanxiang Anthony Gu
Author-X-Name-First: Yanxiang Anthony
Author-X-Name-Last: Gu
Author-Name: Peter F. Colwell
Author-X-Name-First: Peter F.
Author-X-Name-Last: Colwell
Title: Housing rent and occupational rank in Beijing and Shenyang, People's Republic of China
Abstract:
Housing reform in China is moving towards privatization or marketization
of public housing. To be successful, the reform requires that policy
makers allow housing rent differentials to arise and permit reform in
wages parallel to reform in rent. This paper analyses the effects of
occupational ranks and housing attributes on urban housing rents in
Beijing and Shenyang, China. Our work focuses on the magnitude of rent
discounts available to different occupational ranks.
Journal: Journal of Property Research
Pages: 133-143
Issue: 2
Volume: 14
Year: 1997
Month: 1
X-DOI: 10.1080/095999197368681
File-URL: http://hdl.handle.net/10.1080/095999197368681
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Handle: RePEc:taf:jpropr:v:14:y:1997:i:2:p:133-143
Template-Type: ReDIF-Article 1.0
Author-Name: Edward J. Schuck
Author-X-Name-First: Edward J.
Author-X-Name-Last: Schuck
Author-Name: Gerald R. Brown
Author-X-Name-First: Gerald R.
Author-X-Name-Last: Brown
Title: Value weighting and real estate portfolio risk
Abstract:
This paper extends the discussion concerning the value weighting and
variability of portfolio returns. In particular, it critically analyses
the work of Morrell (1993) in light of previous research and the theory of
portfolio strategy. It shows that his conclusions are only valid under
restrictive conditions concerning asset variance and the pairwise
correlation structure of returns that are typical of naive investment
strategies. A revised formulation of Morrell's coefficient of
value skewness (CVS) is derived which is more general in
application, while caveats are place on its interpretation. The strategic
implications of value weighting are then discussed in the light of this
analysis, raising questions for further research.
Journal: Journal of Property Research
Pages: 169-187
Issue: 3
Volume: 14
Year: 1997
Month: 1
X-DOI: 10.1080/095999197368591
File-URL: http://hdl.handle.net/10.1080/095999197368591
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Handle: RePEc:taf:jpropr:v:14:y:1997:i:3:p:169-187
Template-Type: ReDIF-Article 1.0
Author-Name: Russell Chaplin
Author-X-Name-First: Russell
Author-X-Name-Last: Chaplin
Title: Unsmoothing valuation-based indices using multiple regimes
Abstract:
Valuation error and valuation index smoothing have been the subject of a
great deal of recent research efforts, largely due to concerns over the
quality of investment decisions that can be made using valuation-based
data. To date, unsmoothing models have assumed that the variances in
valuation noise and market noise are at a constant ratio, producing a
constant unsmoothing parameter. This paper proposes a model which allows
this ratio to change over time, depending upon defined growth states in
the observed series, using a threshold model with multiple regimes. A rent
level index and initial yields are unsmoothed using this model and implied
unsmoothed capital value growth rates are calculated. The implied
unsmoothed capital value growth rates and unsmoothed yields are then used
to construct a total returns series which is compared with the original
smoothed total returns series, in terms of its mean and standard
deviation, and in terms of its correlation and covariance with total
returns on the FTSE. Some implications for two-way asset allocation
between a portfolio of shares and property are drawn.
Journal: Journal of Property Research
Pages: 189-210
Issue: 3
Volume: 14
Year: 1997
Month: 1
X-DOI: 10.1080/095999197368609
File-URL: http://hdl.handle.net/10.1080/095999197368609
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Handle: RePEc:taf:jpropr:v:14:y:1997:i:3:p:189-210
Template-Type: ReDIF-Article 1.0
Author-Name: Sotiris Tsolacos
Author-X-Name-First: Sotiris
Author-X-Name-Last: Tsolacos
Title: A case study of industrial property development in South Hampshire
Abstract:
An underlying assumption in the literature of industrial property
development is that the market responds effectively to development
pressures in areas of economic growth by providing the amount and type of
industrial premises required. A case study of the industrial market in
South Hampshire, one of the five growth areas designated in the South East
in the 1970s, showed that the market undersupplied traditional industrial
sheds in the late 1980s and early 1990s, despite a sufficient amount of
industrial land. Competing uses and unsuitability of industrial land
featured as the prime reasons explaining this undersupply. Underprovision
of small units emerged as another problematic area. Small-unit projects
are considered risky by private developers and the involvement of the
public sector, even in a high-growth area, is necessary. On the other
hand, the local market did not experience an oversupply of B1 and
high-tech units, suggesting that the development industry monitored market
trends in South Hampshire before embarking on the development of this type
of industrial projects.
Journal: Journal of Property Research
Pages: 211-236
Issue: 3
Volume: 14
Year: 1997
Month: 1
X-DOI: 10.1080/095999197368618
File-URL: http://hdl.handle.net/10.1080/095999197368618
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Handle: RePEc:taf:jpropr:v:14:y:1997:i:3:p:211-236
Template-Type: ReDIF-Article 1.0
Author-Name: Nicola Morrison
Author-X-Name-First: Nicola
Author-X-Name-Last: Morrison
Title: A critique of a local property forecasting model
Abstract:
This paper critically evaluates a model produced by the Department of
Land Economy and PA Cambridge Economic Consultants which forecast demand
and supply floorspace changes in Kent's commercial property markets.
First, it sets out the conceptual framework adopted, and then how
floorspace-demand forecasts were constructed and compared to the supply
pipeline for each sub-region in Kent. Second, it considers the problems of
measuring the selected variables and predicting future changes, in
particular the way gross domestic product is measured and projected
forward; the reliability of floorspace/employment ratios; and how to
distinguish new build requirements from net change in stock. It concludes
that the assumptions concerning future changes in these key relationships
are fundamental to the accuracy of this type of forecasting model, and
that qualitative research may improve our understanding of these
relationships.
Journal: Journal of Property Research
Pages: 237-255
Issue: 3
Volume: 14
Year: 1997
Month: 1
X-DOI: 10.1080/095999197368627
File-URL: http://hdl.handle.net/10.1080/095999197368627
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Handle: RePEc:taf:jpropr:v:14:y:1997:i:3:p:237-255
Template-Type: ReDIF-Article 1.0
Author-Name: Michael Ball
Author-X-Name-First: Michael
Author-X-Name-Last: Ball
Author-Name: Maurizio Grilli
Author-X-Name-First: Maurizio
Author-X-Name-Last: Grilli
Title: UK commercial property investment: time-series characteristics and modelling strategies
Abstract:
Modelling of UK commercial property development has been a growth
industry in recent years. This paper examines the time series
characteristics of the data on commercial output and considers the
fruitfulness of modelling strategies with respect to it. The models
estimated here make sense, and highlight the importance changes in
national income, property values and construction costs in determining
changes in commercial output. However, several technical and theoretical
reasons suggest that they are likely to have poor forecasting ability. One
reason is the data on commercial output have a low volatility, while the
orders data are of poor accuracy and so are a bad substitute. Doubt is
expressed over whether future econometric models can improve on this
situation.
Journal: Journal of Property Research
Pages: 279-296
Issue: 4
Volume: 14
Year: 1997
Month: 1
X-DOI: 10.1080/095999197368537
File-URL: http://hdl.handle.net/10.1080/095999197368537
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Handle: RePEc:taf:jpropr:v:14:y:1997:i:4:p:279-296
Template-Type: ReDIF-Article 1.0
Author-Name: Eamonn D'Arcy
Author-X-Name-First: Eamonn
Author-X-Name-Last: D'Arcy
Author-Name: Tony McGough
Author-X-Name-First: Tony
Author-X-Name-Last: McGough
Author-Name: Sotiris Tsolacos
Author-X-Name-First: Sotiris
Author-X-Name-Last: Tsolacos
Title: National economic trends, market size and city growth effects on European office rents
Abstract:
This paper extends existing research on European office markets. Using a
time-series cross-sectional methodology it examines the influence on
office rents in 22 European cities of national economic conditions, market
size and measures of economic growth and change in the city economy over
the period 1982-94. The results demonstrate the significance of national
real GDP changes and real interest rates in explaining European real
office rental movements. In contrast, market size and city growth effects
appear to have an insignificant impact on office rents.
Journal: Journal of Property Research
Pages: 297-308
Issue: 4
Volume: 14
Year: 1997
Month: 1
X-DOI: 10.1080/095999197368546
File-URL: http://hdl.handle.net/10.1080/095999197368546
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Handle: RePEc:taf:jpropr:v:14:y:1997:i:4:p:297-308
Template-Type: ReDIF-Article 1.0
Author-Name: Brenna O'Roarty
Author-X-Name-First: Brenna
Author-X-Name-Last: O'Roarty
Author-Name: Stanley McGreal
Author-X-Name-First: Stanley
Author-X-Name-Last: McGreal
Author-Name: Alastair Adair
Author-X-Name-First: Alastair
Author-X-Name-Last: Adair
Author-Name: David Patterson
Author-X-Name-First: David
Author-X-Name-Last: Patterson
Title: Case-based reasoning and retail rent determination
Abstract:
Rents at review are commonly assessed by making comparisons with
properties similar to the subject premises under assessment. Subjective
adjustments are made where the location, physical and lease term
characteristics of subject and comparable properties differ. The methods
employed in such determinations have severe limitations. This paper
reviews the various computer-assisted techniques employed in the valuation
domain and selects a case-based reasoning approach (CBR) for the
determination of retail rents at review. In exploring the application of
CBR to retail property valuation five separate approaches are developed,
namely; nearest neighbour, pure inductive, inductive (Q Model), inductive
(Prototype) and inductive (Prototype and Q Model). The validation of the
models demonstrates that CBR is an effective approach to comparable
selection in the determination of retail rents.
Journal: Journal of Property Research
Pages: 309-328
Issue: 4
Volume: 14
Year: 1997
Month: 1
X-DOI: 10.1080/095999197368555
File-URL: http://hdl.handle.net/10.1080/095999197368555
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Handle: RePEc:taf:jpropr:v:14:y:1997:i:4:p:309-328
Template-Type: ReDIF-Article 1.0
Author-Name: Richard A. Laing
Author-X-Name-First: Richard A.
Author-X-Name-Last: Laing
Author-Name: Dennis C. M. Urquhart
Author-X-Name-First: Dennis C. M.
Author-X-Name-Last: Urquhart
Title: Stone cleaning and its effect on property market selling price
Abstract:
Stone cleaning has been carried out widely for over two decades, and a
large amount of cleaning is still completed each year. Whilst in many
cases the aesthetic benefits of stone cleaning have been initially
undeniable, concern has been raised concerning the long-term effects of
such intervention. In order that the reasons underlying the continuing
popularity of stone cleaning as an urban improvement device can be better
understood, it was suggested that stone cleaning might in itself result in
immediate gains in terms of property market selling prices. The study
concludes that the gains which might be expected initially are in the
region of up to 3%, with improvements in property marketability more
apparent. At present, it would appear that problems associated with stone
cleaning methods causing damage to stone are not being reflected by the
property markets to a significant extent. It is essential that these gains
be examined in relation to longer-term life cycle costs, in order that the
overall effects on financial value can be better understood.
Journal: Journal of Property Research
Pages: 329-336
Issue: 4
Volume: 14
Year: 1997
Month: 1
X-DOI: 10.1080/095999197368564
File-URL: http://hdl.handle.net/10.1080/095999197368564
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:14:y:1997:i:4:p:329-336
Template-Type: ReDIF-Article 1.0
Author-Name: Gerald R. Brown
Author-X-Name-First: Gerald R.
Author-X-Name-Last: Brown
Author-Name: George A. Matysiak
Author-X-Name-First: George A.
Author-X-Name-Last: Matysiak
Author-Name: Mark Shepherd
Author-X-Name-First: Mark
Author-X-Name-Last: Shepherd
Title: Valuation uncertainty and the Mallinson Report
Abstract:
This paper addresses uncertainty in valuations in relation to the issues
raised by the Mallinson Report. It shows that valuers
have approximately 1 chance in 10 of achieving values within +/- 5% of the
mean value. This improves to 1 in 5 if the range is increased to +/- 10%.
These figures are, however, based on average properties within each sector
and are probably much lower than generally believed. Valuers may, however,
achieve better or worse performance when considering individual
properties. In an ex ante framework it is shown that the
main influence on variability in valuations switches from growth to total
returns as capital values decline. Improving the standard error of
forecasts can lead to a significant improvement in the uncertainty of
valuations. This points to the need for better research. The levels of
valuation uncertainty reported in this paper do not imply any inefficiency
in the way valuations are prepared. Differences of opinion are important
in order to encourage the development of an active property market.
Valuation uncertainty as identified in the Mallinson Report is not,
therefore, a serious issue. A more serious problem concerns errors in
valuation.
Journal: Journal of Property Research
Pages: 1-13
Issue: 1
Volume: 15
Year: 1998
Month: 1
X-DOI: 10.1080/095999198368473
File-URL: http://hdl.handle.net/10.1080/095999198368473
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:15:y:1998:i:1:p:1-13
Template-Type: ReDIF-Article 1.0
Author-Name: Louise Ellison
Author-X-Name-First: Louise
Author-X-Name-Last: Ellison
Title: Supply-side policies and the UK commercial property markets: 1979-1990
Abstract:
This paper examines the impact on the commercial property markets of
supply-side policies introduced by the UK Government between 1979 and
1990. It focuses on the structural changes made to the capital and land
markets and investigates the long-term implications of these changes for
the supply of commercial space. Supply-side policies implemented during
the 1980s are examined and market evidence in the form of planning,
construction and rental data is used to establish market fluctuations over
the same period. The research clarifies the distinction between the
short-term impacts and the long-term structural changes in the land and
capital markets arising from those supply-side strategies. It examines in
greater detail the significance of the structural changes to the future
performance of the commercial property markets. The conclusions relate to
the importance of these structural changes to any analysis or monitoring
of activity within the commercial property markets from the 1990s onward.
The potential impact on the commercial property markets of any further
structural changes to the captial and land markets needs thorough
investigation and should not be underestimated.
Journal: Journal of Property Research
Pages: 15-33
Issue: 1
Volume: 15
Year: 1998
Month: 1
X-DOI: 10.1080/095999198368482
File-URL: http://hdl.handle.net/10.1080/095999198368482
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:15:y:1998:i:1:p:15-33
Template-Type: ReDIF-Article 1.0
Author-Name: John E. T. Hughes
Author-X-Name-First: John E. T.
Author-X-Name-Last: Hughes
Author-Name: Jean Madin
Author-X-Name-First: Jean
Author-X-Name-Last: Madin
Title: An assessment of the long run impact of the Business Expansion Scheme and the prospects for individual investment in privately rented housing in the UK
Abstract:
The privately rented housing sector has a key role in the UK Government's
housing policy for the next millennium. One of the main planks of 1980s
government policy for reviving the fortunes of the sector was the
extension of the tax reliefs available under the Business Expansion Scheme
(BES) to individuals investing in residential property letting companies.
Previous research has shown that, in the short run, the BES had a
considerable impact on the supply of privately owned housing to let.
However, no previous research has been carried out into the effects of the
BES on the individuals who invested in it, their intentions towards
investment in private renting in the future, including their BES holdings,
and their views about the private rented housing sector in general and the
policies required to encourage them to invest further capital. This paper
sets out the results of the first comprehensive survey of individual
shareholders in BES housing companies based on a large-scale national
postal survey. It finds that, while most BES shareholders were satisfied
with their investment, few intended to retain their BES shares longer than
necessary under the tax rules. The probability is that, unless new
measures are implemented, most BES properties will leave the privately
rented sector in the near future and there is little prospect of
significant individual investment in private renting in the medium term. A
number of policy proposals are identified which could act in a
countervailing way.
Journal: Journal of Property Research
Pages: 35-55
Issue: 1
Volume: 15
Year: 1998
Month: 1
X-DOI: 10.1080/095999198368491
File-URL: http://hdl.handle.net/10.1080/095999198368491
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:15:y:1998:i:1:p:35-55
Template-Type: ReDIF-Article 1.0
Author-Name: Craig Watkins
Author-X-Name-First: Craig
Author-X-Name-Last: Watkins
Title: Are new entrants to the residential property market informationally disadvantaged?
Abstract:
This paper sets out to test whether, as a consequence of being
informationally disadvantaged, new entrants to residential property
markets pay significantly higher prices for a hypothetical standardized
property. The paper analyses data on house sales in Glasgow between April
1991 and March 1992. The transactions data are subdivided into mutually
exclusive groups of households and the prices paid are examined. The
prices paid by first time buyers are compared to the prices paid by repeat
purchasers, and the prices paid by in-migrants are compared with those
paid by intracity movers. Hedonic house price functions are estimated for
each subgroup in order to standardize for differences in the physical,
neighbourhood and locational characteristics of the dwellings purchased.
The equations are then tested for parameter equality, in order to
determine whether the implicit prices paid by new entrants and existing
owners are different. The main conclusion is that, on the basis of the
subgroups examined, there is no evidence that new entrants pay more for
housing as a result of informational disadvantage. As such, it appears
that new and existing actors in the market make their house purchase
decisions on the basis of a common information set.
Journal: Journal of Property Research
Pages: 57-70
Issue: 1
Volume: 15
Year: 1998
Month: 1
X-DOI: 10.1080/095999198368509
File-URL: http://hdl.handle.net/10.1080/095999198368509
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:15:y:1998:i:1:p:57-70
Template-Type: ReDIF-Article 1.0
Author-Name: Gerald R. Brown
Author-X-Name-First: Gerald R.
Author-X-Name-Last: Brown
Author-Name: George A. Matysiak
Author-X-Name-First: George A.
Author-X-Name-Last: Matysiak
Title: Valuation smoothing without temporal aggregation
Abstract:
This paper addresses the question of valuation smoothing at the
individual property level. Using a sample of 30 properties with monthly
valuations over the period December 1986 to October 1995, the average
profile of monthly smoothing parameters is found to be non-constant.
Comparing the average of the individual smoothing parameters with those
obtained from an aggregate index, consisting of all 30 properties,
considerable differences in value are found to result from temporal
aggregation. When implied market prices for the 30 properties are
aggregated into an index, the volatility of the index is seen to be
influenced by a small number of properties with smoothing parameters close
to zero. By removing the small number of outliers from the sample the
volatility of the implied market price index reduces by approximately 60%.
The results of this analysis have important implications for constant
parameter 'desmoothing' models. It is possible that the volatility of
returns of the implied price series could be overstated and the serial
correlation value understated. However, as practical matter, if the
average of the individual smoothing parameters, each month, is in excess
0.5, the use of a fixed parameter deserializing model may be valid if the
estimated regression coefficient in an AR(1) model is less than 0.5. The
results reported in this paper are particularly relevant for monthly
indices but may also impact on quarterly and possibly other lower
frequency indices.
Journal: Journal of Property Research
Pages: 89-103
Issue: 2
Volume: 15
Year: 1998
Month: 1
X-DOI: 10.1080/095999198368419
File-URL: http://hdl.handle.net/10.1080/095999198368419
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:15:y:1998:i:2:p:89-103
Template-Type: ReDIF-Article 1.0
Author-Name: Andrew Baum
Author-X-Name-First: Andrew
Author-X-Name-Last: Baum
Author-Name: Neil Crosby
Author-X-Name-First: Neil
Author-X-Name-Last: Crosby
Author-Name: Sandi Murdoch
Author-X-Name-First: Sandi
Author-X-Name-Last: Murdoch
Title: The contribution of upward-only rent reviews to the capital value of UK property
Abstract:
The aim of this paper is to provide a response to suggestions that the
removal of upward-only rent reviews (sometimes known as ratchet clauses)
would reduce commercial property asset values in the UK. The paper also
seeks to estimate the amount of the reduction. It argues that the fall in
the capital value of commercial UK investment property will be a function
of changes in risk/return characteristics which, when set within the
framework of the current leasing structure and the expected cash flow
determined thereby, manifests itself in changes in investment yields.
Because the property market generates fewer transactions than some other
capital markets, and because valuations are used as a surrogate for
transactions when compiling property market data and indices, the way in
which valuers approach investment property valuations in practice will
also influence the perceived value loss caused by any change in
legislation. This latter effect is modelled in this paper. The paper
identifies the likely level of change in investment yields for the major
UK commercial and industrial property types, examines the current leasing
structure of those properties and investigates the current application of
valuation techniques to these structures. This facilitates a valuation of
the commercial and industrial property investment market, from which it is
estimated that the effect on the value of UK property of the upward-only
rent review clause being removed from future leases would be a reduction
of 5% for offices, 4% for shops and 4% for industrials, a weighted average
(using IPD weights) of 4.3% across all three sectors.
Journal: Journal of Property Research
Pages: 105-120
Issue: 2
Volume: 15
Year: 1998
Month: 1
X-DOI: 10.1080/095999198368428
File-URL: http://hdl.handle.net/10.1080/095999198368428
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:15:y:1998:i:2:p:105-120
Template-Type: ReDIF-Article 1.0
Author-Name: Alastair Adair
Author-X-Name-First: Alastair
Author-X-Name-Last: Adair
Author-Name: Jim Berry
Author-X-Name-First: Jim
Author-X-Name-Last: Berry
Author-Name: Stanley McGreal
Author-X-Name-First: Stanley
Author-X-Name-Last: McGreal
Title: Assessing influences upon the housing market in Northern Ireland
Abstract:
Initially, this paper reviews the relationship between the private
housing sector and the macroeconomy. Attention focuses upon the divergent
behaviour of the housing market at a regional level, using the case of
Northern Ireland, relative to that for the national United Kingdom market.
Econometric modelling indicates that the primary factor influencing
performance within the province is disposable income, with risk arising
from political instability a secondary factor. It is argued that lower
price elasticities have been instrumental in producing a regional housing
market which exhibits counter-cyclical tendencies relative to the national
perspective.
Journal: Journal of Property Research
Pages: 121-134
Issue: 2
Volume: 15
Year: 1998
Month: 1
X-DOI: 10.1080/095999198368437
File-URL: http://hdl.handle.net/10.1080/095999198368437
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Handle: RePEc:taf:jpropr:v:15:y:1998:i:2:p:121-134
Template-Type: ReDIF-Article 1.0
Author-Name: Jeanette Findlay
Author-X-Name-First: Jeanette
Author-X-Name-Last: Findlay
Author-Name: Kenneth Gibb
Author-X-Name-First: Kenneth
Author-X-Name-Last: Gibb
Title: The pricing of estate agency and conveyancing services in Scotland
Abstract:
This paper is concerned with an econometric investigation of possible
monopoly pricing by solicitor estate agents in Scotland who have
significant market shares in local housing markets there and who use
Solicitors' Property Centres (SPCs) to advertise properties for sale. The
exclusion of nonsolicitor estate agents from SPCs and the relationship
between non-solicitor and solicitor estate agents was the subject of a
recent Monopolies and Mergers Commission Inquiry. As an applied economic
problem, the researchers sought to overcome fundamental data and practical
difficulties to build a robust model of combined estate agency and
conveyancing fee determination. The study concluded that SPC market share
appears to be positively related to combined fee levels, house price
appears to be the main determinant of combined fees (though not the only
determinant), and, the relationship between SPC market share and combined
fee levels found at a Scottish level has plausible regional variations.
More research needs to be done to reinforce understanding of the
fundamentals of these complex markets and more work is required to locate
estate agency and conveyancing markets within the wider analysis of local
housing markets.
Journal: Journal of Property Research
Pages: 135-151
Issue: 2
Volume: 15
Year: 1998
Month: 1
X-DOI: 10.1080/095999198368446
File-URL: http://hdl.handle.net/10.1080/095999198368446
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Handle: RePEc:taf:jpropr:v:15:y:1998:i:2:p:135-151
Template-Type: ReDIF-Article 1.0
Author-Name: Graeme Newell
Author-X-Name-First: Graeme
Author-X-Name-Last: Newell
Author-Name: John MacFarlane
Author-X-Name-First: John
Author-X-Name-Last: MacFarlane
Title: The effect of seasonality of valuations on property risk
Abstract:
Valuations on individual properties in property indices are often not
carried out at the end of each reporting period or properties not revalued
in a given reporting period. This study presents improved property risk
formulae to account for this seasonality of revaluations in quarterly,
monthly and six-monthly property indices. Using benchmark property returns
series from the US, Canada, UK and Australia, it is found that the impact
of revaluation seasonality on property risk is most evident in the
quarterly US and Canadian property returns series. In each of these four
cases, significant increases in property risk are required to account for
appraisal-smoothing and revaluation seasonality.
Journal: Journal of Property Research
Pages: 167-182
Issue: 3
Volume: 15
Year: 1998
Month: 1
X-DOI: 10.1080/095999198368356
File-URL: http://hdl.handle.net/10.1080/095999198368356
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:15:y:1998:i:3:p:167-182
Template-Type: ReDIF-Article 1.0
Author-Name: Neil Crosby
Author-X-Name-First: Neil
Author-X-Name-Last: Crosby
Author-Name: Anthony Lavers
Author-X-Name-First: Anthony
Author-X-Name-Last: Lavers
Author-Name: Henry Foster
Author-X-Name-First: Henry
Author-X-Name-Last: Foster
Title: Commercial property loan valuations in the UK: implications of current trends in valuation practice and legal liability
Abstract:
This paper examines the legal liability implications of changes to the
commercial property loan valuation process caused by the recession in the
UK property market. It identifies the market background to commercial
property lending and discusses the implications of the falls in value for
lenders and valuers. These include the outcome of discussions between the
various professional institutions representing these two groups and the
increasing litigation between lenders and valuers in which professional
negligence is alleged. The paper reviews the legal framework and
critically examines the valuation process relating to instructions, bases
and reporting in order to define a set of research questions. These are
addressed via an interview survey of lenders and valuers. The findings of
the study are: First, a minority of valuers continue to accept
instructions from borrowers and this could lead to a conflict of interest,
as lenders may rely on their report. Second, situations occur where lack
of formal instructions prior to the delivery of the report casts doubt on
the valuer's ability to identify the needs of clients correctly. Third, it
was found that valuers are providing valuations on bases which they do not
think are appropriate. Valuers may incur liability if they do not inform
clients of their reservations and this situation must be urgently
addressed. Fourth, valuation reports are considered often to be deficient
in contextual information concerning markets, which confirms the findings
of earlier research in this area.
Journal: Journal of Property Research
Pages: 183-209
Issue: 3
Volume: 15
Year: 1998
Month: 1
X-DOI: 10.1080/095999198368365
File-URL: http://hdl.handle.net/10.1080/095999198368365
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Handle: RePEc:taf:jpropr:v:15:y:1998:i:3:p:183-209
Template-Type: ReDIF-Article 1.0
Author-Name: Patsy Healey
Author-X-Name-First: Patsy
Author-X-Name-Last: Healey
Title: Regulating property development and the capacity of the development industry
Abstract:
This paper reviews the interaction between the property development
industry and its regulatory environment. Taking a long perspective, and
drawing on research findings from different periods, it argues that the
composition and practices of the various segments of the industry have
been significantly affected by the regulatory context. It argues further
that public policy should give more attention to its role in shaping the
industry's evolution, particularly as this affects the capacity of the
development industry to deliver to urban and regional economic, social and
environmental objectives.
Journal: Journal of Property Research
Pages: 211-227
Issue: 3
Volume: 15
Year: 1998
Month: 1
X-DOI: 10.1080/095999198368374
File-URL: http://hdl.handle.net/10.1080/095999198368374
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:15:y:1998:i:3:p:211-227
Template-Type: ReDIF-Article 1.0
Author-Name: A. D. H. Crook
Author-X-Name-First: A. D. H.
Author-X-Name-Last: Crook
Author-Name: John Hughes
Author-X-Name-First: John
Author-X-Name-Last: Hughes
Author-Name: Peter A. Kemp
Author-X-Name-First: Peter A.
Author-X-Name-Last: Kemp
Title: Housing investment trusts and the returns from residential lettings
Abstract:
This paper assesses the prospects in Britain for investment by financial
institutions in private rented housing. The first section describes the
previous and the current governments'policies on private rented housing,
the policy-measures established to revive this sector of the housing
market and their impact to date. The second section describes housing
investment trusts (HITs) - a new investment vehicle aimed at attracting
financial institutions into the market- and explains where they fit into
the policy framework. The third section discusses the evidence about the
rates of return currently being achieved by private landlords, including
BES assured tenancy companies. The fourth section describes financial
institutions attitudes' to investment in private rented housing, including
returns required, and the circumstances under which investment may be
made. The fifth section presents the results of financial modelling of the
returns which HITs are likely to earn. The final section assesses the
prospects of financial institutions investing in the private rented
sector, including via HITs.
Journal: Journal of Property Research
Pages: 229-248
Issue: 3
Volume: 15
Year: 1998
Month: 1
X-DOI: 10.1080/095999198368383
File-URL: http://hdl.handle.net/10.1080/095999198368383
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Handle: RePEc:taf:jpropr:v:15:y:1998:i:3:p:229-248
Template-Type: ReDIF-Article 1.0
Author-Name: Sotiris Tsolacos
Author-X-Name-First: Sotiris
Author-X-Name-Last: Tsolacos
Title: Econometric modelling and forecasting of new retail development
Abstract:
This paper provides a study of new retail development, proxied by the
volume of new orders for retail building works, at the aggregate level in
Great Britain. A regression model and a VAR system are estimated based on
a theoretical framework that relates the level of new orders to changes
both in real consumer expenditure and real retail rents. The former
variable is used as a macroeconomic series to capture trends in the
business of retailing and demand for retail space. Retail rents are
included as an indicator of demand-supply imbalances in the market and
potential profitability of retail projects. The empirical estimates
confirm the significance of the proposed framework in the study of new
retail construction. Tests also establish the reliability of the estimated
regression and VAR models for forecasting purposes. In particular quarters
the models predict less accurately owing to the significant quarterly
volatility of the new orders series. Overall the regression model tends to
produce more accurate forecasts. Ex ante forecasts for
the period mid-1997 to 1999 based on the regression model suggest that the
upward trend in the volume of new retail orders which began in 1992 will
continue if real expenditure and real rents increase at an annual rate of
four and six per cent respectively, but will reverse in 1998 if these
variables exhibit growth rates of two per cent per annum. The VAR model
predicts a further but moderate increase in new orders over this forecast
period.
Journal: Journal of Property Research
Pages: 265-283
Issue: 4
Volume: 15
Year: 1998
Month: 1
X-DOI: 10.1080/095999198368293
File-URL: http://hdl.handle.net/10.1080/095999198368293
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Handle: RePEc:taf:jpropr:v:15:y:1998:i:4:p:265-283
Template-Type: ReDIF-Article 1.0
Author-Name: D. G. Wiltshaw
Author-X-Name-First: D. G.
Author-X-Name-Last: Wiltshaw
Title: Stigma, perception and the remediation of contaminated land
Abstract:
Stigma has been identified as a key factor in lowering the value of land
which is actually, or potentially, contaminated. A wide ranging debate has
explored its causality. In this debate, market perception has received
increasing emphasis as an analytical perspective. From this viewpoint, the
paper seeks to explore the effect of stigma on a landowner's remediation
expenditure. Two market perceptions of stigma are identified: pre and
post-remediation; additionally, subcategories of the former, as well as an
amalgamation of both, are also specified. Each perception is related to
its associated maximum remediation expenditure in an ex
ante setting utilizing an expected utility approach. Ordinal
rankings of remediation expenditure are derived for various market
perceptions of stigma where contamination is, or is not, certain. In
general, post-remediation stigma is associated with lower remediation
expenditure than pre-remediation stigma. Further, it is demonstrated that
increases in different perceptions of stigma may, depending on the
context, increase or decrease maximum remediation expenditure.
Journal: Journal of Property Research
Pages: 285-303
Issue: 4
Volume: 15
Year: 1998
Month: 1
X-DOI: 10.1080/095999198368301
File-URL: http://hdl.handle.net/10.1080/095999198368301
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:15:y:1998:i:4:p:285-303
Template-Type: ReDIF-Article 1.0
Author-Name: Neil Crosby
Author-X-Name-First: Neil
Author-X-Name-Last: Crosby
Author-Name: Anthony Lavers
Author-X-Name-First: Anthony
Author-X-Name-Last: Lavers
Author-Name: John Murdoch
Author-X-Name-First: John
Author-X-Name-Last: Murdoch
Title: Property valuation variation and the 'margin of error' in the UK
Abstract:
The paper aims to examine critically the margin of error principle
currently used by the English courts as a test of negligence in
valuations. In particular, it considers whether the 'bracket' of 10-15%
which is routinely accepted by judges is justified by reference to
existing empirical studies of valuation accuracy and variation. The paper
traces the development, status and current operation of the margin of
error principle through the case law, noting that the principle was
originally put forward by valuers appearing as expert witnesses in
negligence actions. It then reviews the previous empirical work on
valuation accuracy and valuation variation, concluding that the latter is
potentially of much greater relevance. The valuation variation analysis is
extended to previously unpublished data, including the performance of
expert witnesses themselves, where the paper identifies a striking
contrast between the experts' assertions as to the size of 'error' which
suggests negligence and the range of valuations actually put forward by
the experts. The paper concludes that the margin of error principle, as it
is presently applied by the English courts, is lacking in any empirical
basis and indeed runs counter to the available evidence. Its use as a
means of establishing negligence by a valuer is fundamentally flawed.
Journal: Journal of Property Research
Pages: 305-330
Issue: 4
Volume: 15
Year: 1998
Month: 1
X-DOI: 10.1080/095999198368310
File-URL: http://hdl.handle.net/10.1080/095999198368310
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Handle: RePEc:taf:jpropr:v:15:y:1998:i:4:p:305-330
Template-Type: ReDIF-Article 1.0
Author-Name: Alastair Adair
Author-X-Name-First: Alastair
Author-X-Name-Last: Adair
Author-Name: Jim Berry
Author-X-Name-First: Jim
Author-X-Name-Last: Berry
Author-Name: Bill Deddis
Author-X-Name-First: Bill
Author-X-Name-Last: Deddis
Author-Name: Stanley McGreal
Author-X-Name-First: Stanley
Author-X-Name-Last: McGreal
Author-Name: Geoffrey Keogh
Author-X-Name-First: Geoffrey
Author-X-Name-Last: Keogh
Author-Name: Tony Key
Author-X-Name-First: Tony
Author-X-Name-Last: Key
Title: Barriers to data sharing in the surveying profession: implications for the commercial property market
Abstract:
The operation of the property market is constrained by an absence of
information with barriers to data transparency arising from several
sources. This paper reports upon research commissioned by the RICS into
the concept of data sharing within the surveying profession with
particular reference to the commercial property market. The research
employs a range of investigative techniques comprising structured
interviews, focus groups and a questionnaire survey. Issues addressed
include technical, legal, competitive, commercial and other potential
constraints. Trends in data sharing, potential areas for coordinated
action, implications for the structure of professional practice and the
role of the RICS are assessed.
Journal: Journal of Property Research
Pages: 331-346
Issue: 4
Volume: 15
Year: 1998
Month: 1
X-DOI: 10.1080/095999198368329
File-URL: http://hdl.handle.net/10.1080/095999198368329
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Handle: RePEc:taf:jpropr:v:15:y:1998:i:4:p:331-346
Template-Type: ReDIF-Article 1.0
Author-Name: James K. Maitland-Smith
Author-X-Name-First: James K.
Author-X-Name-Last: Maitland-Smith
Author-Name: Chris Brooks
Author-X-Name-First: Chris
Author-X-Name-Last: Brooks
Title: Threshold autoregressive and Markov switching models: an application to commercial real estate
Abstract:
Although financial theory rests heavily upon the assumption that asset
returns are normally distributed, value indices of commercial real estate
display significant departures from normality. In this paper, we apply and
compare the properties of two recently proposed regime switching models
for value indices of commercial real estate in the US and the UK, both of
which relax the assumption that observations are drawn from a single
distribution with constant mean and variance. Statistical tests of the
models' specification indicate that the Markov switching model is better
able to capture the non-stationary features of the data than the threshold
autoregressive model, although both represent superior descriptions of the
data than the models that allow for only one state. Our results have
several implications for theoretical models and empirical research in
finance.
Journal: Journal of Property Research
Pages: 1-19
Issue: 1
Volume: 16
Year: 1999
Month: 1
X-DOI: 10.1080/095999199368238
File-URL: http://hdl.handle.net/10.1080/095999199368238
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Handle: RePEc:taf:jpropr:v:16:y:1999:i:1:p:1-19
Template-Type: ReDIF-Article 1.0
Author-Name: Russell Chaplin
Author-X-Name-First: Russell
Author-X-Name-Last: Chaplin
Title: The predictability of real office rents
Abstract:
The prediction and forecasting of office rents is undertaken routinely
and formally by major surveying practices and consultants in the UK. These
predictions and forecasts (which may be adjusted in-house) are used as
tools in the investment decisions of the major institutions to inform on
the relative performance of property market sectors/regions and the
property market as a whole. This paper examines the predictability of the
national Hillier Parker real office rent index by using a recursive
modelling strategy and maximized selection criteria to choose a predictive
model from a set of 15 in each year from 1985 to 1994. Predictions one
year ahead are made using the chosen models. The results show that it is
very difficult to choose the best predicting model in any one year. The
selected models are often beaten by naive competitors such as 'no change'
from, or 'same change' as, previous period and the ranking of a model in
terms of its historic fit usually bears no relationship to its ranking in
terms of how well it can predict relative to the other models in the set.
Whilst the results are generally disappointing, in that the best
predicting model is often not chosen, they indicate that there is some
degree of predictability in the series.
Journal: Journal of Property Research
Pages: 21-49
Issue: 1
Volume: 16
Year: 1999
Month: 1
X-DOI: 10.1080/095999199368247
File-URL: http://hdl.handle.net/10.1080/095999199368247
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Handle: RePEc:taf:jpropr:v:16:y:1999:i:1:p:21-49
Template-Type: ReDIF-Article 1.0
Author-Name: Mark Robertson
Author-X-Name-First: Mark
Author-X-Name-Last: Robertson
Author-Name: Colin Jones
Author-X-Name-First: Colin
Author-X-Name-Last: Jones
Title: A cross-sectional model of rents in urban retail centres
Abstract:
This paper sets out to assess the underlying influences on urban retail
rents. A cross-sectional model of retail rents is developed and tested for
29 Scottish towns in 1989 using regression analysis. A series of specific
variables are constructed for these towns partly by reference to a gravity
submodel. The model attempts to assess the relative significance of demand
in the form of local turnover and supply constraints, and demonstrate the
role of business rates in the determination of urban retail rents. The
results reveal the dominant influence of demand/turnover on local urban
rents. The analysis also shows, through the improved explanatory power of
the regression model incorporating business rates, the role of the rent
surplus theory in the determination of rents. Finally, the retail stock at
the margin is also found to be a significant, if minor factor, in the
determination of urban rents. There are difficulties in interpreting this
in cross-sectional analysis, but it does, at least, indicate that
development constraints mean that supply does not necessarily adjust to
demand.
Journal: Journal of Property Research
Pages: 51-66
Issue: 1
Volume: 16
Year: 1999
Month: 1
X-DOI: 10.1080/095999199368256
File-URL: http://hdl.handle.net/10.1080/095999199368256
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Handle: RePEc:taf:jpropr:v:16:y:1999:i:1:p:51-66
Template-Type: ReDIF-Article 1.0
Author-Name: D.H. Jenkins
Author-X-Name-First: D.H.
Author-X-Name-Last: Jenkins
Author-Name: O.M. Lewis
Author-X-Name-First: O.M.
Author-X-Name-Last: Lewis
Author-Name: N. Almond
Author-X-Name-First: N.
Author-X-Name-Last: Almond
Author-Name: S.A. Gronow
Author-X-Name-First: S.A.
Author-X-Name-Last: Gronow
Author-Name: J.A. Ware
Author-X-Name-First: J.A.
Author-X-Name-Last: Ware
Title: Towards an intelligent residential appraisal model
Abstract:
In the UK, and indeed in many countries, Direct Capital Comparison (DCC)
remains central to the practice of residential property valuers.
Theoretically well founded, statistically or heuristically-based
alternatives, usually embodying regression techniques, have failed to
penetrate professional practice despite long pedigrees. For several years,
neural networks, in which values are not so much derived or assigned but
discovered, have also been propounded as potential alternatives. Yet DCC
clings to its pre-eminent position because it is readily understood and it
is thought to produce more accurate results. In order to improve upon DCC,
complementary or alternative methods will need to enhance accuracy, and be
equally intelligible and transparent. This paper reports empirical
findings, discusses some of the obstacles that will need to be overcome
and some of the constituents that may comprise an improved model.
Journal: Journal of Property Research
Pages: 67-90
Issue: 1
Volume: 16
Year: 1999
Month: 1
X-DOI: 10.1080/095999199368265
File-URL: http://hdl.handle.net/10.1080/095999199368265
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:16:y:1999:i:1:p:67-90
Template-Type: ReDIF-Article 1.0
Author-Name: Patric H. Hendershott
Author-X-Name-First: Patric H.
Author-X-Name-Last: Hendershott
Author-Name: Bengt Turner
Author-X-Name-First: Bengt
Author-X-Name-Last: Turner
Title: Estimating constant-quality capitalization rates and capitalization effects of below market financing
Abstract:
Using data on 403 property transactions in Stockholm in the early 1990s,
we illustrate how a microdata base can be used to compute
'constant-quality' cap rate series. We show a wide disparity between
apartment and commercial series so calculated and series computed as
simple averages of individual property cap rates. In the process, we find
evidence of full capitalization of below-market financing in apartment
prices.
Journal: Journal of Property Research
Pages: 109-122
Issue: 2
Volume: 16
Year: 1999
Month: 1
X-DOI: 10.1080/095999199368175
File-URL: http://hdl.handle.net/10.1080/095999199368175
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Handle: RePEc:taf:jpropr:v:16:y:1999:i:2:p:109-122
Template-Type: ReDIF-Article 1.0
Author-Name: Raymond Y. C. Tse
Author-X-Name-First: Raymond Y. C.
Author-X-Name-Last: Tse
Author-Name: John Raftery
Author-X-Name-First: John
Author-X-Name-Last: Raftery
Title: Income elasticity of housing consumption in Hong Kong: a cointegration approach
Abstract:
Income elasticity of housing expenditure is of considerable interest
particularly to applied researchers in housing economics. However, there
is a wide variation in the estimation of income elasticity. Such a
variation is attributed to different specifications of estimation. This
paper applies techniques developed in the literature of cointegration
analysis to re-examine the income elasticity of housing consumption based
on a long-run equilibrium model fitted with time-series data. Tests for
unit roots are conducted to avoid spurious results in the estimation of
the model. The use of the timeseries data generates some attractive
properties. The results show that the short-run income elasticity is
generally less than unity and the adjustment parameter is about 0.8. These
results can be used to estimate the value of income elasticity of public
and private housing residents, and of owners and renters separately.
Journal: Journal of Property Research
Pages: 123-138
Issue: 2
Volume: 16
Year: 1999
Month: 1
X-DOI: 10.1080/095999199368184
File-URL: http://hdl.handle.net/10.1080/095999199368184
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Handle: RePEc:taf:jpropr:v:16:y:1999:i:2:p:123-138
Template-Type: ReDIF-Article 1.0
Author-Name: Chris Brooks
Author-X-Name-First: Chris
Author-X-Name-Last: Brooks
Author-Name: Sotiris Tsolacos
Author-X-Name-First: Sotiris
Author-X-Name-Last: Tsolacos
Title: The impact of economic and financial factors on UK property performance
Abstract:
This paper employs a vector autoregressive model to investigate the
impact of macroeconomic and financial variables on a UK real estate return
series. The results indicate that unexpected inflation, and the interest
rate term spread have explanatory powers for the property market. However,
the most significant influence on the real estate series are the lagged
values of the real estate series themselves. We conclude that identifying
the factors that have determined UK property returns over the past twelve
years remains a difficult task.
Journal: Journal of Property Research
Pages: 139-152
Issue: 2
Volume: 16
Year: 1999
Month: 1
X-DOI: 10.1080/095999199368193
File-URL: http://hdl.handle.net/10.1080/095999199368193
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Handle: RePEc:taf:jpropr:v:16:y:1999:i:2:p:139-152
Template-Type: ReDIF-Article 1.0
Author-Name: Timothy J. Dixon
Author-X-Name-First: Timothy J.
Author-X-Name-Last: Dixon
Author-Name: Neil Crosby
Author-X-Name-First: Neil
Author-X-Name-Last: Crosby
Author-Name: Victoria K. Law
Author-X-Name-First: Victoria K.
Author-X-Name-Last: Law
Title: A critical review of methodologies for measuring rental depreciation applied to UK commercial real estate
Abstract:
Real estate depreciation continues to be a critical issue for investors
and the appraisal profession in the UK in the 1990s.
Depreciation-sensitive cash flow models have been developed, but there is
a real need to develop further empirical methodologies to determine rental
depreciation rates for input into these models. Although building quality
has been found to be an important explanatory variable in depreciation it
is very difficult to incorporate it into such models or to analyse it
retrospectively. It is essential to examine previous depreciation research
from real estate and economics in the USA and UK to understand the issues
in constructing a valid and pragmatic way of calculating rental
depreciation. Distinguishing between 'depreciation' and 'obsolescence' is
important, and the pattern of depreciation in any study can be influenced
by such factors as the type (longitudinal or crosssectional) and timing of
the study, and the market state. Longitudinal studies can analyse change
more directly than cross-sectional studies. Any methodology for
calculating rental depreciation rate should be formulated in the context
of such issues as 'censored sample bias', 'lemons' and 'filtering', which
have been highlighted in key US literature from the field of economic
depreciation. Property depreciation studies in the UK have tended to
overlook this literature, however. Although data limitations and
constraints reduce the ability of empirical property depreciation work in
the UK to consider these issues fully, 'averaging' techniques and ordinary
least squares (OLS) regression can both provide a consistent way of
calculating rental depreciation rates within a 'cohort' framework.
Journal: Journal of Property Research
Pages: 153-180
Issue: 2
Volume: 16
Year: 1999
Month: 1
X-DOI: 10.1080/095999199368201
File-URL: http://hdl.handle.net/10.1080/095999199368201
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Handle: RePEc:taf:jpropr:v:16:y:1999:i:2:p:153-180
Template-Type: ReDIF-Article 1.0
Author-Name: Virginia A Gibson
Author-X-Name-First: Virginia A
Author-X-Name-Last: Gibson
Author-Name: Colin M Lizieri
Author-X-Name-First: Colin M
Author-X-Name-Last: Lizieri
Title: New business practices and the corporate property portfolio: how responsive is the UK property market?
Abstract:
It has been asserted that business reorganization and new working
practices are transforming the nature of demand for business space.
Downsizing, delayering, business process reengineering and associated
initiatives alter the amount, type and location of space required by
firms. It also has implications for the contractual arrangements. Drawing
from UK research, the paper demonstrates that, although new working
practices are widespread, their current impact on the corporate property
portfolio is muted. However, these changes have altered the way corporate
property managers think about their portfolios with a clearer view of the
divide between their core and peripheral property requirements. The
inflexibility in UK market structures are felt to constrain the supply of
a diversity of space required to meet the breadth of occupier
requirements. Nevertheless there is increasing evidence that change is
occurring which may have a profound impact on the market structure in the
longer term.
Journal: Journal of Property Research
Pages: 201-218
Issue: 3
Volume: 16
Year: 1999
Month: 1
X-DOI: 10.1080/095999199368111
File-URL: http://hdl.handle.net/10.1080/095999199368111
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Handle: RePEc:taf:jpropr:v:16:y:1999:i:3:p:201-218
Template-Type: ReDIF-Article 1.0
Author-Name: Simon Stevenson
Author-X-Name-First: Simon
Author-X-Name-Last: Stevenson
Title: Real estate's role in an international multi-asset portfolio: empirical evidence using Irish data
Abstract:
This paper re-examines the issue of property's role in a mixed asset
portfolio. Using Irish data it expands on the existing literature by
extending the universe of assets to include international equity and fixed
income markets. The results show that property maintains a reasonably high
allocation in a mixed asset portfolio. However, when the property returns
are adjusted for smoothing, the asset fails to enter any of the optimal
portfolios. Further tests are conducted examining the impact of imposing
constraints on the allocations. Minimum allocations are imposed on Irish
equities and bonds, whilst international assets have maximum allocations
put in place. The results show that property's role is increased, due to
the increased attractiveness of it's risk reduction qualities.
Journal: Journal of Property Research
Pages: 219-242
Issue: 3
Volume: 16
Year: 1999
Month: 1
X-DOI: 10.1080/095999199368120
File-URL: http://hdl.handle.net/10.1080/095999199368120
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Handle: RePEc:taf:jpropr:v:16:y:1999:i:3:p:219-242
Template-Type: ReDIF-Article 1.0
Author-Name: Paul Gallimore
Author-X-Name-First: Paul
Author-X-Name-Last: Gallimore
Author-Name: Michael RossJayne
Author-X-Name-First: Michael
Author-X-Name-Last: RossJayne
Title: Public and professional perceptions of HVOTL risks: the problem of circularity
Abstract:
Property valuers in the UK are cautioned to consider the possible impact
of public perception of the risk of living near high voltage overhead
power transmission lines (HVOTLs). Direct evidence of this impact should
be found in transaction prices of properties close to HVOTLs. These
transactions, however, will likely have been conditional upon valuation
advice that will have been formulated with the HVOTL-risk caution in mind.
There exists, therefore a potential for circularity, the likelihood of
which will increase if valuers perceive these risks differently to the
public. Evidence is presented to suggest that such a difference may well
exist. The implications of this finding for the specific problem and for a
wider understanding of the valuation process are both discussed.
Journal: Journal of Property Research
Pages: 243-255
Issue: 3
Volume: 16
Year: 1999
Month: 1
X-DOI: 10.1080/095999199368139
File-URL: http://hdl.handle.net/10.1080/095999199368139
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Handle: RePEc:taf:jpropr:v:16:y:1999:i:3:p:243-255
Template-Type: ReDIF-Article 1.0
Author-Name: Stephen Lee
Author-X-Name-First: Stephen
Author-X-Name-Last: Lee
Author-Name: Peter Byrne
Author-X-Name-First: Peter
Author-X-Name-Last: Byrne
Title: Some implications of the lack of a consensus view of UK property's future risk and return
Abstract:
Surveys of 'experts' have been undertaken to obtain forecasts of the
future risk and return relationship of Property with Equities and Bonds in
both the USA and the UK. The mean or median values of these forecasts have
been used in asset allocation models to justify Property's position in the
mixed asset portfolio. The use of these measures as consensus forecasts
has been adopted without determining the meaning of Consensus and whether
they can be taken as consensual. This paper uses Consensus testing
methodology on data from a survey of UK Property professionals to test
whether a Consensus exists in their forecasts of the future risk/return of
UK property. The results show that for a number of key variables there is
substantial disagreement. The implication is that, for individual funds
seeking to justify a place for Property in a mixed asset portfolio, it
must depend upon their views of the expected risk and return
characteristics of the asset classes that form their portfolio, rather
than any more general measures of central tendency. In this context the
Modern Portfolio approach enables stress testing of assumptions about the
level of holding that they wish for Property by developing scenarios given
the risk and return expectations of the assets. Results of using such
scenarios in this context are shown for the UK Consensus holding (15%).
Journal: Journal of Property Research
Pages: 257-270
Issue: 3
Volume: 16
Year: 1999
Month: 1
X-DOI: 10.1080/095999199368148
File-URL: http://hdl.handle.net/10.1080/095999199368148
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Handle: RePEc:taf:jpropr:v:16:y:1999:i:3:p:257-270
Template-Type: ReDIF-Article 1.0
Author-Name: Joseph T.L. Ooi
Author-X-Name-First: Joseph T.L.
Author-X-Name-Last: Ooi
Title: The debt maturity structure of UK property companies
Abstract:
This paper investigates the corporate debt maturity structure of property
companies quoted in the UK over the period 1989-95. The empirical results
show that there is scope for property firms to signal to the market their
true worth using their debt maturity decisions. In particular, the
evidence shows that property companies with potential good news employ
more short-term debt in their capital structure, which is consistent with
the signalling hypothesis. The study also reveals that firms which are
large, enjoy high returns, or are more focused on property trading employ
more long-term debt in their capital structure. The evidence is also
consistent with the conventional notion that property companies match
their debt maturity to the life of the assets. The matching practice,
however, is not done primarily on the basis of minimizing the agency costs
of long-term debt. The empirical results are also consistent with the
traditional notion that managers time their long-term debt issues based on
the prevailing real estate market condition and their expectation of
future interest rate movements. The evidence weakly suggests that property
companies defer their long-term debt issues when interest rates are
predicted to fall in the near future. Interest rate volatility, however,
do not appear to have any significant influence on the debt maturity
policy of property companies.
Journal: Journal of Property Research
Pages: 293-307
Issue: 4
Volume: 16
Year: 1999
Month: 1
X-DOI: 10.1080/095999199368058
File-URL: http://hdl.handle.net/10.1080/095999199368058
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Handle: RePEc:taf:jpropr:v:16:y:1999:i:4:p:293-307
Template-Type: ReDIF-Article 1.0
Author-Name: Eamonn D'Arcy
Author-X-Name-First: Eamonn
Author-X-Name-Last: D'Arcy
Author-Name: Tony McGough
Author-X-Name-First: Tony
Author-X-Name-Last: McGough
Author-Name: Sotiris Tsolacos
Author-X-Name-First: Sotiris
Author-X-Name-Last: Tsolacos
Title: An econometric analysis and forecasts of the office rental cycle in the Dublin area
Abstract:
This paper presents an econometric investigation of office rent
determination in Dublin, a small European market, over the twenty eight
year period 1970-1997. Using a single equation specification based on
demand and supply interactions, changes in real GDP lagged one period and
changes in the office stock lagged three periods were found to be the most
important determinants of changes in real rents in this market. When the
forecasting adequacy of the estimated model was tested and compared with
forecasts derived from commonly used alternative statistical
methodologies, the forecasts based on the estimated model outperformed the
alternatives.
Journal: Journal of Property Research
Pages: 309-321
Issue: 4
Volume: 16
Year: 1999
Month: 1
X-DOI: 10.1080/095999199368067
File-URL: http://hdl.handle.net/10.1080/095999199368067
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Handle: RePEc:taf:jpropr:v:16:y:1999:i:4:p:309-321
Template-Type: ReDIF-Article 1.0
Author-Name: K.C. Wong
Author-X-Name-First: K.C.
Author-X-Name-Last: Wong
Author-Name: K.W. Chau
Author-X-Name-First: K.W.
Author-X-Name-Last: Chau
Author-Name: S.M. Ma
Author-X-Name-First: S.M.
Author-X-Name-Last: Ma
Title: The disposal of the Hong Kong land stock under the Sino-British Joint Declaration
Abstract:
Land supply in Hong Kong was restricted to 50 hectares (ha) per annum
according to the Sino-British Joint Declaration in 1984. Such restriction
was in force until the handover of Hong Kong to China in June 1997. This
study examines the implications of such restriction on government land
sales policy over the period when the restriction was in place. Using
analytical tools for the depletion of an exhaustible natural resource, we
can estimate an 'optimal control path' for land disposal in Hong Kong.
This can then be compared to the 50 ha limit. Our analysis suggests that
the 50 ha limit is far below the optimum. This implies serious dissipation
of wealth, which is not in the interest of the Hong Kong government and
the central government of China. The implication is that the Hong Kong
government will try to minimize wealth dissipation by adjusting its land
sales policy. Given the 50 ha restriction, this can be achieved by (a)
selling land lots with higher development density and (b) negotiating with
the Sino-British Land Commission to relax the 50 ha limit from time to
time. Both implications are consistent with empirical observations. The
increase in the planned land supply when the 50 ha restrict was removed in
mid-1997 further confirms our analysis.
Journal: Journal of Property Research
Pages: 323-337
Issue: 4
Volume: 16
Year: 1999
Month: 1
X-DOI: 10.1080/095999199368076
File-URL: http://hdl.handle.net/10.1080/095999199368076
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:16:y:1999:i:4:p:323-337
Template-Type: ReDIF-Article 1.0
Author-Name: C.W. Bottom
Author-X-Name-First: C.W.
Author-X-Name-Last: Bottom
Author-Name: W.S. McGreal
Author-X-Name-First: W.S.
Author-X-Name-Last: McGreal
Author-Name: G. Heaney
Author-X-Name-First: G.
Author-X-Name-Last: Heaney
Title: Appraising the functional performance characteristics of office buildings
Abstract:
The problem of building obsolescence and its relationship with
depreciation within office investment portfolios is shown to relate to the
changing characteristics and requirements of tenant organizations
globally. Building appraisal techniques are introduced as powerful tools
used by management to analyse the characteristics of office properties and
identify potential problem areas that necessitate modernization. A
methodology used for research into the functional performance
characteristics of City of London office properties is illustrated as a
means of collecting information suitable for the development of decision
support models. Analysis of results from statistical and artificial
intelligence models shows that office building design quality
characteristics and tenant organization work practice typologies can be
used to explain functional performance as perceived by occupiers. The
paper establishes that user-based building performance data can be
modelled effectively and is applicable in a range of management activities
particularly those which attempt to counteract obsolescence and consequent
depreciation.
Journal: Journal of Property Research
Pages: 339-358
Issue: 4
Volume: 16
Year: 1999
Month: 1
X-DOI: 10.1080/095999199368085
File-URL: http://hdl.handle.net/10.1080/095999199368085
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:16:y:1999:i:4:p:339-358
Template-Type: ReDIF-Article 1.0
Author-Name: Peijie Wang
Author-X-Name-First: Peijie
Author-X-Name-Last: Wang
Title: Shock persistence in property and related markets
Abstract:
Persistence patterns are examined in univariate and multivariate cases,
in comparison with financial market investments and real world economic
activities. In addition, the effects of monetary and non- monetary shocks
on the property market are investigated. The method of the multivariate
persistence measurement is, in the meantime, extended and applied to the
empirical work.
Journal: Journal of Property Research
Pages: 1-21
Issue: 1
Volume: 17
Year: 2000
Month: 1
X-DOI: 10.1080/095999100367994
File-URL: http://hdl.handle.net/10.1080/095999100367994
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Handle: RePEc:taf:jpropr:v:17:y:2000:i:1:p:1-21
Template-Type: ReDIF-Article 1.0
Author-Name: Peter Byrne
Author-X-Name-First: Peter
Author-X-Name-Last: Byrne
Author-Name: Stephen Lee
Author-X-Name-First: Stephen
Author-X-Name-Last: Lee
Title: Risk reduction in the United Kingdom property market
Abstract:
This paper investigates the potential benefits and limitations of equal
and value-weighted diversification using as an example the UK
institutional property market. To achieve this it uses the largest sample
(392) of actual property returns that is currently available, over the
period 1981 to 1996. To evaluate these issues two approaches are adopted;
first, an analysis of the correlations within the sectors and regions and,
second, simulations of property portfolios of increasing size constructed
both naively and with value-weighting. Using these methods it is shown
that the extent of possible risk reduction is limited because of the high
positive correlations between assets in any portfolio, even when naively
diversified. The results have implications for the development and
maintenance of a property portfolio because they indicate that the
achievable level of risk reduction depends upon the availability of
assets, the weighting system used and the investor's risk tolerance.
Journal: Journal of Property Research
Pages: 23-46
Issue: 1
Volume: 17
Year: 2000
Month: 1
X-DOI: 10.1080/095999100368001
File-URL: http://hdl.handle.net/10.1080/095999100368001
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:17:y:2000:i:1:p:23-46
Template-Type: ReDIF-Article 1.0
Author-Name: Paul Gallimore
Author-X-Name-First: Paul
Author-X-Name-Last: Gallimore
Author-Name: Marvin Wolverton
Author-X-Name-First: Marvin
Author-X-Name-Last: Wolverton
Title: The objective in valuation: a study of the influence of client feedback
Abstract:
The objective in most property valuations is to estimate open market
value. The definition of this means that direct feedback to valuers on
their successful achievement of this objective is problematic (i.e. the
hypothetical sale that the valuation simulates remains hypothetical).
Valuers will therefore rely upon other signals of achievement. Client
feedback is the most obvious of these. In mortgage lending valuations this
feedback may cause valuers to reformulate the objective to that of
'validate pending sale price'. Such an association has been found to exist
with US appraisers. In the UK, however, modification of the valuation
objective in this way is found to be associated more strongly with the
extent to which valuers specialize upon the valuation task.
Journal: Journal of Property Research
Pages: 47-57
Issue: 1
Volume: 17
Year: 2000
Month: 1
X-DOI: 10.1080/095999100368010
File-URL: http://hdl.handle.net/10.1080/095999100368010
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:17:y:2000:i:1:p:47-57
Template-Type: ReDIF-Article 1.0
Author-Name: Lan Yuan Lim
Author-X-Name-First: Lan Yuan
Author-X-Name-Last: Lim
Author-Name: Sun Sheng Han
Author-X-Name-First: Sun Sheng
Author-X-Name-Last: Han
Title: Residential property management in China: a case study of Enjili, Beijing
Abstract:
China's economic reform has bred a rapidly expanding real estate sector,
in which residential property management is an indispensable part. This
article seeks to explore the administrative setup, enterprise structure,
management regulations and operational focus of residential property
management in China by using a case study (the Enjili Residential
District) in Beijing. Data were collected in three field reconnaissance
trips, during which interviews were conducted with government officials,
management staff and the residents. It is found that property management
in China is a new concept to both residents and management staff. The
establishment and operation of market-orientated management firms is a
significant progress from the traditional management approach under the
planned economy. Residential property management firms fit into the
existing administrative system by having a dual function to serve the
interests of both government and the independent firm. It remains
interesting to see how property management firms can work with government
offices to satisfy the needs of both parties.
Journal: Journal of Property Research
Pages: 59-73
Issue: 1
Volume: 17
Year: 2000
Month: 1
X-DOI: 10.1080/095999100368029
File-URL: http://hdl.handle.net/10.1080/095999100368029
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Handle: RePEc:taf:jpropr:v:17:y:2000:i:1:p:59-73
Template-Type: ReDIF-Article 1.0
Author-Name: M. Fletcher
Author-X-Name-First: M.
Author-X-Name-Last: Fletcher
Author-Name: P. Gallimore
Author-X-Name-First: P.
Author-X-Name-Last: Gallimore
Author-Name: J. Mangan
Author-X-Name-First: J.
Author-X-Name-Last: Mangan
Title: Heteroscedasticity in hedonic house price models
Abstract:
This paper extends the work of Goodman and Thibodeau which examines
heteroscedasticity in hedonic house price models. It investigates whether
heteroscedasticity is related to other factors as well as age, since
correcting for only one factor when several are involved can worsen the
estimates. A detailed specification is used for the hedonic modelling
since omitted variables can give the appearance of heteroscedasticity. The
paper uses data from over 1400 sales in Stoke-on-Trent in 1994 and finds
heteroscedasticity related to both age and the external area of the
property. It is shown that this was not due to outliers in the data. Use
of estimated generalized least squares is shown to remove the
heteroscedasticity. The estimates provided by this technique are shown to
give forecast errors that may have a smaller standard deviation than
ordinary least squares estimates.
Journal: Journal of Property Research
Pages: 93-108
Issue: 2
Volume: 17
Year: 2000
Month: 1
X-DOI: 10.1080/095999100367930
File-URL: http://hdl.handle.net/10.1080/095999100367930
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:17:y:2000:i:2:p:93-108
Template-Type: ReDIF-Article 1.0
Author-Name: Stanley McGreal
Author-X-Name-First: Stanley
Author-X-Name-Last: McGreal
Author-Name: Alastair Adair
Author-X-Name-First: Alastair
Author-X-Name-Last: Adair
Author-Name: Jim Berry
Author-X-Name-First: Jim
Author-X-Name-Last: Berry
Author-Name: Bill Deddis
Author-X-Name-First: Bill
Author-X-Name-Last: Deddis
Author-Name: Suzanne Hirst
Author-X-Name-First: Suzanne
Author-X-Name-Last: Hirst
Title: Accessing private sector finance in urban regeneration: investor and non-investor perspectives
Abstract:
This paper is concerned with the role of private sector finance in urban
regeneration. The theme is initially explored from a literature
perspective examining recent initiatives and current policy directions.
The central core of the analysis investigates investment behaviour and
draws upon results of two independent survey cohorts namely private sector
actors who invest in urban regeneration and those not investing. Motives
for holding property investment portfolios and decision-making criteria
are analysed and factors facilitating the flow of private sector finance
are assessed. It is shown that market factors are the primary influences
on decision making with regeneration initiatives of a secondary nature.
Although both cohorts identify similar factors as being important in the
decision-making process, the perception of the risk/return profile
associated with urban regeneration differs significantly. Institutional
investors are shown to have much higher entry criteria, with quality of
neighbouring environment a major factor deterring investment. In improving
the flow of private sector finance into urban regeneration, non-finance
based instruments emerge as key considerations.
Journal: Journal of Property Research
Pages: 109-131
Issue: 2
Volume: 17
Year: 2000
Month: 1
X-DOI: 10.1080/095999100367949
File-URL: http://hdl.handle.net/10.1080/095999100367949
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Handle: RePEc:taf:jpropr:v:17:y:2000:i:2:p:109-131
Template-Type: ReDIF-Article 1.0
Author-Name: Simon Stevenson
Author-X-Name-First: Simon
Author-X-Name-Last: Stevenson
Title: Contagion effects and intra industry information flows: the example of Olympia & York
Abstract:
This paper examines the impact of the collapse of Olympia & York on the
performance of 42 UK property securities. Different event study
methodologies are used to test for the presence of a contagion effect and
intra-industry information transfers. While significant results are not
obtained for all of the nine events examined, there is evidence in support
of information transfers for major events leading up to the bankruptcy of
Olympia & York. In addition, there is some evidence that the market
differentiates between property companies in terms of their focus and
specialist market in terms of the response in their share prices.
Journal: Journal of Property Research
Pages: 133-145
Issue: 2
Volume: 17
Year: 2000
Month: 1
X-DOI: 10.1080/095999100367958
File-URL: http://hdl.handle.net/10.1080/095999100367958
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Handle: RePEc:taf:jpropr:v:17:y:2000:i:2:p:133-145
Template-Type: ReDIF-Article 1.0
Author-Name: Chris Leishman
Author-X-Name-First: Chris
Author-X-Name-Last: Leishman
Author-Name: Colin Jones
Author-X-Name-First: Colin
Author-X-Name-Last: Jones
Author-Name: Will Fraser
Author-X-Name-First: Will
Author-X-Name-Last: Fraser
Title: The influence of uncertainty on house builder behaviour and residential land values
Abstract:
House builders are the interface between the land and housing markets,
determining present land values by forecasting future house prices and
construction costs. The literature establishes that land values are
derived from house prices and construction costs but that this
relationship may be altered by uncertainty, yet very little analysis has
been provided to establish this empirically. A model of house builder
behaviour is proposed and tested through detailed empirical analysis of a
sample of private house building projects. Methods of estimating the
development values and costs associated with individual sites are set out
and rates of achieved profit are estimated. Using simulation methods, the
paper demonstrates the effects of house builders' forecasting behaviour on
land values, and evidence is presented that house builders' behaviour in
the land and housing markets depresses the price of land. It is concluded
that house builders tend to forecast conservatively with the result that
land is undervalued.
Journal: Journal of Property Research
Pages: 147-168
Issue: 2
Volume: 17
Year: 2000
Month: 1
X-DOI: 10.1080/095999100367967
File-URL: http://hdl.handle.net/10.1080/095999100367967
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Handle: RePEc:taf:jpropr:v:17:y:2000:i:2:p:147-168
Template-Type: ReDIF-Article 1.0
Author-Name: Joseph T. L. Ooi
Author-X-Name-First: Joseph T. L.
Author-X-Name-Last: Ooi
Title: An empirical investigation on the incidence of secured debt
Abstract:
This paper examines the incidence of secured debt amongst UK property
companies. The empirical evidence shows that nearly three quarters of all
outstanding loans of the quoted property sector are issued on a secured
basis. Results of the tobit regressions appear to suggest that small and
risky property companies do not have much choice but to issue secured
debt. The evidence also shows that the incidence of secured debt is
positively related to the company's involvement in property trading and
development activities. The study further indicates that secured debt
plays an important role in reducing borrowing costs and expanding debt
capacity of property companies. The signalling role of secured debt is,
however, not substantiated.
Journal: Journal of Property Research
Pages: 185-201
Issue: 3
Volume: 17
Year: 2000
Month: 1
X-DOI: 10.1080/09599910050119976
File-URL: http://hdl.handle.net/10.1080/09599910050119976
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Handle: RePEc:taf:jpropr:v:17:y:2000:i:3:p:185-201
Template-Type: ReDIF-Article 1.0
Author-Name: Gregory J. Costello
Author-X-Name-First: Gregory J.
Author-X-Name-Last: Costello
Title: Pricing size effects in housing markets
Abstract:
This paper examines whether pricing size effects as observed in
securities markets exist in housing markets. A large transaction data set
for the city of Perth, Western Australia is used to construct market
aggregate and price quartile repeat-sales and hedonic indexes for the
period 1988--96. Methodologies for the identification of pricing size
effects are proposed and significant pricing size effects are observed.
Cheaper properties exhibit higher rates of real price change in the short
term but the lowest rates in the longer term. These results are consistent
for tests with index models and individual property price changes. These
results are shown to cause bias in transaction based indexes. A number of
potential areas for future research are proposed.
Journal: Journal of Property Research
Pages: 203-219
Issue: 3
Volume: 17
Year: 2000
Month: 1
X-DOI: 10.1080/09599910050119985
File-URL: http://hdl.handle.net/10.1080/09599910050119985
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Handle: RePEc:taf:jpropr:v:17:y:2000:i:3:p:203-219
Template-Type: ReDIF-Article 1.0
Author-Name: Megan Walters
Author-X-Name-First: Megan
Author-X-Name-Last: Walters
Author-Name: Paul Kent
Author-X-Name-First: Paul
Author-X-Name-Last: Kent
Title: Institutional economics and property strata title -- a survey and case study
Abstract:
Hong Kong uses a common law ownership system for property held in
multiple ownership. Many problems have arisen with the process of managing
high rise multiple ownership property resulting in dilapidated, unsafe
buildings. The Government is considering changing the ownership method to
a statutory system, such as a strata or condominium title system as a way
of resolving some of the management difficulties. Using an institutional
economic framework this paper considers whether changing the ownership
system will alter people's behaviour and reduce management problems. The
framework draws on theory developed from the problems of collective choice
action and the management of common pool resources. The paper concludes
that the existing common law system fails to take account of the innate
difficulty of rational self-interested individuals acting for their
collective good, without some central authority to provide management.
This would be provided in a statutory system such as a condominium or
strata title system.
Journal: Journal of Property Research
Pages: 221-240
Issue: 3
Volume: 17
Year: 2000
Month: 1
X-DOI: 10.1080/09599910050119994
File-URL: http://hdl.handle.net/10.1080/09599910050119994
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Handle: RePEc:taf:jpropr:v:17:y:2000:i:3:p:221-240
Template-Type: ReDIF-Article 1.0
Author-Name: Barrie Needham
Author-X-Name-First: Barrie
Author-X-Name-Last: Needham
Title: Land taxation, development charges, and the effects on land-use
Abstract:
If land taxation is to be used as an instrument of land-use planning,
then it is the intention that the taxation affect land use. If land is
taxed so as to raise income for the public purse, or if charges are levied
on development to help finance the associated external works, then it is
usually the intention that the tax has no, or only a small, effect on land
use. The size of these effects can be estimated if the price elasticities
of demand for, and supply of, land are known. This paper sets out the
theory necessary for making these estimations, and applies it to some
topical issues in the Netherlands. The estimated price elasticities are
low. As a result, it is predicted that the effects on land use of some
taxes which have been proposed (to reduce the use of land for house
building, and to stimulate the use of contaminated land and brownfield
sites) would be small.
Journal: Journal of Property Research
Pages: 241-257
Issue: 3
Volume: 17
Year: 2000
Month: 1
X-DOI: 10.1080/09599910050120000
File-URL: http://hdl.handle.net/10.1080/09599910050120000
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Handle: RePEc:taf:jpropr:v:17:y:2000:i:3:p:241-257
Template-Type: ReDIF-Article 1.0
Author-Name: CLAUDIO SOARES DE MAGALHÃES
Author-X-Name-First: CLAUDIO SOARES DE
Author-X-Name-Last: MAGALHÃES
Title: International property consultants and the transformation of local markets
Abstract:
The paper presents the findings of a case-study research on the role of
British property consultants in consolidating a transnational market for
property in Europe. It examines comparatively the incorporation of Madrid
and Milan into networks of transnational property investment and
development and seeks to clarify the relationship between the expansion
strategies of British firms and changes in property market structures in
both cities. The focus is on the dynamic of the relationship between the
consultancy firms and the different legal, institutional and cultural
contexts of those property markets. The paper looks at the implications of
that relationship for the firms and the markets, and at the role of the
firms' strategies in bringing about market structures, practices and
cultures compatible with the types of interest they mediate. The paper
suggests that the structures and dynamics of the two markets have set a
number of reasonably well-defined routes of entry for the consultancy
firms, shaped by the different response of the institutional, cultural,
economic environments of each city to similar pressures towards market
internationalization. These alternative possibilities of insertion into
the evolving relations of provision of commercial property have
conditioned how firms have developed in the markets and how they have
related to processes of market change.
Journal: Journal of Property Research
Pages: 99-121
Issue: 2
Volume: 18
Year: 2001
Month: 1
X-DOI: 10.1080/09599910110014156
File-URL: http://hdl.handle.net/10.1080/09599910110014156
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Handle: RePEc:taf:jpropr:v:18:y:2001:i:2:p:99-121
Template-Type: ReDIF-Article 1.0
Author-Name: Neil Crosby
Author-X-Name-First: Neil
Author-X-Name-Last: Crosby
Author-Name: Sandi Murdoch
Author-X-Name-First: Sandi
Author-X-Name-Last: Murdoch
Title: Basis of rental value for performance measurement systems
Abstract:
This paper examines the use of the UK Red Book definition of open market
rental value in the context of the provision of rental values for
performance measurement purposes; specifically the bases and
interpretations used in the construction of actual property-based
commercial rental value indices such as the Investment Property Databank
(IPD). Previous research has identified a number of possible
interpretations of rental value based upon effective or headline rents,
rents obtained upon new letting or provable at rent review and rents
reflecting assumed or actual lease terms; it is this work that provides a
basis for a questionnaire survey undertaken for this paper. The survey is
of owners, managers and valuers/appraisers and is designed to identify the
basis of rental value reported to IPD. Although IPD request that all
valuations are based upon the Red Book definitions, the survey reveals
that this is being ignored. There is significant inconsistency with owners
and appraisers reporting a mixed bag of effective new letting rents,
headline rents on new lettings and provable rents at review. The rental
value index is therefore being formed from inconsistent data with no one
basis appearing to dominate. Solutions to the problem include the
provision of a more consistent set of data to IPD; but this has major cost
implications since it would often require the supply of two rental
valuations for the majority of properties in the database. Accordingly,
the preferred solution would be the identification of the particular
interpretation used in the data provided; this would allow the development
of a variety of rental value indices which would increase significantly
the ability of analysts to examine the impact of different rental values
on property performance.
Journal: Journal of Property Research
Pages: 123-139
Issue: 2
Volume: 18
Year: 2001
Month: 1
X-DOI: 10.1080/09599910110039888
File-URL: http://hdl.handle.net/10.1080/09599910110039888
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Handle: RePEc:taf:jpropr:v:18:y:2001:i:2:p:123-139
Template-Type: ReDIF-Article 1.0
Author-Name: Julian Diaz
Author-X-Name-First: Julian
Author-X-Name-Last: Diaz
Author-Name: J. Andrew Hansz
Author-X-Name-First: J. Andrew
Author-X-Name-Last: Hansz
Title: The use of reference points in valuation judgment
Abstract:
Experiments reported in this paper clarify and extend results of previous
research into the impact of reference points on valuation judgment. The
value judgments of expert commercial appraisers from the USA who were not
familiar with the geographical setting of the subject property were
influenced by a variety of reference points. In order of significance of
impact, these influential reference points were: the uncompleted contract
price of a comparable property; the uncompleted contract price of the
subject property; and the value opinions of other experts. This hierarchy
of impact is consistent with both the degree to which each reference point
is sanctioned by normative US training and the degree to which each
reference point is generally available to US experts. Comparison with
previous research suggests that market uncertainty as reflected by
geographical unfamiliarity has a role in triggering reference point
anchoring.
Journal: Journal of Property Research
Pages: 141-148
Issue: 2
Volume: 18
Year: 2001
Month: 1
X-DOI: 10.1080/09599910110039897
File-URL: http://hdl.handle.net/10.1080/09599910110039897
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Handle: RePEc:taf:jpropr:v:18:y:2001:i:2:p:141-148
Template-Type: ReDIF-Article 1.0
Author-Name: Francois Des Rosiers
Author-X-Name-First: Francois Des
Author-X-Name-Last: Rosiers
Author-Name: Antonio Lagana
Author-X-Name-First: Antonio
Author-X-Name-Last: Lagana
Author-Name: Marius Theriault
Author-X-Name-First: Marius
Author-X-Name-Last: Theriault
Title: Size and proximity effects of primary schools on surrounding house values
Abstract:
This paper deals with measuring the effect of both size and proximity of
primary schools on surrounding residential values, using hedonics for that
purpose. The data bank consists of a subset of some 4300 single-detached,
owner-occupied housing units transacted all over the Quebec Urban
Community territory between January 1990 and December 1991. Several
functional forms are tested and up to 42 descriptors are used. Some 116
primary schools are considered in the analysis, with size ranging from 52
to 840 students. Findings tend to confirm the non-monotonicity of both the
price--distance and price--size relationships with respect to primary
schools. In that respect, performing a gamma transformation on either size
and distance variables provides consistent estimates of critical school
size and optimal distance to nearest school. The value-minimizing size is
in the 300--450 pupil range while the optimal, or value-maximizing,
distance is between 300 and 500 metres from the nearest school, that is,
roughly, a 9--15-minute walk from home.
Journal: Journal of Property Research
Pages: 149-168
Issue: 2
Volume: 18
Year: 2001
Month: 1
X-DOI: 10.1080/09599910110039905
File-URL: http://hdl.handle.net/10.1080/09599910110039905
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Handle: RePEc:taf:jpropr:v:18:y:2001:i:2:p:149-168
Template-Type: ReDIF-Article 1.0
Author-Name: John McCarthy
Author-X-Name-First: John
Author-X-Name-Last: McCarthy
Title: Book Reviews
Journal: Journal of Property Research
Pages: 169-178
Issue: 2
Volume: 18
Year: 2001
Month: 1
X-DOI: 10.1080/09599910110015218
File-URL: http://hdl.handle.net/10.1080/09599910110015218
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:18:y:2001:i:2:p:169-178
Template-Type: ReDIF-Article 1.0
Author-Name: Alastair Adair
Author-X-Name-First: Alastair
Author-X-Name-Last: Adair
Title: Market Review
Journal: Journal of Property Research
Pages: 179-186
Issue: 2
Volume: 18
Year: 2001
Month: 1
X-DOI: 10.1080/09599910110041164
File-URL: http://hdl.handle.net/10.1080/09599910110041164
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Handle: RePEc:taf:jpropr:v:18:y:2001:i:2:p:179-186
Template-Type: ReDIF-Article 1.0
Author-Name: R.M. Ball
Author-X-Name-First: R.M.
Author-X-Name-Last: Ball
Title: Re use potential and vacant industrial premises: revisiting the regeneration issue in Stoke-on-Trent
Abstract:
Recent policy pronouncements on the UK built environment have reinforced
the importance of infrastructure, sustainable use, and brownfield
development. This paper focuses on an important aspect of this area - the
issue of vacant industrial premises - brown buildings - in the local
industrial property market. Using unique datasets produced as part of an
EPSRC funded project in the Sustainable Cities Programme, the analysis
charts and explores the problem in the Stoke-on-Trent area. The contention
is that future policy thinking must draw on documented local experiences.
The particular emphasis is on the potentials of such buildings, and the
processes and participants in re-use and refurbishment. A framework for
the analysis of the re-use process is developed and this is evaluated in
terms of the reoccupation and re-use characteristics revealed in the
Stoke-on-Trent research.
Journal: Journal of Property Research
Pages: 93-110
Issue: 2
Volume: 19
Year: 2002
Month: 1
X-DOI: 10.1080/09599910210125223
File-URL: http://hdl.handle.net/10.1080/09599910210125223
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Handle: RePEc:taf:jpropr:v:19:y:2002:i:2:p:93-110
Template-Type: ReDIF-Article 1.0
Author-Name: Paul Gallimore
Author-X-Name-First: Paul
Author-X-Name-Last: Gallimore
Author-Name: Adelaide Gray
Author-X-Name-First: Adelaide
Author-X-Name-Last: Gray
Title: The role of investor sentiment in property investment decisions
Abstract:
Property decision-making is typically characterized as a structured
rational process, using factual data and leading to optimal
decision-making. To augment, or substitute for deficiencies in, such data,
property investors may turn to perceptions of investor or market
sentiment. Reliance on sentiment in the wider financial markets is,
however, regarded as suboptimal behaviour that leads to mispricing.
Discussion of these contrasting views of sentiment is coupled with the
results from a survey of property investment decision-makers. These
results indicate that investor sentiment is an important factor in
property decision-making, despite its neglect in formal explanations of
property market functioning. The conception of investor sentiment held by
survey respondents is explored and confirmed as different to the concept
applied in the wider financial markets.
Journal: Journal of Property Research
Pages: 111-120
Issue: 2
Volume: 19
Year: 2002
Month: 1
X-DOI: 10.1080/09599910110110671
File-URL: http://hdl.handle.net/10.1080/09599910110110671
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Handle: RePEc:taf:jpropr:v:19:y:2002:i:2:p:111-120
Template-Type: ReDIF-Article 1.0
Author-Name: Sau Kim Lum
Author-X-Name-First: Sau Kim
Author-X-Name-Last: Lum
Title: Market fundamentals, public policy and private gain: house price dynamics in Singapore
Abstract:
This paper presents new evidence on the impact of market fundamentals and
public policy variables on house price behaviour in the Singapore private
housing market. It develops a structural model of house price
determination that focuses on government policies in two areas:
deregulatory regime shifts in the public housing market and a land supply
programme aimed at dampening house price inflation by releasing state land
for private residential development. Using data from 1975 to 1995, the
empirical strategy applies the Johansen cointegration approach for
estimating a reduced form error correction model of long-run price
determination and short-run dynamics. While demand and supply fundamentals
are important determinants of long-run equilibrium house prices, short-run
dynamics are significantly affected by policy changes in the public
housing market and by the release of state land. Private house prices
adjust slowly and shocks can have long-lasting disequilibrating effects. A
key implication of the results is the importance of explicitly recognizing
the linkages between a state-controlled public housing sector and a
market-driven private housing market in the design and implementation of
government policies with respect to land and housing.
Journal: Journal of Property Research
Pages: 121-143
Issue: 2
Volume: 19
Year: 2002
Month: 1
X-DOI: 10.1080/09599910210125232
File-URL: http://hdl.handle.net/10.1080/09599910210125232
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Handle: RePEc:taf:jpropr:v:19:y:2002:i:2:p:121-143
Template-Type: ReDIF-Article 1.0
Author-Name: Svante Mandell
Author-X-Name-First: Svante
Author-X-Name-Last: Mandell
Title: Lessor and lessee perspectives on ground lease pricing
Abstract:
This paper is concerned with how to calculate fair ground rents in
perpetual ground lease arrangements and under what circumstances ground
leases are motivated. These problems have been debated for some time. In
general, two different kinds of models have emerged in real estate
economic literature. Both are reviewed in the paper. One difference
between them is the interpretation of the term 'fair'. In this paper, a
view of 'fair' ground rents stemming from the Pareto criterion is
introduced. It is argued that, under this view, both kinds of models must
be used simultaneously. Hence, the two models are modified and combined
into a so-called combined model. Using this, it is argued that
risk-sharing and asymmetric information about future value growth are two
important motivations for ground leases. The latter is of certain
interest, since it can result in an adverse selection problem followed by
a thin market.
Journal: Journal of Property Research
Pages: 145-157
Issue: 2
Volume: 19
Year: 2002
Month: 1
X-DOI: 10.1080/09599910210125241
File-URL: http://hdl.handle.net/10.1080/09599910210125241
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Handle: RePEc:taf:jpropr:v:19:y:2002:i:2:p:145-157
Template-Type: ReDIF-Article 1.0
Author-Name: Neil Dunse
Author-X-Name-First: Neil
Author-X-Name-Last: Dunse
Author-Name: Colin Jones
Author-X-Name-First: Colin
Author-X-Name-Last: Jones
Title: The existence of office submarkets in cities
Abstract:
Analysis of local office markets to date has normally assumed a unitary
market which implies that the prices of office attributes remain spatially
constant across the entire market. This paper challenges that basic
presumption, and its objective is to test for the existence of office
market segmentation. It draws on the housing literature on submarkets, and
discusses the potential reasons for their occurrence in the office market.
An empirical study to test for submarkets is undertaken for Glasgow city
centre as a typical UK provincial city. Submarkets are defined and tested
using both a priori and statistical methods. The empirical analysis
applies established statistical tests, based on hedonic regression models
derived from housing research, to rental and characteristics data for
individual offices let over two years. It is concluded from this study
that the Glasgow office market consists of a set of submarkets. A priori
submarket definitions based upon real estate agents' views of the office
market provide the best segmentation scheme. It seems likely that similar
submarkets exist within other major cities. This analysis also provides a
potential method for defining property submarket areas, thereby enabling
more meaningful local property market analysis to be undertaken.
Journal: Journal of Property Research
Pages: 159-182
Issue: 2
Volume: 19
Year: 2002
Month: 1
X-DOI: 10.1080/09599910210125214
File-URL: http://hdl.handle.net/10.1080/09599910210125214
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Handle: RePEc:taf:jpropr:v:19:y:2002:i:2:p:159-182
Template-Type: ReDIF-Article 1.0
Author-Name: Alastair Adair
Author-X-Name-First: Alastair
Author-X-Name-Last: Adair
Title: Market Reviews
Journal: Journal of Property Research
Pages: 183-189
Issue: 2
Volume: 19
Year: 2002
Month: 1
X-DOI: 10.1080/09599910210149885
File-URL: http://hdl.handle.net/10.1080/09599910210149885
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Handle: RePEc:taf:jpropr:v:19:y:2002:i:2:p:183-189
Template-Type: ReDIF-Article 1.0
Author-Name: PATRICK WILSON
Author-X-Name-First: PATRICK
Author-X-Name-Last: WILSON
Author-Name: RALF ZURBRUEGG
Author-X-Name-First: RALF
Author-X-Name-Last: ZURBRUEGG
Title: Common trends and spectral response: a case study on the US
Abstract:
This paper sets out to consider whether changes in economic fundamentals
in the United States can impact on international real estate markets. To
this end a two-step approach is pursued. In the first step cointegration
techniques are used to determine whether common trends exist in
international property markets. Once common trends are identified amongst
securitized property markets, a potential common driver is isolated by
substituting US Gross Domestic Product for US property. The paper then
uses a spectral response technique to examine the impulse response between
shocks in the US economy and reactions in foreign real estate markets. The
results support a linkage between the economic growth of an important
member of the international economic community and international real
estate performance.
Journal: Journal of Property Research
Pages: 1-22
Issue: 1
Volume: 20
Year: 2003
Month: 1
X-DOI: 10.1080/0959991032000051971
File-URL: http://hdl.handle.net/10.1080/0959991032000051971
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Handle: RePEc:taf:jpropr:v:20:y:2003:i:1:p:1-22
Template-Type: ReDIF-Article 1.0
Author-Name: BRYAN MACGREGOR
Author-X-Name-First: BRYAN
Author-X-Name-Last: MACGREGOR
Author-Name: GREGORY SCHWANN
Author-X-Name-First: GREGORY
Author-X-Name-Last: SCHWANN
Title: Common features in UK commercial real estate returns
Abstract:
This paper examines the degree of short run co-movement in UK commercial
real estate returns. The hypothesis is that a large fraction of the
fluctuations may result from a small number of core disturbances that are
transmitted from one region to another and from one property type to
another. It adopts an approach from the business cycles literature which
uses common features, and their complement, common cycles. The empirical
modelling follows the work by Tiao and Tsay (1985), Engle and Kozicki
(1993), Vahid and Engle (1993, 1994) and Engle and Issler (1995).
Thirty-nine regional rates of return series are used, covering retail,
office and industrial real estate for the economic planning regions of the
UK. For the series that exhibit serial correlation, bivariate and
multivariate common feature/common cycle tests are performed and reduced
dimensional VAR models are estimated. The results suggest a single common
cycle for the retail and industrial markets and three common cycles in the
office market. The existence of common features is important in the study
of commercial returns as, when common features exist, uncovering these
enhances understanding of the returns generating process. Moreover, this
assists in understanding the scope for diversification within real estate
portfolios. The results offer important insights into the links between
regional real estate markets, not least because they are consistent with
previous studies using very different approaches.
Journal: Journal of Property Research
Pages: 23-48
Issue: 1
Volume: 20
Year: 2003
Month: 1
X-DOI: 10.1080/09599910210155518
File-URL: http://hdl.handle.net/10.1080/09599910210155518
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:20:y:2003:i:1:p:23-48
Template-Type: ReDIF-Article 1.0
Author-Name: ALAN GOODACRE
Author-X-Name-First: ALAN
Author-X-Name-Last: GOODACRE
Title: Assessing the potential impact of lease accounting reform: a review of the empirical evidence*
Abstract:
Accounting standard-setters have proposed that the right to use assets
(including land and buildings) acquired under operating lease contracts
should be recognized on the balance sheet of lessee companies. In recent
years, several empirical research studies have investigated the potential
impact of the proposed changes in accounting for leases. The current paper
reviews this work and presents some new evidence, for a property audience.
It summarizes evidence that operating leases represent a major source of
finance for many companies generally, and more specifically for companies
in the retail sector. Recognition of operating leases on the lessee's
balance sheet would have a significant impact on performance measures,
especially gearing. If markets are informationally "efficient' such
changes should have little impact. However, research evidence on
efficiency with respect to lease accounting information is mixed. What's
more, company managers do not believe that the market is efficient so are
likely to behave as if the markets are "inefficient'. Possible reactions
include reduced use of leasing, shorter lease contract terms, more break
clauses, or increased use of contingent rental agreements. It seems likely
that lessors will be under pressure to bear greater risks.
Journal: Journal of Property Research
Pages: 49-66
Issue: 1
Volume: 20
Year: 2003
Month: 1
X-DOI: 10.1080/0959991032000051962
File-URL: http://hdl.handle.net/10.1080/0959991032000051962
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Handle: RePEc:taf:jpropr:v:20:y:2003:i:1:p:49-66
Template-Type: ReDIF-Article 1.0
Author-Name: ADARKWAH ANTWI
Author-X-Name-First: ADARKWAH
Author-X-Name-Last: ANTWI
Author-Name: JOHN ADAMS
Author-X-Name-First: JOHN
Author-X-Name-Last: ADAMS
Title: Economic rationality and informal urban land transactions in Accra, Ghana
Abstract:
It has been argued for some time that the apparently haphazard
development of neighbourhoods in Sub-Saharan African (SSA) cities is
largely related to the plethora of informal land transactions, which
typify many house and land buying purchasing decisions. The authors of
this paper question this assertion and develop an alternative view of such
purchasing decisions based upon the economics of property rights and the
theory of bureaucracy. Using original data from Accra a number of models
are developed to examine the implicit argument that urban transactions are
typified by nonrational economic behaviour. It is concluded that the
evidence points in exactly the opposite direction - that most (if not all)
such transactions can be characterized in terms of fully rational economic
behaviour and that the latter efficiently and effectively circumvents the
bureaucracy, which exists to administer such transactions. It is also
concluded that major reforms of the Land Administration system are
required in order to enable market forces to more effectively operate
whilst the regulatory regime itself needs to be adjusted in order to
eliminate market failures which it itself has managed to create.
Journal: Journal of Property Research
Pages: 67-90
Issue: 1
Volume: 20
Year: 2003
Month: 1
X-DOI: 10.1080/09599910210159398
File-URL: http://hdl.handle.net/10.1080/09599910210159398
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:20:y:2003:i:1:p:67-90
Template-Type: ReDIF-Article 1.0
Author-Name: ALASTAIR ADAIR
Author-X-Name-First: ALASTAIR
Author-X-Name-Last: ADAIR
Author-Name: NEIL CROSBY
Author-X-Name-First: NEIL
Author-X-Name-Last: CROSBY
Author-Name: LAY CHEN LIM
Author-X-Name-First: LAY CHEN
Author-X-Name-Last: LIM
Title: The contribution of the RICS Cutting Edge Conference to commercial real estate research
Abstract:
This paper examines the contribution of the RICS Cutting Edge Conference
to commercial real estate research. In the 1990s the Cutting Edge
developed as the principal forum for disseminating the findings of
commercial property research. In this paper it is argued that a review of
the conference proceedings provides a broad overview of research activity.
Indeed as not all contributions are published this review is more
inclusive than any examination of published output might be and, as such,
the conference contributions provide a useful map of the research terrain.
The empirical part of the paper is developed in two strands. First,
analysis of contributors shows that the conference has been inclusive. It
has attracted submissions from researchers from academia and practice,
from the UK and overseas and across disciplinary specialisms. Second, the
papers presented are shown to make an important contribution to the two
main European academic outlets for commercial property research. This
analysis is complemented by an examination of the contents of papers that
demonstrates the changing thematic priorities within the research
community. Further in depth analysis illustrates the way that the
valuation specialism has developed over time at the conference.
Journal: Journal of Property Research
Pages: 91-115
Issue: 1
Volume: 20
Year: 2003
Month: 1
X-DOI: 10.1080/0959991032000051980
File-URL: http://hdl.handle.net/10.1080/0959991032000051980
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:20:y:2003:i:1:p:91-115
Template-Type: ReDIF-Article 1.0
Author-Name: Kim Hiang Liow
Author-X-Name-First: Kim Hiang
Author-X-Name-Last: Liow
Author-Name: Joseph Ooi
Author-X-Name-First: Joseph
Author-X-Name-Last: Ooi
Author-Name: Loke Kiat Wang
Author-X-Name-First: Loke Kiat
Author-X-Name-Last: Wang
Title: Interest rate sensitivity and risk premium of property stocks
Abstract:
This study examines the relationship between interest rate risk and
returns of traded property stocks from an asset pricing perspective. Three
exogenous factors are included in the APT model, in particular unexpected
long-term interest rate fluctuation, unexpected market returns and
unexpected industry returns. Using the weekly returns of 18 property
stocks listed in Singapore between 1992 and 2001, an Iterated Non-linear
Seeming Unrelated Regression (ITNLSUR) technique was employed to
simultaneously estimate the sensitivities of these factors and how they
are priced. Consistent with existing empirical evidence, the regression
results show that the interest rate risk of property stocks is systematic
and is priced in the APT framework. The study also reveals that the
pricing of the interest rate risk is sensitive to the prevailing market
conditions.
Journal: Journal of Property Research
Pages: 117-132
Issue: 2
Volume: 20
Year: 2003
Month: 1
X-DOI: 10.1080/0959991032000109508
File-URL: http://hdl.handle.net/10.1080/0959991032000109508
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Handle: RePEc:taf:jpropr:v:20:y:2003:i:2:p:117-132
Template-Type: ReDIF-Article 1.0
Author-Name: Chris Brooks
Author-X-Name-First: Chris
Author-X-Name-Last: Brooks
Author-Name: Sotiris Tsolacos
Author-X-Name-First: Sotiris
Author-X-Name-Last: Tsolacos
Title: International evidence on the predictability of returns to securitized real estate assets: econometric models versus neural networks
Abstract:
The performance of various statistical models and commonly used financial
indicators for forecasting securitised real estate returns are examined
for five European countries: the UK, Belgium, the Netherlands, France and
Italy. Within a VAR framework, it is demonstrated that the gilt-equity
yield ratio is in most cases a better predictor of securitized returns
than the term structure or the dividend yield. In particular, investors
should consider in their real estate return models the predictability of
the gilt-equity yield ratio in Belgium, the Netherlands and France, and
the term structure of interest rates in France. Predictions obtained from
the VAR and univariate time-series models are compared with the
predictions of an artificial neural network model. It is found that,
whilst no single model is universally superior across all series, accuracy
measures and horizons considered, the neural network model is generally
able to offer the most accurate predictions for 1-month horizons. For
quarterly and half-yearly forecasts, the random walk with a drift is the
most successful for the UK, Belgian and Dutch returns and the neural
network for French and Italian returns. Although this study underscores
market context and forecast horizon as parameters relevant to the choice
of the forecast model, it strongly indicates that analysts should exploit
the potential of neural networks and assess more fully their forecast
performance against more traditional models.
Journal: Journal of Property Research
Pages: 133-155
Issue: 2
Volume: 20
Year: 2003
Month: 1
X-DOI: 10.1080/0959991032000109517
File-URL: http://hdl.handle.net/10.1080/0959991032000109517
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Handle: RePEc:taf:jpropr:v:20:y:2003:i:2:p:133-155
Template-Type: ReDIF-Article 1.0
Author-Name: Svante Mandell
Author-X-Name-First: Svante
Author-X-Name-Last: Mandell
Title: Local property taxes and moral hazard
Abstract:
A double moral hazard approach is used to address efficiency issues
associated with local property taxes. It is shown that a local property
tax will not lead to an efficient solution. However, despite its
inefficiencies it is shown to be in both the local government's and in the
property owners' interests to implement such a tax. The underlying reason
is that the tax will provide the local government with incentives to take
actions that are beneficial for the property owners. Furthermore, the
question of risk aversion and its impact on a local property tax is
discussed. This is argued to be dependent on what sources of risk exist.
Two risk-sources are addressed in the paper. The first stems from
uncertainty between actions and resulting revenues, the second from
uncertainty in approximating the actual revenues. Both affect the results
from the model but in opposite directions and hence the net effect of risk
aversion is ambiguous.
Journal: Journal of Property Research
Pages: 157-172
Issue: 2
Volume: 20
Year: 2003
Month: 1
X-DOI: 10.1080/0959991032000109526
File-URL: http://hdl.handle.net/10.1080/0959991032000109526
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:20:y:2003:i:2:p:157-172
Template-Type: ReDIF-Article 1.0
Author-Name: Michael Ball
Author-X-Name-First: Michael
Author-X-Name-Last: Ball
Title: Is there an office replacement cycle?
Abstract:
Whether office replacement cycles are likely to emerge in the future
given the bunched nature of office building arising from past building
booms is examined. This issue is important because replacement could be a
significant supply-side cause of the well- observed office building cycle.
Furthermore, the literature on equipment investment has recognized the
possibility of cyclical replacement behaviour. Built structures, however,
have some distinction characteristics, especially longevity, that might
negate the causal processes suggested for equipment. Three approaches are
adopted. The first is to see whether time series data on holdings of UK
office buildings by investors provide any evidence of a cyclical decline
in building ages. It was found that, although declines are marked over
time, they showed little evidence of a systematic cyclical pattern in
relation to age. The second approach provides estimates of the outstanding
UK stock of commercial buildings over time, using the perpetual inventory
capital stock estimation method. This analysis shows that the scale of new
building over recent cycles has been far greater than any apparent need
for replacement buildings - so that, at best, replacement cycles can only
be of second-order influence on the pattern of observed cycles. Thirdly, a
series of theoretical arguments are put forward to suggest that
redevelopment of a particular age cohort of buildings is, in any case,
likely to be spread over a long period of time.
Journal: Journal of Property Research
Pages: 173-189
Issue: 2
Volume: 20
Year: 2003
Month: 1
X-DOI: 10.1080/0959991032000109535
File-URL: http://hdl.handle.net/10.1080/0959991032000109535
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Handle: RePEc:taf:jpropr:v:20:y:2003:i:2:p:173-189
Template-Type: ReDIF-Article 1.0
Author-Name: Peter Byrne
Author-X-Name-First: Peter
Author-X-Name-Last: Byrne
Author-Name: Stephen Lee
Author-X-Name-First: Stephen
Author-X-Name-Last: Lee
Title: An exploration of the relationship between size, diversification and risk in UK real estate portfolios: 1989-1999
Abstract:
Real estate portfolio diversification takes many forms, most of which can
be associated with size (value). Larger portfolios are assumed to have
greater diversification potential than small portfolios. In addition,
since greater diversification is generally associated with lower risk it
is assumed that larger portfolios will also have reduced return
variability compared to smaller portfolios. If large real estate
portfolios can simply be regarded as scaled-up, better-diversified,
versions of small real estate portfolios, then the greater a portfolio's
size, the lower the risk. This suggests a negative relationship between
size and risk. If however large real estate portfolios are not just
scaled-up versions of small portfolios, these relationships may not hold.
This paper explores the empirical relationship between real estate
portfolio size, diversification and risk using the returns from 136 UK
real estate portfolios over the period 1989 to 1999. Using a conceptually
sound measure of overall portfolio diversification (R²) it is shown
that a significantly positive correlation between size and diversification
does not necessarily translate into the expected negative correlation
between size and risk. The analysis shows that increasing portfolio size
may lead to a larger reduction in specific risk than previous studies have
identified, with the proviso that this increase is not accompanied by
other risk- enhancing activities. In the context of portfolio management
this leads to a view that performance evaluation and benchmarking should
seek to control for the style and specialisation of the fund (managers)
because it seems clear that systematic risk does vary to an appreciable
extent because of these features.
Journal: Journal of Property Research
Pages: 191-206
Issue: 2
Volume: 20
Year: 2003
Month: 1
X-DOI: 10.1080/0959991032000112289
File-URL: http://hdl.handle.net/10.1080/0959991032000112289
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Handle: RePEc:taf:jpropr:v:20:y:2003:i:2:p:191-206
Template-Type: ReDIF-Article 1.0
Author-Name: Stephen Lee
Author-X-Name-First: Stephen
Author-X-Name-Last: Lee
Author-Name: Simon Stevenson
Author-X-Name-First: Simon
Author-X-Name-Last: Stevenson
Title: Empirical evidence on the micro and macro forecasting ability of real estate funds
Abstract:
The performance of a sample of real estate funds over the period
1989-2001 is analysed in order to assess the fund manager's selection and
timing ability. In addition to conventional performance measures a number
of alternative techniques are also used in order to overcome potential
biases present in CAPM based models. The results reveal that on average
the funds display poor asset selection ability, while the timing results
are to some degree dependent on the model used. Specification tests reveal
little evidence of misspecification in the models tested.
Journal: Journal of Property Research
Pages: 207-234
Issue: 3
Volume: 20
Year: 2003
Month: 1
X-DOI: 10.1080/0959991032000162356
File-URL: http://hdl.handle.net/10.1080/0959991032000162356
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:20:y:2003:i:3:p:207-234
Template-Type: ReDIF-Article 1.0
Author-Name: Simon Stevenson
Author-X-Name-First: Simon
Author-X-Name-Last: Stevenson
Author-Name: Oliver McGarth
Author-X-Name-First: Oliver
Author-X-Name-Last: McGarth
Title: A comparison of alternative rental forecasting models: empirical tests on the London office market
Abstract:
The study examines four alternative rental forecasting models in the
context of the London office market. The forecasting ability of an ARIMA
model, a Bayesian Vector Autoregression approach, an OLS based single
equation model and a simultaneous equation model are compared and
contrasted. The models are estimated using the CB Hillier Parker London
Office index over the period 1977- 1996, with out-of-sample testing
undertaken on the following three years of data. Diagnostic testing is
also conducted on the alternative models. The findings reveal that the
Bayesian VAR model produces the best forecasts, while the ARIMA model
fails to pick up on the large uptake in rental values during the testing
period.
Journal: Journal of Property Research
Pages: 235-260
Issue: 3
Volume: 20
Year: 2003
Month: 1
X-DOI: 10.1080/0959991032000162338
File-URL: http://hdl.handle.net/10.1080/0959991032000162338
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Handle: RePEc:taf:jpropr:v:20:y:2003:i:3:p:235-260
Template-Type: ReDIF-Article 1.0
Author-Name: Pat McAllister
Author-X-Name-First: Pat
Author-X-Name-Last: McAllister
Author-Name: Andrew Baum
Author-X-Name-First: Andrew
Author-X-Name-Last: Baum
Author-Name: Neil Crosby
Author-X-Name-First: Neil
Author-X-Name-Last: Crosby
Author-Name: Paul Gallimore
Author-X-Name-First: Paul
Author-X-Name-Last: Gallimore
Author-Name: Adelaide Gray
Author-X-Name-First: Adelaide
Author-X-Name-Last: Gray
Title: Appraiser behaviour and appraisal smoothing: some qualitative and quantitative evidence
Abstract:
There is a substantial literature which suggests that appraisals are
smoothed and lag the true level of prices. This study combines a
qualitative interview survey of the leading fund manager/owners in the UK
and their appraisers with a empirical study of the number of appraisals
which change each month within the IPD Monthly Index. The paper
concentrates on how the appraisal process operates for commercial property
performance measurement purposes. The survey interviews suggest that
periodic appraisal services are consolidating in fewer firms and, within
these major firms, appraisers adopt different approaches to changing
appraisals on a period by period basis, with some wanting hard transaction
evidence while others act on "softer' signals. The survey also indicates a
seasonal effect with greater effort and information being applied to
annual and quarterly appraisals than monthly. The analysis of the
appraisals within the Investment Property Databank Monthly Index confirms
this effect with around 5% more appraisals being moved at each quarter day
than the other months. January and August have significantly less
appraisal changes than other months.
Journal: Journal of Property Research
Pages: 261-280
Issue: 3
Volume: 20
Year: 2003
Month: 1
X-DOI: 10.1080/0959991032000162347
File-URL: http://hdl.handle.net/10.1080/0959991032000162347
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:20:y:2003:i:3:p:261-280
Template-Type: ReDIF-Article 1.0
Author-Name: Neil Crosby
Author-X-Name-First: Neil
Author-X-Name-Last: Crosby
Author-Name: Diana Kincaid
Author-X-Name-First: Diana
Author-X-Name-Last: Kincaid
Author-Name: John Murdoch
Author-X-Name-First: John
Author-X-Name-Last: Murdoch
Author-Name: Anthony Lavers
Author-X-Name-First: Anthony
Author-X-Name-Last: Lavers
Title: Expert valuation witnesses in Australia and the UK
Abstract:
This paper compares the previously published findings of two separate
research projects examining the role of the expert witness in valuation
disputes in Australia and the UK. In particular, it examines the
performance, organization and training of expert valuation witnesses in
the context of valuation variation. The research found that Australian
practitioners were less aware than their UK counterparts of their duties
when acting as an expert witness. It also found that the use of expert
witnesses was similar in both countries, with the one expert for each
party dominating the system. Australian experts appeared to have less
training and guidance opportunities but their attitude to being required
to train was more positive than in the UK. Expert witnesses in both
countries fit their evidence to their clients' case, and advocate for
clients, in spite of being very well aware that their responsibility is to
the court rather than to their particular clients. Given this awareness,
it seems unlikely that their practices will change significantly with
improved training. The research also has implications for other
international jurisdictions where single experts are used to determine
valuation cases.
Journal: Journal of Property Research
Pages: 281-304
Issue: 3
Volume: 20
Year: 2003
Month: 1
X-DOI: 10.1080/0959991032000141034
File-URL: http://hdl.handle.net/10.1080/0959991032000141034
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Handle: RePEc:taf:jpropr:v:20:y:2003:i:3:p:281-304
Template-Type: ReDIF-Article 1.0
Author-Name: Matthew Cypher
Author-X-Name-First: Matthew
Author-X-Name-Last: Cypher
Author-Name: J. Andrew Hansz
Author-X-Name-First: J. Andrew
Author-X-Name-Last: Hansz
Title: Does assessed value influence market value judgments?
Abstract:
Assessed values are widely reported in US property markets and are often
used by the public as a proxy for a property's value. The results of this
study indicated that an assessed value treatment did influence market
value judgments by nonappraisers. However, despite the nonappraiser
findings and the strong anchoring tendencies found in prior studies,
expert US appraisers did not depart from normative theory and training and
did not exhibit anchoring behaviours on an assessed value reference point.
These results seem to indicate that expert appraisers need some content
validity before using a reference point as a valuation anchor and make
distinctions among unsanctioned anchors that are plausibly informative
(such as a pending sale price or expert valuation opinion of another) and
unsanctioned anchors that are fundamentally inappropriate. Although the
usual caveats of clinical studies apply, this present study extends
understanding of reference point usage on valuation judgment.
Journal: Journal of Property Research
Pages: 305-318
Issue: 4
Volume: 20
Year: 2003
Month: 12
X-DOI: 10.1080/0959991042000182001
File-URL: http://hdl.handle.net/10.1080/0959991042000182001
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:20:y:2003:i:4:p:305-318
Template-Type: ReDIF-Article 1.0
Author-Name: Barrie Needham
Author-X-Name-First: Barrie
Author-X-Name-Last: Needham
Author-Name: Alastair Adair
Author-X-Name-First: Alastair
Author-X-Name-Last: Adair
Author-Name: Peter van Geffen
Author-X-Name-First: Peter
Author-X-Name-Last: van Geffen
Author-Name: Marco Sotthewes
Author-X-Name-First: Marco
Author-X-Name-Last: Sotthewes
Title: Measuring the effects of public policy on the finances of commercial development in redevelopment areas: gap funding, extra costs and hidden subsidies
Abstract:
It is often public policy that buildings for commercial uses, such as
offices, retail and mixed uses should be built in urban redevelopment
areas. However, in these areas property developers are often reluctant to
build as the risks are perceived to be too large, or a loss is foreseen,
or it is difficult to predict the returns and risks from different
possible development schemes. Moreover, some aspects of public policy for
redevelopment can decrease the profitability even more. In such
situations, a public body will consider giving financial aid, directly or
indirectly. Then it is desirable to make explicit, and to measure, the
financial effects of that policy. In this paper a method is presented for
evaluating projects in that respect. It is tested by application to cases
in the Netherlands and Northern Ireland and the results for six cases are
compared and analysed.
Journal: Journal of Property Research
Pages: 319-342
Issue: 4
Volume: 20
Year: 2003
Month: 12
X-DOI: 10.1080/0959991042000202242
File-URL: http://hdl.handle.net/10.1080/0959991042000202242
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:20:y:2003:i:4:p:319-342
Template-Type: ReDIF-Article 1.0
Author-Name: C Jones
Author-X-Name-First: C
Author-X-Name-Last: Jones
Author-Name: N Dunse
Author-X-Name-First: N
Author-X-Name-Last: Dunse
Author-Name: D Martin
Author-X-Name-First: D
Author-X-Name-Last: Martin
Title: The property market impact of British enterprise zones
Abstract:
Enterprise zones (EZs) were originally set up in the United Kingdom in
1980 as experiments to stimulate free enterprise, and located in areas
that had suffered significant employment loss. Unlike their namesakes
elsewhere in the world British EZs are essentially property led local
economic initiatives providing incentives over their ten-year life in the
form of free rates to occupiers of commercial and industrial properties
and 100% capital tax allowances which can be set against corporation or
income tax. In all 36 EZs have been designated to date in the UK between
1982 and 1996. This paper analyses the detailed impact on local property
markets of the three EZs designated in the Clydeside conurbation. It
considers their role as incubators of new firms and demonstrations of
enterprise, and the potential of spatial competition between zones. The
evidence from Clydebank is that zone status expanded its stock of modern
industrial space but once its EZ status was terminated it did not prove to
be a catalyst for economic growth. The local EZ's potential role as an
incubator of new firm formation has not produced long term fruit.
Similarly the demonstration effect of the EZ has not led to a sustainable
local industrial property market where new development is viable. The
Inverclyde zone was smaller and much of it remains undeveloped. The
failure of the Inverclyde zone to complete its task can be directly
attributed to the spatial competition with the rival EZ in Lanarkshire.
The importance of local spatial competition between EZs is demonstrated
clearly in this study and is exacerbated by the emphasis on attracting
inward investment by the Lanarkshire EZ. Overall the evidence of the
property market impact of EZs is that they should be judged on a long term
basis and that a short term perspective, even after ten years, exaggerates
their significance. The results cast serious doubt on the theoretical
underpinning of property led initiatives designed to address market
failure.
Journal: Journal of Property Research
Pages: 343-369
Issue: 4
Volume: 20
Year: 2003
Month: 12
X-DOI: 10.1080/0959991042000182010
File-URL: http://hdl.handle.net/10.1080/0959991042000182010
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:20:y:2003:i:4:p:343-369
Template-Type: ReDIF-Article 1.0
Author-Name: Alastair Adair
Author-X-Name-First: Alastair
Author-X-Name-Last: Adair
Author-Name: Jim Berry
Author-X-Name-First: Jim
Author-X-Name-Last: Berry
Author-Name: Stanley McGreal
Author-X-Name-First: Stanley
Author-X-Name-Last: McGreal
Author-Name: Norman Hutchison
Author-X-Name-First: Norman
Author-X-Name-Last: Hutchison
Author-Name: Craig Watkins
Author-X-Name-First: Craig
Author-X-Name-Last: Watkins
Author-Name: Kenneth Gibb
Author-X-Name-First: Kenneth
Author-X-Name-Last: Gibb
Title: Urban regeneration and property investment performance
Abstract:
Investors need to have confidence in the maturity of the market in terms
of transparency of returns and risks. Information on property returns is
normally available for prime markets whereas urban regeneration locations
to varying degrees are characterized by an opaque rather than a
transparent market, inadequate information on returns and risks, barriers
to the availability of finance and uncertainty regarding the liquidity of
assets. This paper presents findings of an empirical investigation into
the development of a total returns index designed to measure investment
performance of property in regeneration areas. Results show that over the
long-term returns for regeneration property exceed national and local
benchmarks. This finding has important policy considerations for
regeneration and messages for the property investment sector.
Journal: Journal of Property Research
Pages: 371-386
Issue: 4
Volume: 20
Year: 2003
Month: 12
X-DOI: 10.1080/0959991042000181994
File-URL: http://hdl.handle.net/10.1080/0959991042000181994
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Handle: RePEc:taf:jpropr:v:20:y:2003:i:4:p:371-386
Template-Type: ReDIF-Article 1.0
Author-Name: Foort Hamelink
Author-X-Name-First: Foort
Author-X-Name-Last: Hamelink
Author-Name: Martin Hoesli
Author-X-Name-First: Martin
Author-X-Name-Last: Hoesli
Title: Maximum drawdown and the allocation to real estate
Abstract:
The role of real estate in a mixed-asset portfolio is investigated when
the maximum drawdown (hereafter MaxDD), rather than the standard
deviation, is used as the measure of risk. In particular, it is analysed
whether the discrepancy between the optimal allocation to real estate and
the actual allocation by institutional investors is less when a
Return/MaxDD framework is used. The empirical analysis is conducted from
the perspective of a Swiss investor using international data for the
period 1979- 2002. It is shown that most portfolios optimized in
Return/MaxDD space, rather than in Return/Standard Deviation space, yield
a much lower MaxDD, while usually only a slightly higher standard
deviation (for the same level of return). Also, the reported weights for
real estate are much more in line with the actual weights to real estate
by institutional investors.
Journal: Journal of Property Research
Pages: 5-29
Issue: 1
Volume: 21
Year: 2004
Month: 1
X-DOI: 10.1080/0959991042000217903
File-URL: http://hdl.handle.net/10.1080/0959991042000217903
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Handle: RePEc:taf:jpropr:v:21:y:2004:i:1:p:5-29
Template-Type: ReDIF-Article 1.0
Author-Name: Eric Clapham
Author-X-Name-First: Eric
Author-X-Name-Last: Clapham
Title: Leases with upward-only characteristics
Abstract:
This paper considers a class of leases with indexed rents subject to a
floor. Such leases have an upward-only flavour to them, although not in
exactly the same sense as in the traditional upward-only institutional
lease. After deriving a general result, three empirically important cases
are considered: a modified upward-only lease, the Swedish standard
contract for commercial leases and the percentage lease. Analytical
results and numerical examples are used to illustrate how the leases
relate to other contract types.
Journal: Journal of Property Research
Pages: 31-49
Issue: 1
Volume: 21
Year: 2004
Month: 1
X-DOI: 10.1080/0959991042000253174
File-URL: http://hdl.handle.net/10.1080/0959991042000253174
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Handle: RePEc:taf:jpropr:v:21:y:2004:i:1:p:31-49
Template-Type: ReDIF-Article 1.0
Author-Name: Olga Karakozova
Author-X-Name-First: Olga
Author-X-Name-Last: Karakozova
Title: Modelling and forecasting office returns in the Helsinki area
Abstract:
This paper presents an econometric study of office returns determination
in the Helsinki area, a small European market, over a 30-year period from
1971 to 2001. Particularly, the study investigates the variation in office
capital growth, which is the most volatile component of office total
return in the Helsinki market, using three alternative models: a
regression model, an error correction model (ECM), and an integrated
autoregressive-moving average model with exogenous explanatory variables
(ARIMAX). The study also evaluates the forecasting performance of the
alternative specifications. The results indicate that the ARIMAX models,
incorporating past values of capital growth and growth in service sector
employment and in the gross domestic product, are able to pick up shocks
present in the data, and thus provide the best forecasting tool for office
returns in Helsinki. The ECM models, which incorporate long-run
information, cannot satisfactorily model the irregularities in the
Helsinki office market, such as the boom-bust cycle of the 1980s and
1990s, and thus are suitable for modelling and forecasting only part of
the Helsinki market. It is predicted that office capital returns will
continue to grow in real terms by 0.1% on average in the 2002-2005 period.
This implies that real office total returns will grow on average at the
rate of 5.7% over the same time period.
Journal: Journal of Property Research
Pages: 51-73
Issue: 1
Volume: 21
Year: 2004
Month: 1
X-DOI: 10.1080/0959991042000254579
File-URL: http://hdl.handle.net/10.1080/0959991042000254579
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Handle: RePEc:taf:jpropr:v:21:y:2004:i:1:p:51-73
Template-Type: ReDIF-Article 1.0
Author-Name: Tom Kauko
Author-X-Name-First: Tom
Author-X-Name-Last: Kauko
Title: Towards the 4th generation - an essay on innovations in residential property value modelling expertise
Abstract:
This essay discusses a variety of possibilities for improving current
residential property valuation methodology. At present the inertia is
unfavourable for innovative research within this field. It could, however,
be argued that sustainability and other goals justify the effort to
improve this state of affairs. With the focus on a relatively undeveloped
European residential valuation academia in terms of innovations in
modelling expertize, the proposition is to accommodate some of the
following approaches: strict quantitative methods based on parametric
hedonic regression; flexible (i.e. non/semiparametric) quantitative
methods, that are still formally accommodated within mainstream economic
modelling; flexible quantitative methods based on machine learning;
rule-based expert systems of valuation; and methods, that use judgemental
data (4th generation). Each of the techniques is evaluated in order to
identify problems and subsequently appropriate directions for research are
proposed. While having its obvious limitations, a method based on
interviewing may serve a purpose in certain well-specified problem
settings.
Journal: Journal of Property Research
Pages: 75-97
Issue: 1
Volume: 21
Year: 2004
Month: 1
X-DOI: 10.1080/0959991042000255631
File-URL: http://hdl.handle.net/10.1080/0959991042000255631
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Handle: RePEc:taf:jpropr:v:21:y:2004:i:1:p:75-97
Template-Type: ReDIF-Article 1.0
Author-Name: Stephen Schneider
Author-X-Name-First: Stephen
Author-X-Name-Last: Schneider
Title: Organized crime, money laundering, and the real estate market in Canada
Abstract:
This article examines how the financial proceeds of organized criminal
activity are laundered through the Canadian real estate market. The source
of data for this study was cases from the Royal Canadian Mounted Police.
Real estate has many attributes that make it an attractive destination for
criminal proceeds. It provides a home in which the offender can live and
is often used for the cultivation of marijuana. As a money laundering
vehicle, a host of mechanisms commonly used with real estate transactions
can frustrate efforts to unearth the criminal source of funds, such as
nominees, fake mortgages, solicitor--client privilege, and legal trust
accounts. There is some potential that money laundering through real
estate can distort fair market values by contributing to inflated real
estate prices, but this is unlikely given the fact that the volume of
criminal proceeds invested in the real estate market is just a tiny
fraction of overall investments and transactions on an annual basis.
Journal: Journal of Property Research
Pages: 99-118
Issue: 2
Volume: 21
Year: 2004
Month: 11
X-DOI: 10.1080/0959991042000328801
File-URL: http://hdl.handle.net/10.1080/0959991042000328801
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Handle: RePEc:taf:jpropr:v:21:y:2004:i:2:p:99-118
Template-Type: ReDIF-Article 1.0
Author-Name: Michael Ball
Author-X-Name-First: Michael
Author-X-Name-Last: Ball
Title: Co‐operation with the community in property‐led urban regeneration*
Abstract:
Community involvement is a requirement for the public sector funding of
urban regeneration in the UK. As a result, it has a major effect on the
governance of property‐led regeneration. How well has this new
governance structure functioned? This question is addressed here through
some deductions regarding the potential benefits and costs of community
involvement. These highlight potential ambiguities in the nature of
community involvement and difficulties in creating the appropriate
conditions for successful co‐operation. This analysis is then
compared with the results of a survey of the views on community
representatives by non‐community participants in partnerships
associated with property‐led urban regeneration. In general, the
other partners found community representatives difficult to
co‐operate with. Problems arose in particular over
representativeness, trust and efficient working practices.
Journal: Journal of Property Research
Pages: 119-142
Issue: 2
Volume: 21
Year: 2004
Month: 9
X-DOI: 10.1080/0959991042000328810
File-URL: http://hdl.handle.net/10.1080/0959991042000328810
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Handle: RePEc:taf:jpropr:v:21:y:2004:i:2:p:119-142
Template-Type: ReDIF-Article 1.0
Author-Name: Sau Kim Lum
Author-X-Name-First: Sau Kim
Author-X-Name-Last: Lum
Author-Name: Tilin Koh
Author-X-Name-First: Tilin
Author-X-Name-Last: Koh
Author-Name: Seow‐Eng Ong
Author-X-Name-First: Seow‐Eng
Author-X-Name-Last: Ong
Title: Upgrading programme in public housing: an assessment of price and liquidity enhancements
Abstract:
Upgrading programmes that aim to improve living conditions and enhance
property values are often evaluated qualitatively. We propose a
methodology for determining the market impacts of such projects and apply
it for assessing the Main Upgrading Programme (MUP) in Singapore. This is
a systematic S$15 billion project undertaken since 1992 to improve the
condition of older public housing units. Both price and liquidity effects
are examined. We find evidence that the programme has achieved its
objective of value enhancement. Units that have completed upgrading fetch
a significantly higher price while units that have been selected and
successfully polled for upgrading fetch a small price premium. However,
units undergoing upgrading sell at a statistically insignificant discount,
ostensibly due to the disutility associated with construction. The MUP has
little impact on the saleability of upgraded flats. The trade‐off
in liquidity is seen only for units that have completed MUP. These take a
longer time to sell.
Journal: Journal of Property Research
Pages: 143-159
Issue: 2
Volume: 21
Year: 2004
Month: 11
X-DOI: 10.1080/0959991042000328829
File-URL: http://hdl.handle.net/10.1080/0959991042000328829
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Handle: RePEc:taf:jpropr:v:21:y:2004:i:2:p:143-159
Template-Type: ReDIF-Article 1.0
Author-Name: Kurt Psilander
Author-X-Name-First: Kurt
Author-X-Name-Last: Psilander
Title: Niching in residential development
Abstract:
The Schumpeterian process of creative destruction creates winners and
destroys losers, but when it is only destructive, it loses winners.
Knowledge‐based information technology brings new dimensions to
this process. New technology makes possible the development of complex
products that exhibit an almost infinite variety of forms. Consequently,
actors confront each other in a non‐transparent, mostly unknown and
fundamentally uncertain market. They are forced to respond to
unpredictable conditions of competition. Entrepreneurs have to design and
realize their projects as business experiments and test them in the
market. I use the theory of the Experimentally Organized Economy and of
Competence Blocs to study the presence or absence of a particular
entrepreneur: the developer in the residential building industry. Based on
that theory I show that to succeed the developer has to achieve a very
precise niching of his product and an almost perfect matching with a
selected consumer group. I then compare the vision of this entrepreneurial
competence to achieve such a matching with the observable characteristics
of the outsourced entrepreneur/developer in the USA. I have noted in
particular that the developer uses extensive outsourcing combined with
strict control of the entire realization process from early vision to
final delivery to consumers. Efficient niching often means best consumer
satisfaction and absence in the local market of standardized volume
builders. Since this is essentially a new way of looking at things within
residential development, I use mostly deductive analysis in my
presentation.
Journal: Journal of Property Research
Pages: 161-185
Issue: 2
Volume: 21
Year: 2004
Month: 11
X-DOI: 10.1080/0959991042000328838
File-URL: http://hdl.handle.net/10.1080/0959991042000328838
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Handle: RePEc:taf:jpropr:v:21:y:2004:i:2:p:161-185
Template-Type: ReDIF-Article 1.0
Author-Name: Tien Foo Sing
Author-X-Name-First: Tien Foo
Author-X-Name-Last: Sing
Title: Common risk factors and risk premia in direct and securitized real estate markets
Abstract:
This study empirically examined the effects of systematic market and
common risk factors in explaining the variations in excess returns of
securitized and direct real estate using multifactor asset pricing models
(MAP). Two estimation methodologies were used to test the market
integration hypothesis. The constant risk premia model that imposes
time‐invariant restrictions on the coefficients of the
macroeconomic risk factors across different real estate portfolios in each
market was estimated using the seemingly unrelated regression (SUR)
technique. Credit risk, unexpected inflation and spread between government
and commercial bonds were significantly priced in the securitized real
estate market, whereas real T‐bill yields and unexpected inflation
were the two risk factors affecting the excess returns of direct real
estate. It was found that risk factors were priced differently in the two
real estate markets. The second model that relaxes the
time‐invariant constraints was estimated using the standard
Fama--MacBeth two‐pass regression technique. In the model, credit
risk factor remained significant in the pricing of excess securitized real
estate returns, whereas term structure risk and unexpected inflation were
the two factors significantly priced in direct real estate returns. The
significance of the homogeneity of various risk premia across the two
markets was also tested. The tests rejected the null hypothesis of
integration of the two real estate markets in both fixed and
time‐varying MAP frameworks.
Journal: Journal of Property Research
Pages: 189-207
Issue: 3
Volume: 21
Year: 2004
Month: 12
X-DOI: 10.1080/09599910500136534
File-URL: http://hdl.handle.net/10.1080/09599910500136534
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Handle: RePEc:taf:jpropr:v:21:y:2004:i:3:p:189-207
Template-Type: ReDIF-Article 1.0
Author-Name: Raimond Maurer
Author-X-Name-First: Raimond
Author-X-Name-Last: Maurer
Author-Name: Frank Reiner
Author-X-Name-First: Frank
Author-X-Name-Last: Reiner
Author-Name: Ralph Rogalla
Author-X-Name-First: Ralph
Author-X-Name-Last: Rogalla
Title: Return and risk of German open‐end real estate funds
Abstract:
Open‐end real estate funds (so‐called
‘Offene Immobilienfonds’) play a major role
in the German market for securitized real estate investments. Such funds
are pools of money from many investors, which are invested in real estate
by special investment management companies. This study seeks to identify
the risk and return profile of this investment vehicle (before and after
income taxes), to compare it with those of other major asset classes, and
to provide implications for their appropriate role in a mixed‐asset
portfolio. Additionally, an overview of the institutional architecture and
role of German open‐end real estate funds is given. Empirical
evidence suggests that the financial characteristics of open‐end
real estate funds are in many respects similar to those reported for
direct real estate investments. Accordingly, German open‐end real
estate funds qualify for medium and long‐term investment horizons,
rather than for shorter holding periods.
Journal: Journal of Property Research
Pages: 209-233
Issue: 3
Volume: 21
Year: 2005
Month: 1
X-DOI: 10.1080/09599910500136633
File-URL: http://hdl.handle.net/10.1080/09599910500136633
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Handle: RePEc:taf:jpropr:v:21:y:2005:i:3:p:209-233
Template-Type: ReDIF-Article 1.0
Author-Name: Seow Eng Ong
Author-X-Name-First: Seow Eng
Author-X-Name-Last: Ong
Author-Name: Tien Foo Sing
Author-X-Name-First: Tien Foo
Author-X-Name-Last: Sing
Author-Name: Lai Choo Malone‐Lee
Author-X-Name-First: Lai Choo
Author-X-Name-Last: Malone‐Lee
Title: Strategic considerations in land use planning: the case of white sites in Singapore
Abstract:
This paper adopts a game‐theoretic Nash equilibrium approach to
examine the issue of planning flexibility in terms of land use zoning and
development by appealing to the ‘white sites’ programme in
Singapore as a natural experiment. The key insight is that the existence
of competing white sites diminish the potential profit‐maximizing
supply. While the flexibility in land use is valuable, it potentially
introduces a supply inefficiency through the uncertainty embedded in the
development decision ‐ making process. In addition, it is never
optimal to defer development when competing white sites exist and when
demand stays unchanged, unless exogeneous factors constrain commencement
of construction. It is further demonstrated that a first‐mover
advantage exists such that subsequent white sites released shortly after
the first white site are likely to fetch lower land prices. Nevertheless,
the land price would still reflect the alternative land use value. The
predictions of our model are consistent with an empirical case study of
proximate white sites.
Journal: Journal of Property Research
Pages: 235-253
Issue: 3
Volume: 21
Year: 2004
Month: 12
X-DOI: 10.1080/09599910500140122
File-URL: http://hdl.handle.net/10.1080/09599910500140122
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Handle: RePEc:taf:jpropr:v:21:y:2004:i:3:p:235-253
Template-Type: ReDIF-Article 1.0
Author-Name: Kenneth Gibb
Author-X-Name-First: Kenneth
Author-X-Name-Last: Gibb
Title: Policy priorities for property and land in Central Scotland
Abstract:
This paper examines policy for land and property in Central Scotland. In
the existing UK property literature, there have been few attempts to
produce a comprehensive assessment of property market policy (an exception
is Jones, 1996). More typically, sectors, regions and specific policy
instruments are considered in more detail, usually on a case study basis.
In this paper it is asked how coherent property policy is as a whole? The
primary criterion by which this is assessed is in terms of urban economic
competitiveness. The paper develops a heuristic framework with which to
analyse property sector policy. Drawing on evidence from Central Scotland,
the paper concludes that Scotland, while distinctive as a property market,
does not operate a coherent policy framework for land and property and
this inhibits economic competitiveness. The paper identifies a number of
policy priorities: (1) property is more important to urban economic
competitiveness in Scotland than is implied by the current policy
position. (2) The respective tasks, roles and leadership functions of
different public agencies with property policy powers need to be clarified
and simplified. (3) The Scottish Executive needs to take on a clear
property policy responsibility. (4) There is a need for further debate
clarifying the purpose of policy intervention in terms of the market
failure versus market facilitator basis for public resourcing. (5) A case
can be made for a dedicated land agency with additional resources to
tackle Glasgow's vacant and derelict land. (6) There is also a case for a
simplified close‐ended subsidy, provided it is well designed and
can overcome EU restrictions. (7) The property sector would benefit from
clear national‐level signals regarding spatial development
priorities that feed down to well defined and integrated
city‐regional and lower plans.
Journal: Journal of Property Research
Pages: 255-277
Issue: 3
Volume: 21
Year: 2004
Month: 12
X-DOI: 10.1080/09599910500137177
File-URL: http://hdl.handle.net/10.1080/09599910500137177
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Handle: RePEc:taf:jpropr:v:21:y:2004:i:3:p:255-277
Template-Type: ReDIF-Article 1.0
Author-Name: Alexandra Krystalogianni
Author-X-Name-First: Alexandra
Author-X-Name-Last: Krystalogianni
Author-Name: Sotiris Tsolacos
Author-X-Name-First: Sotiris
Author-X-Name-Last: Tsolacos
Title: Regime switching in yield structures and real estate investment
Abstract:
The present study examines the structure of yields between broad asset
classes (real estate, equities and government bonds) and the implications
for portfolio allocation decisions and real estate investment. It is based
on the premise that asset markets are integrated and that yield
differentials trigger switching of funds among assets. Therefore, we
investigate the claim that the yield ratios of indirect to direct real
estate and of real estate to equities or bonds contain useful information
for determining the likely direction of future real estate returns. A
Markov switching model is used to identify different states in yield
differentials. The Markov model identifies distinct regimes for the yield
ratios of indirect to direct real estate, indirect real estate to equities
and direct real estate to gilts. Trading rules are developed based on the
filtered -- real time -- probabilities of the regime switching models. It
is observed that the regime switching trading rules generate a superior
risk‐return profile than simple buy‐and‐hold
strategies. When transaction costs are allowed for, the Markov switching
is still the superior strategy in two out of three portfolios.
Journal: Journal of Property Research
Pages: 279-299
Issue: 4
Volume: 21
Year: 2005
Month: 5
X-DOI: 10.1080/09599910500182108
File-URL: http://hdl.handle.net/10.1080/09599910500182108
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Handle: RePEc:taf:jpropr:v:21:y:2005:i:4:p:279-299
Template-Type: ReDIF-Article 1.0
Author-Name: Simon Stevenson
Author-X-Name-First: Simon
Author-X-Name-Last: Stevenson
Title: House price diffusion and inter‐regional and cross‐border house price dynamics
Abstract:
This paper examines house price diffusion with the Republic of Ireland
and between the Republic and Northern Ireland. The results show that a
large degree of diffusion takes place, particularly from Dublin to the
other regions, in a manner that is similar and consistent with the UK
ripple effect. The results would also support previous evidence that the
boom in the Irish housing market in the late 1990s was more evident and
led by movements in the Dublin market. Evidence of the importance of
contiguous and non‐contiguous areas is also evident beyond the
Dublin effect. The results would also appear to support the view that the
Northern Irish market is more linked with the housing market in the
Republic than with the rest of the UK.
Journal: Journal of Property Research
Pages: 301-320
Issue: 4
Volume: 21
Year: 2005
Month: 4
X-DOI: 10.1080/09599910500151228
File-URL: http://hdl.handle.net/10.1080/09599910500151228
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Handle: RePEc:taf:jpropr:v:21:y:2005:i:4:p:301-320
Template-Type: ReDIF-Article 1.0
Author-Name: J. Andrew Hansz
Author-X-Name-First: J.
Author-X-Name-Last: Andrew Hansz
Title: Prior transaction price induced smoothing: testing and calibrating the Quan--Quigley model at the disaggregate level
Abstract:
The quantitative partial adjustment model is described as theoretically
optimal and rational appraiser behavior. Early research at the aggregate
(or index) level supported this model and suggested a range in the
adjustment parameter. Subsequent disaggregate (or individual property)
level studies of appraiser behavior have provided limited testing and
assessment of this approach. Despite no statistical evidence of smoothing
behaviors from non‐appraisers, the results from this experiment
indicated that prior transaction price knowledge did induce partial
adjustment behaviors by expert appraisers. The present findings are
combined with past empirical and experimental research to identify general
adjustment parameter characteristics and to provide guidance in
calibrating the model.
Journal: Journal of Property Research
Pages: 321-336
Issue: 4
Volume: 21
Year: 2005
Month: 4
X-DOI: 10.1080/09599910500151194
File-URL: http://hdl.handle.net/10.1080/09599910500151194
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Handle: RePEc:taf:jpropr:v:21:y:2005:i:4:p:321-336
Template-Type: ReDIF-Article 1.0
Author-Name: Paul Gallimore
Author-X-Name-First: Paul
Author-X-Name-Last: Gallimore
Author-Name: Patrick McAllister
Author-X-Name-First: Patrick
Author-X-Name-Last: McAllister
Title: Expert judgement in the processes of commercial property market forecasting
Abstract:
In this paper, we investigate the role of judgement in the formation of
forecasts in commercial property markets. The investigation is based on
interview surveys with the majority of UK forecast producers, who are
using a range of inputs and data sets to form models to predict an array
of variables for a range of locations. The findings suggest that forecasts
need to be acceptable to their users (and purchasers) and consequently
forecasters generally have incentives to avoid presenting contentious or
conspicuous forecasts. Where extreme forecasts are generated by a model,
forecasters often engage in ‘self‐censorship’ or are
‘censored’ following in‐house consultation. It is
concluded that the forecasting process is significantly more complex than
merely carrying out econometric modelling, forecasts are mediated and
contested within organisations and that impacts can vary considerably
across different organizational contexts.
Journal: Journal of Property Research
Pages: 337-360
Issue: 4
Volume: 21
Year: 2005
Month: 4
X-DOI: 10.1080/09599910500163157
File-URL: http://hdl.handle.net/10.1080/09599910500163157
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Handle: RePEc:taf:jpropr:v:21:y:2005:i:4:p:337-360
Template-Type: ReDIF-Article 1.0
Author-Name: Zan Yang
Author-X-Name-First: Zan
Author-X-Name-Last: Yang
Title: Co‐integration of housing prices and property stock prices: evidence from the Swedish market
Abstract:
The long run linkages between Swedish housing prices and property stock
prices are investigated with the consideration that rental control system
applied in Sweden could deviate asset prices from the suggested
co‐integration. To confirm the degree of equilibrium, Error
Correction Model with exogenous variables and the effect of the tax reform
in 1991 are examined. Roles of rentals on the behavior of asset prices are
also presented. This study confirms the existence of long‐term
equilibrium between asset prices and indicates a semi‐strong
efficiency of asset market. Furthermore, this study also suggests the
effects of rentals on improving speed to the long‐term equilibrium.
Journal: Journal of Property Research
Pages: 1-17
Issue: 1
Volume: 22
Year: 2005
Month: 10
X-DOI: 10.1080/09599910500424468
File-URL: http://hdl.handle.net/10.1080/09599910500424468
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Handle: RePEc:taf:jpropr:v:22:y:2005:i:1:p:1-17
Template-Type: ReDIF-Article 1.0
Author-Name: Kwame Addae‐Dapaah
Author-X-Name-First: Kwame
Author-X-Name-Last: Addae‐Dapaah
Title: Highest and best use in the valuation of mixed‐use development sites: a linear programming approach
Abstract:
The study deals with the ascertainment of the highest and best use in the
valuation of a mixed‐use development site in the context of
Singapore where the introduction of ‘white sites,’ which
gives the developer maximum flexibility on the best mix of permitted uses,
have made the valuation of such sites intriguing. Valuers in Singapore
rely on the Residual method to value ‘white sites’ because
of the dearth of sales data. It is argued that the usefulness of the
residual method may be severely compromised, as the method cannot resolve
the optimization problem on which the highest and best use or mix of uses
of such sites depends. The study theoretically and empirically
demonstrates that a combination of linear programming and the Residual
method would provide a well‐ researched and scientifically
supported estimate of value.
Journal: Journal of Property Research
Pages: 19-35
Issue: 1
Volume: 22
Year: 2005
Month: 9
X-DOI: 10.1080/09599910500411028
File-URL: http://hdl.handle.net/10.1080/09599910500411028
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Handle: RePEc:taf:jpropr:v:22:y:2005:i:1:p:19-35
Template-Type: ReDIF-Article 1.0
Author-Name: Heather Campbell
Author-X-Name-First: Heather
Author-X-Name-Last: Campbell
Author-Name: John Henneberry
Author-X-Name-First: John
Author-X-Name-Last: Henneberry
Title: Planning obligations, the market orientation of planning and planning professionalism
Abstract:
The paper uses planning obligations as a vehicle for exploring the
relations between policy, practice and professionalism in planning. The
basic character of the British land use planning system has not changed
since 1947. However, the inter‐penetration of private market and
public welfare ethos in the policy process is posing an increasing
challenge to the strong public service orientation of the planning
profession. Practising planners have exercised their autonomy and
exploited the discretionary spaces that exist in the planning system to
defend the professional culture of planning. Consequently, the planning
system has proved resistant to moves by both the ‘New Right’
and ‘New Labour’ to make it less interventionist and more
market orientated. Planning obligations represent these circumstances in
microcosm. They are probably the most significant element of the planning
system where planners are confronted by the need directly to consider
(development) economics. Current practice with regard to planning
obligations also diverges significantly from central government guidance.
Both these circumstances pose dilemmas for planners' professional culture.
The principles and practices relating to planning obligations are explored
through interviews with planners in selected local authorities and two
detailed case studies of planning agreements. The results demonstrate how
planners attempt to reconcile conflicts between competing professional and
market imperatives.
Journal: Journal of Property Research
Pages: 37-59
Issue: 1
Volume: 22
Year: 2005
Month: 9
X-DOI: 10.1080/09599910500411036
File-URL: http://hdl.handle.net/10.1080/09599910500411036
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Handle: RePEc:taf:jpropr:v:22:y:2005:i:1:p:37-59
Template-Type: ReDIF-Article 1.0
Author-Name: Richard Barras
Author-X-Name-First: Richard
Author-X-Name-Last: Barras
Title: A Building Cycle Model for an Imperfect World
Abstract:
A model of the building cycle is presented, expressed in terms
of endogenous fluctuations in development activity, vacancy and rents
around an equilibrium growth path. The dynamic behaviour of the model is
determined by lags in three adjustment processes: the occupier response to
changes in rents, the development response to demand changes mediated
through a rent adjustment process, and the construction delay between
starts and completions. The frequency and severity of the cycle depend
upon the values of five key parameters including the construction lag and
the transmission coefficient linking vacancy to development starts. The
model has been fitted to data for the City of London office market,
yielding estimates for key parameters that are consistent with its
observed cyclical behaviour.
Journal: Journal of Property Research
Pages: 63-96
Issue: 2-3
Volume: 22
Year: 2005
Month: 10
X-DOI: 10.1080/09599910500453905
File-URL: http://hdl.handle.net/10.1080/09599910500453905
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Handle: RePEc:taf:jpropr:v:22:y:2005:i:2-3:p:63-96
Template-Type: ReDIF-Article 1.0
Author-Name: Nigel Almond
Author-X-Name-First: Nigel
Author-X-Name-Last: Almond
Author-Name: Sotiris Tsolacos
Author-X-Name-First: Sotiris
Author-X-Name-Last: Tsolacos
Title: An Empirical Study of the UK Private Investor Market
Abstract:
This study focuses on the private investor market. Through the estimation
of a model of prices and analysis utilising the IPD/Jones Lang LaSalle
ARAS data, we offer empirical evidence on the drivers of demand and prices
in this segment of the property investment market. Fundability, the margin
between yields and the cost of borrowing, emerges as the key determinant
of prices. Rent expectations and relative returns to equities are of
secondary importance. We also find a weakening relationship between prices
and fundability and between prices and other determinants in recent years,
suggesting to a degree, the presence of more random factors, which explain
the variation in prices, and raise the risks of shocks and higher
volatility. Our analysis confirms volatility persistence in this market
and volatility clustering, hence adverse shocks will lead to clusters of
higher volatility. We find that it will take four to five quarters for the
conditional volatility to revert half way back to its equilibrium path;
however, this adjustment is shorter than in the earlier years of our
sample.
Journal: Journal of Property Research
Pages: 97-114
Issue: 2-3
Volume: 22
Year: 2005
Month: 10
X-DOI: 10.1080/09599910500453954
File-URL: http://hdl.handle.net/10.1080/09599910500453954
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Handle: RePEc:taf:jpropr:v:22:y:2005:i:2-3:p:97-114
Template-Type: ReDIF-Article 1.0
Author-Name: Gerald F. Blundell
Author-X-Name-First: Gerald F.
Author-X-Name-Last: Blundell
Author-Name: Simon Fairchild
Author-X-Name-First: Simon
Author-X-Name-Last: Fairchild
Author-Name: Robin N. Goodchild
Author-X-Name-First: Robin N.
Author-X-Name-Last: Goodchild
Title: Managing Portfolio Risk in Real Estate
Abstract:
This paper seeks to map out a practical way for managing risk in
property portfolios. The approach adopted is to identify the factors that
cause volatility in property returns. The factors are categorised in two
groups -- ‘fundamental’ causes of property return volatility
and ‘modulators’ that dampen or exacerbate the variance
emanating from the fundamentals. This approach enables a risk profile for
individual property portfolios to be presented showing their relative
exposures on the different risk dimensions. Analysis of the IPD UK
universe of funds shows both that a number of the identified risk
variables are correlated with higher tracking error and that the main
types of UK investment fund have different risk profiles. Preliminary
analysis is presented on the development of a model for predicting the
tracking error for UK portfolios. The initial results show some promise
but the model as specified here is not capturing a significant portion of
the variance.
Journal: Journal of Property Research
Pages: 115-136
Issue: 2-3
Volume: 22
Year: 2005
Month: 11
X-DOI: 10.1080/09599910500456759
File-URL: http://hdl.handle.net/10.1080/09599910500456759
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Handle: RePEc:taf:jpropr:v:22:y:2005:i:2-3:p:115-136
Template-Type: ReDIF-Article 1.0
Author-Name: Norman E. Hutchison
Author-X-Name-First: Norman E.
Author-X-Name-Last: Hutchison
Author-Name: Alastair S. Adair
Author-X-Name-First: Alastair S.
Author-X-Name-Last: Adair
Author-Name: Iain Leheny
Author-X-Name-First: Iain
Author-X-Name-Last: Leheny
Title: Communicating Investment Risk to Clients: Property Risk Scoring
Abstract:
Investors require to be fully briefed on the risk profile of their
investments. The UK valuation profession has been criticized for
inconsistencies and failures to reflect risk and this was reinforced by
the Investment Property Forum/Investment Property Databank (2000) which
highlighted the need for more rigorous risk assessment measures within the
property profession. The requirement of Basle 2, that banks must be more
explicit about the risks of lending, has given added impetus to the desire
for improved techniques for assessing and communicating risk. This study
presents an alternative methodology for the scoring and reporting of
investment quality risk -- Property Risk Scoring -- which utilizes the
Analytic Hierarchy Process (AHP), a multi‐criteria decision making
tool developed by Saaty (1980, The Analytic Hierarchy
Process, McGraw Hill, New York, NY). The researchers asked senior
valuers in the UK profession to identify, and score, the investment
quality risks of prime offices at the date of valuation. The focus is on
the principal elements of investment quality risk comprising yield
movement, lease length, rental movement and change in occupier demand.
Analysis of the results enabled the development of a generic market model
to be used to risk score individual property investments. The results are
reported on a 1--5 scale, similar to the widely accepted D&B credit rating
technique, thus aiding market acceptance.
Journal: Journal of Property Research
Pages: 137-161
Issue: 2-3
Volume: 22
Year: 2005
Month: 6
X-DOI: 10.1080/09599910500453764
File-URL: http://hdl.handle.net/10.1080/09599910500453764
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Handle: RePEc:taf:jpropr:v:22:y:2005:i:2-3:p:137-161
Template-Type: ReDIF-Article 1.0
Author-Name: Kim Hiang Liow
Author-X-Name-First: Kim Hiang
Author-X-Name-Last: Liow
Author-Name: Lanz C. W. J. Chan
Author-X-Name-First: Lanz C. W. J.
Author-X-Name-Last: Chan
Title: Co‐skewness and Co‐kurtosis in Global Real Estate Securities
Abstract:
We explore the question of whether co‐skewness and
co‐kurtosis risk measures can be added to supplement to the
covariance risk in pricing global real estate securities and risk premium
estimation. Based on a generalized four‐moment CAPM with two
alternative world market proxies, we examine Linear, Quadratic and Cubic
Market Models using GMM and time‐varying Kalman‐Filter
methodologies. Our results show that the second moment is important in
explaining real estate securities returns. Furthermore, some real estate
securities also display significant time‐varying co‐skewness
and/or co‐kurtosis. Co‐kurtosis is more important than
co‐skewness in pricing global real estate securities. We further
find that the co‐skewness and co‐kurtosis coefficients and
the resulting risk premia are sensitive to the market proxy used. The
findings of this study provide additional insights into the
risk‐return characteristics, pricing and portfolio design in global
real estate securities.
Journal: Journal of Property Research
Pages: 163-203
Issue: 2-3
Volume: 22
Year: 2005
Month: 6
X-DOI: 10.1080/09599910500453798
File-URL: http://hdl.handle.net/10.1080/09599910500453798
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Handle: RePEc:taf:jpropr:v:22:y:2005:i:2-3:p:163-203
Template-Type: ReDIF-Article 1.0
Author-Name: Neil Dunse
Author-X-Name-First: Neil
Author-X-Name-Last: Dunse
Author-Name: Colin Jones
Author-X-Name-First: Colin
Author-X-Name-Last: Jones
Title: Rental Depreciation, Obsolescence and Location: the Case of Industrial Properties
Abstract:
This study explores the basic premise that depreciation/obsolescence will
systematically vary by location and sets out to assess the spatial
dimension to these processes. A series of hypotheses linking differential
locational rates of depreciation within a framework of local industrial
property market areas are developed. These hypotheses are tested by the
use of hedonic regression analysis based on industrial properties in five
industrial property market areas in west central Scotland. This is
followed by a series of statistical tests to establish whether rates of
depreciation are distinct in these local property market areas. The
results demonstrate that the age coefficients, and hence depreciation,
vary significantly between local industrial property markets and therefore
support the essential contention of the study, namely the existence of
spatial variations in the rate of depreciation.
Journal: Journal of Property Research
Pages: 205-223
Issue: 2-3
Volume: 22
Year: 2005
Month: 10
X-DOI: 10.1080/09599910500453988
File-URL: http://hdl.handle.net/10.1080/09599910500453988
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Handle: RePEc:taf:jpropr:v:22:y:2005:i:2-3:p:205-223
Template-Type: ReDIF-Article 1.0
Author-Name: Paul Cheshire
Author-X-Name-First: Paul
Author-X-Name-Last: Cheshire
Title: Unpriced Regulatory Risk and the Competition of Rules: Unconsidered Implications of Land Use Planning
Abstract:
This paper argues that over the past 40 years land use regulation has
created much of the financial value and, therefore, returns, in real
estate in many countries, although most clearly in the UK. The evidence
for this claim is best documented in the context of residential property
but the circumstantial evidence that, in the UK at least, land use
planning has similarly inflated commercial real estate values is powerful.
Moreover, because of the wider economic impacts this regulation is
increasingly having, there is a significant possibility of future
deregulation. This would have a substantial impact on both capital values
and rents of all classes of real estate but most especially residential
and retail. This constitutes a significant risk for real estate as an
asset class and, moreover, it is a risk of which real estate professionals
appear unaware and is, therefore, unpriced.
Journal: Journal of Property Research
Pages: 225-244
Issue: 2-3
Volume: 22
Year: 2005
Month: 10
X-DOI: 10.1080/09599910500453863
File-URL: http://hdl.handle.net/10.1080/09599910500453863
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Handle: RePEc:taf:jpropr:v:22:y:2005:i:2-3:p:225-244
Template-Type: ReDIF-Article 1.0
Author-Name: Neil Crosby
Author-X-Name-First: Neil
Author-X-Name-Last: Crosby
Author-Name: Cathy Hughes
Author-X-Name-First: Cathy
Author-X-Name-Last: Hughes
Author-Name: Colin Lizieri
Author-X-Name-First: Colin
Author-X-Name-Last: Lizieri
Author-Name: Melanie Oughton
Author-X-Name-First: Melanie
Author-X-Name-Last: Oughton
Title: A Message from the Oracle: the Land Use Impact of a Major In‐town Shopping Centre on Local Retailing
Abstract:
Planning policy aimed at preserving the viability of UK town
centres halted the wave of out‐of‐town shopping centres --
Schiller's ‘third wave’ of decentralization. Subsequently, a
number of major in‐town shopping centres were developed in the UK.
The first of these was the Oracle Centre in Reading. This study examines
the impact of the Oracle on retail activity in the town centre using land
use data. The Oracle acted as a catalyst for change, accelerating trends
already observed in the centre, shifting the prime pitch, weakening
peripheral areas and increasing turnover rates and vacancy. However, many
of the initial short‐term property market impacts on rent and
vacancy appear to have dissipated over the longer‐term, leaving
longer lasting land use changes in periphery areas. The added attraction
of the town centre appears to have offset many of the trade diversion
impacts. However, some adverse effects may have been masked by strong
consumer spending and a vibrant local economy during the study
period.
Journal: Journal of Property Research
Pages: 245-265
Issue: 2-3
Volume: 22
Year: 2005
Month: 11
X-DOI: 10.1080/09599910500453848
File-URL: http://hdl.handle.net/10.1080/09599910500453848
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Handle: RePEc:taf:jpropr:v:22:y:2005:i:2-3:p:245-265
Template-Type: ReDIF-Article 1.0
Author-Name: Randy Anderson
Author-X-Name-First: Randy
Author-X-Name-Last: Anderson
Author-Name: Jim Clayton
Author-X-Name-First: Jim
Author-X-Name-Last: Clayton
Author-Name: Greg Mackinnon
Author-X-Name-First: Greg
Author-X-Name-Last: Mackinnon
Author-Name: Rajneesh Sharma
Author-X-Name-First: Rajneesh
Author-X-Name-Last: Sharma
Title: REIT Returns and Pricing: The Small Cap Value Stock Factor
Abstract:
This study employs a variance decomposition approach to explore the
investment characteristics of equity REITs within a multi‐factor
model relating REIT returns to returns to small capitalization value
stocks, small cap growth stocks, large cap stocks, bonds and private real
estate. It also examines the changing nature of the return process over
time, utilizing a finer partition of the stock market factor than many
previous researchers have by distinguishing between small capital growth
and small capital value stocks. This decomposition allows the effect of
small stocks to be measured more accurately. In addition, this study is
unique in that it incorporates a real estate factor at the monthly
frequency, constructed from monthly REIT share price premium to NAV
estimates. Our results show that REITs have a significant small capital
value component, yet also exhibit a large sector‐specific component
that has increased in importance in recent years. Conversely, REIT return
volatility is not highly related to small capital growth stocks, and the
contribution of large capital stock drivers to REIT volatility has
declined over time. On a monthly level, private real estate returns play
only a marginal role in explaining REIT volatility. Our results contribute
to an improved understanding of the role played by REITs in portfolios
diversified across asset classes.
Journal: Journal of Property Research
Pages: 267-286
Issue: 4
Volume: 22
Year: 2006
Month: 1
X-DOI: 10.1080/09599910600558454
File-URL: http://hdl.handle.net/10.1080/09599910600558454
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Handle: RePEc:taf:jpropr:v:22:y:2006:i:4:p:267-286
Template-Type: ReDIF-Article 1.0
Author-Name: Steven Devaney
Author-X-Name-First: Steven
Author-X-Name-Last: Devaney
Author-Name: Colin Lizieri
Author-X-Name-First: Colin
Author-X-Name-Last: Lizieri
Title: Individual Assets, Market Structure and the Drivers of Return1
Abstract:
Much UK research and market practice on portfolio strategy and
performance benchmarking relies on a sector‐geography subdivision
of properties. Prior tests of the appropriateness of such divisions have
generally relied on aggregated or hypothetical return data. However, the
results found in aggregate may not hold when individual buildings are
considered. This paper makes use of a dataset of individual UK property
returns. A series of multivariate exploratory statistical techniques are
utilised to test whether the return behaviour of individual properties
conforms to their a priori grouping. The results suggest strongly that
neither standard sector nor regional classifications provide a clear
demarcation of individual building performance. This has important
implications for both portfolio strategy and performance measurement and
benchmarking. However, there do appear to be size and yield effects that
help explain return behaviour at the property level. 1. All
individual property data was processed by IPD to protect investor
confidentiality.
Journal: Journal of Property Research
Pages: 287-307
Issue: 4
Volume: 22
Year: 2005
Month: 12
X-DOI: 10.1080/09599910600558504
File-URL: http://hdl.handle.net/10.1080/09599910600558504
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Handle: RePEc:taf:jpropr:v:22:y:2005:i:4:p:287-307
Template-Type: ReDIF-Article 1.0
Author-Name: John Knight
Author-X-Name-First: John
Author-X-Name-Last: Knight
Author-Name: Colin Lizieri
Author-X-Name-First: Colin
Author-X-Name-Last: Lizieri
Author-Name: Stephen Satchell
Author-X-Name-First: Stephen
Author-X-Name-Last: Satchell
Title: Diversification when It Hurts? The Joint Distributions of Real Estate and Equity Markets1
Abstract:
This article examines claims about the diversification benefits of real
estate. In particular, does real estate investment in a mixed asset
portfolio provide protection when other asset classes are performing
badly? Conventional portfolio strategy models utilising covariance
statistics may result in a misallocation of capital if correlation
structures between assets differ across the distribution of returns.
Models of asymmetric dependence using the copula function, drawn from the
recent finance literature are used to examine the relationships between
real estate and equity at different points in their joint return
distributions. For both UK and Global markets, real estate securities and
common equities are shown to exhibit strong tail dependence --
particularly in the negative tail. This suggests that real estate
securities offer, at best, limited diversification protection when it is
needed most -- when other asset markets are falling. This has implications
for allocation strategies in mixed asset portfolios. 1. Paper
originally presented to the European Real Estate Society Annual
Conference, Dublin, June 2005.
Journal: Journal of Property Research
Pages: 309-323
Issue: 4
Volume: 22
Year: 2005
Month: 12
X-DOI: 10.1080/09599910600558520
File-URL: http://hdl.handle.net/10.1080/09599910600558520
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Handle: RePEc:taf:jpropr:v:22:y:2005:i:4:p:309-323
Template-Type: ReDIF-Article 1.0
Author-Name: Kieran Farrelly
Author-X-Name-First: Kieran
Author-X-Name-Last: Farrelly
Author-Name: Ben Sanderson
Author-X-Name-First: Ben
Author-X-Name-Last: Sanderson
Title: Modelling Regime Shifts in the City of London Office Rental Cycle
Abstract:
Real estate rental adjustment models have taken on numerous forms and
specifications, but have typically been estimated in both a linear and
univariate fashion. However, it is clear that real estate actors, both
developers and occupiers, can behave differently at various points of the
business cycle, in ways that linear‐models may not be able to
account for adequately. This article extends previous work on market
analysis and forecasting by using regime switching modelling techniques,
which have been popularised in contemporary empirical macroeconomic
research. Evidence of non‐linearity in the rental adjustment
process is found in the City of London office market and it is then
modelled using the smooth‐transition regression technique. The
non‐linear model describes the in‐sample movements of rents
better than the equivalent linear model, particularly in the late 1980s
and early 1990s.
Journal: Journal of Property Research
Pages: 325-344
Issue: 4
Volume: 22
Year: 2005
Month: 12
X-DOI: 10.1080/09599910600558553
File-URL: http://hdl.handle.net/10.1080/09599910600558553
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Handle: RePEc:taf:jpropr:v:22:y:2005:i:4:p:325-344
Template-Type: ReDIF-Article 1.0
Author-Name: Séverine Cauchie
Author-X-Name-First: Séverine
Author-X-Name-Last: Cauchie
Author-Name: Martin Hoesli
Author-X-Name-First: Martin
Author-X-Name-Last: Hoesli
Title: Further Evidence of the Integration of Securitized Real Estate and Financial Assets
Abstract:
As institutions in most countries are faced with limits pertaining to
investment in the various asset classes, the free flow of funds from one
investment class to another is curtailed and hence segmentation may arise
among asset classes. In this study, we focus on the integration of
securitized real estate with stocks and bonds. We use data for
Switzerland, which is of particular interest in this respect, as
securitized real estate qualifies as real estate in terms of investment
limits. In addition, the legal setup differs substantially from that of
most other countries. Using an APT framework, we employ both the Xu (2003,
Extracting Factors with Maximum Explanatory Power, Working paper,
University of Texas, Dallas) method and an innovative procedure to
determine endogenous and exogenous factors, respectively. Integration is
assessed by means of several tests. Swiss real estate funds are found to
be integrated with both stocks and bonds. Few sources of integration
emerge, whereas sources of segmentation are more plentiful. An endogenous
real estate factor acts as a factor of integration between securitized
real estate and stocks. In contrast, inflation, economic conditions, and
the term structure are found to be segmenting factors between real estate
funds and financial assets.
Journal: Journal of Property Research
Pages: 1-38
Issue: 1
Volume: 23
Year: 2006
Month: 3
X-DOI: 10.1080/09599910600748618
File-URL: http://hdl.handle.net/10.1080/09599910600748618
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Handle: RePEc:taf:jpropr:v:23:y:2006:i:1:p:1-38
Template-Type: ReDIF-Article 1.0
Author-Name: C. Y. Yiu
Author-X-Name-First: C. Y.
Author-X-Name-Last: Yiu
Author-Name: C. S. Tam
Author-X-Name-First: C. S.
Author-X-Name-Last: Tam
Author-Name: P. Y. Lee
Author-X-Name-First: P. Y.
Author-X-Name-Last: Lee
Title: Volume‐related Heteroskedasticity and Liquidity Premium in Hedonic Pricing Model
Abstract:
Volume of transaction plays two roles in a market, first, it is related
to liquidity of assets; second, it affects information cost in the price
discovery process. The former results in a liquidity premium on price,
which is a first moment effect of hedonic price; the latter produces price
dispersion, which causes heteroskedasticity of error terms (the second
moment) of hedonic price. This study tests empirically on these
volume‐related liquidity premium and heteroskedasticity in a panel
sample of housing. The sample consists of more than 1600 transactions in
1999 of various housing developments in a small area in Hong Kong is
studied. The results agree with our postulations that (1) relative
liquidity imposes a positive premium on housing price; and (2) the
magnitude of error terms in the hedonic pricing analysis is negatively
related with the transaction volume in the previous 30‐day in the
same estate. The hedonic pricing model is re‐estimated by an
iterative generalized least squares (GLS) approach with
volume‐effect weighting. The efficiency of the estimation is
greatly improved and a homoskedastic estimation is obtained.
Journal: Journal of Property Research
Pages: 39-51
Issue: 1
Volume: 23
Year: 2005
Month: 7
X-DOI: 10.1080/09599910600748634
File-URL: http://hdl.handle.net/10.1080/09599910600748634
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Handle: RePEc:taf:jpropr:v:23:y:2005:i:1:p:39-51
Template-Type: ReDIF-Article 1.0
Author-Name: Paloma Taltavull de La Paz
Author-X-Name-First: Paloma
Author-X-Name-Last: Taltavull de La Paz
Author-Name: Stanley Mcgreal
Author-X-Name-First: Stanley
Author-X-Name-Last: Mcgreal
Title: Assessing Subjectivity in the Valuation of Retail Properties in Spain
Abstract:
The extent to which subjective influences impact on assessed valuations
is an under‐researched area. Valuation practice within Spain is
seemingly less developed than in the UK and other western European
countries and explicitly allows for subjective adjustments in deriving the
value of a property. This study, using a three stage modelling approach,
seeks to quantify the impact of this effect on the valuation of retail
property. The analysis uses data from a major valuation company within
Spain and examines evidence from five cities. The results show that
subjectivity corrects the model by as much as 12%. The study demonstrates
that the variables with the greatest impact are age of property and
construction quality rather than economic/market factors. This outcome
highlights that valuation in Spain is still a more technical rather than a
financial discipline.
Journal: Journal of Property Research
Pages: 53-74
Issue: 1
Volume: 23
Year: 2006
Month: 2
X-DOI: 10.1080/09599910600748667
File-URL: http://hdl.handle.net/10.1080/09599910600748667
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Handle: RePEc:taf:jpropr:v:23:y:2006:i:1:p:53-74
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Author-Name: Barrie Needham
Author-X-Name-First: Barrie
Author-X-Name-Last: Needham
Author-Name: Erik Louw
Author-X-Name-First: Erik
Author-X-Name-Last: Louw
Title: Institutional Economics and Policies for Changing Land Markets: The Case of Industrial Estates in the Netherlands
Abstract:
Public policies for land use include many rules and regulations. Changing
those policies usually means changing rules. Institutional economics
studies the effects of rules on economic behaviour and how of those rules
change under economic forces. Therefore, economic theories of
institutional change can be applied when designing new policies for land
markets. This theoretical framework is applied to the policy followed in
the Netherlands for industrial estates. This policy has been stable for
approximately 60 years and shows little signs of change, even though some
of its effects are not what the policy makers want. That continuity in the
face of policy contradictions is explained here by economic theories of
institutional change. They are applied here also to find practicable ways
of changing the policy for industrial estates.
Journal: Journal of Property Research
Pages: 75-90
Issue: 1
Volume: 23
Year: 2006
Month: 3
X-DOI: 10.1080/09599910600748675
File-URL: http://hdl.handle.net/10.1080/09599910600748675
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Handle: RePEc:taf:jpropr:v:23:y:2006:i:1:p:75-90
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Author-Name: Harald Nitsch
Author-X-Name-First: Harald
Author-X-Name-Last: Nitsch
Title: Pricing Location: A Case Study of the Munich Office Market
Abstract:
We present a hedonic price analysis of office rents in Munich, Germany,
based on a data set of 46 buildings. Using three parameters -- the
distance to the city center ‘Marienplatz’, the distance to
the Munich Airport and access to public transportation -- we build a
parsimonious model of the impact of location on office rents. After
including structural features of the buildings, the explanatory power
rises only slightly, given the homogenous structure of the buildings
included in the particular dataset. The regressions suggest that the model
should be extended by some quantitative measures of neighborhood quality.
Journal: Journal of Property Research
Pages: 93-107
Issue: 2
Volume: 23
Year: 2006
Month: 3
X-DOI: 10.1080/09599910600800252
File-URL: http://hdl.handle.net/10.1080/09599910600800252
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Handle: RePEc:taf:jpropr:v:23:y:2006:i:2:p:93-107
Template-Type: ReDIF-Article 1.0
Author-Name: Michael S. Young
Author-X-Name-First: Michael S.
Author-X-Name-Last: Young
Author-Name: Stephen L. Lee
Author-X-Name-First: Stephen L.
Author-X-Name-Last: Lee
Author-Name: Steven P. Devaney
Author-X-Name-First: Steven P.
Author-X-Name-Last: Devaney
Title: Non‐Normal Real Estate Return Distributions by Property Type in the UK
Abstract:
Investment risk models with infinite variance provide a better
description of distributions of individual property returns in the IPD UK
database over the period 1981 to 2003 than normally distributed risk
models. This finding mirrors results in the US and Australia using
identical methodology. Real estate investment risk is heteroskedastic, but
the characteristic exponent of the investment risk function is constant
across time -- yet it may vary by property type. Asset diversification is
far less effective at reducing the impact of non‐systematic
investment risk on real estate portfolios than in the case of assets with
normally distributed investment risk. The results, therefore, indicate
that multi‐risk factor portfolio allocation models based on
measures of investment codependence from finite‐variance statistics
are ineffective in the real estate context.
Journal: Journal of Property Research
Pages: 109-133
Issue: 2
Volume: 23
Year: 2006
Month: 3
X-DOI: 10.1080/09599910600800302
File-URL: http://hdl.handle.net/10.1080/09599910600800302
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Handle: RePEc:taf:jpropr:v:23:y:2006:i:2:p:109-133
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Author-Name: Peter Fisher
Author-X-Name-First: Peter
Author-X-Name-Last: Fisher
Author-Name: Simon Robson
Author-X-Name-First: Simon
Author-X-Name-Last: Robson
Title: The Perception and Management of Risk in UK Office Property Development
Abstract:
Risk is an ever‐present aspect of business, and risk taking is
necessary for profit and economic progress. Speculative property
development is popularly perceived as a ‘risky business’
yet, like other entrepreneurs, developers have opportunities to manage the
risks they face; techniques include phasing and joint ventures. The
associated areas of investment portfolio risk, development risk analysis
and construction risk management have all been addressed by research. This
article presents new knowledge about how developers perceive risks and the
means they subsequently adopt to manage them. The developers of office
projects across the UK were sent questionnaires by post. Respondents were
asked about their perceptions of risks at the first appraisal stage and
currently and about the risk management techniques that they had adopted.
In‐depth interviews with a selection of respondents were then used
to discuss and augment the findings. Developers were most concerned about
market‐based risks at both stages. Concern about
production‐orientated risks was lower and fell significantly
between the two stages. A fixed price contract was the most common risk
management technique. Risk management techniques were used more often
outside London and the South East. Developer type affects both the
perception and management of risk. While developers do manage risk,
decisions are made on the basis of professional and business experience.
These findings should help development companies manage risk in a more
objective and analytical way.
Journal: Journal of Property Research
Pages: 135-161
Issue: 2
Volume: 23
Year: 2006
Month: 4
X-DOI: 10.1080/09599910600800484
File-URL: http://hdl.handle.net/10.1080/09599910600800484
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Handle: RePEc:taf:jpropr:v:23:y:2006:i:2:p:135-161
Template-Type: ReDIF-Article 1.0
Author-Name: Neil Crosby
Author-X-Name-First: Neil
Author-X-Name-Last: Crosby
Author-Name: Cathy Hughes
Author-X-Name-First: Cathy
Author-X-Name-Last: Hughes
Author-Name: Sandi Murdoch
Author-X-Name-First: Sandi
Author-X-Name-Last: Murdoch
Title: Flexible Property Leasing and the Small Business Tenant
Abstract:
Small businesses and commercial property leasing are two important policy
areas for the UK Government. Hence, it has been promoting flexibility and
choice in commercial leases as part of a wider enterprise and productivity
agenda, and attempting to improve the awareness of small business tenants
on property leasing issues. This article addresses issues of flexible
leasing specific to small business tenants. Through an analysis of lease
data from Investment Property Databank and a questionnaire survey of
tenants in England and Wales, it examines the negotiation process,
outcomes, and trends stemming from that process. There are major
differences between small business leases and those for medium and larger
sized companies. Small businesses have shorter leases, fewer rent reviews
and earlier breaks. There are also differences in the negotiation process,
most noticeably as between the very small micro business and other small
businesses. A significant number of very small tenants take no commercial
advice when negotiating leases even though many of them have no prior
experience of taking leases; the smaller the business the less likely they
are to take advice. While flexibility and choice in leasing has improved
in recent years, the awareness of small business tenants on leasing issues
is less good. Part of the problem may lie in the difficulties of
dissemination to a diverse group. However, if voluntary mechanisms cannot
demonstrably improve information flows to micro businesses, the small
business issue may yet be the catalyst for legislation on all business
leases, legislation the UK property industry has fought desperately to
avoid for the last 13 years.
Journal: Journal of Property Research
Pages: 163-188
Issue: 2
Volume: 23
Year: 2006
Month: 4
X-DOI: 10.1080/09599910600800518
File-URL: http://hdl.handle.net/10.1080/09599910600800518
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Handle: RePEc:taf:jpropr:v:23:y:2006:i:2:p:163-188
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Author-Name: Muhammad Faishal Ibrahim
Author-X-Name-First: Muhammad Faishal
Author-X-Name-Last: Ibrahim
Author-Name: Peter J. McGoldrick
Author-X-Name-First: Peter J.
Author-X-Name-Last: McGoldrick
Title: Modelling Shopping Centre Choices: Effects of Car Ownership on Clothing Shopping in Singapore
Abstract:
The heightening of issues, such as sustainable development and
environmental pollution have resulted in many governments pursuing
transport policies which aim to promote the use of public transport modes,
including walking, as well as discourage the use of the car for various
activities, such as shopping, work and recreation. Relatively little has
been done, however, on understanding the travel factors in shopping trips
and the determinants of shoppers' choice of shopping centre with regards
to their transport ownership. Using Singapore as a study area, while
examining the characteristics of shopping trips, this study attempts to
investigate the determinants of car owners' and non‐car owners'
choice of shopping centres for clothing shopping. Based on the discrete
choice (multinomial logit) modelling technique, the evidence suggests that
shoppers who own cars have different considerations from those who do not
own cars in their choice of shopping centre for clothing shopping. The
findings have significant implications for the various parties involved in
the provision and management of shopping centres.
Journal: Journal of Property Research
Pages: 189-214
Issue: 3
Volume: 23
Year: 2006
Month: 9
X-DOI: 10.1080/09599910600933798
File-URL: http://hdl.handle.net/10.1080/09599910600933798
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Handle: RePEc:taf:jpropr:v:23:y:2006:i:3:p:189-214
Template-Type: ReDIF-Article 1.0
Author-Name: Neil Crosby
Author-X-Name-First: Neil
Author-X-Name-Last: Crosby
Author-Name: Cathy Hughes
Author-X-Name-First: Cathy
Author-X-Name-Last: Hughes
Author-Name: Sandi Murdoch
Author-X-Name-First: Sandi
Author-X-Name-Last: Murdoch
Title: Exit Strategies for Business Tenants
Abstract:
Adaptability is critical to success in business. Yet, many businesses in
the UK occupy premises on fixed term leases, which run for several years,
a feature that has great appeal to investors. However, during this time
property requirements can change. This research critically examines the
three main mechanisms by which tenants can bring their leases to an end,
breaks, assignment and subletting. We examine the legal rules governing
these devices and undertake analyses of lease data and interview and
questionnaire surveys. The research finds that break clauses are an
increasingly common exit mechanism agreed in the leases of office and
industrial property tenants but are less frequent in retail markets.
However they are not usually operated, raising questions about their
purpose and timing. Breaks cannot give the more general flexibility of
assignment and subletting, although these latter clauses are not often
part of lease negotiations. Landlords have legitimate reasons for
preventing some assignment and subletting but can be unnecessarily
restrictive on some aspects. Addressing the disparate concerns of both
sides of the landlord and tenant relationship on lease flexibility is a
challenge to the property industry and to policy makers.
Journal: Journal of Property Research
Pages: 215-235
Issue: 3
Volume: 23
Year: 2006
Month: 9
X-DOI: 10.1080/09599910600933848
File-URL: http://hdl.handle.net/10.1080/09599910600933848
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Handle: RePEc:taf:jpropr:v:23:y:2006:i:3:p:215-235
Template-Type: ReDIF-Article 1.0
Author-Name: Tim Dixon
Author-X-Name-First: Tim
Author-X-Name-Last: Dixon
Title: Integrating Sustainability into Brownfield Regeneration: Rhetoric or Reality? -- An Analysis of the UK Development Industry
Abstract:
In the UK and elsewhere the use of the term ‘sustainable
brownfield regeneration’ has resulted from the interweaving of two
key policy themes, comprising ‘sustainable development’ and
‘brownfield regeneration’. This paper provides a critical
overview of brownfield policy within the context of the emerging
sustainable development agenda in the UK, and examines the development
industry's role and attitudes towards key aspects of sustainable
development and brownfield regeneration. The paper analyses results from a
survey of commercial and residential developers carried out in
mid‐2004, underpinned by structured interviews with eleven
developers in 2004--2005, which form part of a
two‐and‐half‐year EPSRC‐funded project. The
results suggest that despite the increasing focus on sustainability in
government policy, the development industry seems ill at ease with
precisely how sustainable development can be implemented in brownfield
schemes. These and other findings, relating to sustainability issues
(including the impact of climate change on future brownfield development),
have important ramifications for brownfield regeneration policy in the UK.
In particular, the research highlights the need for better metrics and
benchmarks to be developed to measure ‘sustainable brownfield
regeneration’. There also needs to be greater awareness and
understanding of alternative clean‐up technologies to ‘dig
and dump’.
Journal: Journal of Property Research
Pages: 237-267
Issue: 3
Volume: 23
Year: 2006
Month: 9
X-DOI: 10.1080/09599910600933889
File-URL: http://hdl.handle.net/10.1080/09599910600933889
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Handle: RePEc:taf:jpropr:v:23:y:2006:i:3:p:237-267
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Author-Name: William Dimovski
Author-X-Name-First: William
Author-X-Name-Last: Dimovski
Author-Name: Robert Brooks
Author-X-Name-First: Robert
Author-X-Name-Last: Brooks
Title: Factors Influencing Money Left on the Table by Property Trust IPO Issuers
Abstract:
While previous listed property trust (LPT) initial public offering (IPO)
studies have identified low under pricing returns, this study specifically
examines the amount of money left on the table by the pre‐IPO
owners in this category of IPO. This study investigates 58 property trust
IPOs in Australia from 1994 to 2004 and finds that the amount of money
left by LPT IPOs is considerably less than industrial company IPOs,
implying considerably less uncertainty about the valuation of such IPOs
compared to industrials. We also find that more recent (post 2000) LPT
IPOs in Australia appear to be significantly different to previous LPT
IPOs in both money left and under pricing terms.
Journal: Journal of Property Research
Pages: 269-280
Issue: 3
Volume: 23
Year: 2006
Month: 9
X-DOI: 10.1080/09599910600969206
File-URL: http://hdl.handle.net/10.1080/09599910600969206
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Handle: RePEc:taf:jpropr:v:23:y:2006:i:3:p:269-280
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Author-Name: Patrick McAllister
Author-X-Name-First: Patrick
Author-X-Name-Last: McAllister
Author-Name: Colin Lizieri
Author-X-Name-First: Colin
Author-X-Name-Last: Lizieri
Title: Monetary Integration and Real Estate Markets: The Impact of Euro on European Real Estate Equities
Abstract:
This paper assesses the impact of the monetary integration project on
different types of stock returns in Europe. In order to isolate European
monetary factors, the impact of global equity integration is investigated.
European countries are sub‐divided according to the differences in
the timing and degree of monetary integration. Analysis shows that
national equity indices are strongly influenced by global market
movements, with a European stock factor providing additional explanatory
power. The global and European factors explain small cap and real estate
stocks much less well -- suggesting an increased importance of local and
national drivers. However, there is little evidence to suggest that
monetary integration is causing the phenomenon. For all sectors
investigated, the European factor affects non‐Eurozone members and
non‐EU members in the same way as Eurozone members. Further, the
importance of global and European factors has almost invariably increased
over time. For real estate equities, the largest increase in correlation
was for non‐Eurozone and non‐European Union markets. One
possible interpretation is that broader regional economic integration
rather than more narrow monetary integration is driving the European
factor.
Journal: Journal of Property Research
Pages: 281-303
Issue: 4
Volume: 23
Year: 2006
Month: 8
X-DOI: 10.1080/09599910601095266
File-URL: http://hdl.handle.net/10.1080/09599910601095266
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Handle: RePEc:taf:jpropr:v:23:y:2006:i:4:p:281-303
Template-Type: ReDIF-Article 1.0
Author-Name: G. K. Randolph Tan
Author-X-Name-First: G. K.
Author-X-Name-Last: Randolph Tan
Title: Robust Inference for Measures of Persistence in Singapore Sectoral Property Price Indexes
Abstract:
This paper examines the pattern and persistence of changes in price
indexes of Singapore private housing, office space, shop space and
industrial properties. Unit root tests find convincing evidence of
non‐stationarity in all four sectors' quarterly prices. However,
more detailed analysis of the autoregressive coefficient estimate, using
recently developed methods that are robust to near unit‐root
possibilities, reveals clear differences between residential and the
non‐residential property price indexes. Three distinct types of
dynamic behaviour can be discerned, characterized by the shape of the
empirical impulse response function. Only private residential prices are
clearly non‐stationary. For shop space, a stationary model is
indicated, while the remaining two categories -- namely office space and
industrial property -- are more likely to be near‐unit root
processes depicting a high degree of persistence. Further analysis reveals
hump‐shaped empirical impulse responses in the office space and
industrial property price series.
Journal: Journal of Property Research
Pages: 305-321
Issue: 4
Volume: 23
Year: 2006
Month: 10
X-DOI: 10.1080/09599910601095316
File-URL: http://hdl.handle.net/10.1080/09599910601095316
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Handle: RePEc:taf:jpropr:v:23:y:2006:i:4:p:305-321
Template-Type: ReDIF-Article 1.0
Author-Name: Joaquim Montezuma
Author-X-Name-First: Joaquim
Author-X-Name-Last: Montezuma
Author-Name: Kenneth Gibb
Author-X-Name-First: Kenneth
Author-X-Name-Last: Gibb
Title: Residential Property as an Institutional Asset: The Swiss and Dutch Cases
Abstract:
This study evaluates residential property as an institutional asset group
in two European countries (Switzerland and the Netherlands). These are
countries where housing is the main institutional property asset group,
with institutional property portfolio allocations of over 52% and 50%
respectively. Two criteria were used to evaluate residential property as
an institutional asset group. First, the size of the private rented stock
potentially available for institutional investors must be sufficiently
large in order to provide significant diversification benefits. Second, in
terms of risk and return, housing must offer good mean‐variance
performance. Direct residential property is compared with other asset
groups: shares (domestic and European indices), government bonds and
indirect non‐residential property. A bootstrap analysis (Efron,
1979; Liang et al., 1996; Ziobrowski el
al., 1997) is employed to estimate confidence intervals for the
optimum level of residential property in mixed‐asset portfolios.
The paper concludes, on balance, that there is a case for a residential
property component within portfolios in these two countries.
Journal: Journal of Property Research
Pages: 323-345
Issue: 4
Volume: 23
Year: 2006
Month: 10
X-DOI: 10.1080/09599910601095324
File-URL: http://hdl.handle.net/10.1080/09599910601095324
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Handle: RePEc:taf:jpropr:v:23:y:2006:i:4:p:323-345
Template-Type: ReDIF-Article 1.0
Author-Name: Li Tian
Author-X-Name-First: Li
Author-X-Name-Last: Tian
Title: Impacts of Transport Projects on Residential Property Values in China: Evidence from Two Projects in Guangzhou
Abstract:
Introducing public transport usually creates expectations of property
value changes, and there have been substantial studies on the impacts of
public transport on property values in developed regions. Little research,
however, has been conducted in developing countries due to incomplete
information, and the lack of research has limited the extent to which
transit agencies can develop strategies to maximize positive property
value impacts and minimize negative ones. This paper summarizes a
comprehensive survey of recent research on impacts of two transport
projects on residential property values in Guangzhou, China, and explores
policy implications in recovering surplus land value and compensating
hardship generated by transport developments. The application of a
repeat‐sales model and a hedonic pricing approach has shown
consistent results in estimating the effect of the Metro Line 2 on values
of residential property within the walking distance of its stations. The
evaluation result of the Inner Ring Road through a repeat‐sales
model reveals that values of residential property directly facing the
elevated road decreased dramatically.
Journal: Journal of Property Research
Pages: 347-365
Issue: 4
Volume: 23
Year: 2006
Month: 10
X-DOI: 10.1080/09599910601095365
File-URL: http://hdl.handle.net/10.1080/09599910601095365
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Handle: RePEc:taf:jpropr:v:23:y:2006:i:4:p:347-365
Template-Type: ReDIF-Article 1.0
Author-Name: Kim Hiang Liow
Author-X-Name-First: Kim Hiang
Author-X-Name-Last: Liow
Title: The Dynamics of Return Volatilty and Systematic Risk in International Real Estate Security Markets
Abstract:
We find clustering, predictability, strong persistence and asymmetry in
the conditional volatilities of national, regional and world real estate
security markets. The world real estate security market volatility has a
positive impact on the time‐varying real estate security market
betas of Asia‐Pacific, Hong Kong, Singapore and Malaysia, and a
negative impact on the real estate security market betas of Europe and the
UK. The extra country--specific market volatility and global market
volatility during the Asian financial crisis period impose a larger size
influence than the volatility during total period in some markets. In
addition, our results appear to favor the time‐varying beta
estimates relative to the world real estate security market index over the
world stock market index. The implications for international investors and
global portfolio managers is that failing to understand the complex
dynamics of real estate security market return, volatility and systematic
risk relative to the world markets may make it less possible to ascertain
the true potential of international real estate diversification that
includes Asia‐Pacific securitized real estate.
Journal: Journal of Property Research
Pages: 1-29
Issue: 1
Volume: 24
Year: 2006
Month: 11
X-DOI: 10.1080/09599910701297663
File-URL: http://hdl.handle.net/10.1080/09599910701297663
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Template-Type: ReDIF-Article 1.0
Author-Name: Fotis Mouzakis
Author-X-Name-First: Fotis
Author-X-Name-Last: Mouzakis
Author-Name: David Richards
Author-X-Name-First: David
Author-X-Name-Last: Richards
Title: Panel Data Modelling of Prime Office Rents: A Study of 12 Major European Markets
Abstract:
A significant amount of real estate research has been directed towards
developing empirical models explaining rental growth. This paper develops
an error correction mechanism (ECM) model which is built on the general
theoretical formulation of the Hendershott et a.l
(2002a). Income, as measured by local market services output, is used as a
key determinant of office demand. A total office stock variable is also
used which is derived from the cumulated level of development completions.
The model is estimated empirically for 12 office market locations across
Europe using panel data techniques and the full sequence of panel model
selection tests. The approach allows the behaviour of different markets to
be readily compared and contrasted, and provides inferences about
intra‐market dependence and the comparative speed of adjustment
towards long‐run equilibrium. The study also compares the
short‐term predictive performance of the proposed model to a number
of alternatives which has been covered in the literature, including
a‐theoretical models. The results offer some support for the
proposed model for predicting short‐term rental movements.
Journal: Journal of Property Research
Pages: 31-53
Issue: 1
Volume: 24
Year: 2007
Month: 2
X-DOI: 10.1080/09599910701297713
File-URL: http://hdl.handle.net/10.1080/09599910701297713
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Handle: RePEc:taf:jpropr:v:24:y:2007:i:1:p:31-53
Template-Type: ReDIF-Article 1.0
Author-Name: Stephen Lee
Author-X-Name-First: Stephen
Author-X-Name-Last: Lee
Author-Name: Steven Devaney
Author-X-Name-First: Steven
Author-X-Name-Last: Devaney
Title: The Changing Importance of Sector and Regional Factors in Real Estate Returns: 1987--2002
Abstract:
A stylized fact in the real estate diversification literature is that
sector (property type) effects are relatively more important than regional
(geographical) factors in determining property returns. Thus, for those
portfolio managers who follow a top‐down approach to portfolio
management, they should first choose which sectors to invest in and then
select the best properties in each market. However, the question arises as
to whether the dominance of sector effects over regional effects is
constant. If not, property fund managers will need to take account of
regional effects in developing their portfolio strategy. Using monthly
returns data for individual properties over the period 1987:1 to 2002:12,
this paper investigates the influence of sector and regional factors on
commercial real estate performance, first by adopting the dummy variable
approach of Heston and Rouwenhorst (1994, 1995) and then by using the
notion of cross‐sectional dispersion introduced by Solnik and
Roulet (2000). The results show that sector‐specific dominate
region‐specific factors for the majority of the time and, in
particular, during volatile periods of the real estate cycle. However,
during calmer periods, sector and regional effects appear to be of equal
importance. Overall, sector effects are still the most important aspect in
the development of an active portfolio strategy.
Journal: Journal of Property Research
Pages: 55-69
Issue: 1
Volume: 24
Year: 2006
Month: 11
X-DOI: 10.1080/09599910701297671
File-URL: http://hdl.handle.net/10.1080/09599910701297671
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Handle: RePEc:taf:jpropr:v:24:y:2006:i:1:p:55-69
Template-Type: ReDIF-Article 1.0
Author-Name: Yu Song
Author-X-Name-First: Yu
Author-X-Name-Last: Song
Author-Name: Chunlu Liu
Author-X-Name-First: Chunlu
Author-X-Name-Last: Liu
Title: An Input--Output Approach for Measuring Real Estate Sector Linkages
Abstract:
This research aims to measure and compare the total, backward, forward,
internal and sectoral linkages of the real estate sector using the
hypothetical extraction method over 30 years and explore the role of this
sector in national economies and the quantitative interdependence between
the real estate sector and the remaining sectors from a new angle.
Empirical results show an increasing trend of these linkages, which
confirms the increasing role of the real estate sector with economic
maturity over the examined period. On the other hand, the significant rank
correlations in the linkages imply that the importance of real estate
remained fairly stable among highly developed economies over the examined
period. This may supply a tool to signal the maturity of an entire
economy. Furthermore, the findings can aid both governments making
relative policies and businesses choosing strategic partners and location
strategies.
Journal: Journal of Property Research
Pages: 71-91
Issue: 1
Volume: 24
Year: 2007
Month: 2
X-DOI: 10.1080/09599910701297697
File-URL: http://hdl.handle.net/10.1080/09599910701297697
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Handle: RePEc:taf:jpropr:v:24:y:2007:i:1:p:71-91
Template-Type: ReDIF-Article 1.0
Author-Name: Louise Ellison
Author-X-Name-First: Louise
Author-X-Name-Last: Ellison
Author-Name: Sarah Sayce
Author-X-Name-First: Sarah
Author-X-Name-Last: Sayce
Author-Name: Judy Smith
Author-X-Name-First: Judy
Author-X-Name-Last: Smith
Title: Socially Responsible Property Investment: Quantifying the Relationship between Sustainability and Investment Property Worth
Abstract:
This paper explores the potential link between the sustainability of a
property asset and its investment worth. The research is based on the
premise that sustainability represents an additional and changing set of
risks for property investors and as such needs to be examined
systematically for those risks to be properly understood and mitigated. It
seeks to make the bundle of issues referred to as
‘sustainability’ explicit within the appraisal process in
order that their impact on property worth can be more effectively examined
and assessed from a property investment perspective. A series of
relationships between sustainability and the functional performance of a
property are theorized. A set of parameters quantifying the impact of that
functional performance on rental growth and depreciation are then
developed. The main findings are that sustainability is pertinent to
property investment and can be analysed in relation to potential impact on
standard investment appraisal variables. The paper presents a model for
doing this as a foundation from which further work can be developed. Two
example appraisals are presented to demonstrate the approach developed.
Journal: Journal of Property Research
Pages: 191-219
Issue: 3
Volume: 24
Year: 2007
Month: 9
X-DOI: 10.1080/09599910701599266
File-URL: http://hdl.handle.net/10.1080/09599910701599266
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Handle: RePEc:taf:jpropr:v:24:y:2007:i:3:p:191-219
Template-Type: ReDIF-Article 1.0
Author-Name: Alastair Adair
Author-X-Name-First: Alastair
Author-X-Name-Last: Adair
Author-Name: Jim Berry
Author-X-Name-First: Jim
Author-X-Name-Last: Berry
Author-Name: Norman Hutchison
Author-X-Name-First: Norman
Author-X-Name-Last: Hutchison
Author-Name: Stanley Mcgreal
Author-X-Name-First: Stanley
Author-X-Name-Last: Mcgreal
Title: Attracting Institutional Investment into Regeneration: Necessary Conditions for Effective Funding
Abstract:
At an international level, governments are increasingly seeking to ensure
greater involvement of the private sector in the financing and delivery of
regeneration and sustainable communities. In order to attract more private
finance, the public sector, in its more strategic role, seeks to create
confidence for the private sector to invest. However, the success of such
an approach depends on meaningful engagement between the public and
private sectors and, in particular, with the financial institutions. The
aim of the paper is to understand the needs of investing institutions and
to identify the likely constituents of a working model suitable for
encouraging institutional investment and bank finance into regeneration
schemes. A cross‐asset perspective (property, bonds/fixed income,
equities, private equity, hedge funds) is adopted, enabling an
understanding of both the asset allocation decision‐making process
and the criteria used in the investment selection procedure. Interviews
with fund managers explored the investment decision‐making process,
provided insights into risk/return criteria and mapped these across to the
characteristics that define different stages of the regeneration process.
The factors and inputs necessary in designing a regeneration investment
vehicle that spans the varying regeneration stages are parameterized and
options are forwarded.
Journal: Journal of Property Research
Pages: 221-240
Issue: 3
Volume: 24
Year: 2007
Month: 9
X-DOI: 10.1080/09599910701599282
File-URL: http://hdl.handle.net/10.1080/09599910701599282
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Handle: RePEc:taf:jpropr:v:24:y:2007:i:3:p:221-240
Template-Type: ReDIF-Article 1.0
Author-Name: Ingrid Nappi‐Choulet
Author-X-Name-First: Ingrid
Author-X-Name-Last: Nappi‐Choulet
Author-Name: Isabelle Maleyre
Author-X-Name-First: Isabelle
Author-X-Name-Last: Maleyre
Author-Name: Tristan‐Pierre Maury
Author-X-Name-First: Tristan‐Pierre
Author-X-Name-Last: Maury
Title: A Hedonic Model of Office Prices in Paris and its Immediate Suburbs
Abstract:
This paper applies the hedonic method to analysis the office transaction
prices for central Paris and its immediate suburbs. We concentrate on the
market's two main business districts (the CBD and La Défense). The aim of
the paper is to examine the impact of the property markets' spatial and
real estate characteristics on office transaction prices, and to compare
price cycles, in order to see whether these two business districts differ
from the overall office market comprised of Paris and its immediate
suburbs over the 1991--2005 study period. Finally, we propose a new
hedonic price index for the Paris office property market.
Journal: Journal of Property Research
Pages: 241-263
Issue: 3
Volume: 24
Year: 2007
Month: 9
X-DOI: 10.1080/09599910701599290
File-URL: http://hdl.handle.net/10.1080/09599910701599290
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Handle: RePEc:taf:jpropr:v:24:y:2007:i:3:p:241-263
Template-Type: ReDIF-Article 1.0
Author-Name: Craig Ellis
Author-X-Name-First: Craig
Author-X-Name-Last: Ellis
Author-Name: Patrick J. Wilson
Author-X-Name-First: Patrick J.
Author-X-Name-Last: Wilson
Author-Name: Ralf Zurbruegg
Author-X-Name-First: Ralf
Author-X-Name-Last: Zurbruegg
Title: Real Estate ‘Value’ Stocks and International Diversification
Abstract:
In recent years there has been an increased interest in the extent to
which managers can improve their property portfolio position through
international diversification. Much of this interest has centred on the
use of various statistical/econometric tests of time‐varying
correlations and long‐run equilibrium positions using whole of
country property indices. In this paper, a short‐run tactical asset
allocation approach to securitized property is adopted. Using neural
network methodology, a neural network model that ‘learns’
well‐established rules of portfolio investment is built. The model
uses a set of individual property companies across three of the most
highly securitized property markets in the world viz. the US, the UK and
Australia. The standpoint of a UK investor is adopted and the model is
asked to compare portfolios constructed purely from domestic assets with
portfolios constructed from internationally held assets allowing for
foreign exchange adjustments. When the foreign exchange risk is actively
managed, the outcomes from the analysis suggest that the gains from
hedging are conditional on both the return to the unhedged position and
the volatility of the underlying currency being hedged.
Journal: Journal of Property Research
Pages: 265-287
Issue: 3
Volume: 24
Year: 2007
Month: 9
X-DOI: 10.1080/09599910701599308
File-URL: http://hdl.handle.net/10.1080/09599910701599308
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Handle: RePEc:taf:jpropr:v:24:y:2007:i:3:p:265-287
Template-Type: ReDIF-Article 1.0
Author-Name: Anish Goorah
Author-X-Name-First: Anish
Author-X-Name-Last: Goorah
Title: Real Estate Risk Management with Copulas
Abstract:
Real estate risk management tools are traditionally based on
mean‐variance analysis. The non‐normal behaviour of
financial asset returns including real estate securities is a violation of
one of the fundamental assumptions of mean‐variance analysis. In
this paper, the pitfalls of using the correlation coefficient as a measure
of dependency are discussed first. The use of copulas as an alternative to
modelling the dependence structure and more generally as a
risk‐management tool is then proposed. Copula‐based
value‐at‐risk computations are also carried out. The results
confirm that the linear correlation measure is unable to capture the
dependence between the US and the UK publicly listed real estate
securities. The limitations of the joint multivariate normal distribution
are also shown.
Journal: Journal of Property Research
Pages: 289-311
Issue: 4
Volume: 24
Year: 2007
Month: 12
X-DOI: 10.1080/09599910801916162
File-URL: http://hdl.handle.net/10.1080/09599910801916162
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Handle: RePEc:taf:jpropr:v:24:y:2007:i:4:p:289-311
Template-Type: ReDIF-Article 1.0
Author-Name: Michio Naoi
Author-X-Name-First: Michio
Author-X-Name-Last: Naoi
Author-Name: Kazuto Sumita
Author-X-Name-First: Kazuto
Author-X-Name-Last: Sumita
Author-Name: Miki Seko
Author-X-Name-First: Miki
Author-X-Name-Last: Seko
Title: Earthquakes and the Quality of Life in Japan
Abstract:
Japan is famous for its earthquakes. How do households and firms respond
to this potentially devastating risk? How does earthquake risk affect
housing costs and wages? To answer these questions, we construct a Quality
of Life Index (QOLI) and estimate the social cost of earthquake risk among
cities/counties in Japan. The regional QOLI is obtained through estimating
the hedonic wage and housing rent regressions using household longitudinal
data covering all Japan. From the estimated results, we find that
earthquake risk has a significant impact on the overall quality of life in
Japanese prefectures, and that there are large city/county differences in
terms of the social cost of earthquake risk. Finally, we argue that the
large regional variation in the social cost of earthquakes arises from
earthquake insurance market imperfections -- crude and rough geographical
risk rating -- and propose a possible remedy for enhancing earthquake
insurance risk assessment.
Journal: Journal of Property Research
Pages: 313-334
Issue: 4
Volume: 24
Year: 2007
Month: 12
X-DOI: 10.1080/09599910801916212
File-URL: http://hdl.handle.net/10.1080/09599910801916212
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Handle: RePEc:taf:jpropr:v:24:y:2007:i:4:p:313-334
Template-Type: ReDIF-Article 1.0
Author-Name: Neil Dunse
Author-X-Name-First: Neil
Author-X-Name-Last: Dunse
Author-Name: Colin Jones
Author-X-Name-First: Colin
Author-X-Name-Last: Jones
Author-Name: Michael White
Author-X-Name-First: Michael
Author-X-Name-Last: White
Author-Name: Ed Trevillion
Author-X-Name-First: Ed
Author-X-Name-Last: Trevillion
Author-Name: Lulu Wang
Author-X-Name-First: Lulu
Author-X-Name-Last: Wang
Title: Modelling Urban Commercial Property Yields: Exogenous and Endogenous Influences
Abstract:
The starting point for this paper is the argument that increased weight
of money into commercial property in this decade has led to a convergence
of UK provincial city office yields. The paper begins by reviewing the
concept of a property yield cycle and the notion of a city risk premium,
and then considers exogenous and endogenous influences on the
determination of urban office yields. This provides the framework for the
empirical analysis. The study examines the trends in office yields in the
major provincial office centres of the UK over a period of more than 20
years. It reviews the changing city risk premiums relative to the City of
London, including their spread, over this period and relates this to the
weight of money invested in different provincial cities. This descriptive
analysis provides the context for the development of a formal model of
local office yields that is tested with a panel regression. The findings
suggest that there are some local or fixed effects on yields in different
cities and that exogenous investment funds are a significant influence in
the short term but not the long term.
Journal: Journal of Property Research
Pages: 335-354
Issue: 4
Volume: 24
Year: 2007
Month: 1
X-DOI: 10.1080/09599910801916261
File-URL: http://hdl.handle.net/10.1080/09599910801916261
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Handle: RePEc:taf:jpropr:v:24:y:2007:i:4:p:335-354
Template-Type: ReDIF-Article 1.0
Author-Name: Mark Callender
Author-X-Name-First: Mark
Author-X-Name-Last: Callender
Author-Name: Steven Devaney
Author-X-Name-First: Steven
Author-X-Name-Last: Devaney
Author-Name: Angela Sheahan
Author-X-Name-First: Angela
Author-X-Name-Last: Sheahan
Author-Name: Tony Key
Author-X-Name-First: Tony
Author-X-Name-Last: Key
Title: Risk Reduction and Diversification in UK Commercial Property Portfolios
Abstract:
The issue of diversification in direct real estate investment portfolios
has been widely studied in academic and practitioner literature. Most
work, however, has been done using either partially aggregated data or
data for small samples of individual properties. This paper reports
results from tests of both risk reduction and diversification that use the
records of 10,000+ UK properties tracked by Investment Property Databank.
It provides, for the first time, robust estimates of the diversification
gains attainable given the returns, risks and cross‐correlations
across the individual properties available to fund managers. The results
quantify the number of assets and amount of money needed to construct both
‘balanced’ and ‘specialist’ property
portfolios by direct investment. Target numbers will vary according to the
objectives of investors and the degree to which tracking error is
tolerated. The top‐level results are consistent with previous work,
showing that a large measure of risk reduction can be achieved with
portfolios of 30--50 properties, but full diversification of specific risk
can only be achieved in very large portfolios. However, the paper extends
previous work by demonstrating on a single, large dataset the implications
of different methods of calculating risk reduction, and also by showing
more disaggregated results relevant to the construction of specialist,
sector‐focussed funds.
Journal: Journal of Property Research
Pages: 355-375
Issue: 4
Volume: 24
Year: 2007
Month: 12
X-DOI: 10.1080/09599910801916279
File-URL: http://hdl.handle.net/10.1080/09599910801916279
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Handle: RePEc:taf:jpropr:v:24:y:2007:i:4:p:355-375
Template-Type: ReDIF-Article 1.0
Author-Name: Patrick Mcallister
Author-X-Name-First: Patrick
Author-X-Name-Last: Mcallister
Author-Name: Graeme Newell
Author-X-Name-First: Graeme
Author-X-Name-Last: Newell
Author-Name: George Matysiak
Author-X-Name-First: George
Author-X-Name-Last: Matysiak
Title: Agreement and Accuracy in Consensus Forecasts of the UK Commercial Property Market
Abstract:
Property forecasts are an integral part of the property investment
process at the strategic, tactical and individual asset levels. This study
investigates the nature, extent and patterns of disagreement and
uncertainty in the forecasts of UK property investors and their advisors.
In this paper, the Investment Property Forum's consensus forecasts from
1999--2004 are analysed. The study finds that property forecasting
organizations tend to exhibit the characteristics of a consensus,
potentially indicating a herding bias among forecasting organizations.
Given high levels of agreement and high levels of error in the consensus
forecasts, uncertainty in the property forecasts of the individual
organizations seem to be primarily generated by common factors rather than
by the individual forecasting organization itself. This is not a unique
feature of property market forecasters as non‐property forecasters
display similar patterns. A key source of uncertainty in the property
market forecasts of capital and total returns seems to have been due to
problems of forecasting yield shifts. The analysis suggests that there are
inefficiencies in property market forecasts.
Journal: Journal of Property Research
Pages: 1-22
Issue: 1
Volume: 25
Year: 2008
Month: 6
X-DOI: 10.1080/09599910802397040
File-URL: http://hdl.handle.net/10.1080/09599910802397040
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Handle: RePEc:taf:jpropr:v:25:y:2008:i:1:p:1-22
Template-Type: ReDIF-Article 1.0
Author-Name: Tien Foo Sing
Author-X-Name-First: Tien Foo
Author-X-Name-Last: Sing
Author-Name: C. F. Sirmans
Author-X-Name-First: C. F.
Author-X-Name-Last: Sirmans
Title: Does Real Estate Ownership Matter in Corporate Governance?
Abstract:
Does real estate ownership interact with corporate governance mechanisms
in influencing firm performance? Sirmans (1999) hypothesizes that firms
with substantial exposure to real estate risks require a different set of
governance mechanisms to ensure proper alignment of interest between
managers and shareholders. Our empirical tests, using a sample of 228
stocks listed on the Singapore Stock Exchange, show significant variations
in governance mechanisms adopted by firms with intensive real estate
holdings and other firms, after allowing for interdependence of
alternative mechanisms. The results also show that insider ownership is
significant and positively related to the Tobin's Q of sample firms.
However, when we control for real estate ownership of the sample firms,
the effect disappears. We further separate the sample firms into
homogeneous clusters based on their corporate governance mechanisms, and
test the relationship between governance and firm performance. We find
significant positive interactive effects of real estate ownership and
clustering of firms and their stock market abnormal returns. The stock
market responds favourably to real estate holdings of firms that are not
subject to shareholder voting problems. The empirical results do not
reject the Sirmans hypothesis.
Journal: Journal of Property Research
Pages: 23-43
Issue: 1
Volume: 25
Year: 2007
Month: 9
X-DOI: 10.1080/09599910802397065
File-URL: http://hdl.handle.net/10.1080/09599910802397065
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Handle: RePEc:taf:jpropr:v:25:y:2007:i:1:p:23-43
Template-Type: ReDIF-Article 1.0
Author-Name: Hamid Baghestani
Author-X-Name-First: Hamid
Author-X-Name-Last: Baghestani
Title: Consensus vs. Time‐series Forecasts of US 30‐year Home Mortgage Rates
Abstract:
Accurate forecasts of the 30‐year home mortgage rate (HMR) are
important to both US housing market participants and policymakers. This
study compares the consensus forecasts of the HMR from the Blue Chip panel
of experts with two benchmarks: the random walk forecasts (which are
basically the most recent HMR available at the time of the survey) and the
augmented‐autoregressive (A‐A) forecasts (which contain the
past information in both the HMR and trend rate of inflation). For
1992--2005, the Blue Chip forecasts are unbiased and accurately predict
directional change at the shorter but not longer forecast horizons. The
random walk and A‐A forecasts, in addition to outperforming the
Blue Chip, are unbiased and accurately predict directional change at
all forecast horizons. Further findings indicate that the
A‐A forecasts encompass those of the random walk, implying that the
predictive information in the trend rate of inflation helps improve
forecast accuracy. Therefore, one with access to these HMR forecasts would
clearly prefer the A‐A over the Blue Chip and random walk forecasts
in decision‐making.
Journal: Journal of Property Research
Pages: 45-60
Issue: 1
Volume: 25
Year: 2008
Month: 1
X-DOI: 10.1080/09599910802397073
File-URL: http://hdl.handle.net/10.1080/09599910802397073
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Handle: RePEc:taf:jpropr:v:25:y:2008:i:1:p:45-60
Template-Type: ReDIF-Article 1.0
Author-Name: Sjur Westgaard
Author-X-Name-First: Sjur
Author-X-Name-Last: Westgaard
Author-Name: Amund Eidet
Author-X-Name-First: Amund
Author-X-Name-Last: Eidet
Author-Name: Stein Frydenberg
Author-X-Name-First: Stein
Author-X-Name-Last: Frydenberg
Author-Name: Thor Christian Grosås
Author-X-Name-First: Thor Christian
Author-X-Name-Last: Grosås
Title: Investigating the Capital Structure of UK Real Estate Companies
Abstract:
This paper investigates determinants of capital structure in 308 UK real
estate companies. The data panel consists of accounting data from the
fiscal years 1998--2006. By using panel data regression we find the
significant factors influencing the capital structure of the selected
companies. Profitability, tangibility and size are positively related to
leverage, while asset turnover and earnings variability are negatively
related. The significant positive relation of profitability contradicts
major findings in the capital structure literature. Both the static
trade‐off theory and the pecking order theory are supported by the
signs of the determinants, however the former corresponds most. A
supplementary finding is that UK real estate companies face large
adjustment costs.
Journal: Journal of Property Research
Pages: 61-87
Issue: 1
Volume: 25
Year: 2008
Month: 8
X-DOI: 10.1080/09599910802397107
File-URL: http://hdl.handle.net/10.1080/09599910802397107
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Handle: RePEc:taf:jpropr:v:25:y:2008:i:1:p:61-87
Template-Type: ReDIF-Article 1.0
Author-Name: Abdul‐Rasheed Amidu
Author-X-Name-First: Abdul‐Rasheed
Author-X-Name-Last: Amidu
Author-Name: Bioye Tajudeen Aluko
Author-X-Name-First: Bioye
Author-X-Name-Last: Tajudeen Aluko
Author-Name: J. Andrew Hansz
Author-X-Name-First: J.
Author-X-Name-Last: Andrew Hansz
Title: Client Feedback Pressure and the Role of Estate Surveyors and Valuers
Abstract:
Feedback plays an important role in valuation behaviour and judgement
accuracy. In mortgage‐lending related assignments, client feedback
can blur the assignment objective and independent nature of valuation
judgements. This study investigates the importance of client feedback in
relationship to the assignment objective. A survey revealed that 33% of
sampled Nigerian estate surveyors and valuers had perceived role
perceptions as price validators. However, this perceived role perception
was not found to be statistically associated with feedback pressures that
clients may apply.
Journal: Journal of Property Research
Pages: 89-106
Issue: 2
Volume: 25
Year: 2008
Month: 1
X-DOI: 10.1080/09599910802590982
File-URL: http://hdl.handle.net/10.1080/09599910802590982
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Handle: RePEc:taf:jpropr:v:25:y:2008:i:2:p:89-106
Template-Type: ReDIF-Article 1.0
Author-Name: Paul Greenhalgh
Author-X-Name-First: Paul
Author-X-Name-Last: Greenhalgh
Title: An Examination of Business Occupier Relocation Decision Making: Distinguishing Small and Large Firm Behaviour
Abstract:
This paper explores how business occupiers decide
whether and where to relocate. It captures the experience and behaviour of
a range of sizes and types of business occupier and subjects their
decision‐making processes to detailed scrutiny. A linear
three‐stage decision model is used to sequence and structure
interviews with individuals who have intimate involvement with the
relocation of 28 firms and organizations in Tyne and Wear, in the
north‐east of England. The ‘constant comparative’
method is used to analyse the interview data, from which emerges 18 key
concepts, comprising 51 characteristic components. Using an axial
approach, these are organized into 10 cross‐cutting themes that
represent the main areas of consideration or influence on the thinking of
the people involved in determining whether a firm or organization should
relocate and, if so, where to. The resulting analysis finds that
organizations adopt varying degrees of sophistication when making
relocation decisions; small firms are more inclined to make decisions
based on constrained information; larger organizations adopt a more
complex approach. Regardless of firm size, key individuals exert
considerable influence over the decision‐making process and its
outcome.
Journal: Journal of Property Research
Pages: 107-126
Issue: 2
Volume: 25
Year: 2008
Month: 11
X-DOI: 10.1080/09599910802605368
File-URL: http://hdl.handle.net/10.1080/09599910802605368
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Handle: RePEc:taf:jpropr:v:25:y:2008:i:2:p:107-126
Template-Type: ReDIF-Article 1.0
Author-Name: Kim Hiang Liow
Author-X-Name-First: Kim Hiang
Author-X-Name-Last: Liow
Title: Financial Crisis and Asian Real Estate Securities Market Interdependence: Some Additional Evidence
Abstract:
This paper investigates empirically the changes in long‐run
relationship and short‐term linkage among the US, UK and eight
Asian real estate securities markets before, during, and after the
1997--1998 Asian financial crisis as well as in the most recent period.
Using a combination of Johansen linear cointegration, Bierens nonlinear
cointegration, Granger causality tests, variance decomposition analysis
and volatility spillover methodology, our results indicate that the degree
of market interdependence in Asian real estate securities markets appears
to have become stronger in the long run and short term since the Asian
financial crisis. Further, this market interdependence seems to be on a
rising trend ten years after the Asian financial crisis. This stronger
market relationship between the Asian and US markets implies a portfolio
combination of these markets is less likely to provide diversification
benefit in the form of minimum risk. One important lesson to learn from
our study is that portfolio managers should constantly review their
international diversification models and strategies with respect to the
constituent markets because of possible changes in market interdependence
triggered by a major crisis.
Journal: Journal of Property Research
Pages: 127-155
Issue: 2
Volume: 25
Year: 2008
Month: 11
X-DOI: 10.1080/09599910802605400
File-URL: http://hdl.handle.net/10.1080/09599910802605400
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Handle: RePEc:taf:jpropr:v:25:y:2008:i:2:p:127-155
Template-Type: ReDIF-Article 1.0
Author-Name: Patrick J. Wilson
Author-X-Name-First: Patrick J.
Author-X-Name-Last: Wilson
Author-Name: Ralf Zurbruegg
Author-X-Name-First: Ralf
Author-X-Name-Last: Zurbruegg
Title: Big City Difference? Another Look at Factors Driving House Prices
Abstract:
The purpose of this paper is to re‐examine the issue of whether
inter‐urban housing markets can be modelled using a set of common
economic fundamentals (such as economic growth, employment and the like).
This is a timely analysis in view of the current widespread interest in
housing markets as a result of the fall‐out from the housing
sub‐prime crisis in the United States. House prices and economic
fundamentals within each city are tested for cointegration and, in the
event of a cointegrating relationship being found, restriction tests are
applied to ascertain whether particular economic fundamentals can be
excluded from the long‐run equilibrium house price model for that
city, and whether the given fundamental contributes to speed of adjustment
back to equilibrium once a disturbance has taken place. This allows a test
of whether the given factor/s can be considered a long‐run driver/s
of house prices in each city. The main finding is that there are clear
differences across Australian state capitals in long‐run driving
factors for house prices.
Journal: Journal of Property Research
Pages: 157-177
Issue: 2
Volume: 25
Year: 2008
Month: 11
X-DOI: 10.1080/09599910802607810
File-URL: http://hdl.handle.net/10.1080/09599910802607810
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Handle: RePEc:taf:jpropr:v:25:y:2008:i:2:p:157-177
Template-Type: ReDIF-Article 1.0
Author-Name: Roland Andersson
Author-X-Name-First: Roland
Author-X-Name-Last: Andersson
Author-Name: Mats Wilhelmsson
Author-X-Name-First: Mats
Author-X-Name-Last: Wilhelmsson
Title: How can Regional Differences in the Risk‐of‐Foreclosure be Explained? Evidence from Swedish Single Family Housing Markets
Abstract:
In Sweden, quite large differences in the
risk‐of‐foreclosure for single‐family housing exist
between regions. The aim of this paper is to explain such differences,
using data on foreclosures for all Swedish regions. In an
option‐based model, the risk‐of‐foreclosure is a
function of such things as housing prices and incomes, as well as interest
rate and housing price volatility. Instead of using housing prices and
incomes to explain the risk of foreclosure, we use explaining variables in
the labor market model. The main results indicate that the
option‐based model explains the variation in foreclosure rates.
Specifically, interest rate -- together with price volatility, price
changes, price and rent level, income, and employment -- explains around
one‐third of the total regional variation. Our extended
option‐based model explains slightly more. Specialization within
the industrial sector seems to have a positive effect on foreclosure risk
in that it, together with the educational level of the workforce, reduces
the risk. Specifically, mortgage lenders and banks can reduce their risk
by concentrating their business on dense regions with a high degree of
employment within the manufacturing industry and with a higher educational
level of the workforce.
Journal: Journal of Property Research
Pages: 179-202
Issue: 3
Volume: 25
Year: 2008
Month: 12
X-DOI: 10.1080/09599910802696508
File-URL: http://hdl.handle.net/10.1080/09599910802696508
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:25:y:2008:i:3:p:179-202
Template-Type: ReDIF-Article 1.0
Author-Name: C. Y. Yiu
Author-X-Name-First: C. Y.
Author-X-Name-Last: Yiu
Author-Name: K. F. Man
Author-X-Name-First: K. F.
Author-X-Name-Last: Man
Author-Name: S. K. Wong
Author-X-Name-First: S. K.
Author-X-Name-Last: Wong
Title: Trading Volume and Price Dispersion in Housing Markets
Abstract:
The positive volume‐price (return) relationship has been
intensively studied and confirmed in both financial and real estate
markets, yet their theoretic models offered few direct empirical support.
This paper puts forward a liquidity premium model which explains the
volume‐price (return) relationship by the volume‐price
dispersion relationship. We posit that the extent of price dispersion
depends on the level of price information available in the market
(measured by the volume of past comparable transactions). The model is
tested empirically in two sample periods on the transactions of housing
units of an estate in Hong Kong from February 1992 to September 2000
(11,267 transactions), and from May 1991 to May 2008 (18,368
transactions), respectively. The results support our theoretical
prediction that the magnitude of price dispersion, as measured by the
residuals of a hedonic pricing model, is negatively and significantly
related with the volume of transactions in the past 10‐day and
30‐day period windows. It implies that an increase in liquidity
reduces pricing error risk, which in turn reduces the required risk
premium in buyers' offering price, and thus a positive volume‐price
(return) relationship.
Journal: Journal of Property Research
Pages: 203-219
Issue: 3
Volume: 25
Year: 2008
Month: 12
X-DOI: 10.1080/09599910802696615
File-URL: http://hdl.handle.net/10.1080/09599910802696615
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:25:y:2008:i:3:p:203-219
Template-Type: ReDIF-Article 1.0
Author-Name: Kenji Kutsuna
Author-X-Name-First: Kenji
Author-X-Name-Last: Kutsuna
Author-Name: William Dimovski
Author-X-Name-First: William
Author-X-Name-Last: Dimovski
Author-Name: Robert Brooks
Author-X-Name-First: Robert
Author-X-Name-Last: Brooks
Title: The Pricing and Underwriting Costs of Japanese REIT IPOs
Abstract:
This study investigates 40 Japanese REIT IPOs during 2001 to 2006 and
finds evidence that higher final offer prices are reflected in higher
underpricing levels by such IPOs. There is also some evidence that the
engagement of one of the big three Japanese underwriting firms suggests
less money is left on the table. Economies of scale in underwriting fees
for Japanese REIT IPOs are also found. Specifically, the percentage
underwriting fees decrease with higher amounts of equity capital sought
but the percentage fee decreases at a diminishing rate.
Journal: Journal of Property Research
Pages: 221-239
Issue: 3
Volume: 25
Year: 2008
Month: 11
X-DOI: 10.1080/09599910802696649
File-URL: http://hdl.handle.net/10.1080/09599910802696649
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:25:y:2008:i:3:p:221-239
Template-Type: ReDIF-Article 1.0
Author-Name: Zaiton Ali
Author-X-Name-First: Zaiton
Author-X-Name-Last: Ali
Author-Name: Stanley McGreal
Author-X-Name-First: Stanley
Author-X-Name-Last: McGreal
Author-Name: Alastair Adair
Author-X-Name-First: Alastair
Author-X-Name-Last: Adair
Author-Name: James R. Webb
Author-X-Name-First: James R.
Author-X-Name-Last: Webb
Author-Name: Stephen E. Roulac
Author-X-Name-First: Stephen E.
Author-X-Name-Last: Roulac
Title: Corporate Real Estate Strategies and Financial Performance of Companies
Abstract:
This study analyzes the relationship between Corporate Real Estate (CRE)
strategy and the financial performance of major companies in the UK for
two time periods, 1998 and 2003. The identification of specific CRE
strategies is based on the seminal work of Nourse and Roulac (1993). The
results indicate that more than 75% of the companies examined had a CRE
strategy that could be mapped to the Nourse and Roulac framework and that
certain CRE strategies made a contribution in enhancing the financial
performance of companies. The relationship was stronger for companies in
2003 than for 1998. This was tested for both share price and profit margin
as the dependent variable. This study concludes that CRE strategy can make
a limited contribution to company financial performance.
Journal: Journal of Property Research
Pages: 241-267
Issue: 3
Volume: 25
Year: 2008
Month: 12
X-DOI: 10.1080/09599910802696722
File-URL: http://hdl.handle.net/10.1080/09599910802696722
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:25:y:2008:i:3:p:241-267
Template-Type: ReDIF-Article 1.0
Author-Name: P. McAllister
Author-X-Name-First: P.
Author-X-Name-Last: McAllister
Author-Name: C. Hughes
Author-X-Name-First: C.
Author-X-Name-Last: Hughes
Author-Name: P. Gallimore
Author-X-Name-First: P.
Author-X-Name-Last: Gallimore
Title: Principal‐agent Issues in Asset Acquisition: UK Institutions and their Investment Agents
Abstract:
Summary This paper explores principal‐agent issues
in the stock selection processes of institutional property investors.
Drawing upon an interview survey of fund managers and acquisition
professionals, it focuses on the relationships between principals and
external agents as they engage in property transactions. The research
investigated the extent to which the presence of outcome‐based
remuneration structures could lead to biased advice, overbidding and/or
poor asset selection. It is concluded that institutional property buyers
are aware of incentives for opportunistic behaviour by external agents,
often have sufficient expertise to robustly evaluate agents’ advice
and that these incentives are counter‐balanced by a number of
important controls on potential opportunistic behaviour. There are strong
counter‐incentives in the need for the agents to establish personal
relationships and trust between themselves and institutional buyers, to
generate repeat and related business and to preserve or generate a good
reputation in the market.
Journal: Journal of Property Research
Pages: 269-283
Issue: 4
Volume: 25
Year: 2009
Month: 2
X-DOI: 10.1080/09599910902837010
File-URL: http://hdl.handle.net/10.1080/09599910902837010
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:25:y:2009:i:4:p:269-283
Template-Type: ReDIF-Article 1.0
Author-Name: Kim Hiang Liow
Author-X-Name-First: Kim Hiang
Author-X-Name-Last: Liow
Author-Name: James R. Webb
Author-X-Name-First: James R.
Author-X-Name-Last: Webb
Title: Nonlinear Return Dependence in Major Real Estate Markets
Abstract:
Summary The major contribution of this paper is to
recognize the possible presence of nonlinear return dependence in six
major real estate markets (the US, UK, Japan, Australia, Hong Kong and
Singapore) as well the resulting implications on return predictability and
market interdependence. We employ the Brock, Derchert & Scheinkman (BDS)
test and a nonlinear logistic model to analyse the temporal variation of
securitized and hedged market returns in these markets using unconditional
and conditional risk‐return specifications. Our results do not
imply conclusively the existence of deterministic nonlinear return
behaviour in these markets but are consistent with its existence in some
cases. Further evidence of varying levels of market co‐movement
among the major real estate markets as well as with the Morgan Stanley
Capital International (MSCI) world stock market is documented for these
series after accounting for the deterministic nonlinearities in self
returns. The analyses also suggest a need to account for nonlinear
behaviour in forecasting models in order to obtain potentially more
accurate real estate return forecasts. Finally, global investors need to
be more cautious in formulating their portfolio diversification strategies
since gains from diversification may diminish in the long run if real
estate markets are in fact nonlinear in an international environment.
Journal: Journal of Property Research
Pages: 285-319
Issue: 4
Volume: 25
Year: 2008
Month: 12
X-DOI: 10.1080/09599910902837036
File-URL: http://hdl.handle.net/10.1080/09599910902837036
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:25:y:2008:i:4:p:285-319
Template-Type: ReDIF-Article 1.0
Author-Name: K. C. Lam
Author-X-Name-First: K. C.
Author-X-Name-Last: Lam
Author-Name: C. Y. Yu
Author-X-Name-First: C. Y.
Author-X-Name-Last: Yu
Author-Name: K. Y. Lam
Author-X-Name-First: K. Y.
Author-X-Name-Last: Lam
Title: An Artificial Neural Network and Entropy Model for Residential Property Price Forecasting in Hong Kong
Abstract:
Summary Traditional approaches for housing price
prediction fall short of accuracy, as it is difficult to identify a set of
variables and account for their weightings when conducting forecasting.
This study aims to explore an effective and efficient mathematical model
for the housing price forecasting, so as to help developers, purchasers
and financial institutes to obtain more reasonable property pricing
through better decision‐making in the context of the fluctuant
property market in Hong Kong. It began with a review of the macro and
micro factors that affect the housing price and an entropy‐based
rating and weighting model was presented with the aim of providing
objectives and reasonable weighting to these variables. Then based on the
key variables, the predictive ability of artificial neural networks (ANNs)
was examined. In the empirical study, data were quantified and scaled with
reasonable assumptions. Various networks were designed to examine the
performance of ANN towards different parameters. Different sample sizes
and different sets of input variables, together with different net
structures and net types were undertaken to test the accuracy of ANN. From
the comparison results of the R squared, as well as the mean absolute
errors, the authors found that ANN performs well in forecasting with
smaller sample size and standard net type. The overall results of this
research demonstrated that the integration of Entropy and ANN can serve
desirable function in the housing price forecasting progress.
Journal: Journal of Property Research
Pages: 321-342
Issue: 4
Volume: 25
Year: 2008
Month: 11
X-DOI: 10.1080/09599910902837051
File-URL: http://hdl.handle.net/10.1080/09599910902837051
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:25:y:2008:i:4:p:321-342
Template-Type: ReDIF-Article 1.0
Author-Name: F. Nikoi Hammond
Author-X-Name-First: F. Nikoi
Author-X-Name-Last: Hammond
Title: Marginal Benefits of Land Policies in Ghana
Abstract:
Summary Factorial design statistical techniques have been
employed to provide indications of the magnitude of economic benefits
associated with the variety of extant land policies in Ghana. Knowledge of
the scale of benefits associated with particular land policies or
combination of land policies is a vital input for prospective policy
decisions. The theoretical basis here is the widely accepted economic
theory that the benefits associated with an attribute of a commodity or
service is reflected in the unique contributions it makes to the price of
the commodity or service. On this score, in this work, each of the
different brands of land policies in Ghana was found to be making some
unique beneficial contributions to the economy, albeit at varying degrees.
The distributive land policy brand emerged as the most beneficial.
Distributive land policy empowers the government to compulsorily acquire
land parcels, subject to the full payment of
compensation, which are subsequently serviced and allocated to
private developers -- individuals and institutions for development. This
high performance may be ascribed to the substantially unmatched levels of
heavy government infrastructure investments and the somewhat superior
management of lands within the affected communities by the responsible
government departments. At the other end, despite the almost universal
veneration of land titling, it was discovered that land titling indeed
makes, rather surprisingly, insignificant beneficial contributions.
Further evidence discovered was that the benefits produced by the
respective policy brands are neither additive nor multiplicative.
Actually, in localities in which all the various policies apply
concurrently, which is possible in practice, the interactions of the
policies nullifies the significance of their respective unique beneficial
effects. An important implication from this finding is that extra costs
incurred in complying with all the various land policy brands concurrently
bring in no independent extra economic benefits. This suggests further
that any land policy reform, such as the ongoing land administration
project in Ghana, must focus attention on restructuring the existing land
formalization arrangements and to rationalize government infrastructure
investments in ways that will promote higher benefits from the
nation’s land markets.
Journal: Journal of Property Research
Pages: 343-362
Issue: 4
Volume: 25
Year: 2009
Month: 2
X-DOI: 10.1080/09599910902837069
File-URL: http://hdl.handle.net/10.1080/09599910902837069
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:25:y:2009:i:4:p:343-362
Template-Type: ReDIF-Article 1.0
Author-Name: Song Shi
Author-X-Name-First: Song
Author-X-Name-Last: Shi
Author-Name: Martin Young
Author-X-Name-First: Martin
Author-X-Name-Last: Young
Author-Name: Bob Hargreaves
Author-X-Name-First: Bob
Author-X-Name-Last: Hargreaves
Title: The ripple effect of local house price movements in New Zealand
Abstract:
Utilising a selection of 10 urban area data sets in New Zealand for the
period 1994--2004, we examine local house price co‐movements by
using various house price indexing approaches, at a monthly level.
Applying the Granger causality test based on a vector error correction
model (VECM), where seasonality is considered by using seasonal dummy
variables, we found in the long run that the ripple effect is most likely
constrained within regions. There is little evidence to suggest that the
ripple effect will spread nationally between main regional centres. The
results support the theory that the ripple effect is likely to be caused
by a region’s internal economic factors rather than migration and
spatial arbitrage.
Journal: Journal of Property Research
Pages: 1-24
Issue: 1
Volume: 26
Year: 2009
Month: 4
X-DOI: 10.1080/09599910903289880
File-URL: http://hdl.handle.net/10.1080/09599910903289880
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:26:y:2009:i:1:p:1-24
Template-Type: ReDIF-Article 1.0
Author-Name: Shi Ming Yu
Author-X-Name-First: Shi Ming
Author-X-Name-Last: Yu
Author-Name: Kim Hiang Liow
Author-X-Name-First: Kim Hiang
Author-X-Name-Last: Liow
Title: Do retail firms benefit from real estate ownership?
Abstract:
In this study, we investigate the role of real estate as a contributor to
retailers’ corporate wealth. Employing a sample of 556 retail firms
and data from 2001--2006, we first estimate and compare five popular stock
market performance measures: median return, total risk, systematic risk,
Sharpe Index and Jensen abnormal performance return index for the
‘composite’ and ‘business’ retail firms across
three geographical regions and nine retail segments. Then we investigate
if there is a statistically significant linear relationship between the
relative property levels and incremental stock market performance
measures. Overall, the results indicate that, although higher levels of
real estate ownership are associated with better stock market performance,
these incremental positive performance benefits are subject to diminishing
return to scale. As retail firms do generally hold some form of real
estate, these findings are significant for their strategic investment
decisions.
Journal: Journal of Property Research
Pages: 25-60
Issue: 1
Volume: 26
Year: 2009
Month: 2
X-DOI: 10.1080/09599910903290003
File-URL: http://hdl.handle.net/10.1080/09599910903290003
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:26:y:2009:i:1:p:25-60
Template-Type: ReDIF-Article 1.0
Author-Name: Tim Dixon
Author-X-Name-First: Tim
Author-X-Name-Last: Dixon
Author-Name: Gina Ennis‐Reynolds
Author-X-Name-First: Gina
Author-X-Name-Last: Ennis‐Reynolds
Author-Name: Claire Roberts
Author-X-Name-First: Claire
Author-X-Name-Last: Roberts
Author-Name: Sally Sims
Author-X-Name-First: Sally
Author-X-Name-Last: Sims
Title: Is there a demand for sustainable offices? An analysis of UK business occupier moves (2006--2008)
Abstract:
‘Sustainable’ or ‘green’ commercial buildings
are frequently seen as a growth sector in the property investment market.
This research examines the emergence of sustainable commercial buildings
in both the UK and overseas. The empirical part of the paper is based on a
telephone survey of 50 UK corporate (private sector) occupiers taking
leased and owner--occupied office space, which was carried out during the
period of April to November 2008. The survey focused on actual moves made
within the previous two years, or moves that were imminent during
2006--2008. The research suggests that although there is an emerging and
increasing demand for sustainable offices in the UK, other factors such as
location and availability of stock continue to remain more important than
sustainability in determining occupiers’ final choice of office.
Occupiers who moved to a Building Research Establishment Environmental
Assessment Method (BREEAM)‐rated building, and were in business
sectors with strong environmental and corporate responsibility policies,
placed more emphasis on sustainability than other groups in the final
choice of office, but location and availability remained paramount.
Journal: Journal of Property Research
Pages: 61-85
Issue: 1
Volume: 26
Year: 2009
Month: 6
X-DOI: 10.1080/09599910903290052
File-URL: http://hdl.handle.net/10.1080/09599910903290052
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:26:y:2009:i:1:p:61-85
Template-Type: ReDIF-Article 1.0
Author-Name: Deborah S. Levy
Author-X-Name-First: Deborah S.
Author-X-Name-Last: Levy
Author-Name: Christina K.C. Lee
Author-X-Name-First: Christina K.C.
Author-X-Name-Last: Lee
Title: Switching behaviour in property related professional services
Abstract:
Traditionally, when trying to understand property markets researchers
have tended to take a positivist approach and assume rational
decision‐making behaviour. More recently, however, alternative
non‐positivist approaches have been used to understand the
behaviour of the different participants within these markets. These
approaches allow us to discover the importance of social structures and
processes. This paper explores social processes within the context of
clients and providers of professional property services within the
Auckland market. Customer retention and loyalty is a major goal of
property service providers because of the negative impact of lost
customers on a company’s profit and market share. It is thus
important for any service provider to ascertain the reasons for their
clients’ decisions to leave them for their competitors. A
considerable amount of work in the marketing literature has explored the
customer’s decision to switch from one service provider to another.
Little research, however, has been undertaken in the context of property
service providers. This paper investigates customers’ reasons for
switching property service providers within a
business‐to‐business context. The method for this study is
by means of in‐depth interviews with a number of experienced
clients who regularly use the services of valuers, real estate agents,
architects and lawyers. The results uncover several key reasons for
switching across different types of service providers and clients within
the context of property markets.
Journal: Journal of Property Research
Pages: 87-103
Issue: 1
Volume: 26
Year: 2009
Month: 3
X-DOI: 10.1080/09599910903290060
File-URL: http://hdl.handle.net/10.1080/09599910903290060
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:26:y:2009:i:1:p:87-103
Template-Type: ReDIF-Article 1.0
Author-Name: Darren K. Hayunga
Author-X-Name-First: Darren K.
Author-X-Name-Last: Hayunga
Author-Name: Clifford P. Stephens
Author-X-Name-First: Clifford P.
Author-X-Name-Last: Stephens
Title: Dividend behaviour of US equity REITs
Abstract:
A new era began for US equity Real Estate Investment Trusts (REITs)
around 1992. This study is the first to document the dividend smoothing,
determinants of dividend payouts, and the market reaction to dividend
announcements of the modern REIT. We find the Lintner (1956) smoothing
parameter suggests a high level of dividend smoothing in quarterly data
and, although we observe substantially less smoothing in the annual data,
modern REITs smooth dividends at least as much as their industrial
counterparts. Beyond the dividend paid last period and contemporaneous
earnings, usual determinants of dividend behaviour in non‐REIT
firms are not economically significant, which is a departure from
old‐era REITs. Additionally, as compared with non‐REIT
firms, we find muted excess stock returns upon announcements of dividend
changes. Overall, our findings suggest that managers set a stable (smooth)
dividend policy even in the relative absence of market imperfections.
Journal: Journal of Property Research
Pages: 105-123
Issue: 2
Volume: 26
Year: 2009
Month: 9
X-DOI: 10.1080/09599910903441549
File-URL: http://hdl.handle.net/10.1080/09599910903441549
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:26:y:2009:i:2:p:105-123
Template-Type: ReDIF-Article 1.0
Author-Name: Graeme Newell
Author-X-Name-First: Graeme
Author-X-Name-Last: Newell
Author-Name: Chau Kwong Wing
Author-X-Name-First: Chau Kwong
Author-X-Name-Last: Wing
Author-Name: Wong Siu Kei
Author-X-Name-First: Wong Siu
Author-X-Name-Last: Kei
Author-Name: Liow Kim Hiang
Author-X-Name-First: Liow Kim
Author-X-Name-Last: Hiang
Title: The significance and performance of property securities markets in the Asian IFCs
Abstract:
This paper assesses the significance, risk‐adjusted performance
and portfolio diversification benefits of the listed property securities
markets in the Asian international financial centres (IFCs) of Tokyo,
Singapore and Hong Kong over January 1998 -- March 2008, contrasting this
performance to six major non‐IFC markets in Asia. Significant
risk‐adjusted returns are evident for these Asian IFCs, with this
having been enhanced in recent years. Portfolio diversification benefits
are also evident for these Asian IFCs; however, superior portfolio
diversification benefits are provided by the Asian non‐IFC markets
in a pan‐Asia property portfolio context for global investors.
These results highlight the need for global investors in the Asian markets
to include both the major IFC markets and the non‐IFC markets to
achieve effective portfolio diversification benefits in their
pan‐Asia property portfolios.
Journal: Journal of Property Research
Pages: 125-148
Issue: 2
Volume: 26
Year: 2009
Month: 10
X-DOI: 10.1080/09599910903441721
File-URL: http://hdl.handle.net/10.1080/09599910903441721
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:26:y:2009:i:2:p:125-148
Template-Type: ReDIF-Article 1.0
Author-Name: Xiaorong Zhou
Author-X-Name-First: Xiaorong
Author-X-Name-Last: Zhou
Author-Name: Alan J. Ziobrowski
Author-X-Name-First: Alan J.
Author-X-Name-Last: Ziobrowski
Title: An investigation into REIT performance persistency
Abstract:
Using equity real estate investment trust (EREIT) returns from the
CRSP/Ziman REITs database, portfolios of Real Estate Investment Trusts
(REITs) are ranked based on past performance and evaluated for persistence
in future years using various performance measurement models. After
adjusting for risk with Carhart’s (1997) 4‐factor model, we
find no evidence of persistence. However, we do find strong evidence of
performance reversal with two‐year and three‐year lagged
return periods and holding periods. The results suggest investors tend to
overreact based on long‐term performance records. Thus investors
seem to take a much longer period of time to formulate an opinion
regarding a REIT’s performance record than previously assumed by
earlier researchers.
Journal: Journal of Property Research
Pages: 149-170
Issue: 2
Volume: 26
Year: 2009
Month: 9
X-DOI: 10.1080/09599910903441762
File-URL: http://hdl.handle.net/10.1080/09599910903441762
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:26:y:2009:i:2:p:149-170
Template-Type: ReDIF-Article 1.0
Author-Name: Alexander Schätz
Author-X-Name-First: Alexander
Author-X-Name-Last: Schätz
Author-Name: Steffen Sebastian
Author-X-Name-First: Steffen
Author-X-Name-Last: Sebastian
Title: The links between property and the economy -- evidence from the British and German markets
Abstract:
This study supplies empirical evidence on the dynamic interactions
between the property markets in Germany and the United Kingdom and their
country‐specific macroeconomic environment. Using a VECM framework,
the findings contribute to improving the evaluation of the
properties’ behaviour by considering a wide range of macroeconomic
risk factors. On a long‐term basis, we find remarkable similarities
between both examined real estate markets with respect to significance,
signs and magnitude of coefficients, despite essential differences in
terms of market structure, conditions and performance. This suggests that
the fundamental role of property markets in an economy dominates the
country‐specific characteristics in the long run. However, the
distinctive features of the national property markets, including
differences with respect to the financial systems, are primarily relevant
during the short‐term adjustment process back to the
long‐term equilibrium.
Journal: Journal of Property Research
Pages: 171-191
Issue: 2
Volume: 26
Year: 2009
Month: 9
X-DOI: 10.1080/09599910903441788
File-URL: http://hdl.handle.net/10.1080/09599910903441788
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:26:y:2009:i:2:p:171-191
Template-Type: ReDIF-Article 1.0
Author-Name: Giovanni Marseguerra
Author-X-Name-First: Giovanni
Author-X-Name-Last: Marseguerra
Author-Name: Flavia Cortelezzi
Author-X-Name-First: Flavia
Author-X-Name-Last: Cortelezzi
Title: Debt financing and real estate investment timing decisions
Abstract:
The paper analyses the interaction between investment and financing
decisions in a real option framework. In our model, the owner of an
undeveloped real estate property (the asset in place) has the option to
decide whether and when to develop/abandon his property. We show that debt
financing induces the firm to invest earlier than in the pure equity
financing case. Moreover, the incentive to anticipate the investment
decisions increases with the amount of debt.
Journal: Journal of Property Research
Pages: 193-212
Issue: 3
Volume: 26
Year: 2009
Month: 6
X-DOI: 10.1080/09599911003669625
File-URL: http://hdl.handle.net/10.1080/09599911003669625
File-Format: text/html
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Handle: RePEc:taf:jpropr:v:26:y:2009:i:3:p:193-212
Template-Type: ReDIF-Article 1.0
Author-Name: K.C. Lam
Author-X-Name-First: K.C.
Author-X-Name-Last: Lam
Author-Name: C.Y. Yu
Author-X-Name-First: C.Y.
Author-X-Name-Last: Yu
Author-Name: C.K. Lam
Author-X-Name-First: C.K.
Author-X-Name-Last: Lam
Title: Support vector machine and entropy based decision support system for property valuation
Abstract:
Property valuation is crucial to real estate developers, financial
institutions and buyers as it could help determine the financial
viability, establish a fair value of a real estate scheme, and eliminate
the risk of borrowing respectively. Advanced mathematical algorithms such
as artificial neural network (ANN) and support vector machine (SVM) may
open up new ways to improve the valuation accuracy. This research aims to
present an overview of the potential suitability of the SVM technique for
property valuation. It is proceeded by identifying the key variables which
could affect the property price. An entropy‐based rating and
weighting method has been presented with the aim of providing objective
and reasonable weighting. Then, based on the key variables, the predictive
ability of SVM is compared with multiple regression analysis (MRA) and ANN
outcomes. The results obtained from practical case studies in Hong Kong
and mainland China indicate that, entropy and SVM serve better function
for factor weighting and property valuation respectively. Hence, an
entropy and SVM based decision support system is proposed, in which the
key variable selection and the price valuation are integrated.
Journal: Journal of Property Research
Pages: 213-233
Issue: 3
Volume: 26
Year: 2009
Month: 8
X-DOI: 10.1080/09599911003669674
File-URL: http://hdl.handle.net/10.1080/09599911003669674
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Handle: RePEc:taf:jpropr:v:26:y:2009:i:3:p:213-233
Template-Type: ReDIF-Article 1.0
Author-Name: Olof Netzell
Author-X-Name-First: Olof
Author-X-Name-Last: Netzell
Title: A study of micro‐level variation in appraisal‐based capitalisation rates
Abstract:
This paper explores how appraisal‐based going‐in and exit
capitalisation (cap) rates vary on the micro‐level, i.e. how they
differ from property to property. The studied database consists of 3022
discounted cash flow market valuations of office properties in Stockholm,
Gothenburg and Malmö during 1998--2004. The purpose of the paper is
to test the ‘rationality’ of Swedish office property
valuations. By rationality is meant the extent to which appraisals, in
particular appraisal cap rates, follow from economic theory. This is an
important issue since commercial property markets rely heavily on
valuations. Cap rates are regressed on characteristics of the property,
other valuer assumptions regarding the property (i.e. the
property’s market rent) and variables that capture broad time
series variation in cap rates. For the most part the studied appraisals
follow the expected pattern. They do not exhibit major evidence of
irrationality in the above mentioned sense though some of the findings
point to the need for further research.
Journal: Journal of Property Research
Pages: 235-263
Issue: 3
Volume: 26
Year: 2009
Month: 9
X-DOI: 10.1080/09599911003669682
File-URL: http://hdl.handle.net/10.1080/09599911003669682
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Handle: RePEc:taf:jpropr:v:26:y:2009:i:3:p:235-263
Template-Type: ReDIF-Article 1.0
Author-Name: Matthieu Dulguerov
Author-X-Name-First: Matthieu
Author-X-Name-Last: Dulguerov
Title: Real estate and portfolio risk: an analysis based on copula functions
Abstract:
This article examines the risk‐return trade‐off of a
mixed‐asset portfolio that includes real estate using copula
functions. In particular, it analyses the role of direct as opposed to
securitised real estate in terms of diversification when the dependence
structure is modelled by an appropriate copula. The empirical analysis is
conducted using Swiss data for the period 1987--2003. It is shown that a
better portfolio diversification is obtained with indirect than with
direct real estate. This finding has important practical consequences for
asset allocation decisions.
Journal: Journal of Property Research
Pages: 265-280
Issue: 3
Volume: 26
Year: 2009
Month: 9
X-DOI: 10.1080/09599911003669708
File-URL: http://hdl.handle.net/10.1080/09599911003669708
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Handle: RePEc:taf:jpropr:v:26:y:2009:i:3:p:265-280
Template-Type: ReDIF-Article 1.0
Author-Name: Liow Kim Hiang
Author-X-Name-First: Liow Kim
Author-X-Name-Last: Hiang
Author-Name: Seow Eng Ong
Author-X-Name-First: Seow Eng
Author-X-Name-Last: Ong
Title: Editorial
Journal: Journal of Property Research
Pages: 281-282
Issue: 4
Volume: 26
Year: 2009
Month: 12
X-DOI: 10.1080/09599916.2009.500476
File-URL: http://hdl.handle.net/10.1080/09599916.2009.500476
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Handle: RePEc:taf:jpropr:v:26:y:2009:i:4:p:281-282
Template-Type: ReDIF-Article 1.0
Author-Name: Christopher Ratcliffe
Author-X-Name-First: Christopher
Author-X-Name-Last: Ratcliffe
Author-Name: William Dimovski
Author-X-Name-First: William
Author-X-Name-Last: Dimovski
Author-Name: Monica Keneley
Author-X-Name-First: Monica
Author-X-Name-Last: Keneley
Title: Consolidation within the Australian real estate investment trust sector: an evaluation of the impact on unitholder returns
Abstract:
Mergers and acquisitions within the Australian‐real estate
investment trusts (A‐REITs) sector have become a noticeable trend
in the last decade. Utilising event study methodology, 36 successful
A‐REIT mergers and acquisitions between January 1995 and December
2008 were examined. Both target and bidding shareholders experience
positive excess returns of 4.27% and 0.54% respectively over the 41 day
event window [−20, +20]. Analysis indicates that the cumulative
abnormal returns (CARs) for bidding firms are considerably greater than
previous research suggests. This study finds higher bidder CARs when scrip
or a combination of scrip and cash is used to finance the acquisition. We
also find that the relative size or the size of the acquirer have a
positive and significant impact on the excess returns of bidding
A‐REITs. This suggests that the synergistic benefits from the
acquisition are a result of economies of scale and increased market power.
There is also some evidence that the relative size and method of payment
influence the CARs of target firms during the event window.
Journal: Journal of Property Research
Pages: 283-307
Issue: 4
Volume: 26
Year: 2010
Month: 2
X-DOI: 10.1080/09599916.2009.485415
File-URL: http://hdl.handle.net/10.1080/09599916.2009.485415
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Handle: RePEc:taf:jpropr:v:26:y:2010:i:4:p:283-307
Template-Type: ReDIF-Article 1.0
Author-Name: Joseph T.L. Ooi
Author-X-Name-First: Joseph T.L.
Author-X-Name-Last: Ooi
Title: The compensation structure of REIT managers: impact on stock valuation and performance
Abstract:
This paper examines the impact of managers' compensation structure on
initial public offering (IPO) pricing and the subsequent corporate
performance of 20 externally‐managed real estate investment trusts
(REITs) listed on the Singapore Exchange. The results indicate that the
IPO market is somewhat efficient in pricing potential moral hazard
problems arising from the way REIT managers are paid. In particular, we
find that the market generally rewards REITs that pay their managers a low
base fee coupled with a high incentive fee that is benchmarked against a
pre‐determined performance level. When tracking the post‐IPO
performance of the individual REITs, we find that it is related negatively
to the size of the base fee, but positively to the
performance‐based fee. We also find weak evidence that the
incentive‐based fee that is benchmarked against a
pre‐determined hurdle leads to superior performance by the
managers.
Journal: Journal of Property Research
Pages: 309-328
Issue: 4
Volume: 26
Year: 2010
Month: 5
X-DOI: 10.1080/09599916.2009.485416
File-URL: http://hdl.handle.net/10.1080/09599916.2009.485416
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Handle: RePEc:taf:jpropr:v:26:y:2010:i:4:p:309-328
Template-Type: ReDIF-Article 1.0
Author-Name: Graeme Newell
Author-X-Name-First: Graeme
Author-X-Name-Last: Newell
Author-Name: Atasya Osmadi
Author-X-Name-First: Atasya
Author-X-Name-Last: Osmadi
Title: The development and preliminary performance analysis of Islamic REITs in Malaysia
Abstract:
With the significant growth in Islamic financial products in recent
years, the world's first Islamic real estate investment trust (REIT) was
established in Malaysia in August 2006, with these REIT portfolios needing
to be Shariah compliant. This paper constructs three Malaysian REIT
(M‐REIT) series and assesses the significance, risk‐adjusted
performance and portfolio diversification benefits of Islamic
M‐REITs in a mixed‐asset portfolio in Malaysia over
2006--2008, contrasting this performance with conventional M‐REITs
in Malaysia. While the impact of the global financial crisis is evident,
Islamic M‐REITs are seen to be a differentiating property
investment product from conventional M‐REITs, as well as displaying
the defensive characteristics of low‐risk levels and portfolio
diversification benefits to those seen by conventional M‐REITs.
These differentiating features and portfolio diversification benefits for
Islamic M‐REITs were further evident and enhanced in the global
financial crisis; reflecting a degree of robustness not seen in most other
global REIT markets during the global financial crisis. The ongoing
implications for Islamic M‐REITs and Islamic REITs in other global
REIT markets are also highlighted.
Journal: Journal of Property Research
Pages: 329-347
Issue: 4
Volume: 26
Year: 2010
Month: 2
X-DOI: 10.1080/09599916.2009.485417
File-URL: http://hdl.handle.net/10.1080/09599916.2009.485417
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Handle: RePEc:taf:jpropr:v:26:y:2010:i:4:p:329-347
Template-Type: ReDIF-Article 1.0
Author-Name: Kevin C.H. Chiang
Author-X-Name-First: Kevin C.H.
Author-X-Name-Last: Chiang
Author-Name: Xiaguan Jiang
Author-X-Name-First: Xiaguan
Author-X-Name-Last: Jiang
Author-Name: Ming‐Long Lee
Author-X-Name-First: Ming‐Long
Author-X-Name-Last: Lee
Title: REIT idiosyncratic risk
Abstract:
Investors are told to hold a well‐diversified portfolio; when
everyone does so, idiosyncratic risk is diversified away and does not
enter the pricing equation in equilibrium. This study finds that the
idiosyncratic risk of real estate investment trusts (REITs) appears to
have an upward time trend during the vintage REIT era (1980--1992) and
appears to trend downward during the new REIT era (1993--2006). This study
also finds that this pattern appears to coincide with a reversion in the
relation between REIT idiosyncratic risk and the excess returns of REITs.
Specifically, during the vintage REIT era, the excess return of REITs is
positively related to REIT idiosyncratic risk. After 1993, the excess
return of REITs is negatively related to REIT idiosyncratic risk.
Journal: Journal of Property Research
Pages: 349-366
Issue: 4
Volume: 26
Year: 2010
Month: 2
X-DOI: 10.1080/09599916.2009.485418
File-URL: http://hdl.handle.net/10.1080/09599916.2009.485418
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Handle: RePEc:taf:jpropr:v:26:y:2010:i:4:p:349-366
Template-Type: ReDIF-Article 1.0
Author-Name: Toyokazu Imazeki
Author-X-Name-First: Toyokazu
Author-X-Name-Last: Imazeki
Author-Name: Paul Gallimore
Author-X-Name-First: Paul
Author-X-Name-Last: Gallimore
Title: Domestic and foreign bias in real estate mutual funds
Abstract:
The purpose of the study is to seek a better understanding of the
investment allocation behaviour of the real estate mutual funds by
focusing on asset allocation at the country level. Analysing the country
allocation of 553 real estate mutual funds domiciled in 20 countries, we
attempt to trace how investment bias exists across countries and affects
their country allocations. Our results evidence the existence of
disproportionate country allocation to their domestic markets (domestic
bias) and to each foreign market (foreign bias). We also find each bias is
influenced by different sets of variables: real estate market influences
for domestic bias and familiarity influences for foreign bias. This
difference in factors influential for each bias in part explains the
conflated relationship between the two biases.
Journal: Journal of Property Research
Pages: 367-389
Issue: 4
Volume: 26
Year: 2010
Month: 2
X-DOI: 10.1080/09599916.2009.485419
File-URL: http://hdl.handle.net/10.1080/09599916.2009.485419
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Handle: RePEc:taf:jpropr:v:26:y:2010:i:4:p:367-389
Template-Type: ReDIF-Article 1.0
Author-Name: Markus Demary
Author-X-Name-First: Markus
Author-X-Name-Last: Demary
Title: The interplay between output, inflation, interest rates and house prices: international evidence
Abstract:
We quantify the linkages between real house prices and the price level,
output and interest rates for 10 OECD countries by applying
vectorautoregressions. As results emerge, that (1) interest rate shocks
lower real house prices and explain between 12% and 24% of the variation
in house prices, (2) house prices are driven by output movements in most
countries, while house prices are more volatile compared with output and
the price level, and (3) house price shocks increase output, prices as
well as interest rates and contribute significantly to the variation in
these variables. Our results indicate that housing markets have a stronger
impact onto macroeconomic variables compared to the impact of
macroeconomic variables onto housing markets.
Journal: Journal of Property Research
Pages: 1-17
Issue: 1
Volume: 27
Year: 2010
Month: 4
X-DOI: 10.1080/09599916.2010.499015
File-URL: http://hdl.handle.net/10.1080/09599916.2010.499015
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Handle: RePEc:taf:jpropr:v:27:y:2010:i:1:p:1-17
Template-Type: ReDIF-Article 1.0
Author-Name: Sascha Marcel Donner
Author-X-Name-First: Sascha Marcel
Author-X-Name-Last: Donner
Title: Risk management in the aftermath of Lehmann Brothers -- Results from a survey among German and international real estate investors
Abstract:
Based on literature research and the ‘ideal’ risk
management process, the author presents the findings of a survey amongst
German and international real estate investors. The integration of risk
management into a corporate structure and the importance of various risk
management methods for investors are examined. In this context, the
application of Modern Portfolio Theory (MPT), property derivatives and the
use of ratings are major topics. Investors also express their views on the
need to adjust risk management in light of the current real estate crisis.
Overall, the findings suggest that the perception that investors would
already use a broad range of highly sophisticated risk management methods
is barely reflected by the actual application of such tools in the real
estate practice. The study results particularly reveal the importance of
interfaces and the establishment of a more future oriented approach to
risk management.
Journal: Journal of Property Research
Pages: 19-38
Issue: 1
Volume: 27
Year: 2010
Month: 5
X-DOI: 10.1080/09599916.2010.499016
File-URL: http://hdl.handle.net/10.1080/09599916.2010.499016
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Handle: RePEc:taf:jpropr:v:27:y:2010:i:1:p:19-38
Template-Type: ReDIF-Article 1.0
Author-Name: Han‐Suck Song
Author-X-Name-First: Han‐Suck
Author-X-Name-Last: Song
Author-Name: Mats Wilhelmsson
Author-X-Name-First: Mats
Author-X-Name-Last: Wilhelmsson
Title: Improved price index for condominiums
Abstract:
This paper proposes a hedonic apartment price index construction method
that can increase the quality of price index data for condominiums in
Sweden. Currently, the public condominium price index that different
actors usually refer to is based on mean and median prices per square
metre. With access to a unique database with the most recent transactions
data from real estate agents firms, I estimate alternative hedonic price
indexes, and compare them both with each other, as well as with arithmetic
mean and median price indexes.
Journal: Journal of Property Research
Pages: 39-60
Issue: 1
Volume: 27
Year: 2010
Month: 6
X-DOI: 10.1080/09599916.2010.500394
File-URL: http://hdl.handle.net/10.1080/09599916.2010.500394
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Handle: RePEc:taf:jpropr:v:27:y:2010:i:1:p:39-60
Template-Type: ReDIF-Article 1.0
Author-Name: Alain Chaney
Author-X-Name-First: Alain
Author-X-Name-Last: Chaney
Author-Name: Martin Hoesli
Author-X-Name-First: Martin
Author-X-Name-Last: Hoesli
Title: The interest rate sensitivity of real estate
Abstract:
This study yields a contribution to a better understanding of the
interest rate sensitivity of real estate and should enable a more
sophisticated interest rate risk management, especially for insurance
companies and pension funds. This is achieved by modelling the whole life
of a typical office investment property, based on a representative and
exclusive data set for the Swiss investment real estate market. The
interdependencies between interest rates, inflation, office market rents,
current rent paid and expenses are modelled empirically. We perform Monte
Carlo simulations that explicitly incorporate the uncertainty of the
underlying stochastic processes, of their interdependencies and of
modelling uncertainties, thus providing an indication of the final
estimate’s uncertainty. Our results show that the interest rate
sensitivity of a typical office property is 13.1%, with a standard
deviation of 7.8%. The risk premium, the state of the macroeconomic
environment, the degree of rotation of the interest curve and the
remaining lifetime of the property are found to be the prime determinants
of interest rate sensitivity.
Journal: Journal of Property Research
Pages: 61-85
Issue: 1
Volume: 27
Year: 2010
Month: 5
X-DOI: 10.1080/09599916.2010.500815
File-URL: http://hdl.handle.net/10.1080/09599916.2010.500815
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Handle: RePEc:taf:jpropr:v:27:y:2010:i:1:p:61-85
Template-Type: ReDIF-Article 1.0
Author-Name: Daniel Kohlert
Author-X-Name-First: Daniel
Author-X-Name-Last: Kohlert
Title: The determinants of regional real estate returns in the United Kingdom: a vector error correction approach
Abstract:
This study provides a detailed analysis to regional office real estate
markets in the United Kingdom. A vector error correction (VEC) approach is
applied to a unique panel dataset that covers the time period from 1981
until 2004 and allows a disaggregation to the NUTS 2 level.
Long‐run equilibrium relationships and short‐term
corrections among total returns and the key macroeconomic variables gross
domestic product (GDP), total investment and unemployment are captured.
Different samples are used to control for the special role of the London
market and to alleviate potential bias due to differences in the number of
properties within regions. The results leave little ground for assuming
that the economic variables have no impact on total office returns. They
rather provide evidence that there are relatively strong long‐run
relationships. The assumption is supported that the long‐run
relationships are causal and running from the economic variables to total
return. Furthermore, there is evidence for short‐term causal
relationships between economic variables, in particular total investment,
and total return, as well as for total returns adjusting to the
long‐term disparities resulting from changes in the variables.
Consequently, the economic variables do not only seem to provide
short‐term information but also short‐term immediate effects
on the movements of total returns. The character of the long‐term
equilibrium and short‐term corrections, however, is not identical
across samples while London indeed seems special.
Journal: Journal of Property Research
Pages: 87-117
Issue: 1
Volume: 27
Year: 2010
Month: 6
X-DOI: 10.1080/09599916.2010.500816
File-URL: http://hdl.handle.net/10.1080/09599916.2010.500816
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Handle: RePEc:taf:jpropr:v:27:y:2010:i:1:p:87-117
Template-Type: ReDIF-Article 1.0
Author-Name: Kim Hiang Liow
Author-X-Name-First: Kim Hiang
Author-X-Name-Last: Liow
Title: Firm value, growth, profitability and capital structure of listed real estate companies: an international perspective
Abstract:
This study explores the key financial performance characteristics of
successful listed real estate companies in an international context over
2000--2006. Financial success is measured using two different measures,
i.e. the Sharpe ratio and Jensen’s alpha. We consider the three
main determinants of firm value for real estate companies to be growth,
profitability and leverage, and investigate a total of 11 different
company specific characteristics as potential indicators of superior
performance. We find that successful real estate companies are generally
of larger size and command attractive market valuation relative to their
underlying book value. They are usually profitable and are more likely to
take advantage of positive financial leverage effects, contributing to
higher sustainable growth rates as well as profitable growth in the longer
term. In addition, the financial variables that influence successful
performance are largely similar for all countries and regions, but they
differ in degree and in some cases the influence works in the opposite
direction. This indicates a potential gain in portfolio diversification
across the global real estate markets. Our results provide practical
insights to global investors and fund managers in including successful
real estate companies in their investment portfolios.
Journal: Journal of Property Research
Pages: 119-146
Issue: 2
Volume: 27
Year: 2009
Month: 11
X-DOI: 10.1080/09599916.2010.500459
File-URL: http://hdl.handle.net/10.1080/09599916.2010.500459
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Handle: RePEc:taf:jpropr:v:27:y:2009:i:2:p:119-146
Template-Type: ReDIF-Article 1.0
Author-Name: Eddie Chi Man Hui
Author-X-Name-First: Eddie Chi Man
Author-X-Name-Last: Hui
Author-Name: Carisa K.W. Yu
Author-X-Name-First: Carisa K.W.
Author-X-Name-Last: Yu
Title: Enhanced portfolio optimisation model for real estate investment in HK
Abstract:
This paper investigates the role of direct real estate investment and
securitised properties in a multi‐asset portfolio with financial
assets available in Hong Kong, in a variety of time horizons. Grounded on
the mean‐variance framework within the Modern Portfolio Theory, the
study extends it by deploying the Exponentially Weighted Moving Average
(EWMA) technique to estimate the variance and covariance, which reduces
estimation errors, owed to the lack of ‘dynamic update’
capabilities in the standard model. Additionally, a constraint on the
allocation to direct real estate investment is imposed in the portfolio
optimisation problem to examine how percentage changes in the allocation
to real properties affect the return and risk of the optimal portfolio.
The experimental results show that the private domestic plays a more
important role than property stocks in an optimal multi‐asset
portfolio, in all time horizons, with allocation ranging from 23--27%.
Also, for an optimal portfolio with shorter time horizons,
lesser‐value direct real estate (Class A/B) tends to be included,
while luxury property investment is the main asset for portfolios with
longer time horizons. This proffers some implications for fund managers in
Hong Kong in the management of portfolio investment when real estate is
involved, subject to various levels of returns, risks and longevity.
Journal: Journal of Property Research
Pages: 147-180
Issue: 2
Volume: 27
Year: 2010
Month: 5
X-DOI: 10.1080/09599916.2010.500873
File-URL: http://hdl.handle.net/10.1080/09599916.2010.500873
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Handle: RePEc:taf:jpropr:v:27:y:2010:i:2:p:147-180
Template-Type: ReDIF-Article 1.0
Author-Name: Neil Crosby
Author-X-Name-First: Neil
Author-X-Name-Last: Crosby
Author-Name: Colin Lizieri
Author-X-Name-First: Colin
Author-X-Name-Last: Lizieri
Author-Name: Patrick McAllister
Author-X-Name-First: Patrick
Author-X-Name-Last: McAllister
Title: Means, motive and opportunity? Disentangling client influence on performance measurement appraisals
Abstract:
This paper investigates the extent to which clients were able to
influence performance measurement appraisals during the downturn in
commercial property markets that began in the UK during the second half of
2007. The sharp change in market sentiment produced speculation that
different client categories were attempting to influence their appraisers
in different ways. In particular, it was recognised that the requirement
for open‐ended funds to meet redemptions gave them strong
incentives to ensure that their asset values were marked down to market.
Using data supplied by Investment Property Databank, we demonstrate that,
indeed, unlisted open‐ended funds experienced sharper drops in
capital values than other fund types in the last quarter of 2007, after
the market turning point and at the time when redemptions were at their
highest. These differences are statistically significant and cannot simply
be explained by differences in portfolio composition. Client influence on
appraisal forms one possible explanation of the results observed: the
different pressures on fund managers resulting in different appraisal
outcomes.
Journal: Journal of Property Research
Pages: 181-201
Issue: 2
Volume: 27
Year: 2010
Month: 4
X-DOI: 10.1080/09599916.2010.499014
File-URL: http://hdl.handle.net/10.1080/09599916.2010.499014
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Handle: RePEc:taf:jpropr:v:27:y:2010:i:2:p:181-201
Template-Type: ReDIF-Article 1.0
Author-Name: Julian Diaz III
Author-X-Name-First: Julian
Author-X-Name-Last: Diaz III
Title: Disrobing beautiful people: an introduction to the special issue of behavioural real estate research
Journal: Journal of Property Research
Pages: 203-206
Issue: 3
Volume: 27
Year: 2010
Month: 9
X-DOI: 10.1080/09599916.2010.518400
File-URL: http://hdl.handle.net/10.1080/09599916.2010.518400
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Handle: RePEc:taf:jpropr:v:27:y:2010:i:3:p:203-206
Template-Type: ReDIF-Article 1.0
Author-Name: Vivek Sah
Author-X-Name-First: Vivek
Author-X-Name-Last: Sah
Author-Name: Paul Gallimore
Author-X-Name-First: Paul
Author-X-Name-Last: Gallimore
Author-Name: John Sherwood Clements
Author-X-Name-First: John
Author-X-Name-Last: Sherwood Clements
Title: Experience and real estate investment decision‐making: a process‐tracing investigation
Abstract:
This study investigates the impact of experience upon trained behaviours
in real estate investment decision‐making. In a controlled
experiment design, two groups of subjects, experts and novices, conduct an
evaluation and reach a decision about two investment options. Using a
process‐tracing technique, each subject’s behaviour is
observed and recorded. Differences between the groups are discovered in
relation to some behaviour characteristics, but experience appears not to
impact all behaviours. These findings are discussed in relation to the
current absence of a universal normative model of real estate investment
decision‐making. In an associated component of the study, the
belief that monetary compensation is needed in order to render valid
results from studies such as this is tested. We find this not to be the
case.
Journal: Journal of Property Research
Pages: 207-219
Issue: 3
Volume: 27
Year: 2010
Month: 7
X-DOI: 10.1080/09599916.2010.518402
File-URL: http://hdl.handle.net/10.1080/09599916.2010.518402
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Handle: RePEc:taf:jpropr:v:27:y:2010:i:3:p:207-219
Template-Type: ReDIF-Article 1.0
Author-Name: K.M. Gibler
Author-X-Name-First: K.M.
Author-X-Name-Last: Gibler
Author-Name: P. Taltavull
Author-X-Name-First: P.
Author-X-Name-Last: Taltavull
Title: Using preferences for international retiree housing market segmentation
Abstract:
Economic theory tends to classify all retirees as a homogeneous group of
consumers because of their stage in the life cycle. To examine how
understanding consumer preferences of this population could improve
housing demand models, we use cluster analysis to stratify international
retiree migrant homeowners in Alicante, Spain. From the resulting
clusters, we identify relationships between homeowner characteristics and
housing preferences. We find three clusters of homeowners who vary
significantly in their housing preferences and who can be identified using
demographic and economic characteristics.
Journal: Journal of Property Research
Pages: 221-237
Issue: 3
Volume: 27
Year: 2010
Month: 7
X-DOI: 10.1080/09599916.2010.518403
File-URL: http://hdl.handle.net/10.1080/09599916.2010.518403
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Handle: RePEc:taf:jpropr:v:27:y:2010:i:3:p:221-237
Template-Type: ReDIF-Article 1.0
Author-Name: Changha Jin
Author-X-Name-First: Changha
Author-X-Name-Last: Jin
Author-Name: Paul Gallimore
Author-X-Name-First: Paul
Author-X-Name-Last: Gallimore
Title: The effects of information presentation on real estate market perceptions
Abstract:
The study seeks to identify systematic differences in perception of the
real estate market caused by the frames through which people obtain market
information. We operationalise the frames through manipulation of data
presentation in a commercial real estate market report, selectively
controlling time scale, proportionality distortion and negative value
presentation. Our findings suggest that such differences are real and
their effects should be taken into account in the design and
interpretation of market reports.
Journal: Journal of Property Research
Pages: 239-246
Issue: 3
Volume: 27
Year: 2010
Month: 4
X-DOI: 10.1080/09599916.2010.518404
File-URL: http://hdl.handle.net/10.1080/09599916.2010.518404
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Handle: RePEc:taf:jpropr:v:27:y:2010:i:3:p:239-246
Template-Type: ReDIF-Article 1.0
Author-Name: Deborah S. Levy
Author-X-Name-First: Deborah S.
Author-X-Name-Last: Levy
Author-Name: Catherine Frethey‐Bentham
Author-X-Name-First: Catherine
Author-X-Name-Last: Frethey‐Bentham
Title: The effect of context and the level of decision maker training on the perception of a property's probable sale price
Abstract:
This paper explores how property market participants engage in the
process of making value judgements. More specifically it investigates how
being exposed to a residential property impacts the perception of the
probable selling price of an unrelated subsequent property and the
influence of decision makers' level of training on these value judgements.
Property literature suggests that the use of heuristics (or cognitive
short cuts), in particular the effect of anchoring and adjustment, may
affect value judgements of a subsequent property. The marketing literature
provides evidence of the direction of these adjustments by way of
assimilation and contrast effects. The effects of the amount of market
knowledge and experience have also been shown to affect the use of
heuristics but the level of training has not previously been isolated.
This paper consists of an experiment comprising 225 Undergraduate Property
students from the University of Auckland, New Zealand. The results
indicate that the context and the use of heuristics do affect value
judgements. More specifically they suggest that contrast or assimilation
effects may result depending on the level of prior training of the
decision maker, the comparability of the properties being examined and the
level of uncertainty surrounding the estimation of the perceived sales
price.
Journal: Journal of Property Research
Pages: 247-267
Issue: 3
Volume: 27
Year: 2010
Month: 7
X-DOI: 10.1080/09599916.2010.518406
File-URL: http://hdl.handle.net/10.1080/09599916.2010.518406
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Handle: RePEc:taf:jpropr:v:27:y:2010:i:3:p:247-267
Template-Type: ReDIF-Article 1.0
Author-Name: Larry E. Wofford
Author-X-Name-First: Larry E.
Author-X-Name-Last: Wofford
Author-Name: Michael L. Troilo
Author-X-Name-First: Michael L.
Author-X-Name-Last: Troilo
Author-Name: Andrew D. Dorchester
Author-X-Name-First: Andrew D.
Author-X-Name-Last: Dorchester
Title: Managing cognitive risk in real estate
Abstract:
This paper explores cognition and its impact on the uncertainty and risk
that surround real estate enterprises. We posit that cognition creates its
own risk and affects risk from other sources in many ways, and we situate
an overlay paradigm within a behavioural real estate paradigm. We develop
the concept of cognitive risk, and examine it using a multidisciplinary
perspective. We explore approaches to managing cognitive risk and offer a
framework for further research and development of cognitive risk and its
management.
Journal: Journal of Property Research
Pages: 269-287
Issue: 3
Volume: 27
Year: 2010
Month: 9
X-DOI: 10.1080/09599916.2010.518482
File-URL: http://hdl.handle.net/10.1080/09599916.2010.518482
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Handle: RePEc:taf:jpropr:v:27:y:2010:i:3:p:269-287
Template-Type: ReDIF-Article 1.0
Author-Name: Kim Hiang Liow
Author-X-Name-First: Kim Hiang
Author-X-Name-Last: Liow
Title: Integration among USA, UK, Japanese and Australian securitised real estate markets: an empirical exploration
Abstract:
We empirically explore integration among US, UK, Japanese and Australian
securitised real estate markets and their interdependencies from the
global stock market based on dynamic conditional correlation analysis and
conditional return‐volatility beta methodology. Results imply that
international links have been increasing over time, especially for the
largest securitised real estate markets and the global stock market,
although their integration process has been much slower than among the
corresponding stock markets and from the global stock market. In addition,
the conditional return‐volatility beta analyses indicate the four
real estate securities markets do not share the same volatility process.
Our analyses and results have important implications for international
real estate portfolio diversification.
Journal: Journal of Property Research
Pages: 289-308
Issue: 4
Volume: 27
Year: 2010
Month: 2
X-DOI: 10.1080/09599916.2010.500872
File-URL: http://hdl.handle.net/10.1080/09599916.2010.500872
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Handle: RePEc:taf:jpropr:v:27:y:2010:i:4:p:289-308
Template-Type: ReDIF-Article 1.0
Author-Name: Jorn van de Wetering
Author-X-Name-First: Jorn
Author-X-Name-Last: van de Wetering
Author-Name: Peter Wyatt
Author-X-Name-First: Peter
Author-X-Name-Last: Wyatt
Title: Measuring the carbon footprint of existing office space
Abstract:
Methods for assessing the environmental performance of new and existing
office space cover a range of criteria that includes energy, water,
materials and waste, health and wellbeing, pollution, transport, land use
and ecology, but the overwhelming environmental objective is to reduce the
amount of carbon dioxide (CO2) emitted from office use. The two
main sources of office‐related CO2 emissions are
building operation and commuting and, in these respects, existing
buildings pose a different set of challenges to new developments; energy
is embodied in the existing structure and systems, and the location is
fixed in relation to facilities such as public transport nodes and
amenities. Using standardised published metrics on CO2 emission
from office occupation and commuting, this paper estimates the amount of
CO2 emitted by the stock of medium to large office buildings in
a large regional city in the UK. The results are put into context of
government targets and current environmental performance assessment
methods. The paper argues that the existing office stock of a typical UK
city performs poorly in terms of CO2 emission and that most
current assessment instruments do not reveal the full extent of that poor
performance. Depending on the instrument, this is for one or more of three
main reasons: actual energy consumed/CO2 emitted is not
measured, insufficient weight is placed on CO2 emission
relative to other, often more qualitative green credentials, and either
insufficient or no regard is paid to CO2 emitted as a result of
commuting and business travel.
Journal: Journal of Property Research
Pages: 309-336
Issue: 4
Volume: 27
Year: 2010
Month: 8
X-DOI: 10.1080/09599916.2010.517851
File-URL: http://hdl.handle.net/10.1080/09599916.2010.517851
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Handle: RePEc:taf:jpropr:v:27:y:2010:i:4:p:309-336
Template-Type: ReDIF-Article 1.0
Author-Name: Marko Kryvobokov
Author-X-Name-First: Marko
Author-X-Name-Last: Kryvobokov
Title: Is it worth identifying service employment (sub)centres when modelling apartment prices?
Abstract:
The use of the attributes of the central business district and several
subcentres instead of the characteristics of all the land parcels or zones
can be seen as a higher level of analysis in real estate valuation.
However, old technological limitations on considering smaller territorial
units are being successfully overcome. The question is whether or not we
still need generalisation, i.e. to identify urban centres when modelling
real estate prices, or whether it is preferable to operate at a lower
spatial level. The application of the traditional approach of identifying
centres is compared with an ‘objective’ centrality index and
a ‘subjective’ accessibility index calculated for each zone.
The purpose is to find out which of the three concepts best fits a
regression model of apartment prices and provides the best prediction.
Both global and geographically weighted ordinary least squares regressions
are used as well as spatial lag and spatial error models. We conclude that
if a model is spatially weighted or the spatial effects are controlled, it
is not that important which of the concepts is applied. Nevertheless, in
most cases the highest predictive capacity is obtained with duocentric
models.
Journal: Journal of Property Research
Pages: 337-356
Issue: 4
Volume: 27
Year: 2010
Month: 7
X-DOI: 10.1080/09599916.2010.517852
File-URL: http://hdl.handle.net/10.1080/09599916.2010.517852
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Handle: RePEc:taf:jpropr:v:27:y:2010:i:4:p:337-356
Template-Type: ReDIF-Article 1.0
Author-Name: Jian Zhou
Author-X-Name-First: Jian
Author-X-Name-Last: Zhou
Title: Comovement of international real estate securities returns: a wavelet analysis
Abstract:
The comovement of equity markets is of crucial importance for portfolio
diversification and risk management. In this study, we utilise the wavelet
analysis to examine the comovement among international securitised real
estate markets as well as the cross‐market comovement between the
stock and securitised real estate markets. As a novel approach, wavelet
analysis has not yet been applied to the real estate field. Its advantage
lies in that it allows us to assess the comovement in the time and
frequency domains simultaneously. Using it, we carry out the study for six
countries, namely US, UK, Japan, Australia, Hong Kong and Singapore. Our
findings highlight the importance of considering both the time‐ and
frequency‐varying features of the comovement in designing
international portfolios.
Journal: Journal of Property Research
Pages: 357-373
Issue: 4
Volume: 27
Year: 2010
Month: 8
X-DOI: 10.1080/09599916.2010.517853
File-URL: http://hdl.handle.net/10.1080/09599916.2010.517853
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Handle: RePEc:taf:jpropr:v:27:y:2010:i:4:p:357-373
Template-Type: ReDIF-Article 1.0
Author-Name: Alastair Adair
Author-X-Name-First: Alastair
Author-X-Name-Last: Adair
Author-Name: Graeme Newell
Author-X-Name-First: Graeme
Author-X-Name-Last: Newell
Title: Infrastructure and regeneration
Journal: Journal of Property Research
Pages: 1-1
Issue: 1
Volume: 28
Year: 2011
Month: 3
X-DOI: 10.1080/09599916.2011.544145
File-URL: http://hdl.handle.net/10.1080/09599916.2011.544145
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Handle: RePEc:taf:jpropr:v:28:y:2011:i:1:p:1-1
Template-Type: ReDIF-Article 1.0
Author-Name: William Dimovski
Author-X-Name-First: William
Author-X-Name-Last: Dimovski
Title: The pricing of infrastructure initial public offerings: evidence from Australia
Abstract:
This paper explores first‐day returns on infrastructure entity
initial public offerings (IPOs) in Australia from 1996 to 2007. While a
good deal has been written on the first‐day returns of industrial
and mining company IPOs and Real Estate Investment Trust IPOs,
first‐day returns of infrastructure entity IPOs have yet to be
reported in the literature. The study uses ordinary least squares
regression analysis to identify factors that might influence the
percentage first‐day returns theoretically available to investing
subscribers and factors that might influence the aggregate amount of money
left to subscribers by issuers. The study finds that first‐day
returns, on average, are not significantly different from zero. There is
evidence, however, that suggests higher dividend yields and higher
percentage direct costs of capital raising influence these
first‐day returns. The study also finds that infrastructure entity
IPOs that seek to raise more equity capital leave less money on the table
for subscribing investors.
Journal: Journal of Property Research
Pages: 3-14
Issue: 1
Volume: 28
Year: 2010
Month: 7
X-DOI: 10.1080/09599916.2011.544146
File-URL: http://hdl.handle.net/10.1080/09599916.2011.544146
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Handle: RePEc:taf:jpropr:v:28:y:2010:i:1:p:3-14
Template-Type: ReDIF-Article 1.0
Author-Name: Shaleen Singhal
Author-X-Name-First: Shaleen
Author-X-Name-Last: Singhal
Author-Name: Graeme Newell
Author-X-Name-First: Graeme
Author-X-Name-Last: Newell
Author-Name: Thi Kim Nguyen
Author-X-Name-First: Thi Kim
Author-X-Name-Last: Nguyen
Title: The significance and performance of infrastructure in India
Abstract:
Improved infrastructure is a critical factor in the continued economic
growth and urbanisation of India. Private investment is expected to be an
essential component of this India infrastructure development. This paper
assesses the significance and performance of infrastructure in India, by
assessing the risk‐adjusted performance and portfolio
diversification benefits of listed infrastructure companies in India over
2002--2009. Indian infrastructure is seen to deliver strong
risk‐adjusted returns compared with the other infrastructure
sectors in the Asia‐Pacific area and globally, as well as compared
with Indian stocks and global stocks. Portfolio diversification benefits
were also evident in an Asia‐Pacific and global infrastructure
context. Indian infrastructure showed a high degree of robustness during
the global financial crisis; however, some loss of portfolio
diversification benefit was evident. The implications for infrastructure
in India and the future structural impediments to the continued
development of effective infrastructure in India are also identified.
Journal: Journal of Property Research
Pages: 15-34
Issue: 1
Volume: 28
Year: 2010
Month: 7
X-DOI: 10.1080/09599916.2011.544147
File-URL: http://hdl.handle.net/10.1080/09599916.2011.544147
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Handle: RePEc:taf:jpropr:v:28:y:2010:i:1:p:15-34
Template-Type: ReDIF-Article 1.0
Author-Name: Luke R. Hartigan
Author-X-Name-First: Luke R.
Author-X-Name-Last: Hartigan
Author-Name: Ritesh Prasad
Author-X-Name-First: Ritesh
Author-X-Name-Last: Prasad
Author-Name: Anthony J. De Francesco
Author-X-Name-First: Anthony J.
Author-X-Name-Last: De Francesco
Title: Constructing an investment return series for the UK unlisted infrastructure market: estimation and application
Abstract:
The global infrastructure investment community is hamstrung by a lack of
adequate data surrounding unlisted infrastructure performance outside
Australia. In response, this paper aims to estimate a UK unlisted
infrastructure series. This is achieved by creating a synthetic return
series drawing on information from different asset classes and
geographical markets. The estimated unlisted return series determined to
be the most appropriate has lower volatility relative to UK listed
infrastructure and lower correlation with both UK listed infrastructure
and UK equities. Additionally, it is based on data from the same
geographical market and the same underlying asset market. A working
application of the return series is presented in the context of
infrastructure’s asset allocation in a balanced portfolio and
across infrastructure investment segments for the UK investment market.
Findings suggest that infrastructure investment has a significant role to
play in investors’ balanced portfolios. Furthermore, results
indicate target allocations of 80% and 20% for unlisted and listed
infrastructure respectively.
Journal: Journal of Property Research
Pages: 35-58
Issue: 1
Volume: 28
Year: 2010
Month: 9
X-DOI: 10.1080/09599916.2011.544148
File-URL: http://hdl.handle.net/10.1080/09599916.2011.544148
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Handle: RePEc:taf:jpropr:v:28:y:2010:i:1:p:35-58
Template-Type: ReDIF-Article 1.0
Author-Name: Graeme Newell
Author-X-Name-First: Graeme
Author-X-Name-Last: Newell
Author-Name: Hsu Wen Peng
Author-X-Name-First: Hsu Wen
Author-X-Name-Last: Peng
Author-Name: Anthony De Francesco
Author-X-Name-First: Anthony
Author-X-Name-Last: De Francesco
Title: The performance of unlisted infrastructure in investment portfolios
Abstract:
Unlisted infrastructure funds have taken on increased importance in
recent years with institutional investors, as well as unlisted
infrastructure becoming a key asset class for pension funds and sovereign
wealth funds. This paper assesses the significance and performance of
unlisted infrastructure in Australia over Q3:1995--Q2:2009 by utilising a
unique unlisted infrastructure performance series. Unlisted infrastructure
is seen to be a strongly performed asset class on a risk‐adjusted
basis, as well as providing significant portfolio diversification benefits
and displaying different investment characteristics to listed
infrastructure. Unlisted infrastructure performance was seen to be robust
during the global financial crisis (GFC) for both risk‐adjusted
performance and portfolio diversification benefits; particularly in
comparison with listed infrastructure and the other listed assets. Issues
regarding the future strategic development of unlisted infrastructure as
an effective asset class are also identified.
Journal: Journal of Property Research
Pages: 59-74
Issue: 1
Volume: 28
Year: 2010
Month: 7
X-DOI: 10.1080/09599916.2011.544149
File-URL: http://hdl.handle.net/10.1080/09599916.2011.544149
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Handle: RePEc:taf:jpropr:v:28:y:2010:i:1:p:59-74
Template-Type: ReDIF-Article 1.0
Author-Name: Martin Haran
Author-X-Name-First: Martin
Author-X-Name-Last: Haran
Author-Name: Graeme Newell
Author-X-Name-First: Graeme
Author-X-Name-Last: Newell
Author-Name: Alastair Adair
Author-X-Name-First: Alastair
Author-X-Name-Last: Adair
Author-Name: Stanley McGreal
Author-X-Name-First: Stanley
Author-X-Name-Last: McGreal
Author-Name: Jim Berry
Author-X-Name-First: Jim
Author-X-Name-Last: Berry
Title: The performance of UK regeneration property within a mixed asset portfolio
Abstract:
Urban regeneration has been an integral focus of central government
policy in the UK for more than three decades and has played a pivotal role
in enhancing the competitiveness of the UK economy, repositioning cities
and city regions as the mainstays of economic growth. Utilising IPD data,
this study confirms the capacity of regeneration property to match or
outperform the wider real estate market in terms of total return over the
medium‐long term. Significantly, optimal portfolio analysis
demonstrates that urban regeneration property replaces mainstream real
estate within a multi‐asset portfolio based on the total returns
performance of equities, bonds, mainstream property and regeneration
property over the 28‐year time series 1981--2008.
Journal: Journal of Property Research
Pages: 75-95
Issue: 1
Volume: 28
Year: 2010
Month: 11
X-DOI: 10.1080/09599916.2011.548913
File-URL: http://hdl.handle.net/10.1080/09599916.2011.548913
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Handle: RePEc:taf:jpropr:v:28:y:2010:i:1:p:75-95
Template-Type: ReDIF-Article 1.0
Author-Name: Laura Ryan
Author-X-Name-First: Laura
Author-X-Name-Last: Ryan
Title: Nowhere to hide: an analysis of investment opportunities in listed property markets during financial market crises
Abstract:
The effects of financial crises in listed property markets have left
investors looking for safe havens through diversification. This is the
largest study to date of the effect of crises on diversification
opportunities in the listed property context, spanning 12 markets. Our
study covers the Asian market crisis and the current global credit crisis.
A critical contribution our work makes is the inclusion in our modelling
of the potential for currency effects to impact the diversification
environment. We observed that diversification benefits evaporated during
the crisis in both hedged and un‐hedged cases. Perhaps a surprising
result given the magnitude of the currency effects experienced during the
Asian crisis. Interestingly, although diversification benefits vanish
during the crisis in both hedged and un‐hedged cases, the markets
that are significant in the model differ between the two cases. The
methodology we have employed represents a very flexible, dynamic, and
realistic modelling approach to the data at hand. Our implementation uses
a specific class of Vector Autoregression (VAR) models
(Zero‐Non‐Zero coefficient VAR models) that have a
particular advantage in dealing with data for which we believe that
certain coefficients should automatically be zero (as a result of
structural features of the markets involved), and our approach is a
‘full system’ approach that allows for cointegration between
markets.
Journal: Journal of Property Research
Pages: 97-131
Issue: 2
Volume: 28
Year: 2010
Month: 5
X-DOI: 10.1080/09599916.2010.502005
File-URL: http://hdl.handle.net/10.1080/09599916.2010.502005
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Handle: RePEc:taf:jpropr:v:28:y:2010:i:2:p:97-131
Template-Type: ReDIF-Article 1.0
Author-Name: Oliver Bischoff
Author-X-Name-First: Oliver
Author-X-Name-Last: Bischoff
Author-Name: Wolfgang Maennig
Author-X-Name-First: Wolfgang
Author-X-Name-Last: Maennig
Title: Rental housing market segmentation in Germany according to ownership
Abstract:
We analyze landlord market heterogeneity in the German rental housing
market. Using data from the German Social‐Economic Panel survey for
the years 2000--2005, we firstly identify significant differences in
implicit prices for housing attributes between private, public, and
association landlords in a cross‐section analysis through
comprehensive segmentation testing. Based on that, we secondly present a
balanced panel analysis for the entire period to investigate market price
heterogeneity over time. In general, we detect the length of residence and
the building size as the most important determinants for landlord
segmentation. Most notably, differences between private and
non‐private landlords are identified.
Journal: Journal of Property Research
Pages: 133-149
Issue: 2
Volume: 28
Year: 2010
Month: 8
X-DOI: 10.1080/09599916.2010.538477
File-URL: http://hdl.handle.net/10.1080/09599916.2010.538477
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Handle: RePEc:taf:jpropr:v:28:y:2010:i:2:p:133-149
Template-Type: ReDIF-Article 1.0
Author-Name: Frank Ametefe
Author-X-Name-First: Frank
Author-X-Name-Last: Ametefe
Author-Name: A.Q.Q. Aboagye
Author-X-Name-First: A.Q.Q.
Author-X-Name-Last: Aboagye
Author-Name: E. Sarpong‐Kumankoma
Author-X-Name-First: E.
Author-X-Name-Last: Sarpong‐Kumankoma
Title: Housing and construction finance, deposit mobilisation and bank performance in Ghana
Abstract:
We analyse bank performance in Ghana over the period 2001--2007. We posit
a two‐equation simultaneous system for return on assets and
volatility of earnings. In addition to other explanatory variables, this
study is interested in the impact of deposits as a proportion of total
assets and the proportion of housing and construction loans that banks
extend. The triangular system is estimated by the least squares dummy
variable approach. We find that the coefficients of the deposit ratio are
very small in both equations and not at all significant. At the 10%
significance level, the ratio of total loans to assets is positive and
significant in both equations. Housing and construction loans tend to
increase return on equity and decrease volatility. Increases in equity to
assets ratio increase return on assets and decrease volatility of earnings
significantly. The impact of non‐interest income is small and tends
to increase return on assets and decrease volatility.
Non‐performing loan ratio has the expected sign and is significant
in the return on assets equation. Increases in inflation decrease
profitability and increase volatility. We recommend that banks raise
longer‐term financing on the capital market to undertake
longer‐term profitable projects such as housing finance.
Journal: Journal of Property Research
Pages: 151-165
Issue: 2
Volume: 28
Year: 2010
Month: 6
X-DOI: 10.1080/09599916.2010.538478
File-URL: http://hdl.handle.net/10.1080/09599916.2010.538478
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Handle: RePEc:taf:jpropr:v:28:y:2010:i:2:p:151-165
Template-Type: ReDIF-Article 1.0
Author-Name: Norman E. Hutchison
Author-X-Name-First: Norman E.
Author-X-Name-Last: Hutchison
Author-Name: Alastair S. Adair
Author-X-Name-First: Alastair S.
Author-X-Name-Last: Adair
Author-Name: Nicky Findlay
Author-X-Name-First: Nicky
Author-X-Name-Last: Findlay
Title: The impact of covenant strength on property pricing
Abstract:
Recent volatility in the commercial property markets has brought into
sharp focus the importance of the cash flow security in property pricing.
The explicit contribution of income risk factors, such as covenant
strength, to the pricing model does not have a major coverage in the
literature. This paper evaluates, from a conceptual perspective, how the
property industry should treat and price covenant strength risk and
considers whether the risk premium associated with this risk factor can be
calibrated. It includes a quantitative analysis of insolvency and
delinquency data and the impact of covenant strength on equivalent yields
using Investment Property Databank (IPD) data. The paper also reports on a
survey of UK institutional investors, carried out in 2008, which examined
both the approach and the pricing of default risk. Evidence emerges of
mispricing of both the systematic and specific risk as the UK market was
swept along by a wave of cheap money and short‐term investment
outlook. The quantitative and qualitative analysis shows that the risk of
default was largely ignored in a buoyant market. Investors appear guilty
of pricing at a point in the cycle rather than taking the longer view and
pricing through the cycle. Investors need to be aware of the fundamental
relationship between covenant strength and the business cycle, lease
length and sector.
Journal: Journal of Property Research
Pages: 167-188
Issue: 2
Volume: 28
Year: 2010
Month: 9
X-DOI: 10.1080/09599916.2010.538479
File-URL: http://hdl.handle.net/10.1080/09599916.2010.538479
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Handle: RePEc:taf:jpropr:v:28:y:2010:i:2:p:167-188
Template-Type: ReDIF-Article 1.0
Author-Name: Meng-Shiuh Chang
Author-X-Name-First: Meng-Shiuh
Author-X-Name-Last: Chang
Author-Name: Victoria Salin
Author-X-Name-First: Victoria
Author-X-Name-Last: Salin
Author-Name: Yanhong Jin
Author-X-Name-First: Yanhong
Author-X-Name-Last: Jin
Title: Diversification effect of real estate investment trusts: Comparing copula functions with kernel methods
Abstract:
Value at Risk estimated with joint distribution methodologies
demonstrates that risk is lower for portfolios of real estate investment
trusts (REITs) and small-business equities compared with a single-asset
holding. Benefits from diversification were largest in 2001--2003 and the
smallest from 2006--2008. Previous research using Value at Risk points out
the importance of model selection. Various estimation approaches affected
results modestly over the entire period (1989--mid 2008). The Value at
Risk is -3.1% for two copula models and -3.2% for a nonparametric
empirical joint density, at a 1% probability level for weekly returns.
After June 1996, the nonparametric copula model consistently returned the
lowest risk estimate among the three joint distribution methods.
Time-varying risk is a more important driver in the results than model
specification. The highest portfolio risk was found for the period after
August 2006 (weekly losses of 4.4% to 5%). The distribution-based model
results were closer to the undiversified model results than in the earlier
time periods, which supports the premise that contagion across asset
classes characterises the post-2006 real estate bust, but is not a strong
characteristic of the market over a longer investment horizon that
includes growth phases of the business cycle.
Journal: Journal of Property Research
Pages: 189-212
Issue: 3
Volume: 28
Year: 2011
Month: 1
X-DOI: 10.1080/09599916.2011.577904
File-URL: http://hdl.handle.net/10.1080/09599916.2011.577904
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Handle: RePEc:taf:jpropr:v:28:y:2011:i:3:p:189-212
Template-Type: ReDIF-Article 1.0
Author-Name: Jian Zhou
Author-X-Name-First: Jian
Author-X-Name-Last: Zhou
Title: Long memory in REIT volatility revisited: genuine or spurious, and self-similar?
Abstract:
This paper revisits the Real Estate Investment Trust (REIT) long-memory
literature and addresses two important research questions: one, whether
the observed long memory in REIT volatility is genuine or spurious (that
is, caused by structural changes); and, two, a related one -- whether the
long memory is self-similar. Regarding the first question, we find strong
evidence for the coexistence of pure long memory and structural breaks in
all developed countries under study when daily data are used. But for the
emerging markets under study some show coexistence while others show only
pure long memory. Such a finding is also shared by both developed and
emerging markets when it comes to using lower frequency data (weekly and
monthly). As for the second question, we find support for self-similarity
when we compare the daily and weekly long-memory estimates for the
developed markets, implying that long memory is an intrinsic feature of
the data. However, the support is not strong enough to completely rule out
the possibility of structural breaks. Moreover, the support is found
reduced when we consider the emerging markets and the monthly estimates
from the developed markets. This is possibly due to the small sample size
in both cases. Overall our findings have important implications for
volatility modeling and forecasting.
Journal: Journal of Property Research
Pages: 213-232
Issue: 3
Volume: 28
Year: 2011
Month: 1
X-DOI: 10.1080/09599916.2011.577903
File-URL: http://hdl.handle.net/10.1080/09599916.2011.577903
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Handle: RePEc:taf:jpropr:v:28:y:2011:i:3:p:213-232
Template-Type: ReDIF-Article 1.0
Author-Name: Ranajit Kumar Bairagi
Author-X-Name-First: Ranajit Kumar
Author-X-Name-Last: Bairagi
Author-Name: William Dimovski
Author-X-Name-First: William
Author-X-Name-Last: Dimovski
Title: The underpricing of US REIT IPOs: 1996--2010
Abstract:
This study examines the underpricing cost of 123 US REIT IPOs over the
period 1996 until June 2010, including the period of the global financial
crisis. The study uses OLS multivariate regression to determine some
potential factors behind underpricing. The underpricing cost of raising
REIT external equity averaged 3.18% using an equal weighting for each of
the 123 REIT IPOs. The study finds offer size is positively related to
underpricing. A value weighted approach finds that underpricing averages
4.67% and suggests larger offer size is an important determinant for
leaving more money on the table. Higher reputation underwriters, the
industry differentiated auditor and post offer ownership structure
negatively influence underpricing. The study documents declining
underpricing over time with the period of 2007--2010 experiencing negative
underpricing (overpricing) during the global financial crisis (GFC).
Offers during the hot periods of 1997 and 2004 and the office/industrial
property type were more highly underpriced. The 10-year treasury interest
rate is identified as another significant positive determinant of
underpricing.
Journal: Journal of Property Research
Pages: 233-248
Issue: 3
Volume: 28
Year: 2010
Month: 12
X-DOI: 10.1080/09599916.2011.577905
File-URL: http://hdl.handle.net/10.1080/09599916.2011.577905
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Handle: RePEc:taf:jpropr:v:28:y:2010:i:3:p:233-248
Template-Type: ReDIF-Article 1.0
Author-Name: Vivek Sah
Author-X-Name-First: Vivek
Author-X-Name-Last: Sah
Author-Name: Owen Alan Tidwell
Author-X-Name-First: Owen Alan
Author-X-Name-Last: Tidwell
Author-Name: Alan James Ziobrowski
Author-X-Name-First: Alan James
Author-X-Name-Last: Ziobrowski
Title: The predictive abilities and persistence of Morningstar ratings: an examination of real estate mutual funds
Abstract:
This study examines the predictive abilities of Morningstar ratings with
respect to the future relative performance of real estate mutual funds. It
also looks at the persistence of the rating system. Morningstar ratings
and real estate mutual fund returns are analysed over the five-year period
2003 to 2007. The measures of future performance are raw returns and two
Jensen’s alpha models. We find some weak evidence that Morningstar
predicts the relative performance of real estate mutual funds when
measured as raw returns. However, when returns are adjusted using the
Fama--French three-factor model with momentum, we find no evidence that
Morningstar ratings provide reliable guidance regarding future real estate
mutual fund performance.
Journal: Journal of Property Research
Pages: 249-267
Issue: 3
Volume: 28
Year: 2010
Month: 12
X-DOI: 10.1080/09599916.2011.577902
File-URL: http://hdl.handle.net/10.1080/09599916.2011.577902
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Handle: RePEc:taf:jpropr:v:28:y:2010:i:3:p:249-267
Template-Type: ReDIF-Article 1.0
Author-Name: Steven Devaney
Author-X-Name-First: Steven
Author-X-Name-Last: Devaney
Author-Name: Roberto Martinez Diaz
Author-X-Name-First: Roberto Martinez
Author-X-Name-Last: Diaz
Title: Transaction based indices for the UK commercial real estate market: an exploration using IPD transaction data
Abstract:
The nature of private commercial real estate markets presents
difficulties for monitoring market performance. Assets are heterogeneous
and spatially dispersed, trading is infrequent and there is no central
marketplace in which prices and cash flows of properties can be easily
observed. Appraisal based indices represent one response to these issues.
However, these have been criticised on a number of grounds: that they may
understate volatility, lag turning points and be affected by client
influence issues. Thus, this paper reports econometrically derived
transaction based indices of the UK commercial real estate market using
Investment Property Databank (IPD) data, comparing them with published
appraisal based indices. The method is similar to that presented by
Fisher, Geltner, and Pollakowski (2007) and used by Massachusett,
Institute of Technology (MIT) on National Council of Real Estate
Investment Fiduciaries (NCREIF) data, although it employs value rather
than equal weighting. The results show stronger growth from the
transaction based indices in the run up to the peak in the UK market in
2007. They also show that returns from these series are more volatile and
less autocorrelated than their appraisal based counterparts, but,
surprisingly, differences in turning points were not found. The conclusion
then debates the applications and limitations these series have as
measures of market performance.
Journal: Journal of Property Research
Pages: 269-289
Issue: 4
Volume: 28
Year: 2011
Month: 6
X-DOI: 10.1080/09599916.2011.601317
File-URL: http://hdl.handle.net/10.1080/09599916.2011.601317
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Handle: RePEc:taf:jpropr:v:28:y:2011:i:4:p:269-289
Template-Type: ReDIF-Article 1.0
Author-Name: Christian Rehring
Author-X-Name-First: Christian
Author-X-Name-Last: Rehring
Author-Name: Steffen Sebastian
Author-X-Name-First: Steffen
Author-X-Name-Last: Sebastian
Title: Dynamics of commercial real estate asset markets, return volatility and the investment horizon
Abstract:
The term structure of return volatility is estimated for both UK and US
direct and securitised commercial real estate, using vector
autoregressions. In a similar manner to the general stock market, returns
of UK direct real estate and property shares, as well as US real estate
investment trust returns, exhibit strong mean reversion. By contrast, US
direct real estate returns show a considerable mean aversion effect over
short investment horizons. This can be explained by the positive
correlation between cash-flow and discount rate news, which can be
interpreted as an under-reaction to cash-flow news. When estimating the
return volatility of direct real estate markets, long-term investors need
not be concerned about the choice of the parameter value used to unsmooth
appraisal-based returns, because estimates of long-term volatility are
almost unaffected by this choice.
Journal: Journal of Property Research
Pages: 291-315
Issue: 4
Volume: 28
Year: 2011
Month: 6
X-DOI: 10.1080/09599916.2011.596943
File-URL: http://hdl.handle.net/10.1080/09599916.2011.596943
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Handle: RePEc:taf:jpropr:v:28:y:2011:i:4:p:291-315
Template-Type: ReDIF-Article 1.0
Author-Name: Cath Jackson
Author-X-Name-First: Cath
Author-X-Name-Last: Jackson
Author-Name: Allison Orr
Author-X-Name-First: Allison
Author-X-Name-Last: Orr
Title: Real estate stock selection and attribute preferences
Abstract:
The majority of studies that explore property portfolio construction and
management strategies utilise highly aggregated ex-post data, but stock
selection is known to be a significant determinant of portfolio
performance. Thus, here we look at stock selection, focusing on the
choices faced by investors, necessitating the collection and analysis of
primary data, carried out utilising conjoint analysis. This represents a
new step in property research, with the data collection undertaken using a
simulation exercise. This enables fund managers to make hypothetical
purchase decisions, viewing properties comprising a realistic bundle of
attributes and making complex contemporaneous trade-offs between
attributes, subject to their stated market and economic forecasts and
sector specialism. In total 51 fund managers were surveyed, producing 918
purchase decisions for analysis, with additional data collected regarding
fund and personal characteristics. The results reveal that
‘fixed’ property characteristics (location and obsolescence)
are dominant in the decision-making process, over and above
‘manageable’ tenant and lease characteristics which can be
explicitly included within models of probabilities of income variation.
This reveals investors are making ex-ante risk judgements and are
considering post acquisition risk management strategies. The study also
reveals that behavioural factors affect acquisition decisions.
Journal: Journal of Property Research
Pages: 317-339
Issue: 4
Volume: 28
Year: 2011
Month: 4
X-DOI: 10.1080/09599916.2011.586469
File-URL: http://hdl.handle.net/10.1080/09599916.2011.586469
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Handle: RePEc:taf:jpropr:v:28:y:2011:i:4:p:317-339
Template-Type: ReDIF-Article 1.0
Author-Name: Julia Freybote
Author-X-Name-First: Julia
Author-X-Name-Last: Freybote
Author-Name: Karen M. Gibler
Author-X-Name-First: Karen M.
Author-X-Name-Last: Gibler
Title: Trust in corporate real estate management outsourcing relationships
Abstract:
Corporate real estate management outsourcing relationships are
characterised by intangible services, information asymmetries between
principal and agent, bounded rationality, and imperfect contracts. In such
relationships, trust may be an important complement to contracts and
monitoring to reduce transaction costs. This study tests how economic,
social, monitoring and corporate real estate management-specific variables
affect two types of trust -- calculative and relational -- with data
collected from US corporate real estate managers. An OLS analysis reveals
that service provider expertise and efficient monitoring positively impact
calculative trust. Additionally, perceived value, social interaction,
communication, service provider dependency and efficient monitoring are
positively associated with relational trust. The findings suggest service
provider market knowledge is essential to gain a client’s trust in
an outsourcing relationship. Proper handling of sensitive information,
reliable communications, providing superior value and personal
relationships contribute to relational trust that can lead to more stable,
enduring relationships. Clients recognise that service provider dependency
may contribute to their acting in a trustworthy manner. However, trust and
effective monitoring are complements, not substitutes, in these
relationships.
Journal: Journal of Property Research
Pages: 341-360
Issue: 4
Volume: 28
Year: 2011
Month: 5
X-DOI: 10.1080/09599916.2011.592207
File-URL: http://hdl.handle.net/10.1080/09599916.2011.592207
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Handle: RePEc:taf:jpropr:v:28:y:2011:i:4:p:341-360
Template-Type: ReDIF-Article 1.0
Author-Name: Stanley McGreal
Author-X-Name-First: Stanley
Author-X-Name-Last: McGreal
Author-Name: Paloma Taltavull de La Paz
Author-X-Name-First: Paloma
Author-X-Name-Last: Taltavull de La Paz
Title: An analysis of factors influencing accuracy in the valuation of residential properties in Spain
Abstract:
This paper is concerned with assessing how valuations for mortgage
purposes reflect market evidence. Differences between the value obtained
through the analysis of comparables and the final assigned value are
analysed. The study is undertaken for the Spanish housing market at the
peak of the house price boom. High levels of accuracy are apparent but
with a tendency to over- rather than undervalue properties. Physical
housing variables are shown to have a relatively homogeneous effect,
whereas factors relating to the environment and location lead to wider
differences between valuations. The effect of characteristics is shown to
vary substantially between cities. There is no evidence from the analysis
that the property bubble in Spain was driven by inaccuracy in valuations.
Journal: Journal of Property Research
Pages: 1-24
Issue: 1
Volume: 29
Year: 2011
Month: 5
X-DOI: 10.1080/09599916.2011.589531
File-URL: http://hdl.handle.net/10.1080/09599916.2011.589531
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Handle: RePEc:taf:jpropr:v:29:y:2011:i:1:p:1-24
Template-Type: ReDIF-Article 1.0
Author-Name: Karen M. Gibler
Author-X-Name-First: Karen M.
Author-X-Name-Last: Gibler
Author-Name: Anna-Liisa Lindholm
Author-X-Name-First: Anna-Liisa
Author-X-Name-Last: Lindholm
Title: A test of corporate real estate strategies and operating decisions in support of core business strategies
Abstract:
If firms want corporate real estate resources to add value to the firm,
they must align corporate real estate strategies and decisions with core
business strategies. This research uses data from a survey of corporate
real estate managers to test a theoretical model of how a strategic
approach to corporate real estate management adds value to the firm. The
relative importance of alternative strategies among firms of difference
sizes operating in different industries during an economic recession is
also examined. Correlation analysis indicates good fit; that is, most
firms are following a consistent set of real estate strategies to support
either Revenue Growth or Profitability
Growth, which lends support to the theoretical model. In
addition, most firms are making office space decisions consistent with a
strategic corporate real estate management approach rather than resorting
to ad hoc real estate decisions during the recession. A majority of the
firms are pursuing profitability through cost reduction, productivity and
flexibility, rather than revenue generation, focusing on survival during
the economic downturn. Kruskal--Wallis H tests of
significant differences among the rankings of the strategies and follow-up
Mann--Whitney U tests indicate that larger firms are more
likely to be reducing costs during the recession.
Journal: Journal of Property Research
Pages: 25-48
Issue: 1
Volume: 29
Year: 2011
Month: 7
X-DOI: 10.1080/09599916.2011.608470
File-URL: http://hdl.handle.net/10.1080/09599916.2011.608470
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Handle: RePEc:taf:jpropr:v:29:y:2011:i:1:p:25-48
Template-Type: ReDIF-Article 1.0
Author-Name: Peter J. Scott
Author-X-Name-First: Peter J.
Author-X-Name-Last: Scott
Author-Name: Colin Lizieri
Author-X-Name-First: Colin
Author-X-Name-Last: Lizieri
Title: Consumer house price judgements: new evidence of anchoring and arbitrary coherence
Abstract:
Individuals are prone to significant errors when making value judgements
through the use of heuristics (cognitive short cuts) to
simplify decision making. This paper uses an economic experiment to
investigate the strength of arbitrary anchors in
judgements over house prices among a student group, which shares
similarities with first-time buyers. The study represents an extension of
existing property research literature on valuation because it focuses on
consumers, not professionals, and uses experiments which are incentivised.
Additionally it investigates the evolution of price estimates over
multiple sequential property viewings. The results indicate that even in
the presence of significant, binary incentives for accurate judgement,
individuals rely, to a significant degree, on an arbitrarily established
anchor value. Such anchors remain powerful enough for transitions to
subsequent valuations to remain influenced by this initial value. This is
interpreted as a confirmation -- and extension -- of the arbitrary
coherence reported in other studies of consumer judgement.
Journal: Journal of Property Research
Pages: 49-68
Issue: 1
Volume: 29
Year: 2011
Month: 10
X-DOI: 10.1080/09599916.2011.638144
File-URL: http://hdl.handle.net/10.1080/09599916.2011.638144
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Handle: RePEc:taf:jpropr:v:29:y:2011:i:1:p:49-68
Template-Type: ReDIF-Article 1.0
Author-Name: Ünsal Özdilek
Author-X-Name-First: Ünsal
Author-X-Name-Last: Özdilek
Title: An overview of the enquiries on the issue of apportionment of value between land and improvements
Abstract:
In the literature and in the practice of real estate evaluation, there
are various opinions about whether or not the value of a property should
(and can be) separated into two components: land and building. This paper
supports separability and illustrates this with an empirical example using
the hedonic approach and detailed data from the City of Montreal (Canada).
Existing methods simply provide approximate results on separation and rely
only on the use of vacant land transactions. The hedonic method presented
here provides reliable and coherent results from the use of the total
price of a property split into two independent systems of prices for the
land and for the improvements by considering their specific attributes.
Journal: Journal of Property Research
Pages: 69-84
Issue: 1
Volume: 29
Year: 2011
Month: 4
X-DOI: 10.1080/09599916.2011.583670
File-URL: http://hdl.handle.net/10.1080/09599916.2011.583670
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Handle: RePEc:taf:jpropr:v:29:y:2011:i:1:p:69-84
Template-Type: ReDIF-Article 1.0
Author-Name: Eddie C.M. Hui
Author-X-Name-First: Eddie C.M.
Author-X-Name-Last: Hui
Author-Name: Xian Zheng
Author-X-Name-First: Xian
Author-X-Name-Last: Zheng
Title: Exploring the dynamic relationship between housing and retail property markets: an empirical study of Hong Kong
Abstract:
This paper investigates the dynamic conditional correlations (DCCs)
between housing returns and retail property returns, and the existence of
volatility spillover between the two property markets of Hong Kong. Two
multivariate stochastic volatility models (MSV), namely Granger causality
MSV and DCC-MSV model, are used to capture the time-varying correlations
and the volatility spillover effect, respectively. The findings show that
the correlations between housing returns and retail property returns
follow a dynamic process, and such dynamic correlation could serve as a
leading indicator for future property price movements. Besides, the
findings also suggest that Hong Kong’s retail property market is
generally more volatile than its residential market. Additionally, we find
a unilateral volatility spillover from residential property to retail
property in the Hong Kong market.
Journal: Journal of Property Research
Pages: 85-102
Issue: 2
Volume: 29
Year: 2012
Month: 3
X-DOI: 10.1080/09599916.2012.674968
File-URL: http://hdl.handle.net/10.1080/09599916.2012.674968
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Handle: RePEc:taf:jpropr:v:29:y:2012:i:2:p:85-102
Template-Type: ReDIF-Article 1.0
Author-Name: Peter Öhman
Author-X-Name-First: Peter
Author-X-Name-Last: Öhman
Author-Name: Bo Söderberg
Author-X-Name-First: Bo
Author-X-Name-Last: Söderberg
Author-Name: Ola Uhlin
Author-X-Name-First: Ola
Author-X-Name-Last: Uhlin
Title: Accuracy of Swedish property appraisers’ forecasts of net operating income
Abstract:
This study addresses how property appraisers forecast one important
component of the commercial property valuation model: net operating
income. We compare appraisers’ ex ante forecasts
with corresponding ex post figures from company financial
reports. The data are from the Swedish Property Index, 1998--2005, and
comprise over 7000 observations. The findings indicate that the
appraisers’ forecasts are somewhat forward looking and almost as
accurate as those obtained using mechanical autoregressive models.
However, the forecasts are biased, as appraisers systematically
overestimate future net operating income. There was also evidence of
decreasing accuracy over the study period.
Journal: Journal of Property Research
Pages: 103-122
Issue: 2
Volume: 29
Year: 2011
Month: 11
X-DOI: 10.1080/09599916.2011.641997
File-URL: http://hdl.handle.net/10.1080/09599916.2011.641997
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Handle: RePEc:taf:jpropr:v:29:y:2011:i:2:p:103-122
Template-Type: ReDIF-Article 1.0
Author-Name: Bryan D. MacGregor
Author-X-Name-First: Bryan D.
Author-X-Name-Last: MacGregor
Author-Name: Nanda Nanthakumaran
Author-X-Name-First: Nanda
Author-X-Name-Last: Nanthakumaran
Author-Name: Allison M. Orr
Author-X-Name-First: Allison M.
Author-X-Name-Last: Orr
Title: The sensitivity of UK commercial property values to interest rate changes
Abstract:
Duration and convexity measures are commonly applied in the management of
bond portfolios to measure the sensitivity of asset values to changes in
interest rates, enabling fund managers to manage their exposure to
interest rate risk. Yet, there are no commonly accepted methods for
applying the concepts of duration and convexity to equities and real
estate, making it difficult for fund managers to analyse the exposure of
multi-asset portfolios to interest rate risk (Blitzer & Dash, 2004). This
paper contributes to this underdeveloped area of interest rate risk
management by assessing the accuracy of using duration and convexity to
measure the sensitivity of commercial property values in the UK to
discount rate movements. Simulations confirm that property has duration
and convexity characteristics similar to bonds. Our estimates overlap with
duration figures estimated by Cairns and Wilkie (2010) for index-linked
British government bonds over 15 years but are higher than their estimates
for conventional bonds and five- to 15-year index-linked gilts. Perhaps
more importantly, the paper demonstrates that duration is not sufficiently
reliable enough to mitigate the interest rate risk attached to a property
portfolio. The inclusion of convexity is necessary for effective interest
rate immunisation strategies.
Journal: Journal of Property Research
Pages: 123-151
Issue: 2
Volume: 29
Year: 2011
Month: 11
X-DOI: 10.1080/09599916.2011.645861
File-URL: http://hdl.handle.net/10.1080/09599916.2011.645861
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Handle: RePEc:taf:jpropr:v:29:y:2011:i:2:p:123-151
Template-Type: ReDIF-Article 1.0
Author-Name: Tom Kauko
Author-X-Name-First: Tom
Author-X-Name-Last: Kauko
Title: Recreating residential property values in the inner city -- an adapted ‘old’ institutional approach
Abstract:
This paper argues that old institutional economics (OIE) is well-placed
to provide a conceptual framework for the analysis of issues surrounding
property price developments. This is particularly true in arenas where
qualitative factors cause a change that is discontinuous from the previous
structure, such as amid urban regeneration. In this paper first the basic
principles of OIE are outlined and a meta-theoretical position
established. Then it is argued how this approach has potential
applicability for explaining the house price impacts of decision making
regarding urban regeneration. The study tests an OIE inspired typology of
price and quality changes on processes of urban renewal within localised
housing market areas. In doing so, empirical material is presented through
two case studies: one from Amsterdam and the other from Budapest. Findings
from these circumstances illustrate the value of an OIE approach for
analysing house prices, quality elements and neighbourhood specific
characteristics of urban regeneration. More generally, the study shows
that OIE has plenty to offer for a ‘patchy’ and evolving
problem area such as the analysis of urban property price development.
Journal: Journal of Property Research
Pages: 153-176
Issue: 2
Volume: 29
Year: 2011
Month: 12
X-DOI: 10.1080/09599916.2011.649488
File-URL: http://hdl.handle.net/10.1080/09599916.2011.649488
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Handle: RePEc:taf:jpropr:v:29:y:2011:i:2:p:153-176
Template-Type: ReDIF-Article 1.0
Author-Name: SeungHan Ro
Author-X-Name-First: SeungHan
Author-X-Name-Last: Ro
Author-Name: Alan J. Ziobrowski
Author-X-Name-First: Alan J.
Author-X-Name-Last: Ziobrowski
Title: Wealth effects of REIT property-type focus changes: evidence from property transactions and joint ventures
Abstract:
Using a sample of 678 property portfolio changes (acquisitions,
dispositions and joint ventures) of the US Real Estate Investment Trusts
(REITs) during 1990--2009, we investigate how investors react to changes
in a REIT’s property-type focus. We find a significant negative
market reaction to acquisition and acquisitional Joint Venture events that
decrease property-type focus. We also find some statistically
insignificant evidence of a wealth benefit from dispositional events that
increase property-type focus. Overall, our findings are consistent with
explanation for the lack of diversification in REITs; investors prefer to
make their own diversification decisions using narrowly focused REITs.
Journal: Journal of Property Research
Pages: 177-199
Issue: 3
Volume: 29
Year: 2012
Month: 6
X-DOI: 10.1080/09599916.2012.703222
File-URL: http://hdl.handle.net/10.1080/09599916.2012.703222
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Handle: RePEc:taf:jpropr:v:29:y:2012:i:3:p:177-199
Template-Type: ReDIF-Article 1.0
Author-Name: John McCartney
Author-X-Name-First: John
Author-X-Name-Last: McCartney
Title: Short and long-run rent adjustment in the Dublin office market
Abstract:
Commercial property played a critical role in the downfall of
Ireland’s tiger economy. Despite this, analytical research on
Ireland’s non-residential markets remains surprisingly scarce. This
paper makes a small contribution to redressing this deficit by estimating
a rent determination model for the Dublin office market. A two-stage error
correction mechanism is adopted. This involves estimation of a long-run
equilibrium rent equation and a short-run rent adjustment process. The
long-run analysis suggests that office demand is relatively elastic in
Dublin. This may reflect the openness of the Irish economy and
Dublin’s status as a secondary European market. The standard
short-run model produces unrealistically low estimates of the natural
vacancy rate. Tests for asymmetric adjustment prove inconclusive and fail
to correct this. However, controlling for a structural shift in the Irish
economy from manufacturing to office-based activities in the late 1990s
results in a more plausible specification. This indicates that office
rents are relatively sensitive to supply shocks, perhaps reflecting a high
proportion of speculative development in Dublin. The short-run model also
indicates a relatively slow rate of rent adjustment. This may derive from
institutional characteristics of the Dublin market such as long leases.
Journal: Journal of Property Research
Pages: 201-226
Issue: 3
Volume: 29
Year: 2012
Month: 4
X-DOI: 10.1080/09599916.2012.689990
File-URL: http://hdl.handle.net/10.1080/09599916.2012.689990
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Handle: RePEc:taf:jpropr:v:29:y:2012:i:3:p:201-226
Template-Type: ReDIF-Article 1.0
Author-Name: Neil Crosby
Author-X-Name-First: Neil
Author-X-Name-Last: Crosby
Author-Name: Steven Devaney
Author-X-Name-First: Steven
Author-X-Name-Last: Devaney
Author-Name: Vicki Law
Author-X-Name-First: Vicki
Author-X-Name-Last: Law
Title: Rental depreciation and capital expenditure in the UK commercial real estate market, 1993--2009
Abstract:
This paper identifies the long-term rental depreciation rates for UK
commercial properties and rates of capital expenditure incurred to offset
depreciation over the same period. It starts by reviewing the economic
depreciation literature and the rationale for adopting a longitudinal
method of measurement, before discussing the data used and results. Data
from 1993 to 2009 were sourced from Investment Property Databank and CB
Richard Ellis real estate consultants. This is used to compare the change
in values of new buildings in different locations with the change in
values of individual properties in those locations. The analysis is
conducted using observations on 742 assets drawn from all major segments
of the commercial real estate market. Overall rental depreciation and
capital expenditure rates are similar to those in other recent UK studies.
Depreciation rates are 0.8% pa for offices, 0.5% pa for industrial
properties and 0.3% pa for standard retail properties. These results hide
interesting variations at a segment level, notably in retail where
location often dominates value rather than the building. The majority of
properties had little (if any) money spent on them over the last
16 years, but those subject to higher rates of expenditure were
found to have lower depreciation rates.
Journal: Journal of Property Research
Pages: 227-246
Issue: 3
Volume: 29
Year: 2012
Month: 3
X-DOI: 10.1080/09599916.2012.679009
File-URL: http://hdl.handle.net/10.1080/09599916.2012.679009
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Handle: RePEc:taf:jpropr:v:29:y:2012:i:3:p:227-246
Template-Type: ReDIF-Article 1.0
Author-Name: Norman Hutchison
Author-X-Name-First: Norman
Author-X-Name-Last: Hutchison
Author-Name: Patricia Fraser
Author-X-Name-First: Patricia
Author-X-Name-Last: Fraser
Author-Name: Alastair Adair
Author-X-Name-First: Alastair
Author-X-Name-Last: Adair
Author-Name: Rahul Srivatsa
Author-X-Name-First: Rahul
Author-X-Name-Last: Srivatsa
Title: Regime shifts in ex post UK commercial property risk premiums
Abstract:
Using a Markov Switching Model, the hypothesis that ex
post commercial sector risk premiums have stable mean values
within a time-varying framework is investigated. The probabilities of
shifting expected values and the transitional probabilities of remaining
in a high (low)-risk state at each point in time were estimated. Results
suggest that industrial and retail sectors exhibit regime shifting
behaviour although the probability of shifting between high- and low-risk
states, while significant, was low compared to them remaining the same.
Investigation of the transitional probabilities suggested the propensity
to shift regimes differs between sectors, but is generally more prevalent
in periods of relative uncertainty.
Journal: Journal of Property Research
Pages: 247-269
Issue: 3
Volume: 29
Year: 2012
Month: 4
X-DOI: 10.1080/09599916.2012.686516
File-URL: http://hdl.handle.net/10.1080/09599916.2012.686516
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Handle: RePEc:taf:jpropr:v:29:y:2012:i:3:p:247-269
Template-Type: ReDIF-Article 1.0
Author-Name: Kenneth Gibb
Author-X-Name-First: Kenneth
Author-X-Name-Last: Gibb
Author-Name: Gwilym Pryce
Author-X-Name-First: Gwilym
Author-X-Name-Last: Pryce
Title: Future directions in housing economics: introduction to a special issue of the Journal of Property Research
Abstract:
This article is a short introduction to the special issue. In this, we
provide a brief commentary on the main papers and also set out why we have
put this special issue on new directions together. Our aim has been to
stimulate new thinking and ideas promoting new areas for future research
in housing economics, something which we think has been achieved with the
papers in this issue.
Journal: Journal of Property Research
Pages: 271-279
Issue: 4
Volume: 29
Year: 2012
Month: 9
X-DOI: 10.1080/09599916.2012.731720
File-URL: http://hdl.handle.net/10.1080/09599916.2012.731720
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Handle: RePEc:taf:jpropr:v:29:y:2012:i:4:p:271-279
Template-Type: ReDIF-Article 1.0
Author-Name: Mark van Duijn
Author-X-Name-First: Mark
Author-X-Name-Last: van Duijn
Author-Name: Jan Rouwendal
Author-X-Name-First: Jan
Author-X-Name-Last: Rouwendal
Title: Analysis of household location behaviour, local amenities and house prices in a sorting framework
Abstract:
After Tiebout’s seminal paper, a stream of literature emerged that
studies the location choice behaviour of households. In the last two
decades, the models developed generalised conventional hedonic analyses by
studying house prices in a coherent empirical framework that incorporates
heterogeneity among households and neighbourhoods. They offer new
possibilities to study location choice in equilibrium with public goods in
the Tiebout tradition. Moreover, they generalise the monocentric model of
urban economics. This paper discusses these sorting
models. Although the focus is on the policy-relevant questions that can be
addressed by this approach, we pay due attention to the economic content
of the models, and to some important econometric issues involved. An
important feature of the sorting framework that we
emphasise throughout the paper is that it allows one to study the impact
of local amenities in a rigorous setting that allows for the computation
of welfare measures, notably the willingness-to-pay of various groups for
specific amenities. In the international literature, schools are the most
intensively studied example, but other amenities, such as the presence of
parks and ‘consumer city’ amenities, such as restaurants,
cinemas and theatres can also be studied in this framework. The structural
modelling of the impact of amenities by sorting models
allows for policy simulations, in which the general equilibrium impact of
changes in the value of these amenities can be analysed through
counterfactual analysis.
Journal: Journal of Property Research
Pages: 280-297
Issue: 4
Volume: 29
Year: 2012
Month: 7
X-DOI: 10.1080/09599916.2012.717100
File-URL: http://hdl.handle.net/10.1080/09599916.2012.717100
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Handle: RePEc:taf:jpropr:v:29:y:2012:i:4:p:280-297
Template-Type: ReDIF-Article 1.0
Author-Name: Mark Andrew
Author-X-Name-First: Mark
Author-X-Name-Last: Andrew
Title: Regional market size and the housing market: insights from a new economic geography model
Abstract:
The increased availability of information about housing and labour
markets at finer spatial scales opens up possibilities for applied
research to model various types of spatial relationships associated with
housing affordability. The aim of this paper is to encourage empirical
research to estimate the type of spatial relationships described by new
economic geography (NEG) models. NEG models were designed to provide
general equilibrium analysis of urban agglomeration, but may also be used
to shed insights into the degree to which housing and labour markets could
be integrated spatially. We extend the Helpman and Hanson NEG theoretical
model by relaxing the stringent restrictions imposed on housing
consumption and the size of the housing sector, so that it may be used to
address the housing affordability issue. We highlight the differences that
these refinements have on the implications for earnings, rents (house
prices) and migration. In particular, simulations are undertaken to assess
the conditions under which a responsive and non-responsive construction
sector worsens or improves housing affordability and affects region size.
Journal: Journal of Property Research
Pages: 298-323
Issue: 4
Volume: 29
Year: 2012
Month: 7
X-DOI: 10.1080/09599916.2012.717101
File-URL: http://hdl.handle.net/10.1080/09599916.2012.717101
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Handle: RePEc:taf:jpropr:v:29:y:2012:i:4:p:298-323
Template-Type: ReDIF-Article 1.0
Author-Name: Duncan Maclennan
Author-X-Name-First: Duncan
Author-X-Name-Last: Maclennan
Author-Name: Anthony O’Sullivan
Author-X-Name-First: Anthony
Author-X-Name-Last: O’Sullivan
Title: Housing markets, signals and search
Abstract:
Research into the spatial structure and functioning of local housing
markets typically focuses on market outcomes, particularly house price
changes and household movement patterns. Explanatory models are usually
based upon a standard neoclassical analysis of the housing market. That
approach de-emphasises the importance of imperfect information, real
market processes and the signals they generate. The inherent nature of
housing means that partly informed households typically engage in search
activity prior to purchasing a property. Search is inevitably a spatial
process. Housing market search modelling remains relatively undeveloped.
However, analysis of this process can provide important additional
insights to both better explain consumer behaviour and support more
informed decision-making by housing planners and market providers. We
illustrate these arguments using housing search data for Scotland.
Journal: Journal of Property Research
Pages: 324-340
Issue: 4
Volume: 29
Year: 2012
Month: 7
X-DOI: 10.1080/09599916.2012.717102
File-URL: http://hdl.handle.net/10.1080/09599916.2012.717102
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Handle: RePEc:taf:jpropr:v:29:y:2012:i:4:p:324-340
Template-Type: ReDIF-Article 1.0
Author-Name: Paloma Taltavull de La Paz
Author-X-Name-First: Paloma
Author-X-Name-Last: Taltavull de La Paz
Author-Name: Michael White
Author-X-Name-First: Michael
Author-X-Name-Last: White
Title: Fundamental drivers of house price change: the role of money, mortgages, and migration in Spain and the United Kingdom
Abstract:
There has been substantial house price inflation, particularly during the
last decade, until the onset of the financial crisis. This price inflation
has far exceeded growth in disposable incomes and has led to an increase
in asset wealth. At the same time, mortgage lending rose, increasing
liquidity in the market. In this paper we compare the macroeconomy effects
of house prices in Spain and the UK. We examine the interaction between
the housing market, the financial sector, and the macroeconomy in both
countries drawing comparisons between them. We find that income and
mortgage flows have caused house price appreciation in both countries,
interacting with migration flows. However there are differences between
the countries. Income plays a more significant role in house price
determination in the UK than in Spain, whilst migration is more important
in the Spanish market. The impact of mortgages and liquidity is found to
be stronger in the UK. The study separates out the impact of money supply
and mortgage finance identifying the role of each. Importantly by
identifying the separate and nationally different influences they have, it
proposes a research agenda in which they are explicitly identified in
future modelling of housing markets across countries.
Journal: Journal of Property Research
Pages: 341-367
Issue: 4
Volume: 29
Year: 2012
Month: 9
X-DOI: 10.1080/09599916.2012.729515
File-URL: http://hdl.handle.net/10.1080/09599916.2012.729515
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Handle: RePEc:taf:jpropr:v:29:y:2012:i:4:p:341-367
Template-Type: ReDIF-Article 1.0
Author-Name: Alan W. Evans
Author-X-Name-First: Alan W.
Author-X-Name-Last: Evans
Title: Optimal tax theory and the taxation of housing in the US and the UK
Abstract:
First, we survey recent research in the application of optimal tax theory
to housing. This work suggests that the under-taxation of housing for
owner occupation distorts investment so that owner occupiers are
encouraged to over-invest in housing. Simulations of the US economy
suggest that this is true there. But, the theoretical work excludes
consideration of land and the simulations exclude consideration of taxes
other than income taxes. These exclusions are important for the US and UK
economies. In the US, the property tax is relatively high. We argue that
excluding the property tax is wrong, so that, when the property tax is
taken into account, owner occupied housing is not undertaxed in the US. In
the UK, property taxes are relatively low but the cost of land has been
increasing in real terms for forty years as a result of a policy of
constraining land for development. The price of land for housing is now
higher than elsewhere. Effectively, an implicit tax is paid by first time
buyers which has reduced housing investment. When land is taken into
account over-investment in housing is not encouraged in the UK either.
Journal: Journal of Property Research
Pages: 368-378
Issue: 4
Volume: 29
Year: 2012
Month: 9
X-DOI: 10.1080/09599916.2012.730054
File-URL: http://hdl.handle.net/10.1080/09599916.2012.730054
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Handle: RePEc:taf:jpropr:v:29:y:2012:i:4:p:368-378
Template-Type: ReDIF-Article 1.0
Author-Name: Olof Netzell
Author-X-Name-First: Olof
Author-X-Name-Last: Netzell
Title: The effect of accessibility on retail rents: testing integration value as a measure of geographic location
Abstract:
This article investigates cross-sectional variation in retail rents on
the micro level, i.e. differences in rent for shops on street X compared
to shops on street Y. Retail rents from the inner city of Stockholm are
analysed. Free standing shops dominate the database (i.e. not located in
malls). Differences in rent across locations is modelled with distance to
the city centre, distance to sub-centres within inner city Stockholm, city
part dummies and so-called integration values.
Integration values have shown a strong correlation to pedestrian and other
types of traffic. Loosely speaking, the integration value for a particular
location in an urban area is the average number of turns a pedestrian must
make to reach other locations in the city. In this study it is interpreted
as a measure of accessibility. It is hypothesised that locations with high
(low) integration values typically have high (low) retail rent.
Integration values are found to complement the traditional location
measures distance to city centre/sub-centres and city part dummies.
Integration values can be calculated for urban areas that have not yet
been built. They may, thus, be useful in the planning of new urban areas
and for predicting retail rents.
Journal: Journal of Property Research
Pages: 1-23
Issue: 1
Volume: 30
Year: 2013
Month: 3
X-DOI: 10.1080/09599916.2012.713974
File-URL: http://hdl.handle.net/10.1080/09599916.2012.713974
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Handle: RePEc:taf:jpropr:v:30:y:2013:i:1:p:1-23
Template-Type: ReDIF-Article 1.0
Author-Name: Michael Ritchie
Author-X-Name-First: Michael
Author-X-Name-Last: Ritchie
Author-Name: William Dimovski
Author-X-Name-First: William
Author-X-Name-Last: Dimovski
Author-Name: Saikat Sovan Deb
Author-X-Name-First: Saikat Sovan
Author-X-Name-Last: Deb
Title: Underpricing of infrastructure IPOs: evidence from India
Abstract:
This paper explores the underpricing of initial public offerings (IPOs)
made by infrastructure companies in India from 2004 to 2010, and follows
Dimovski who reported that in the Australian market, infrastructure IPOs
did not produce underpricing returns that were statistically significantly
different to zero. The objective of this paper is to investigate the
underpricing of infrastructure IPOs in the emerging market of India and to
explore factors that may influence the underpricing of infrastructure IPOs
in India. The results show that, on average, the underpricing returns were
25.4% and statistically significantly different to zero, while money left
on the table, in aggregate is not. In contrast to Australian evidence,
significant underpricing in Indian infrastructure IPOs indicates greater
risk of these investments. We find that oversubscription, government
ownership and issue size are significant variables in explaining
underpricing in Indian infrastructure IPOs.
Journal: Journal of Property Research
Pages: 24-46
Issue: 1
Volume: 30
Year: 2013
Month: 3
X-DOI: 10.1080/09599916.2012.731076
File-URL: http://hdl.handle.net/10.1080/09599916.2012.731076
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Handle: RePEc:taf:jpropr:v:30:y:2013:i:1:p:24-46
Template-Type: ReDIF-Article 1.0
Author-Name: Jonathan A. Wiley
Author-X-Name-First: Jonathan A.
Author-X-Name-Last: Wiley
Author-Name: Bennie Waller
Author-X-Name-First: Bennie
Author-X-Name-Last: Waller
Author-Name: Raymond Brastow
Author-X-Name-First: Raymond
Author-X-Name-Last: Brastow
Title: Two sides of dual agency: evidence from homebuyers and transactions
Abstract:
This study gains insights to the motivating causes of dual agency
transactions in residential real estate by examining two distinct sources
of data. The first is evidence from the National Association of
Realtors® (NAR) homebuyers’ survey; the second is multiple
listing service (MLS) transaction data. The survey evidence is used to
examine buyer characteristics and search methods related to the outcome
where a homebuyer is unrepresented by a buyer broker, who would
exclusively represent their interests. Results suggest that certain
factors contribute to both the likelihood that a buyer will be
unrepresented and the incidence of dual agency, including homebuyer
experience and inexperience, geographic familiarity by brokers and buyers
and the channels used in marketing residential products to generate
initial contacts with potential buyers. The matching of results from the
empirical analysis using the MLS transaction data and the NAR homebuyer
survey data adds confirmation to our findings. Even as dual agency creates
opportunities for efficiency gain in the real estate transaction, the
empirical results have implications for the consequences of homebuyer
involvement in the initiation of dual agency, strategic behaviour
recommendations for brokers as well as the possibility to policy
adjustments.
Journal: Journal of Property Research
Pages: 47-66
Issue: 1
Volume: 30
Year: 2013
Month: 3
X-DOI: 10.1080/09599916.2012.717538
File-URL: http://hdl.handle.net/10.1080/09599916.2012.717538
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Handle: RePEc:taf:jpropr:v:30:y:2013:i:1:p:47-66
Template-Type: ReDIF-Article 1.0
Author-Name: Shaun A. Bond
Author-X-Name-First: Shaun A.
Author-X-Name-Last: Bond
Author-Name: Ben Gardiner
Author-X-Name-First: Ben
Author-X-Name-Last: Gardiner
Author-Name: Peter Tyler
Author-X-Name-First: Peter
Author-X-Name-Last: Tyler
Title: The impact of enterprise zone tax incentives on local property markets in England: who actually benefits?
Abstract:
Research on the impact of property taxes on local real estate markets has
a long history in the urban economics literature but few studies have
considered this issue in the context of the commercial real estate market
or on data from outside the USA. This is surprising given the use which
governments make of property tax exemptions to assist local regeneration
with the UK Government recently announcing some 24 new enterprise zones
(EZs) in England. In this study we use a novel data-set on commercial real
estate leases to investigate the incidence of the local property tax
savings. Our data-set covers both taxed and tax exempt areas during the
operation of the EZ designations in the UK. Our findings show that a large
part of the tax savings appears to be captured in higher rents charged by
landlords.
Journal: Journal of Property Research
Pages: 67-85
Issue: 1
Volume: 30
Year: 2013
Month: 3
X-DOI: 10.1080/09599916.2012.721381
File-URL: http://hdl.handle.net/10.1080/09599916.2012.721381
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Handle: RePEc:taf:jpropr:v:30:y:2013:i:1:p:67-85
Template-Type: ReDIF-Article 1.0
Author-Name: Eddie C.M. Hui
Author-X-Name-First: Eddie C.M.
Author-X-Name-Last: Hui
Author-Name: Ka Kwan Kevin Chan
Author-X-Name-First: Ka Kwan Kevin
Author-X-Name-Last: Chan
Title: The European sovereign debt crisis: contagion across European real estate markets
Abstract:
This paper aims to investigate the contagion across European
securitised real estate markets during the European sovereign debt crisis
by the Forbes--Rigobon test, the coskewness test and the cokurtosis test.
The new cokurtosis test is constructed by extending the method of
constructing the coskewness test to further higher order moments. The
results reveal that the cokurtosis test can show additional channels of
contagion of which the other tests fail to show, and hence can provide
more information on the direction of contagion, and reflect a more
complete picture of the contagion pattern. This study has implications to
investors and policy-makers. During a crisis, investors should reallocate
their portfolio to reduce their loss. Policy-makers should cooperate with
other authorities and act accordingly in order to stabilise the economy.
Journal: Journal of Property Research
Pages: 87-102
Issue: 2
Volume: 30
Year: 2013
Month: 6
X-DOI: 10.1080/09599916.2012.724441
File-URL: http://hdl.handle.net/10.1080/09599916.2012.724441
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Handle: RePEc:taf:jpropr:v:30:y:2013:i:2:p:87-102
Template-Type: ReDIF-Article 1.0
Author-Name: Tobias Dechant
Author-X-Name-First: Tobias
Author-X-Name-Last: Dechant
Author-Name: Konrad Finkenzeller
Author-X-Name-First: Konrad
Author-X-Name-Last: Finkenzeller
Title: How much into infrastructure? Evidence from dynamic asset allocation
Abstract:
This paper investigates the role of direct infrastructure in
a multi-asset portfolio by employing a US transaction-based index which
covers the period Q2 1990--Q2 2010. We determine time-varying asset
allocations using a mean-variance as well as a mean-downside risk
optimisation algorithm and show that infrastructure plays an important
role in both models. It is allocated predominantly to portfolios that
exhibit low-to-medium risk with maximum allocations of 32 and 28%,
respectively. With increasing investment horizons, infrastructure is also
attractive to investors who aim at earning higher returns, and especially
to those who wish to protect low-expected-return portfolios from downside
risk. As infrastructure and large cap stocks are highly correlated over
longer investment horizons, the allocation to infrastructure is sensitive
to whether large cap stocks are allocated to the portfolio. Furthermore,
we find that infrastructure is not a substitute for real estate.
Journal: Journal of Property Research
Pages: 103-127
Issue: 2
Volume: 30
Year: 2013
Month: 6
X-DOI: 10.1080/09599916.2012.731075
File-URL: http://hdl.handle.net/10.1080/09599916.2012.731075
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Handle: RePEc:taf:jpropr:v:30:y:2013:i:2:p:103-127
Template-Type: ReDIF-Article 1.0
Author-Name: Angelos Mimis
Author-X-Name-First: Angelos
Author-X-Name-Last: Mimis
Author-Name: Antonis Rovolis
Author-X-Name-First: Antonis
Author-X-Name-Last: Rovolis
Author-Name: Marianthi Stamou
Author-X-Name-First: Marianthi
Author-X-Name-Last: Stamou
Title: Property valuation with artificial neural network: the case of Athens
Abstract:
The purpose of this article is to examine the application of
an artificial neural network (ANN) approach in property valuation. The
approach has been enhanced by the use of a geographic information system
(GIS) to enrich the explanatory variables and model the spatial dimension
of the problem. The sample data used contain information of 3150
properties in the broader area of Athens. Various internal physical
(structure quality and quantity) and external environmental
characteristics (neighbourhood characteristics and transportation access)
of the properties are available. In order to incorporate these
environmental variables, the GIS was used to employ location-based
characteristics. In our approach, the multilayer perception network has
been employed and the results have been compared with the traditional
approach of the spatial lag model. The comparison demonstrates that ANN
gives more consistent predictions in the area of Athens. Our results
reveal the non-linear relationships of the value of a property with
respect to floor space and age. Finally, spatial variation of the values
of the properties in broader area of Athens is illustrated.
Journal: Journal of Property Research
Pages: 128-143
Issue: 2
Volume: 30
Year: 2013
Month: 6
X-DOI: 10.1080/09599916.2012.755558
File-URL: http://hdl.handle.net/10.1080/09599916.2012.755558
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Handle: RePEc:taf:jpropr:v:30:y:2013:i:2:p:128-143
Template-Type: ReDIF-Article 1.0
Author-Name: Charlotte Coleman
Author-X-Name-First: Charlotte
Author-X-Name-Last: Coleman
Author-Name: Neil Crosby
Author-X-Name-First: Neil
Author-X-Name-Last: Crosby
Author-Name: Pat McAllister
Author-X-Name-First: Pat
Author-X-Name-Last: McAllister
Author-Name: Pete Wyatt
Author-X-Name-First: Pete
Author-X-Name-Last: Wyatt
Title: Development appraisal in practice: some evidence from the planning system
Abstract:
Due to the requirement to demonstrate financial feasibility
of policy proposals and scheme-specific planning obligations, development
viability and development appraisal have become core themes in the English
planning system. The objective of this paper is to evaluate the
application of development appraisal in practice. The paper reviews the
literature and the models available to assess the viability of development
and analyses a sample 19 development viability appraisals to identify
practice. The paper concludes that the practice of development appraisal
deviates significantly from the tenets of capital budgeting theory. In
particular, in addition to a propensity to oversimplify the timing of
income and expenditure, the way in which debt, developer’s return
and value and cost change are handled in practice illustrates a major gap
between mainstream capital budgeting theory and development appraisal in
practice.
Journal: Journal of Property Research
Pages: 144-165
Issue: 2
Volume: 30
Year: 2013
Month: 6
X-DOI: 10.1080/09599916.2012.750620
File-URL: http://hdl.handle.net/10.1080/09599916.2012.750620
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Handle: RePEc:taf:jpropr:v:30:y:2013:i:2:p:144-165
Template-Type: ReDIF-Article 1.0
Author-Name: Michael Ball
Author-X-Name-First: Michael
Author-X-Name-Last: Ball
Author-Name: Colin Jones
Author-X-Name-First: Colin
Author-X-Name-Last: Jones
Title: Introduction to Special Issue
Journal: Journal of Property Research
Pages: 167-169
Issue: 3
Volume: 30
Year: 2013
Month: 9
X-DOI: 10.1080/09599916.2013.790465
File-URL: http://hdl.handle.net/10.1080/09599916.2013.790465
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Handle: RePEc:taf:jpropr:v:30:y:2013:i:3:p:167-169
Template-Type: ReDIF-Article 1.0
Author-Name: Paul C. Cheshire
Author-X-Name-First: Paul C.
Author-X-Name-Last: Cheshire
Title: Land market regulation: market versus policy failures
Abstract:
This paper reviews the role of market failures in land
markets, evidence as to their quantitative significance and the impact of
land use policies designed to offset for such failures. Policies of
containment and densification limit the supply of land for all urban uses.
When applied as stringently as in Britain, a full net welfare evaluation
shows the increased costs of space for housing substantially exceed the
value of amenities generated. There is also evidence that constraints on
land supply impose costs on productive uses of land in both office and
retail use. Although the estimates are that these costs are considerable
they relate only to the gross costs. Three possible policy changes are
identified which could preserve the role of regulation in offsetting for
problems of market failure while greatly relieving the costs of
policy-imposed supply restrictions.
Journal: Journal of Property Research
Pages: 170-188
Issue: 3
Volume: 30
Year: 2013
Month: 9
X-DOI: 10.1080/09599916.2013.791339
File-URL: http://hdl.handle.net/10.1080/09599916.2013.791339
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Handle: RePEc:taf:jpropr:v:30:y:2013:i:3:p:170-188
Template-Type: ReDIF-Article 1.0
Author-Name: Michael Ball
Author-X-Name-First: Michael
Author-X-Name-Last: Ball
Title: Spatial regulation and international differences in the housebuilding industries
Abstract:
Housebuilding firms vary across the world in size and in the
scope of their activities. This variety may seem surprising in an industry
with open technologies and ease of entry. While market and technological
factors may go some way to explain such differences, much of the causes of
variation lie in dissimilarities in regulatory and institutional
frameworks. These themes are explored through a comparative analysis of
the structure of the residential development industry in Australia, the UK
and the USA and in analysis of firm size hierarchies. The firm
concentration ratio is much higher in the UK than the other two countries
and the reasons may lie in the geography of the country but also in the
peculiarities of its planning system.
Journal: Journal of Property Research
Pages: 189-204
Issue: 3
Volume: 30
Year: 2013
Month: 9
X-DOI: 10.1080/09599916.2013.791338
File-URL: http://hdl.handle.net/10.1080/09599916.2013.791338
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Handle: RePEc:taf:jpropr:v:30:y:2013:i:3:p:189-204
Template-Type: ReDIF-Article 1.0
Author-Name: Jørgen Lauridsen
Author-X-Name-First: Jørgen
Author-X-Name-Last: Lauridsen
Author-Name: Niels Nannerup
Author-X-Name-First: Niels
Author-X-Name-Last: Nannerup
Author-Name: Morten Skak
Author-X-Name-First: Morten
Author-X-Name-Last: Skak
Title: House prices and land regulation in the Copenhagen area
Abstract:
We analyse house prices from 1992 to 2011 in the metropolitan
area of Copenhagen. In line with most other metropolitan areas in Europe,
Copenhagen house prices showed solid increases during this period until
2007 when a downturn in prices began. The price gradient from the centre
of the metropolis to the outskirts also became steeper over these years.
We investigate the influence of land regulation on this development and
find indications of an upward pressure on house prices from restrictive
land regulation at the municipal as well as the national level.
Journal: Journal of Property Research
Pages: 205-220
Issue: 3
Volume: 30
Year: 2013
Month: 9
X-DOI: 10.1080/09599916.2013.791340
File-URL: http://hdl.handle.net/10.1080/09599916.2013.791340
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Handle: RePEc:taf:jpropr:v:30:y:2013:i:3:p:205-220
Template-Type: ReDIF-Article 1.0
Author-Name: Neil Dunse
Author-X-Name-First: Neil
Author-X-Name-Last: Dunse
Author-Name: Sotirios Thanos
Author-X-Name-First: Sotirios
Author-X-Name-Last: Thanos
Author-Name: Glen Bramley
Author-X-Name-First: Glen
Author-X-Name-Last: Bramley
Title: Planning policy, housing density and consumer preferences
Abstract:
Due to a combination of government planning policies and
market pressures in England in the period 2000--2008, there was an
increase in the construction of flats and high-density developments and a
decline in the construction of houses. In this paper, an analysis of the
effects of these policy constraints is undertaken. Using hedonic pricing
models, we test for a non-linear relationship between house prices and
residential density in England. Consumers prefer houses over flats and
detached properties over semi-detached and terraced (i.e. lower density
suburban areas). However, both low-density, detached-dominant areas and
high-density, flat-dominant areas attracted a premium over medium density
areas and the relative size of these price differences vary between
different housing market areas. In cities outside London, we consistently
see a convex relationship between price and density, whereas a concave
relationship between price and density is consistently observed in London.
This suggests a different form of relationship between density and house
prices in large urban conurbation areas, compared to more typical
provincial cities. The conclusions we draw are that in the correct
context, high density may be viewed positively but a single planning
policy is not appropriate and it should be tailored to suit local market
needs.
Journal: Journal of Property Research
Pages: 221-238
Issue: 3
Volume: 30
Year: 2013
Month: 9
X-DOI: 10.1080/09599916.2013.795992
File-URL: http://hdl.handle.net/10.1080/09599916.2013.795992
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Handle: RePEc:taf:jpropr:v:30:y:2013:i:3:p:221-238
Template-Type: ReDIF-Article 1.0
Author-Name: W.J. McCluskey
Author-X-Name-First: W.J.
Author-X-Name-Last: McCluskey
Author-Name: M. McCord
Author-X-Name-First: M.
Author-X-Name-Last: McCord
Author-Name: P.T. Davis
Author-X-Name-First: P.T.
Author-X-Name-Last: Davis
Author-Name: M. Haran
Author-X-Name-First: M.
Author-X-Name-Last: Haran
Author-Name: D. McIlhatton
Author-X-Name-First: D.
Author-X-Name-Last: McIlhatton
Title: Prediction accuracy in mass appraisal: a comparison of modern approaches
Abstract:
The advancement of computational software
within the last decade has facilitated enhanced uptake of mass appraisal
methodologies by the valuation and prediction accuracy in
computer-assisted mass appraisal community for price modelling, estimation
and tribunal defence. Applying a sample of 2694 residential properties,
this paper assesses and analyses a number of geostatistical approaches
relative to an artificial neural network (ANN) model and the traditional
linear hedonic pricing model for mass appraisal valuation accuracy and
price estimation purposes. The findings demonstrate that the
geostatistical localised regression approach is superior in terms of model
explanation, reliability and accuracy. ANNs can be shown to perform very
well in terms of predictive power, and therefore valuation accuracy,
outperforming the traditional multiple regression analysis (MRA) and
approaching the performance of spatially weighted regression approaches.
However, ANNs retain a 'black box' architecture that limits their
usefulness to practitioners in the field. In relation to
cost-effectiveness and user-friendly applicability for the valuation
community, the MRA approach outperforms the 'black box' nature of the ANN
technique, with the geographically weighted regression approach providing
the best balance of outright performance and transparency of methodology.
It is this spatially weighted approach utilising absolute location which
appears to represent the way forward in developing the practice of mass
appraisal.
Journal: Journal of Property Research
Pages: 239-265
Issue: 4
Volume: 30
Year: 2013
Month: 12
X-DOI: 10.1080/09599916.2013.781204
File-URL: http://hdl.handle.net/10.1080/09599916.2013.781204
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Handle: RePEc:taf:jpropr:v:30:y:2013:i:4:p:239-265
Template-Type: ReDIF-Article 1.0
Author-Name: Cath Jackson
Author-X-Name-First: Cath
Author-X-Name-Last: Jackson
Title: Diversification of portfolio risk: reconciling theory and observed weightings
Abstract:
During the 1990s and early 2000s an
international body of literature explored property portfolio
diversification strategies, motivated by the view that reliance on
administrative regions to represent asset classes is suboptimum because
they are based on historic and governmental factors rather than market
fundamentals. Thus, individual 'asset classes' may contain highly
heterogeneous areas, violating the basic tenets of investment theory.
Asset classes based on alternative market groupings were proposed and are
re-evaluated here. A sample of 73 local markets is analysed covering
1998--2007, with temporal stability additionally explored. Comparative
portfolio performance opportunities are assessed using efficient
frontiers, with the alternative market groupings most often found to offer
superior performance to traditional strategies. Further than this, the
optimal weightings suggested by the classifications are compared to
observed aggregate institutional investment weightings. The differences in
allocation are found to be considerable. Subsequent hypothetical benchmark
portfolios, constructed using observed allocations, are found to
statistically significantly violate the mean variance criterion in
volatile market phases. Explanations are proposed, drawing on the
investment characteristics of property and consequences for portfolio
management, as well as an exploration of behavioural factors to include
benchmarking. A re-visiting of investment theory and practical strategies
is urged.
Journal: Journal of Property Research
Pages: 266-297
Issue: 4
Volume: 30
Year: 2013
Month: 12
X-DOI: 10.1080/09599916.2013.813578
File-URL: http://hdl.handle.net/10.1080/09599916.2013.813578
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Handle: RePEc:taf:jpropr:v:30:y:2013:i:4:p:266-297
Template-Type: ReDIF-Article 1.0
Author-Name: Yu Chen
Author-X-Name-First: Yu
Author-X-Name-Last: Chen
Author-Name: Bernard Fingleton
Author-X-Name-First: Bernard
Author-X-Name-Last: Fingleton
Author-Name: Gwilym Pryce
Author-X-Name-First: Gwilym
Author-X-Name-Last: Pryce
Author-Name: Albert S. Chen
Author-X-Name-First: Albert S.
Author-X-Name-Last: Chen
Author-Name: Slobodan Djordjević
Author-X-Name-First: Slobodan
Author-X-Name-Last: Djordjević
Title: Implications of rising flood-risk for employment location: a GMM spatial model with agglomeration and endogenous house price effects
Abstract:
The impact of flood-risk on local
employment has been almost entirely neglected in the empirical urban
economics literature. This omission is particularly anomalous in the
context of climate change. We extend the literature in four ways. First,
we argue that competition for land between firms and households will
generate an endogenous role for house prices, which we estimate using a
generalised method of moments two-stage least squares spatial econometric
model. Second, we model interaction effects between agglomeration and
flood-risk using a gravity-based agglomeration measure. Third, we utilise
a high-resolution flood-risk measure which incorporates both flood
frequency and severity. Fourth, we use a high-resolution measure of
employment to capture local effects. We find that agglomeration economies
have a significant mitigating effect on flood-risk. This is potentially
important because it suggests that flood-risk may have a more deleterious
effect on employment in areas where economic agglomeration is weak.
Policy-makers, insurers and planners cannot, therefore, assume a uniform
effect of future changes to flood-risk as a result of climate change, and
this needs to be taken into account when estimating the costs and benefits
of interventions to reduce or underwrite flood-risk at particular
locations. Our model offers a robust methodological basis for such
estimation.
Journal: Journal of Property Research
Pages: 298-323
Issue: 4
Volume: 30
Year: 2013
Month: 12
X-DOI: 10.1080/09599916.2013.765499
File-URL: http://hdl.handle.net/10.1080/09599916.2013.765499
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Handle: RePEc:taf:jpropr:v:30:y:2013:i:4:p:298-323
Template-Type: ReDIF-Article 1.0
Author-Name: Huub Ploegmakers
Author-X-Name-First: Huub
Author-X-Name-Last: Ploegmakers
Author-Name: Erwin van der Krabben
Author-X-Name-First: Erwin
Author-X-Name-Last: van der Krabben
Author-Name: Edwin Buitelaar
Author-X-Name-First: Edwin
Author-X-Name-Last: Buitelaar
Title: Understanding industrial land supply: how Dutch municipalities make decisions about supplying serviced building land
Abstract:
The supply side of real estate markets has
remained relatively neglected compared to the body of work that studies
the demand side. Consequently, little is known about the way that
suppliers actually make decisions about the quantity of land and property
to be made available for sale at any one time. This paper investigates how
one particular type of suppliers, public developers of serviced industrial
building land in the Netherlands, assess market conditions, and the way
these analyses influence decisions to make more serviced building land
available. This paper presents evidence from interviews amongst municipal
developers and finds that profit considerations are not the main motive
behind their decisions to develop industrial land. Municipalities are
involved in land development primarily because they want to be able to
steer local economic development. Furthermore, they also pay attention to
'nonprice' signals of market conditions -- sales levels in particular --
when deciding to make more land available for sale. However, we should be
cautious with interpreting these results since this study only addresses
public agencies, which might operate with 'soft budget constraints' and
might have alternative preference functions than commercial developers.
Journal: Journal of Property Research
Pages: 324-344
Issue: 4
Volume: 30
Year: 2013
Month: 12
X-DOI: 10.1080/09599916.2012.753933
File-URL: http://hdl.handle.net/10.1080/09599916.2012.753933
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Handle: RePEc:taf:jpropr:v:30:y:2013:i:4:p:324-344
Template-Type: ReDIF-Article 1.0
Author-Name: Karen M. McGrath
Author-X-Name-First: Karen M.
Author-X-Name-Last: McGrath
Title: The effects of eco-certification on office properties: a cap rates-based analysis
Abstract:
Though the effects of eco-certification on
individual property cash flows and valuations have been addressed in
previous literature, the question has remained as to the worth investors
place on eco-certification, and whether there is perceived value in the
capital outlays often needed in order to achieve eco-certification. This
paper is the first to provide credible empirical evidence through the
analysis of excess capitalisation rates that investors place on increased
value on the property-specific benefits of eco-certification. Based upon a
data-set of Leadership in Energy and Environmental Design (LEED) and
Energy Star-labelled commercial office properties and their non-certified
counterparts, this paper investigates the effects of eco-certification on
the excess capitalisation rates of commercial office properties. Hedonic
regression analysis is used to determine whether premiums in rent and
sales price associated with eco-certified properties translate into lower
excess capitalisation rates vs. their non-certified counterparts. The
results suggest that overall eco-certified properties have excess
capitalisation rates that are 0.364 lower than their non-certified
counterparts. Additionally, those properties with only the Energy Star
label also exhibit lower average excess capitalisation rates, with
properties achieving the Energy Star rating post-sale having lower excess
capitalisation rates than those purchased with the Energy Star rating in
place. However, due to the small sample size, the results surrounding
properties that are LEED-only certified or that possess both the LEED and
Energy Star labels are inconclusive.
Journal: Journal of Property Research
Pages: 345-365
Issue: 4
Volume: 30
Year: 2013
Month: 12
X-DOI: 10.1080/09599916.2012.762034
File-URL: http://hdl.handle.net/10.1080/09599916.2012.762034
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Handle: RePEc:taf:jpropr:v:30:y:2013:i:4:p:345-365
Template-Type: ReDIF-Article 1.0
Author-Name: Joseph B. Oyedele
Author-X-Name-First: Joseph B.
Author-X-Name-Last: Oyedele
Author-Name: Alastair Adair
Author-X-Name-First: Alastair
Author-X-Name-Last: Adair
Author-Name: Stanley McGreal
Author-X-Name-First: Stanley
Author-X-Name-Last: McGreal
Title: Performance of global listed infrastructure investment in a mixed asset portfolio
Journal: Journal of Property Research
Pages: i-i
Issue: 1
Volume: 31
Year: 2014
Month: 3
X-DOI: 10.1080/09599916.2013.832592
File-URL: http://hdl.handle.net/10.1080/09599916.2013.832592
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Handle: RePEc:taf:jpropr:v:31:y:2014:i:1:p:i-i
Template-Type: ReDIF-Article 1.0
Author-Name: Joseph B. Oyedele
Author-X-Name-First: Joseph B.
Author-X-Name-Last: Oyedele
Author-Name: Alastair Adair
Author-X-Name-First: Alastair
Author-X-Name-Last: Adair
Author-Name: Stanley McGreal
Author-X-Name-First: Stanley
Author-X-Name-Last: McGreal
Title: Performance of global listed infrastructure investment in a mixed asset portfolio
Abstract:
This paper seeks to examine global
infrastructure investment performance compared with other global asset
classes such as stocks, bonds, real estate investment trusts, property,
hedge funds and private equity. The paper examines the level of
correlation of infrastructure with the other assets classes largely
reflecting the diversification potential of infrastructure within a mixed
asset portfolio. Monthly return indices obtained from Thomson Reuters
DataStream over a 10-year period (2001--2010) facilitated the examination
of listed infrastructure investment return characteristics including
average annual return, annual risk, Sharpe index, mean variance portfolio
and maximum return portfolio. Efficient portfolio frontiers were computed
using risk solver platform version 11. From a global perspective,
investments in infrastructure show a robust comparative performance over
the 10-year timeframe (2001--2010). The study is supportive of the
argument that the inclusion of infrastructure in a mixed asset portfolio
enhances investment performance. The role of global infrastructure in a
multi-asset portfolio is shown to be more risk reduction rather than
enhancement of return. From a practical viewpoint, the systematic
allocation of between 10 and 17.63% of infrastructure into a global
investment portfolio can significantly enhance diversification benefits
for investors.
Journal: Journal of Property Research
Pages: 1-25
Issue: 1
Volume: 31
Year: 2014
Month: 3
X-DOI: 10.1080/09599916.2012.737819
File-URL: http://hdl.handle.net/10.1080/09599916.2012.737819
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Handle: RePEc:taf:jpropr:v:31:y:2014:i:1:p:1-25
Template-Type: ReDIF-Article 1.0
Author-Name: Michael White
Author-X-Name-First: Michael
Author-X-Name-Last: White
Author-Name: Qiulin Ke
Author-X-Name-First: Qiulin
Author-X-Name-Last: Ke
Title: Investigating the dynamics of, and interactions between, Shanghai office submarkets
Abstract:
The Shanghai office market has developed
rapidly over the past two decades. As a consequence of this development,
two, apparently distinct, office submarkets, Puxi and Pudong have
developed in central Shanghai. This raises the issue as to whether the
Shanghai office market can be viewed as a homogeneous entity or whether
there is imperfect substitutability across office locations within the
city. The latter case raises the possibility of the existence of office
submarkets. In this paper, we examine intra-metropolitan rental dynamics
in the Puxi and Pudong submarkets, identifying any interrelationships
between these markets, and consider whether they form distinct office
submarkets. We find no interaction between the two submarkets. Further, we
find no evidence of lead--lag relationships between the two submarkets.
Finally, when we test for convergence in rental performance between the
two submarkets, the tests reveal that we can reject the null of no
convergence.
Journal: Journal of Property Research
Pages: 26-44
Issue: 1
Volume: 31
Year: 2014
Month: 3
X-DOI: 10.1080/09599916.2013.765500
File-URL: http://hdl.handle.net/10.1080/09599916.2013.765500
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Handle: RePEc:taf:jpropr:v:31:y:2014:i:1:p:26-44
Template-Type: ReDIF-Article 1.0
Author-Name: O. Alan Tidwell
Author-X-Name-First: O. Alan
Author-X-Name-Last: Tidwell
Author-Name: Paul Gallimore
Author-X-Name-First: Paul
Author-X-Name-Last: Gallimore
Title: The influence of a decision support tool on real estate valuations
Abstract:
An appraisal task involves the rendering
of market value, an unobservable and hypothetical construct. Direct
feedback against this objective is typically not possible, so alternative
feedback such as confirmation of previous appraised values may be
employed. This may alter the appraiser's perception of the valuation
objective leading to divergence from the appraisal normative model. The
real estate literature suggests appraisers have been susceptible to the
influence of previous appraised values, often resulting in biased
valuations. This research focuses on the efficacy of a decision support
tool in eliminating or subduing this bias in the appraisal process.
Journal: Journal of Property Research
Pages: 45-63
Issue: 1
Volume: 31
Year: 2014
Month: 3
X-DOI: 10.1080/09599916.2013.819519
File-URL: http://hdl.handle.net/10.1080/09599916.2013.819519
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Handle: RePEc:taf:jpropr:v:31:y:2014:i:1:p:45-63
Template-Type: ReDIF-Article 1.0
Author-Name: Prashant Das
Author-X-Name-First: Prashant
Author-X-Name-Last: Das
Author-Name: Jonathan A. Wiley
Author-X-Name-First: Jonathan A.
Author-X-Name-Last: Wiley
Title: Determinants of premia for energy-efficient design in the office market
Abstract:
This study explores the dynamic nature of
premia for energy-efficient design in the market for office space.
Stationary premia for Energy Star- and Leadership in Energy and
Environmental Design (LEED)-certified property transactions are estimated
at 16.4 and 10.6% respectively, on a price per square foot basis. We
provide evidence to suggest that these premia should not be uniformly
applied to all properties, but that adjustments should be made to account
for individual property characteristics and changing market conditions. In
particular, variance in the premia for Energy Star-labelled assets is
consistent with expectations for the actual impact on operating expenses.
Premia for LEED-certified properties are more responsive to the expected
marketing benefits accrued by tenants. LEED premia are increasing with
market acceptance during the sample period, rather than decreasing as the
novelty effect expires. Investment in both categories of property with
energy-efficient design is increasingly advantageous during periods when
office market conditions have softened.
Journal: Journal of Property Research
Pages: 64-86
Issue: 1
Volume: 31
Year: 2014
Month: 3
X-DOI: 10.1080/09599916.2013.788543
File-URL: http://hdl.handle.net/10.1080/09599916.2013.788543
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Handle: RePEc:taf:jpropr:v:31:y:2014:i:1:p:64-86
Template-Type: ReDIF-Article 1.0
Author-Name: Julia Freybote
Author-X-Name-First: Julia
Author-X-Name-Last: Freybote
Author-Name: Frank Gyamfi-Yeboah
Author-X-Name-First: Frank
Author-X-Name-Last: Gyamfi-Yeboah
Author-Name: Alan J. Ziobrowski
Author-X-Name-First: Alan J.
Author-X-Name-Last: Ziobrowski
Title: Dispositional joint ventures as REIT financing strategy
Abstract:
A dispositional joint venture (DJV) represents an alternative disposal
strategy used by USA real estate investment trusts (REITs), which has
received limited attention in the real estate investment and finance
literature. REITs form DJVs by selling a partial interest in a property to
a financier, for example, a pension fund. We hypothesise that REITs pursue
this financing strategy when in need of funds and faced with restricted
capital market access. We investigate the motivation to form a DJV at the
REIT and property level. Using multinomial logistic regression, we find
that, compared to REITs with full or no disposals, DJV REITs are
characterised by higher leverage, lower market-to-book values and a lower
dividend payout ratio. These findings support our hypothesis that DJV
forming REITs face restricted capital market access and use DJVs to obtain
financing in the private equity market. Also DJV properties appear to be
of a higher quality than completely sold properties, which may explain why
REITs are interested in maintaining a partial interest and thus opt for a
DJV instead of an outright sale.
Journal: Journal of Property Research
Pages: 87-107
Issue: 2
Volume: 31
Year: 2014
Month: 6
X-DOI: 10.1080/09599916.2013.790464
File-URL: http://hdl.handle.net/10.1080/09599916.2013.790464
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Handle: RePEc:taf:jpropr:v:31:y:2014i:2:p:87-107
Template-Type: ReDIF-Article 1.0
Author-Name: Jasper Beekmans
Author-X-Name-First: Jasper
Author-X-Name-Last: Beekmans
Author-Name: Pascal Beckers
Author-X-Name-First: Pascal
Author-X-Name-Last: Beckers
Author-Name: Erwin van der Krabben
Author-X-Name-First: Erwin
Author-X-Name-Last: van der Krabben
Author-Name: Karel Martens
Author-X-Name-First: Karel
Author-X-Name-Last: Martens
Title: A hedonic price analysis of the value of industrial sites
Abstract:
Hedonic price modelling is a widely used technique to explain the value of
different types of individual property. Following the notion that areas
within the city can suffer from devaluation, the question arises what
factors influence the value of urban areas. In this paper, we use hedonic
price analysis to answer this question for a specific type of urban area,
the industrial site. We use the average property value per hectare as a
representation of the value of an industrial site. A distinction is made
between three types of explanatory variables: physical characteristics of
the industrial site, regional economic characteristics and general
economic trends. Although the overall explanatory value of our model
appears to be modest compared to existing hedonic pricing studies of
individual property, results show that most explanatory variables in our
model have the expected coefficients and signs, indicating that this
method can be applied in a meaningful way to gain insight into the
valuation of urban areas.
Journal: Journal of Property Research
Pages: 108-130
Issue: 2
Volume: 31
Year: 2014
Month: 6
X-DOI: 10.1080/09599916.2013.836556
File-URL: http://hdl.handle.net/10.1080/09599916.2013.836556
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Handle: RePEc:taf:jpropr:v:31:y:2014:i:2:p:108-130
Template-Type: ReDIF-Article 1.0
Author-Name: Rainer Schulz
Author-X-Name-First: Rainer
Author-X-Name-Last: Schulz
Author-Name: Martin Wersing
Author-X-Name-First: Martin
Author-X-Name-Last: Wersing
Author-Name: Axel Werwatz
Author-X-Name-First: Axel
Author-X-Name-Last: Werwatz
Title: Automated valuation modelling: a specification exercise
Abstract:
Market value predictions for residential properties are important for
investment decisions and the risk management of households, banks and real
estate developers. The increased access to market data has spurred the
development and application of Automated Valuation Models (AVMs), which
can provide appraisals at low cost. We discuss the stages involved when
developing an AVM. By reflecting on our experience with md*immo, an AVM
from Berlin, Germany, our paper contributes to an area that has not
received much attention in the academic literature. In addition to
discussing the main stages of AVM development, we examine empirically the
statistical model development and validation step. We find that automated
outlier removal is important and that a log model performs best, but only
if it accounts for the retransformation problem and heteroscedasticity.
Journal: Journal of Property Research
Pages: 131-153
Issue: 2
Volume: 31
Year: 2014
Month: 6
X-DOI: 10.1080/09599916.2013.846930
File-URL: http://hdl.handle.net/10.1080/09599916.2013.846930
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Handle: RePEc:taf:jpropr:v:31:y:2014:i:2:p:131-153
Template-Type: ReDIF-Article 1.0
Author-Name: Martin Greiner
Author-X-Name-First: Martin
Author-X-Name-Last: Greiner
Author-Name: Matthias Thomas
Author-X-Name-First: Matthias
Author-X-Name-Last: Thomas
Title: Continuity of the valuation of property portfolios with stratified sampling: a case study
Abstract:
The purpose of this paper is to establish whether the estimation accuracy
of the sample-based valuation of a fairly homogenous real estate portfolio
with stratification based on principal component and cluster analysis is
robust over multiple valuation dates. We use a model portfolio of 2400
rental apartment buildings in Germany to extrapolate the portfolio value
from fairly small samples and calculate bootstrap confidence intervals to
estimate the precision. The samples are based on cluster allocation using
a theoretical statistical process. The continuity of the sample-based
valuation model is analysed by comparing cluster allocation and confidence
interval accuracy and precision over multiple valuation dates. The results
confirm that the value of a fairly homogenous real estate portfolio can be
estimated sufficiently well using small samples and that the performance
of the approach is reasonably robust regarding its temporal aspect. Our
model is an efficient alternative to valuing real estate portfolios of
significant size under tight temporal and financial restrictions. This
paper extends previous research on sample-based valuation with regard to
its temporal dimension.
Journal: Journal of Property Research
Pages: 154-179
Issue: 2
Volume: 31
Year: 2014
Month: 6
X-DOI: 10.1080/09599916.2013.836555
File-URL: http://hdl.handle.net/10.1080/09599916.2013.836555
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Handle: RePEc:taf:jpropr:v:31:y:2014:i:2:p:154-179
Template-Type: ReDIF-Article 1.0
Author-Name: Felix Schindler
Author-X-Name-First: Felix
Author-X-Name-Last: Schindler
Author-Name: Peter Westerheide
Author-X-Name-First: Peter
Author-X-Name-Last: Westerheide
Author-Name: Tim-Alexander Kroencke
Author-X-Name-First: Tim-Alexander
Author-X-Name-Last: Kroencke
Title: Editorial
Journal: Journal of Property Research
Pages: 181-182
Issue: 3
Volume: 31
Year: 2014
Month: 9
X-DOI: 10.1080/09599916.2013.839573
File-URL: http://hdl.handle.net/10.1080/09599916.2013.839573
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Handle: RePEc:taf:jpropr:v:31:y:2014:i:3:p:181-182
Template-Type: ReDIF-Article 1.0
Author-Name: Oliver W. Lerbs
Author-X-Name-First: Oliver W.
Author-X-Name-Last: Lerbs
Title: House prices, housing development costs, and the supply of new single-family housing in German counties and cities
Abstract:
This paper investigates the determinants
of new single-family housing supply in local housing markets in Germany,
using construction permits as the dependent variable. The empirical
estimations are based on a panel data-set for 413 German counties and
cities spanning the time period of 2004-2010. Employing dynamic panel data
analysis, the findings suggest that the local ratio of existing home
prices to housing construction costs and past local permit rates act as
important drivers of new local housing investment. The average long-run
price elasticity of new single-family housing supply is considerably less
than one, but sizeable differences exist across the urban hierarchy.
Journal: Journal of Property Research
Pages: 183-210
Issue: 3
Volume: 31
Year: 2014
Month: 9
X-DOI: 10.1080/09599916.2014.893249
File-URL: http://hdl.handle.net/10.1080/09599916.2014.893249
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Handle: RePEc:taf:jpropr:v:31:y:2014:i:3:p:183-210
Template-Type: ReDIF-Article 1.0
Author-Name: Omokolade Akinsomi
Author-X-Name-First: Omokolade
Author-X-Name-Last: Akinsomi
Author-Name: Seow Eng Ong
Author-X-Name-First: Seow Eng
Author-X-Name-Last: Ong
Author-Name: Muhammad Faishal Ibrahim
Author-X-Name-First: Muhammad Faishal
Author-X-Name-Last: Ibrahim
Author-Name: Graeme Newell
Author-X-Name-First: Graeme
Author-X-Name-Last: Newell
Title: The idiosyncratic risks of a Shariah compliant REIT investor
Abstract:
This paper investigates the impact of
Shariah compliant investment principles on the idiosyncratic risks of a
Shariah compliant REIT investor. The importance of idiosyncratic risks in
explaining cross-sectional returns of a constructed Shariah compliant REIT
investor's portfolio is further examined in this paper. In all constructed
portfolios examined, there is a positive and significant relationship
between expected idiosyncratic volatility and expected REIT returns of the
constructed Shariah compliant portfolio (GCC Shariah compliance
standards). This result is consistent and persistent after robustness
tests are carried out. As such, idiosyncratic risks are an important
factor to consider in the pricing of Shariah compliant REIT stock returns.
On further examination, the significant relationship as seen in the
constructed Shariah compliant portfolio can be explained from the
firm-specific risks of the residential REIT sector which is the most
dominant sector during the period of investigation. The implications of
these results also point to the importance of Shariah compliance standards
and screening methods which is a significant feature associated with the
understanding of the relationship of idiosyncratic risks on expected REIT
returns of Shariah portfolios. Results show contrasting results between a
less-restrictive and restrictive Shariah compliant portfolio. We find a
significant relationship between expected returns and the idiosyncratic
risks specifically in the restrictive Shariah compliant portfolio.
Journal: Journal of Property Research
Pages: 211-243
Issue: 3
Volume: 31
Year: 2014
Month: 9
X-DOI: 10.1080/09599916.2013.841276
File-URL: http://hdl.handle.net/10.1080/09599916.2013.841276
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Handle: RePEc:taf:jpropr:v:31:y:2014:i:3:p:211-243
Template-Type: ReDIF-Article 1.0
Author-Name: Philipp an de Meulen
Author-X-Name-First: Philipp
Author-X-Name-Last: an de Meulen
Author-Name: Martin Micheli
Author-X-Name-First: Martin
Author-X-Name-Last: Micheli
Author-Name: Torsten Schmidt
Author-X-Name-First: Torsten
Author-X-Name-Last: Schmidt
Title: Forecasting real estate prices in Germany: the role of consumer confidence
Abstract:
The aim of the paper is to analyse the
forecasting ability of various potential predictors for real estate prices
in Germany over the short term. In the wake of the financial crisis, real
estate prices in Germany started to increase markedly and still did so by
the end of 2013. Despite a number of fundamental reasons, e.g. favourable
lending conditions and Germany's rapid return to economic growth, this
provoked a discussion on whether consumers have too gloomy expectations
regarding real estate prices in future. To capture the role of
expectations for predicting real estate prices, in our forecast
evaluation, we put special emphasis on various components of consumer
confidence. Using single indicator models, we find that households'
perceived financial situations as well as their intended
consumption/saving plans serve as valuable real estate price predictors.
Journal: Journal of Property Research
Pages: 244-263
Issue: 3
Volume: 31
Year: 2014
Month: 9
X-DOI: 10.1080/09599916.2014.940059
File-URL: http://hdl.handle.net/10.1080/09599916.2014.940059
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Handle: RePEc:taf:jpropr:v:31:y:2014:i:3:p:244-263
Template-Type: ReDIF-Article 1.0
Author-Name: Qing Li
Author-X-Name-First: Qing
Author-X-Name-Last: Li
Author-Name: Yuen Leng Chow
Author-X-Name-First: Yuen Leng
Author-X-Name-Last: Chow
Author-Name: Seow Eng Ong
Author-X-Name-First: Seow Eng
Author-X-Name-Last: Ong
Title: Do changes in credit ratings of REITs affect their capital structure decisions?
Abstract:
Existing research has highlighted the high
leverage ratio of Real Estate Investment Trusts (REITs). To the extent
that credit rating is important to REITs when sourcing for capital from
the public debt markets, our paper investigates the effect of changes in
REIT credit ratings on capital structure decisions while controlling for
endogeneity effects. Our results indicate that REITs that face the
prospect of an imminent credit rating downgrade issue approximately 11%
less debt net of equity as a percentage of total assets than other REITs.
This effect is asymmetric in that positive rating outlooks do not have a
significant impact on REIT capital structure activities.
Journal: Journal of Property Research
Pages: 264-285
Issue: 3
Volume: 31
Year: 2014
Month: 9
X-DOI: 10.1080/09599916.2013.848225
File-URL: http://hdl.handle.net/10.1080/09599916.2013.848225
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Handle: RePEc:taf:jpropr:v:31:y:2014:i:3:p:264-285
Template-Type: ReDIF-Article 1.0
Author-Name: Kim Hiang Liow
Author-X-Name-First: Kim Hiang
Author-X-Name-Last: Liow
Author-Name: Qing Ye
Author-X-Name-First: Qing
Author-X-Name-Last: Ye
Title: Switching volatility and cross-market linkages in public property markets
Abstract:
The primary contribution of this study is to examine the changes in
cross-market relationship in international public property markets from a
volatility regime switching perspective from January 1990 to January 2012.
We find that global developed public property markets can be adequately
characterised by a SWARCH model. In particular, most of the persistence in
real estate stock price volatility can be attributed to the persistence of
low-, medium- and high-volatility regimes in international developed
public property markets. Moreover, there is a significant volatility
increase during the crises periods for all markets examined. However, the
identified high-volatility regime appears short-lived. Based on the SWARCH
results, we find that the dynamic linkages among the markets are
positively dependent on volatility regime. Specifically, the market
correlations, foreign market influence, aggregate variance spillover index
and variance-covariance matrix have intensified as market volatility
increases during this period. Moreover, the evolution of the cross-market
linkages among the sample public property markets is influenced
significantly by both a time trend and a volatility regime factor that are
independent of the influences of the global stock market and national
stock markets. Our results imply that risk-reduction via international
diversification in public property markets may only hold true in
low-volatility periods. Consequently, portfolio managers need to
understand and implement volatility state-dependent optimal asset
allocation in order to better advise their clients.
Journal: Journal of Property Research
Pages: 287-314
Issue: 4
Volume: 31
Year: 2014
Month: 12
X-DOI: 10.1080/09599916.2013.870921
File-URL: http://hdl.handle.net/10.1080/09599916.2013.870921
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Handle: RePEc:taf:jpropr:v:31:y:2014:i:4:p:287-314
Template-Type: ReDIF-Article 1.0
Author-Name: Ivelina Pavlova
Author-X-Name-First: Ivelina
Author-X-Name-Last: Pavlova
Author-Name: Jang Hyung Cho
Author-X-Name-First: Jang Hyung
Author-X-Name-Last: Cho
Author-Name: A.M. Parhizgari
Author-X-Name-First: A.M.
Author-X-Name-Last: Parhizgari
Author-Name: William G. Hardin
Author-X-Name-First: William G.
Author-X-Name-Last: Hardin
Title: Long memory in REIT volatility and changes in the unconditional mean: a modified FIGARCH approach
Abstract:
We examine the long memory of real estate investment trust (REIT)
volatility in the mature REIT markets of Australia, Japan, the UK and the
US, and propose a modified fractionally integrated (FIGARCH) model for
forecasting at daily and weekly frequencies. Long memory of volatility
occurs when the effects of volatility shocks persist over extended periods
of time. Our results suggest that the appearance of long memory in REIT
return series is due to a lack of adjustment for temporal changes in the
unconditional mean of volatility. Based on our long memory results, we
empirically test a modified FIGARCH model and show that it performs better
at weekly and daily forecast horizons. Forecasting REIT series volatility
has important implications for risk evaluation, portfolio optimisation and
derivatives pricing.
Journal: Journal of Property Research
Pages: 315-332
Issue: 4
Volume: 31
Year: 2014
Month: 12
X-DOI: 10.1080/09599916.2013.877063
File-URL: http://hdl.handle.net/10.1080/09599916.2013.877063
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Handle: RePEc:taf:jpropr:v:31:y:2014:i:4:p:315-332
Template-Type: ReDIF-Article 1.0
Author-Name: Jean Dub�
Author-X-Name-First: Jean
Author-X-Name-Last: Dub�
Author-Name: Di�go Legros
Author-X-Name-First: Di�go
Author-X-Name-Last: Legros
Title: Spatial econometrics and the hedonic pricing model: what about the temporal dimension?
Abstract:
Recent ready access to free software and toolbox applications is directly
impacting spatial econometric modelling when working with geolocated data.
Spatial econometric models are valuable tools for taking into account the
possible latent structure of the price determination process and ensuring
that the coefficients estimated are unbiased and efficient. However,
mechanical applications can potentially bias estimated coefficients if
spatial data is pooled over time because the applications consider the
spatial dimension alone. Spatial models neglect the fact that data (e.g.
real estate) may consist of a collection of spatial data pooled over time,
and that time relations generate a unidirectional effect as opposed to the
multidirectional effect associated with spatial relations. Through an
empirical case study, this paper addresses the possible bias in spatial
autoregressive estimated parameters when data consist of spatial layers
pooled over time. An empirical study is made using apartment sales in
Paris between 1990 and 2001. Estimation results and out-of-sample
predictions confirm, at least for this case, the hypothesis that ignoring
the time dimension and applying spatial econometric tools generate
divergence among the estimated autoregressive coefficients, which can
potentially engender other serious problems.
Journal: Journal of Property Research
Pages: 333-359
Issue: 4
Volume: 31
Year: 2014
Month: 12
X-DOI: 10.1080/09599916.2014.913655
File-URL: http://hdl.handle.net/10.1080/09599916.2014.913655
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Handle: RePEc:taf:jpropr:v:31:y:2014:i:4:p:333-359
Template-Type: ReDIF-Article 1.0
Author-Name: Kim Hiang Liow
Author-X-Name-First: Kim Hiang
Author-X-Name-Last: Liow
Title: Risk-return convergence in international public property markets
Abstract:
The main contribution of this study is to assess the risk-return
convergence, as well as its relationship with the realised correlation,
relative to the global public real estate, of 12 international developed
public property markets during 1990-2011. Based on the Euclidean distance
method we find that average risk-return distance of the sample markets
thus computed has increased over time, implying a mean-variance
divergence, albeit statistically insignificant. Most of the markets are
more 'divergent', as well as being more volatile during the Asian
financial crisis and Global financial crisis periods. There is some
evidence that risk-return convergence is positively linked to increasing
correlation with the global developed public real estate over the full
study period. Finally, exchange rate variable has relatively little effect
on the variation of the three distance measures. We conclude that the risk
and return characteristics of the developed public property markets have
not become less different from each other over time, implying that the
idiosyncratic 'real estate factor' and 'country factor' of individual
markets might have become more important in affecting the market
integration over time. This analysis and evidence contributes to our
understanding of the dynamics of international developed public property
market integration in global investing.
Journal: Journal of Property Research
Pages: 1-32
Issue: 1
Volume: 32
Year: 2015
Month: 3
X-DOI: 10.1080/09599916.2013.872693
File-URL: http://hdl.handle.net/10.1080/09599916.2013.872693
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Handle: RePEc:taf:jpropr:v:32:y:2015:i:1:p:1-32
Template-Type: ReDIF-Article 1.0
Author-Name: Vivek Sah
Author-X-Name-First: Vivek
Author-X-Name-Last: Sah
Author-Name: Xiaorong Zhou
Author-X-Name-First: Xiaorong
Author-X-Name-Last: Zhou
Author-Name: Prashant Kumar Das
Author-X-Name-First: Prashant Kumar
Author-X-Name-Last: Das
Title: Does index addition add any new information? Evidence from REIT dividend forecasts
Abstract:
The information-free event hypothesis associated with index additions has
been very well documented in the finance literature. Most studies confirm
that index addition conveys positive information about the future prospect
of firms recently added to an index. However, this may not be the case for
REITs, which are considered to have higher informational efficiency due to
the transparent nature of their balance sheet. Using a sample of 108
additions to the S&P REIT Index over a period of 2000-2011, we test this
hypothesis using analyst dividend forecasts. Our results are different
from those found by similar studies in finance for non-REIT stocks. In
most of the cases and consistent with our a priori expectations, the
findings suggest that index addition announcement may not reveal much
information beyond what is available from a REIT's balance sheet.
Specifically, our results suggest different responses of the analysts to
the index announcement depending upon the type of revision to the dividend
forecast. For positive revised estimates, the announcement does not seem
to add any new information to the analysts. However, for the two other
scenarios, i.e. negative revised estimates and no revision to the
estimates, the results show some evidence of information bias. Thus, we
see an asymmetric response depending on the type of revision made by the
analyst. However, when we look at the longer time horizon between the
forecasts, we find no influence of the index addition news for any of the
cases analysed. Further, our results are robust to using EPS as a measure
of analyst forecast as well.
Journal: Journal of Property Research
Pages: 33-49
Issue: 1
Volume: 32
Year: 2015
Month: 3
X-DOI: 10.1080/09599916.2013.877062
File-URL: http://hdl.handle.net/10.1080/09599916.2013.877062
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Template-Type: ReDIF-Article 1.0
Author-Name: Alain Chaney
Author-X-Name-First: Alain
Author-X-Name-Last: Chaney
Author-Name: Martin Hoesli
Author-X-Name-First: Martin
Author-X-Name-Last: Hoesli
Title: Multifamily residential asset and space markets and linkages with the economy
Abstract:
We show that a proper assessment of the linkages between real estate
markets and the economy requires state of the art modelling techniques,
which treat economic variables endogenously and allow for a number of
long-run relationships. We therefore use a long-run structural modelling
approach, which incorporates equilibrium relationships that are predicted
by economic theory, in an otherwise unrestricted vector autoregressive
model. The application of this approach to Swiss multifamily residential
data shows that four long-run equilibrium relations exist among inflation,
long- and short-term interest rates, real M2, real GDP, real construction
expenditures, real market rents and capitalisation rates. Disturbances to
the equilibria last for approximately five years before they completely
vanish. The analysis of the short-run dynamics additionally suggests that
the linkages between real estate and economic variables are
bi-directional. Our findings should provide for a better understanding of
the linkages and feedback mechanisms between a developed economy and its
real estate markets and thereby help in the identification and
quantification of both market interventions by policy-makers and risks
borne by investors.
Journal: Journal of Property Research
Pages: 50-76
Issue: 1
Volume: 32
Year: 2015
Month: 3
X-DOI: 10.1080/09599916.2014.913656
File-URL: http://hdl.handle.net/10.1080/09599916.2014.913656
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Handle: RePEc:taf:jpropr:v:32:y:2015:i:1:p:50-76
Template-Type: ReDIF-Article 1.0
Author-Name: Ronan C. Lyons
Author-X-Name-First: Ronan C.
Author-X-Name-Last: Lyons
Title: East, west, boom and bust: the spread of house prices and rents in Ireland, 2007-2012
Abstract:
As the Global Financial Crisis has shown, housing market bubbles can have
widespread economic consequences. Housing submarkets matter but economic
theory is divided on how the spread of prices between low- and high-value
segments varies with the market cycle and few studies examine the issue.
This paper addresses that gap, using a detailed data-set of over one
million property listings for Ireland from 2006 to 2012. Using hedonic
methods, controlling for time and attributes, standardised prices for over
1100 sales zones and 300 lettings zones are calculated and then compared
for mid-2007 and mid-2012. There are four key findings. Although, firstly,
the spread of prices across different property sizes increased
significantly between bubble and crash, the spread of rents, secondly,
fell. There was, thirdly, at most a small fall in the spread of both
prices and rents across space. Lastly, in both periods, the spread of
rents was constrained relative to that of prices, particularly in the
upper tail. The evidence from Ireland indicates that the relative gap
between low- and high-value segments grew in the crash. This is important
for macro-prudential policy. There are also local implications, as Ireland
deals with legacy supply issues, predominantly in low-value segments.
Journal: Journal of Property Research
Pages: 77-101
Issue: 1
Volume: 32
Year: 2015
Month: 3
X-DOI: 10.1080/09599916.2013.870922
File-URL: http://hdl.handle.net/10.1080/09599916.2013.870922
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Handle: RePEc:taf:jpropr:v:32:y:2015:i:1:p:77-101
Template-Type: ReDIF-Article 1.0
Author-Name: Julia Freybote
Author-X-Name-First: Julia
Author-X-Name-Last: Freybote
Author-Name: Lihong Qian
Author-X-Name-First: Lihong
Author-X-Name-Last: Qian
Title: The impact of asset location on REIT merger decisions
Abstract:
Theories about the motivation to merge, derived from non-real estate
investment trust firms, have been found insufficient to explain real
estate investment trust (REIT) mergers. Additionally, previous REIT merger
studies neglect asset-specific drivers of mergers. We investigate the
impact of location of the partnering firm's assets on the decision to
merge, using transaction cost economic theory as theoretical framework. We
employ a pair-firm approach that jointly assesses the resources of REITs
and their partnering firms. We find evidence that REITs are more likely to
merge if targeted assets are (1) in primary real estate markets, (2) in
strategically important growth markets or (3) associated with development
or management expertise in markets a REIT has substantial investments in.
Our findings emphasise the importance of portfolio considerations for REIT
mergers that are specific to the REIT industry.
Journal: Journal of Property Research
Pages: 103-122
Issue: 2
Volume: 32
Year: 2015
Month: 6
X-DOI: 10.1080/09599916.2014.992802
File-URL: http://hdl.handle.net/10.1080/09599916.2014.992802
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Handle: RePEc:taf:jpropr:v:32:y:2015:i:2:p:103-122
Template-Type: ReDIF-Article 1.0
Author-Name: Hrushikesh Mallick
Author-X-Name-First: Hrushikesh
Author-X-Name-Last: Mallick
Author-Name: Mantu Kumar Mahalik
Author-X-Name-First: Mantu Kumar
Author-X-Name-Last: Mahalik
Title: Factors determining regional housing prices: evidence from major cities in India
Abstract:
Using quarterly data (2010Q1-2013Q4), the study makes an initial attempt
to explain the housing prices for 15 major cities of different regions in
India. The overall result demonstrates that there is a dominance of
fundamental factors over the non-fundamental factor (speculative factors)
in explaining the regional housing prices. Further, among the fundamental
factors, it is observed that the share price index, non-food bank credit
and foreign direct investment positively explain the housing prices, while
inflation rate and a partial measure of wealth (i.e. market
capitalisation) negatively explain the same. The price of gold, real
effective exchange rate and net portfolio investments don't have any
influence on the housing prices. This could to some extent signify a lack
of market integration among various asset markets in the Indian situation.
This might also be the reason for the lesser role of speculative factors
in the Indian housing market.
Journal: Journal of Property Research
Pages: 123-146
Issue: 2
Volume: 32
Year: 2015
Month: 6
X-DOI: 10.1080/09599916.2014.963642
File-URL: http://hdl.handle.net/10.1080/09599916.2014.963642
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Handle: RePEc:taf:jpropr:v:32:y:2015:i:2:p:123-146
Template-Type: ReDIF-Article 1.0
Author-Name: Chukwuma C. Nwuba
Author-X-Name-First: Chukwuma C.
Author-X-Name-Last: Nwuba
Author-Name: Uche S. Egwuatu
Author-X-Name-First: Uche S.
Author-X-Name-Last: Egwuatu
Author-Name: Babatunde M. Salawu
Author-X-Name-First: Babatunde M.
Author-X-Name-Last: Salawu
Title: Client influence on valuation: valuers' motives to succumb
Abstract:
Client influence has become a major concern in property valuation.
Focusing on mortgage valuations, the study investigated the motives for
Nigerian valuers to succumb to client influence from their own perception.
A combination of cross-sectional survey and focus group research designs
was adopted. A questionnaire in a 5-point Likert format was used to
collect data from a sample of valuation firms and weighted mean was used
to rank the variables. Descriptive statistics and one-sample
t-test were employed for data analysis. The results
showed that corruption and indiscipline in the society, valuers' fear of
losing their clients and greed among valuers, respectively, are the
strongest motives for valuers to succumb to client influence. The
hypothesis tests confirmed the existence of these and other motives. The
study concluded that the motives for valuers to succumb to client
influence revolve around the business environment, local economic
situation, ethical issues, enforcement of discipline and valuers'
experience. However, there is no justification for valuers to compromise
their independence and yield to client pressure to bias valuation. The
findings raise questions about the quality of valuation practice in
Nigeria, particularly the reliability of valuation outcomes, the
credibility of valuation reports and the integrity of valuers.
Journal: Journal of Property Research
Pages: 147-172
Issue: 2
Volume: 32
Year: 2015
Month: 6
X-DOI: 10.1080/09599916.2015.1005117
File-URL: http://hdl.handle.net/10.1080/09599916.2015.1005117
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Handle: RePEc:taf:jpropr:v:32:y:2015:i:2:p:147-172
Template-Type: ReDIF-Article 1.0
Author-Name: Datuk Ary Adriansyah Samsura
Author-X-Name-First: Datuk Ary Adriansyah
Author-X-Name-Last: Samsura
Author-Name: Erwin van der Krabben
Author-X-Name-First: Erwin
Author-X-Name-Last: van der Krabben
Author-Name: A.M.A. van Deemen
Author-X-Name-First: A.M.A.
Author-X-Name-Last: van Deemen
Author-Name: R.E.C.M. van der Heijden
Author-X-Name-First: R.E.C.M.
Author-X-Name-Last: van der Heijden
Title: Negotiation processes in land and property development: an experimental study
Abstract:
Negotiations have always played an important role in urban planning and in
land and property development processes. Numerous case study-based
researches have been done to demonstrate the significance of negotiation
to resolve the divergent interests of stakeholders. In this article, an
alternative methodological perspective is applied by analysing the
negotiation as a more generic mechanism through a role-playing
face-to-face negotiation experiment with experts in the field that
resembles - to a certain extent - real-life negotiation processes. A
number of important aspects of the outcomes were analysed to get useful
insights into stakeholders' behaviour in the negotiation processes where
the negotiation takes place voluntarily and spontaneously. It is shown in
this study that within the setting of the experiment, the stakeholders can
still be expected to be concerned about the equality of outcome. Moreover,
it also confirms that the information availability, especially regarding
the financial conditions under which the developments take place, plays an
important role in defining the success of the negotiations. Finally, based
on the experiment, it is possible to define the urban planning equilibrium
satisfying all stakeholders in the negotiation process.
Journal: Journal of Property Research
Pages: 173-191
Issue: 2
Volume: 32
Year: 2015
Month: 6
X-DOI: 10.1080/09599916.2015.1009846
File-URL: http://hdl.handle.net/10.1080/09599916.2015.1009846
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Handle: RePEc:taf:jpropr:v:32:y:2015:i:2:p:173-191
Template-Type: ReDIF-Article 1.0
Author-Name: Franz Fuerst
Author-X-Name-First: Franz
Author-X-Name-Last: Fuerst
Author-Name: Jorn van de Wetering
Author-X-Name-First: Jorn
Author-X-Name-Last: van de Wetering
Title: How does environmental efficiency impact on the rents of commercial offices in the UK?
Abstract:
The aim of this study is to investigate whether offices in the UK with an
environmental label command price premiums when compared to non-labelled
offices. The de facto standard for sustainability in the
UK is the Building Research Establishment Environmental Assessment Method
(BREEAM). BREEAM is a building quality indicator that investigates a range
of environmental criteria, awards credits based on the degree to which
these criteria are represented in a building and then awards a rating
based on the total number of credits that have been achieved. This
research investigates the effect of BREEAM ratings on observed contract
rents in the UK and as such provides a potentially stronger empirical test
of the hypothesis than previous appraisal-based studies. The market impact
of BREEAM ratings is investigated, using a control sample of
non-BREEAM-rated office buildings throughout the UK. To achieve this, a
data set is used that contains 19,509 commercial office lease transactions
that were completed from 2006 to 2010. The results indicate that a premium
exists for BREEAM-certified buildings. The results also indicate that the
premium shows variations during the study period and that premiums vary
depending on the year of construction and certification.
Journal: Journal of Property Research
Pages: 193-216
Issue: 3
Volume: 32
Year: 2015
Month: 9
X-DOI: 10.1080/09599916.2015.1047399
File-URL: http://hdl.handle.net/10.1080/09599916.2015.1047399
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Handle: RePEc:taf:jpropr:v:32:y:2015:i:3:p:193-216
Template-Type: ReDIF-Article 1.0
Author-Name: Chihiro Shimizu
Author-X-Name-First: Chihiro
Author-X-Name-Last: Shimizu
Author-Name: W. Erwin Diewert
Author-X-Name-First: W. Erwin
Author-X-Name-Last: Diewert
Author-Name: Kiyohiko G. Nishimura
Author-X-Name-First: Kiyohiko G.
Author-X-Name-Last: Nishimura
Author-Name: Tsutomu Watanabe
Author-X-Name-First: Tsutomu
Author-X-Name-Last: Watanabe
Title: Estimating quality adjusted commercial property price indexes using Japanese REIT data
Abstract:
We propose a new method to estimate quality adjusted commercial property
price indexes using real estate investment trust (REIT) data. Our method
is based on the present value approach, but the way the denominator (i.e.
the discount rate) and the numerator (i.e. cash flows from properties) are
estimated differs from the traditional method. We run a hedonic regression
to estimate the quality adjusted discount rate based on the share prices
of REITs, which can be regarded as the stock market's valuation of the set
of properties owned by the REITs. As for the numerator, we use rental
prices associated with all existing contracts, as well as rental prices
associated with new rental contracts, which may contain more information
on future cash flows from properties. Using a data-set with prices and
cash flows for about 400 commercial properties included in Japanese REITs
for the period 2001-2013, we find that our price index signals turning
points much earlier than an appraisal-based price index; specifically, our
index peaks in the second quarter of 2007, while the appraisal-based price
index exhibits a turnaround only in the third quarter of 2008. Our results
suggest that the share prices of REITs provide useful information in
constructing commercial property price indexes.
Journal: Journal of Property Research
Pages: 217-239
Issue: 3
Volume: 32
Year: 2015
Month: 9
X-DOI: 10.1080/09599916.2015.1059875
File-URL: http://hdl.handle.net/10.1080/09599916.2015.1059875
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Handle: RePEc:taf:jpropr:v:32:y:2015:i:3:p:217-239
Template-Type: ReDIF-Article 1.0
Author-Name: Qiulin Ke
Author-X-Name-First: Qiulin
Author-X-Name-Last: Ke
Title: What affects the discount to net asset value in the UK-listed property companies?
Abstract:
This paper investigates empirically the factors that have affected the
discount to net asset value (NAV) in the UK-listed property companies
between 2005 and 2013. The prime focus has been on the impact of corporate
governance mechanisms. The test results show significantly positive
relations of the discount to NAV with firm-specific characteristics such
as debt-to-asset ratio, tax and risk, but negative relations with firm
size and stock return. Companies with a focused investment strategy have a
lower level of discount, while those with an international property
portfolio have a higher discount. Market sentiment and property share
liquidity also have a significant impact on the discount. It was found
that board independence can reduce the level of discount to NAV. The level
of insider ownership has a positive relation with discount, indicating the
existence of the entrenchment effect. The firm with higher level of
insider ownership is usually small and less liquid, thus has higher level
of discount.
Journal: Journal of Property Research
Pages: 240-257
Issue: 3
Volume: 32
Year: 2015
Month: 9
X-DOI: 10.1080/09599916.2015.1045542
File-URL: http://hdl.handle.net/10.1080/09599916.2015.1045542
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Handle: RePEc:taf:jpropr:v:32:y:2015:i:3:p:240-257
Template-Type: ReDIF-Article 1.0
Author-Name: Andy Krause
Author-X-Name-First: Andy
Author-X-Name-Last: Krause
Title: Piece-by-piece: low-rise redevelopment in Seattle
Abstract:
The redevelopment of land containing single-family detached dwellings into
small attached or multiple-family structures is a common method of
densification in existing urban areas. The potential for redevelopment of
any existing home is an important consideration for housing market
participants, real estate developers and public officials. Using a
longitudinal data-set from the City of Seattle, this study quantifies the
impact that a number of factors - policy, physical, neighbourhood and
market - have on the likelihood of this form of land use conversion.
Derived with a duration model, these findings suggest that the size of the
existing home, the adjacent land uses and, most importantly, factors
affecting the size of the potential redevelopment have the largest impact
on the probability of redevelopment.
Journal: Journal of Property Research
Pages: 258-278
Issue: 3
Volume: 32
Year: 2015
Month: 9
X-DOI: 10.1080/09599916.2015.1048705
File-URL: http://hdl.handle.net/10.1080/09599916.2015.1048705
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Handle: RePEc:taf:jpropr:v:32:y:2015:i:3:p:258-278
Template-Type: ReDIF-Article 1.0
Author-Name: Patricia Fraser
Author-X-Name-First: Patricia
Author-X-Name-Last: Fraser
Author-Name: Lynn McAlevey
Author-X-Name-First: Lynn
Author-X-Name-Last: McAlevey
Title: New Zealand regional house prices and macroeconomic shocks
Abstract:
A two-part SVAR model for New Zealand (NZ) identifies impacts of
common macroeconomic shocks on national and regional city
house prices. Results suggest that NZ regional housing market asymmetries
exist in terms of responses to, as well as the relative importance of,
shocks to key macroeconomic variables. Interest rate and GDP shocks in
particular have significant effects on national and city house prices some
5 years later, although responses to the range of identical shocks vary in
magnitude and relative importance across cities. This implies that
national policies enacted to dampen/stimulate economic activity will
impact differently on regional housing markets.
Journal: Journal of Property Research
Pages: 279-300
Issue: 4
Volume: 32
Year: 2015
Month: 12
X-DOI: 10.1080/09599916.2015.1083606
File-URL: http://hdl.handle.net/10.1080/09599916.2015.1083606
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Handle: RePEc:taf:jpropr:v:32:y:2015:i:4:p:279-300
Template-Type: ReDIF-Article 1.0
Author-Name: Catherine Bruneau
Author-X-Name-First: Catherine
Author-X-Name-Last: Bruneau
Author-Name: Souad Cherfouh
Author-X-Name-First: Souad
Author-X-Name-Last: Cherfouh
Title: Long-run equilibrium for the Greater Paris office market and short-run adjustments
Abstract:
While there is an abundant literature on office market modelling, only few
studies focus on the Greater Paris case, which stands as the largest
office market in Europe. This article aims at contributing to the
understanding of the Parisian rental office market underlying mechanisms.
We use cointegration techniques including Gregory-Hansen structural break
approach to model the market over the period 1990-2013. We employ a
two-stage error correction framework to identify the long-run equilibrium
rent as well as the short-run adjustments in rent, vacancy rate and stock.
The findings show that once allowances are made for a regime shift in the
long-run rent relationship, the specified model explains relatively well
the Parisian market. The long-run results confirm the role of employment
and total stock as long-run determinants of rental values. Yet, in the
short-run, due to the inertia arising from the intrinsic features of the
office market, lagged dependent variables appear to be drifting rents away
from their equilibrium.
Journal: Journal of Property Research
Pages: 301-323
Issue: 4
Volume: 32
Year: 2015
Month: 12
X-DOI: 10.1080/09599916.2015.1089310
File-URL: http://hdl.handle.net/10.1080/09599916.2015.1089310
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Handle: RePEc:taf:jpropr:v:32:y:2015:i:4:p:301-323
Template-Type: ReDIF-Article 1.0
Author-Name: Qiulin Ke
Author-X-Name-First: Qiulin
Author-X-Name-Last: Ke
Author-Name: Michael White
Author-X-Name-First: Michael
Author-X-Name-Last: White
Title: Retail rent dynamics in two Chinese cities
Abstract:
This paper examines the retail rent dynamics of two Chinese cities,
Beijing and Shanghai. We use an error correction modelling framework to
estimate long-run equilibrium relationships and short-term dynamic
corrections. The study period covers 1999-2012. We also run tests to
examine the presence of structural breaks. The empirical results suggest
that both supply and demand significantly affect retail rents for both
cities in the long run. However, in the short term, the change of rent
responds to change in income for Shanghai market. Both markets have a
rapid speed of adjustment, especially Shanghai market that is more price
and income elastic. The results shed some light on the behaviour of retail
rent adjustment processes in one of the largest and fast growing emerging
markets.
Journal: Journal of Property Research
Pages: 324-340
Issue: 4
Volume: 32
Year: 2015
Month: 12
X-DOI: 10.1080/09599916.2015.1092464
File-URL: http://hdl.handle.net/10.1080/09599916.2015.1092464
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Handle: RePEc:taf:jpropr:v:32:y:2015:i:4:p:324-340
Template-Type: ReDIF-Article 1.0
Author-Name: Ti-Ching Peng
Author-X-Name-First: Ti-Ching
Author-X-Name-Last: Peng
Author-Name: Ying-Hui Chiang
Author-X-Name-First: Ying-Hui
Author-X-Name-Last: Chiang
Title: The non-linearity of hospitals' proximity on property prices: experiences from Taipei, Taiwan
Abstract:
Given the semi-obnoxious characteristic of hospitals, either being right
next to hospitals or being too farther away without easy medical access
indicates inconvenience to residents. Quantile regression is applied to
examine the potentially non-linear effects of hospital spline distance on
quantiles of property prices in Taipei Metropolis, Taiwan. The
conventional continuous distance (from property to hospital) showed
consistent negative impact on property prices, implying hospitals as
amenities as generally believed. Nevertheless, the splines of hospital
distance demonstrated a non-linear effect on property prices: the positive
effect of spline k1 (0-500 m) on property prices
indicates farther away from the hospital, higher the prices, possibly due
to stronger negative externalities; the negative impact of spline
k2 (500-1000 m) on property prices implies the negative
impact of hospitals wears off as the positive impact reveals itself
gradually; thus, the property prices fall as the distance increases;
splines k5 (2000-2500 m) and k6
(2500-3000 m) also demonstrated significant negative effects. In short,
hospitals would only be highly evaluated in a 'close-but-not-too-close'
geographic location. From urban planning perspective, hospitals, which are
crucial in ageing societies, may reduce its externalities by creating
spatial barriers such as scenic roads to keep distance
from adjacent properties.
Journal: Journal of Property Research
Pages: 341-361
Issue: 4
Volume: 32
Year: 2015
Month: 12
X-DOI: 10.1080/09599916.2015.1089923
File-URL: http://hdl.handle.net/10.1080/09599916.2015.1089923
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Handle: RePEc:taf:jpropr:v:32:y:2015:i:4:p:341-361
Template-Type: ReDIF-Article 1.0
Author-Name: Steven Devaney
Author-X-Name-First: Steven
Author-X-Name-Last: Devaney
Author-Name: David Scofield
Author-X-Name-First: David
Author-X-Name-Last: Scofield
Title: Liquidity and the drivers of search, due diligence and transaction times for UK commercial real estate investments
Abstract:
Trading commercial real estate involves a process of exchange that is
costly and which occurs over an extended and uncertain period of time.
This has consequences for the performance and risk of real estate
investments. Most research on transaction times has occurred for
residential rather than commercial real estate. We study the time taken to
transact commercial real estate assets in the UK using a sample of 578
transactions over the period 2004-2013. We measure average time to
transact from a buyer and seller perspective, distinguishing the search
and due diligence phases of the process, and we conduct econometric
analysis to explain variation in due diligence times between assets. The
median time for purchase of real estate from introduction to completion
was 104 days and the median time for sale from marketing to completion was
135 days. There is considerable variation around these times and results
suggest that some of this variation is related to market state, type and
quality of asset, and type of participants involved in the transaction.
Our findings shed light on the drivers of liquidity at an individual asset
level and can inform models that quantify the impact of uncertain time on
market on real estate investment risk.
Journal: Journal of Property Research
Pages: 362-383
Issue: 4
Volume: 32
Year: 2015
Month: 12
X-DOI: 10.1080/09599916.2015.1089924
File-URL: http://hdl.handle.net/10.1080/09599916.2015.1089924
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Handle: RePEc:taf:jpropr:v:32:y:2015:i:4:p:362-383
Template-Type: ReDIF-Article 1.0
Author-Name: Kenneth Yung
Author-X-Name-First: Kenneth
Author-X-Name-Last: Yung
Author-Name: DeQing Diane Li
Author-X-Name-First: DeQing Diane
Author-X-Name-Last: Li
Author-Name: Qian Susan Sun
Author-X-Name-First: Qian Susan
Author-X-Name-Last: Sun
Title: CEO overconfidence and financial policies of real estate investment trusts (REITs)
Abstract:
This study investigates the effects of CEO overconfidence on real estate
investment trust (REIT) financial policies and performance. The unique
regulatory environment facing REITs make REIT financial policies less
likely affected by agency problems and tax-related reasons, and thus
provide a clearer picture of the effect of CEO overconfidence. In
addition, the significant amounts of tangible assets of REITs provide
performance measures that are relatively unbiased by unrelated elements.
We find that REITs with overconfident CEOs use more debt, and in
particular, longer term debt. Overconfident CEOs also buy back more shares
and pay fewer dividends. CEO overconfidence does not have significant
effects on REIT cash holdings. Regarding REIT performance, CEO
overconfidence is negatively related to Tobin's q and
return on assets, respectively. We also find that CEO overconfidence
motivated leverage decisions and CEO overconfidence motivated share
buybacks have significant negative effects on REIT performance. The
results suggest that REITs with overconfident CEOs make mistakes in
leverage and share buyback decisions. Lastly, we find that the effect of
CEO overconfidence is non-linear. The results show that the effect of
overconfidence comes mainly from the CEOs with higher levels of
overconfidence. Our results also suggest that regulations do not have a
moderating effect on CEO overconfidence.
Journal: Journal of Property Research
Pages: 384-406
Issue: 4
Volume: 32
Year: 2015
Month: 12
X-DOI: 10.1080/09599916.2015.1088565
File-URL: http://hdl.handle.net/10.1080/09599916.2015.1088565
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Handle: RePEc:taf:jpropr:v:32:y:2015:i:4:p:384-406
Template-Type: ReDIF-Article 1.0
Author-Name: Nikodem Szumilo
Author-X-Name-First: Nikodem
Author-X-Name-Last: Szumilo
Author-Name: Pascal Gantenbein
Author-X-Name-First: Pascal
Author-X-Name-Last: Gantenbein
Author-Name: Werner Gleißner
Author-X-Name-First: Werner
Author-X-Name-Last: Gleißner
Author-Name: Thomas Wiegelmann
Author-X-Name-First: Thomas
Author-X-Name-Last: Wiegelmann
Title: Predicting uncertainty: the impact of risk measurement on value of real estate portfolios
Abstract:
This paper presents a theoretical framework for an assessment and
valuation of real estate assets and funds, based on modern stochastic
discounted cash flow (DCF) models, which accurately captures the
nature of related risks. We show that an accurate risk-adjusted valuation
is particularly difficult for real estate investments, due to practical
limits to diversification and difficulties in approximating total risk
with systematic risk. We develop a risk assessment framework that includes
idiosyncratic risk but focuses on insolvency risk related to a specific
cash flow profile. We also present a methodology of rating this risk,
using forecasts and simulations. We conclude that simulation techniques
are a valuable tool in property risk assessment. Further, we show that
cost of capital and value of assets depend on diversification of specific
risks, investors can achieve in their portfolios.
Journal: Journal of Property Research
Pages: 1-17
Issue: 1
Volume: 33
Year: 2016
Month: 3
X-DOI: 10.1080/09599916.2016.1146790
File-URL: http://hdl.handle.net/10.1080/09599916.2016.1146790
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Handle: RePEc:taf:jpropr:v:33:y:2016:i:1:p:1-17
Template-Type: ReDIF-Article 1.0
Author-Name: Julia Freybote
Author-X-Name-First: Julia
Author-X-Name-Last: Freybote
Title: Real estate sentiment as information for REIT bond pricing
Abstract:
For corporate bond investors, credit ratings have been found to be
informationally insufficient due to their limited timeliness and accuracy.
This paper investigates the information content of forward-looking
commercial real estate investor sentiment for pricing decisions of US REIT
bond investors. Using an unbalanced panel data-set for the post-crisis
period (2010--2013) and Prais--Winsten regression correcting for
contemporaneous and serial correlation, sentiment is found to have a
negative effect on REIT bond yields irrespective of S&P index inclusion or
credit rating. The effect of sentiment, however, is larger for REITs that
are not included in S&P indices than for S&P REITs. Explanations for this
finding include institutional investor and REIT characteristics.
Journal: Journal of Property Research
Pages: 18-36
Issue: 1
Volume: 33
Year: 2016
Month: 3
X-DOI: 10.1080/09599916.2016.1146791
File-URL: http://hdl.handle.net/10.1080/09599916.2016.1146791
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Handle: RePEc:taf:jpropr:v:33:y:2016:i:1:p:18-36
Template-Type: ReDIF-Article 1.0
Author-Name: Jens Hirsch
Author-X-Name-First: Jens
Author-X-Name-Last: Hirsch
Author-Name: Matthias Segerer
Author-X-Name-First: Matthias
Author-X-Name-Last: Segerer
Author-Name: Kurt Klein
Author-X-Name-First: Kurt
Author-X-Name-Last: Klein
Author-Name: Thomas Wiegelmann
Author-X-Name-First: Thomas
Author-X-Name-Last: Wiegelmann
Title: The analysis of customer density, tenant placement and coupling inside a shopping centre with GIS
Abstract:
The spatial arrangement of tenants is currently one of the main topics in
shopping centre research. This paper shows how a Geographic Information
System (GIS) can be used to analyse the tenant structure. Given the
recommendations in the literature, the analysis may help to improve the
situation within a certain shopping centre. Therefore, we introduce the
variable clumping method and kernel density estimation into shopping
centre research in order to analyse retail category concentrations,
customer flows and coupling in a shopping centre. Applying these
techniques to a German shopping centre showed that spatial concentration
can be observed within the retail categories of food, health & body and
fashion and that the pass ratio declines according to the distance from
the central point of the shopping centre. Also, shops in the same retail
category have higher coupling than those of different categories, and
unexpectedly spatially separated shops have a slightly higher coupling
than non-spatially separated ones. Overall, the use of GIS improves the
quality and the speed of spatially based analysis, and thus should be used
more frequently in scientific shopping centre research and shopping centre
management.
Journal: Journal of Property Research
Pages: 37-63
Issue: 1
Volume: 33
Year: 2016
Month: 3
X-DOI: 10.1080/09599916.2015.1135977
File-URL: http://hdl.handle.net/10.1080/09599916.2015.1135977
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Handle: RePEc:taf:jpropr:v:33:y:2016:i:1:p:37-63
Template-Type: ReDIF-Article 1.0
Author-Name: Fiorentina Angjellari-Dajci
Author-X-Name-First: Fiorentina
Author-X-Name-Last: Angjellari-Dajci
Author-Name: Richard J. Cebula
Author-X-Name-First: Richard J.
Author-X-Name-Last: Cebula
Title: The impact of historic district designation on the prices of single-family homes in the oldest city in the United States, St. Augustine, Florida
Abstract:
This empirical investigation applies a hedonic pricing model to estimate
how much historic district designation has influenced the sales price of
single-family houses in the oldest city in the United States, namely, St.
Augustine, Florida. There were sufficient data in this context to study a
total of 4017 single-family houses for a 6-year period from 2008 to 2013.
The semi-log and piecewise regression estimations reveal that the natural
log of the sales price of a single-family house in the city of St.
Augustine was positively affected by designation as national historic
district in six of the seven districts, with robust results obtained for
five of the districts. Moreover, the estimated premiums for historic
designation were larger than those found in other similar studies, most of
which were conducted prior to the Great Recession. This study also derives
several other conclusions about the effects of recession variables, as
well as other exterior characteristics, interior characteristics and
spatial control variables, a number of which are not commonly explored in
similar studies.
Journal: Journal of Property Research
Pages: 64-96
Issue: 1
Volume: 33
Year: 2016
Month: 3
X-DOI: 10.1080/09599916.2016.1151918
File-URL: http://hdl.handle.net/10.1080/09599916.2016.1151918
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Handle: RePEc:taf:jpropr:v:33:y:2016:i:1:p:64-96
Template-Type: ReDIF-Article 1.0
Author-Name: Jean-Christophe Delfim
Author-X-Name-First: Jean-Christophe
Author-X-Name-Last: Delfim
Author-Name: Martin Hoesli
Author-X-Name-First: Martin
Author-X-Name-Last: Hoesli
Title: Risk factors of European non-listed real estate fund returns
Abstract:
This research contributes to a better assessment of risk factors impacting non-listed real estate fund returns. Both macroeconomic and fund-specific factors are considered, additionally taking into account the phase of the real estate cycle. Using a rich database of fund-level data for Europe, we apply panel regression techniques with random effects. Our results highlight the significant impacts of real GDP growth, interest rates, inflation components, money supply and stock market returns in explaining non-listed fund returns. Size, gearing, investment style, vehicle structure and vintage also affect returns, whereas property type does not appear to matter. For comparison purposes, the same analysis is performed for listed and direct real estate. The three kinds of real estate exposure are found to react broadly in the same way to macroeconomic risk factors, although our analyses suggest that non-listed real estate is more akin to direct real estate than it is to securitised real estate.
Journal: Journal of Property Research
Pages: 190-213
Issue: 3
Volume: 33
Year: 2016
Month: 7
X-DOI: 10.1080/09599916.2016.1199590
File-URL: http://hdl.handle.net/10.1080/09599916.2016.1199590
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Handle: RePEc:taf:jpropr:v:33:y:2016:i:3:p:190-213
Template-Type: ReDIF-Article 1.0
Author-Name: Siem Aarts
Author-X-Name-First: Siem
Author-X-Name-Last: Aarts
Author-Name: Andrew Baum
Author-X-Name-First: Andrew
Author-X-Name-Last: Baum
Title: Performance persistence in real estate private equity
Abstract:
This study investigates performance persistence across real estate private equity funds. We apply a combination of non-parametric and parametric tests to assess the relationship between past fund performance and subsequent fund performance of non-listed real estate funds. Based on a large global sample of value-added and opportunistic real estate private equity funds raised between 1990 and 2009, we use contingency tables, cross-product ratios, rank correlation statistics and regression analyses to investigate whether there is persistence in the performance across consecutive funds. We find strong evidence for performance persistence across directly consecutive funds. However, we find little support for a relationship between the performance of other prior funds and the focal fund, suggesting that performance persistence is a short-term phenomenon.
Journal: Journal of Property Research
Pages: 236-251
Issue: 3
Volume: 33
Year: 2016
Month: 7
X-DOI: 10.1080/09599916.2016.1203349
File-URL: http://hdl.handle.net/10.1080/09599916.2016.1203349
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Handle: RePEc:taf:jpropr:v:33:y:2016:i:3:p:236-251
Template-Type: ReDIF-Article 1.0
Author-Name: Randy I. Anderson
Author-X-Name-First: Randy I.
Author-X-Name-Last: Anderson
Author-Name: Sebastian Krautz
Author-X-Name-First: Sebastian
Author-X-Name-Last: Krautz
Author-Name: Nico B. Rottke
Author-X-Name-First: Nico B.
Author-X-Name-Last: Rottke
Title: Is real estate private equity real estate? - Dynamic interactions between real estate private equity funds, non-real estate private equity funds, and direct real estate investments
Abstract:
In this study, we investigate long- and short-run synchronicity of the US-focused non-core real estate private equity (REPE) fund indices in relation to direct real estate (RE) and non-real estate private equity fund (PE) indices. We test cointegration relationships between the indices and specify different vector error correction models for opportunistic and value-added REPE funds. Our results are robust to various model specifications and suggest that in the long-run risk and return of both, opportunistic and value-added REPE markets follow the direct real estate market more closely than the private equity market. Moreover, short-run opportunistic REPE returns are significantly cointegrated with the direct real estate as well as the private equity market. For value-added REPE fund returns, we find short-run interactions only with the private equity market, but not with the real estate market. Based on the risk/return characteristics, we suggest to use the term real estate private equity over private equity real estate, as value-added and opportunistic real estate funds are a lot closer related to direct real estate than to private equity.
Journal: Journal of Property Research
Pages: 252-268
Issue: 3
Volume: 33
Year: 2016
Month: 7
X-DOI: 10.1080/09599916.2016.1209781
File-URL: http://hdl.handle.net/10.1080/09599916.2016.1209781
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Handle: RePEc:taf:jpropr:v:33:y:2016:i:3:p:252-268
Template-Type: ReDIF-Article 1.0
Author-Name: Kieran Farrelly
Author-X-Name-First: Kieran
Author-X-Name-Last: Farrelly
Author-Name: Simon Stevenson
Author-X-Name-First: Simon
Author-X-Name-Last: Stevenson
Title: Performance drivers of private real estate funds
Abstract:
Despite the growth seen in the private real estate fund market, there remains a paucity of academic work on their performance drivers and risk characteristics. This study empirically examines the characteristics and drivers who influence the performance and investment activity of private real estate funds. A detailed sample of US-focused closed-ended Value add and Opportunity funds is used to do this. Both absolute and relative performance measures are used, including the public market equivalent measure. This is more widely used in the private equity studies but to date has been little used in real estate work. The analysis showed that there was generally little statistical significance observed for fund characteristics being drivers of fund performance. Fund size was found to have limited influence upon subsequent performance and sector specialisation was only accretive for outperforming funds. Total vintage year capital flows negatively impacted performance irrespective of measure used. Fund investment activity, as measured by observed cash flows, was found to be pro-cyclical with the results being most significant for distributions.
Journal: Journal of Property Research
Pages: 214-235
Issue: 3
Volume: 33
Year: 2016
Month: 7
X-DOI: 10.1080/09599916.2016.1210333
File-URL: http://hdl.handle.net/10.1080/09599916.2016.1210333
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Handle: RePEc:taf:jpropr:v:33:y:2016:i:3:p:214-235
Template-Type: ReDIF-Article 1.0
Author-Name: Graeme Newell
Author-X-Name-First: Graeme
Author-X-Name-Last: Newell
Title: Guest editorial
Journal: Journal of Property Research
Pages: 189-189
Issue: 3
Volume: 33
Year: 2016
Month: 7
X-DOI: 10.1080/09599916.2016.1211727
File-URL: http://hdl.handle.net/10.1080/09599916.2016.1211727
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Handle: RePEc:taf:jpropr:v:33:y:2016:i:3:p:189-189
Template-Type: ReDIF-Article 1.0
Author-Name: The Editors
Title: Erratum
Journal: Journal of Property Research
Pages: (i)-(i)
Issue: 3
Volume: 33
Year: 2016
Month: 7
X-DOI: 10.1080/09599916.2016.1214438
File-URL: http://hdl.handle.net/10.1080/09599916.2016.1214438
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Handle: RePEc:taf:jpropr:v:33:y:2016:i:3:p:(i)-(i)
Template-Type: ReDIF-Article 1.0
Author-Name: Gerald R. Brown
Author-X-Name-First: Gerald R.
Author-X-Name-Last: Brown
Title: A note on the effects of serial cross correlation
Abstract: Given a large sample of properties with time series returns extending over a number of periods it can be shown that the average cross correlation coefficient between the properties increases with the reporting interval. This paper offers an explanation for why this phenomenon exists and shows that, in addition to the contemporaneous cross correlation, the impact of serial cross correlation plays an important role. By contrast, smoothing has little impact. It is further shown that at the portfolio level the distribution of cross correlation coefficients is positively skewed for monthly returns. As the reporting interval increases the distribution becomes more normal. This has important implications at two levels. First, behavioural effects are likely to be more pervasive at the monthly level so that a large proportion of monthly valued properties will exhibit high serial cross correlation. Second, high serial cross correlation will induce high serial correlation in an index of returns. As the reporting interval increases this effect diminishes
Journal: Journal of Property Research
Pages: 249-257
Issue: 3
Volume: 18
Year: 2001
X-DOI: 10.1080/09599910110060046
File-URL: http://hdl.handle.net/10.1080/09599910110060046
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Handle: RePEc:taf:jpropr:v:18:y:2001:i:3:p:249-257
Template-Type: ReDIF-Article 1.0
Author-Name: The Editors
Title: Market Reviews
Journal:
Pages: 271-278
Issue: 3
Volume: 18
Year: 2001
X-DOI: 10.1080/09599910110067841
File-URL: http://hdl.handle.net/10.1080/09599910110067841
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Handle: RePEc:taf:jpropr:v:18:y:2001:i:3:p:271-278
Template-Type: ReDIF-Article 1.0
Author-Name: David Adams
Author-X-Name-First: David
Author-X-Name-Last: Adams
Author-Name: Alan Disberry
Author-X-Name-First: Alan
Author-X-Name-Last: Disberry
Author-Name: Norman Hutchison
Author-X-Name-First: Norman
Author-X-Name-Last: Hutchison
Author-Name: Thomas Munjoma
Author-X-Name-First: Thomas
Author-X-Name-Last: Munjoma
Title: Urban redevelopment: contextual influences and landowner behaviour
Abstract: This paper explores the perceptions that owners of potential urban redevelopment sites may hold of the broader economic and political context for their own decision making. Specifically, the paper investigates such owners' perceived knowledge of, and influence over particular national and local economic and policy factors, while considering the perceived impact of such factors on the owners' decisions to use, market, develop or purchase their sites. The findings suggests that, while owners may be well aware of the importance of local contextual factors, they often underestimate the significance of national ones. The results emphasize the need to distinguish between perceptions and reality in behavioural work and offer some valuable insights for the development of structuration theory in property research.
Journal: Journal of Property Research
Pages: 217-234
Issue: 3
Volume: 18
Year: 2001
X-DOI: 10.1080/09599910110060028
File-URL: http://hdl.handle.net/10.1080/09599910110060028
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Handle: RePEc:taf:jpropr:v:18:y:2001:i:3:p:217-234
Template-Type: ReDIF-Article 1.0
Author-Name: K.W. Chau
Author-X-Name-First: K.W.
Author-X-Name-Last: Chau
Author-Name: Bryan D. MacGregor
Author-X-Name-First: Bryan D.
Author-X-Name-Last: MacGregor
Author-Name: Gregory M. Schwann
Author-X-Name-First: Gregory M.
Author-X-Name-Last: Schwann
Title: Price discovery in the Hong Kong real estate market
Abstract: This paper examines price discovery for four sectors of the Hong Kong property market. The Hong Kong property market is one of the deepest and most liquid markets in the world. In addition, a substantial proportion of the real estate sector is securitized in the local share market. This makes Hong Kong one of the better places to examine price discovery. The results show that the returns to securitized real estate in Hong Kong are a mirror of broader international capital market movements. Once international capital market variables are included in the regressions, the returns to securitized real estate in Hong Kong convey little information about the appraisal-based returns to Hong Kong real estate. In addition, the results show that both capital market variables and local economic variables are significant for explaining the appraisal-based returns to Hong Kong property. The two sets of variables account for from 58% and 87% of the total variation in returns, with capital market factors contributing between 32% and 75% to the explanatory power.
Journal: Journal of Property Research
Pages: 187-216
Issue: 3
Volume: 18
Year: 2001
X-DOI: 10.1080/09599910110060064
File-URL: http://hdl.handle.net/10.1080/09599910110060064
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Handle: RePEc:taf:jpropr:v:18:y:2001:i:3:p:187-216
Template-Type: ReDIF-Article 1.0
Author-Name: The Editors
Title: Book reviews
Journal:
Pages: 259-269
Issue: 3
Volume: 18
Year: 2001
X-DOI: 10.1080/09599910110015236
File-URL: http://hdl.handle.net/10.1080/09599910110015236
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Handle: RePEc:taf:jpropr:v:18:y:2001:i:3:p:259-269
Template-Type: ReDIF-Article 1.0
Author-Name: Chris Brooks
Author-X-Name-First: Chris
Author-X-Name-Last: Brooks
Author-Name: Sotiris Tsolacos
Author-X-Name-First: Sotiris
Author-X-Name-Last: Tsolacos
Title: Forecasting real estate returns using financial spreads
Abstract: This paper examines the predictability of real estate asset returns using a number of time series techniques. A vector autoregressive model, which incorporates financial spreads, is able to improve upon the out of sample forecasting performance of univariate time series models at a short forecasting horizon. However, as the forecasting horizon increases, the explanatory power of such models is reduced, so that returns on real estate assets are best forecast using the long term mean of the series. In the case of indirect property returns, such short-term forecasts can be turned into a trading rule that can generate excess returns over a buy-and-hold strategy gross of transactions costs, although none of the trading rules developed could cover the associated transactions costs. It is therefore concluded that such forecastability is entirely consistent with stock market efficiency.
Journal: Journal of Property Research
Pages: 235-248
Issue: 3
Volume: 18
Year: 2001
X-DOI: 10.1080/09599910110060037
File-URL: http://hdl.handle.net/10.1080/09599910110060037
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Handle: RePEc:taf:jpropr:v:18:y:2001:i:3:p:235-248
Template-Type: ReDIF-Article 1.0
Author-Name: Stanimira Milcheva
Author-X-Name-First: Stanimira
Author-X-Name-Last: Milcheva
Author-Name: Bing Zhu
Author-X-Name-First: Bing
Author-X-Name-Last: Zhu
Title: Asset pricing, spatial linkages and contagion in real estate stocks
Abstract:
Following recent methodological developments, we estimate a spatial multi-factor model (SMFM) which combines asset pricing techniques with spatial econometrics to assess systemic implications for REIT index returns. We distinguish between co-movement due to market risk exposure (systematic risk) and co-movement due to linkages between markets (spillover risk). We find that the spillover risk dramatically increases during the global financial crisis and can explain up to 60% of total asset variation. In the rest of the time, idiosyncratic risks have been the predominant type of risk in real estate stocks. Our results have implications for investors showing that the market can channel asset volatility leading to contagion during crisis periods and therefore residual linkages between country indices need to be accounted for as a means of assessing the diversification benefits of a global portfolio.
Journal: Journal of Property Research
Pages: 271-295
Issue: 4
Volume: 35
Year: 2018
Month: 10
X-DOI: 10.1080/09599916.2018.1485725
File-URL: http://hdl.handle.net/10.1080/09599916.2018.1485725
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Handle: RePEc:taf:jpropr:v:35:y:2018:i:4:p:271-295
Template-Type: ReDIF-Article 1.0
Author-Name: Liesa Schrand
Author-X-Name-First: Liesa
Author-X-Name-Last: Schrand
Author-Name: Claudia Ascherl
Author-X-Name-First: Claudia
Author-X-Name-Last: Ascherl
Author-Name: Wolfgang Schaefers
Author-X-Name-First: Wolfgang
Author-X-Name-Last: Schaefers
Title: Gender diversity and financial performance: evidence from US REITs
Abstract:
Our paper is the first to identify the determinants which explain the presence of women on the board of directors and to study the relationship between gender diversity and financial performance in a US REIT context. We apply a two-stage Heckman approach to a unique panel dataset of 112 US Equity REITs over the period 2005–2015. Our results show that a REIT’s likelihood of having a woman on the board of directors depends strongly on board attributes. Especially institutional investors support gender-diverse leadership teams, which might be driven by the perception that women contribute to an enhanced internal monitoring in the REIT context, in which external monitoring is weakened through ownership restrictions. We find evidence of a U-shaped relationship between gender diversity in executive positions and price per net asset value (PRICE/NAV). In the case of REITs, a critical mass of female executives is reached at approximately 30% representation. This finding holds especially for real estate sectors with a strong consumer orientation and a high proportion of women in the workforce, such as retail and healthcare. Our performance analysis demonstrates that gender diversity has a positive effect on market performance (PRICE/NAV), but not on operating performance (FFO/SHARE).
Journal: Journal of Property Research
Pages: 296-320
Issue: 4
Volume: 35
Year: 2018
Month: 10
X-DOI: 10.1080/09599916.2018.1549587
File-URL: http://hdl.handle.net/10.1080/09599916.2018.1549587
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Handle: RePEc:taf:jpropr:v:35:y:2018:i:4:p:296-320
Template-Type: ReDIF-Article 1.0
Author-Name: Theis Theisen
Author-X-Name-First: Theis
Author-X-Name-Last: Theisen
Author-Name: Anne Wenche Emblem
Author-X-Name-First: Anne Wenche
Author-X-Name-Last: Emblem
Title: House prices and proximity to kindergarten – costs of distance and external effects?
Abstract:
Parents accompany children to day-care, implying costs of time and money. Distance to kindergarten may therefore be an important locational attribute, which is likely to be discounted into house prices. We account for this through a theoretical model of house price formation, incorporating not only monetary and time costs associated with accompanying children to a kindergarten, but also possibly negative external effects of kindergartens on their immediate vicinity. Our theoretical model predicts that house prices increase as distance to kindergarten decreases, reach a peak, and then decline as one come very close to a kindergarten. We use a large sample of house transactions from a Norwegian town to explore the relationship between house prices and the distance to kindergarten. The empirical results support the prediction that house prices decline as distance to kindergarten increases, but we find no significant drop in house prices in the immediate vicinity of kindergartens. The results may be of interest to several actors in real-estate markets, perhaps particularly to urban planners and real-estate developers when considering the location of kindergartens.
Journal: Journal of Property Research
Pages: 321-343
Issue: 4
Volume: 35
Year: 2018
Month: 10
X-DOI: 10.1080/09599916.2018.1513057
File-URL: http://hdl.handle.net/10.1080/09599916.2018.1513057
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Handle: RePEc:taf:jpropr:v:35:y:2018:i:4:p:321-343
Template-Type: ReDIF-Article 1.0
Author-Name: Jochen Hausler
Author-X-Name-First: Jochen
Author-X-Name-Last: Hausler
Author-Name: Jessica Ruscheinsky
Author-X-Name-First: Jessica
Author-X-Name-Last: Ruscheinsky
Author-Name: Marcel Lang
Author-X-Name-First: Marcel
Author-X-Name-Last: Lang
Title: News-based sentiment analysis in real estate: a machine learning approach
Abstract:
This paper examines the relationship between news-based sentiment, captured through a machine learning approach, and the US securitised and direct commercial real estate markets. Thus, we contribute to the literature on text-based sentiment analysis in real estate by creating and testing various sentiment measures by utilising trained support vector networks. Using a vector autoregressive framework, we find the constructed sentiment indicators to predict the total returns of both markets. The results show a leading relationship of our sentiment, even after controlling for macroeconomic factors and other established sentiment proxies. Furthermore, empirical evidence suggests a shorter response time of the indirect market in relation to the direct one. The findings make a valuable contribution to real estate research and industry participants, as we demonstrate the successful application of a sentiment-creation procedure that enables short and flexible aggregation periods. To the best of our knowledge, this is the first study to apply a machine learning approach to capture textual sentiment relevant to US real estate markets.
Journal: Journal of Property Research
Pages: 344-371
Issue: 4
Volume: 35
Year: 2018
Month: 10
X-DOI: 10.1080/09599916.2018.1551923
File-URL: http://hdl.handle.net/10.1080/09599916.2018.1551923
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Handle: RePEc:taf:jpropr:v:35:y:2018:i:4:p:344-371
Template-Type: ReDIF-Article 1.0
Author-Name: Julia Freybote
Author-X-Name-First: Julia
Author-X-Name-Last: Freybote
Author-Name: Lauren Simon
Author-X-Name-First: Lauren
Author-X-Name-Last: Simon
Author-Name: Lauren Beitelspacher
Author-X-Name-First: Lauren
Author-X-Name-Last: Beitelspacher
Title: Understanding the contribution of curb appeal to retail real estate values
Abstract:
The concept of curb appeal and its impact on property values has been largely neglected in the real estate literature. In the context of retail real estate, curb appeal represents the general attractiveness of a store as viewed from the sidewalk or parking lot that is expected to affect consumer patronage decisions and consequently property values. We first develop a measurement instrument for curb appeal and assess its validity using exploratory and confirmatory factor analysis. Our results suggest that curb appeal is multidimensional and consists of an atmospheric, architectural and authenticity dimension. Then, we use survey responses, transaction data and spatial regression to quantify the impact of curb appeal on sales prices. We find that the atmospheric and architectural dimensions have a significantly positive impact on sales prices. We also show that curb appeal dimensions are highly correlated with observable building features traditionally included in hedonic pricing models.
Journal: Journal of Property Research
Pages: 147-161
Issue: 2
Volume: 33
Year: 2016
Month: 4
X-DOI: 10.1080/09599916.2015.1135978
File-URL: http://hdl.handle.net/10.1080/09599916.2015.1135978
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Handle: RePEc:taf:jpropr:v:33:y:2016:i:2:p:147-161
Template-Type: ReDIF-Article 1.0
Author-Name: Daniel Domeher
Author-X-Name-First: Daniel
Author-X-Name-Last: Domeher
Author-Name: Raymond Abdulai
Author-X-Name-First: Raymond
Author-X-Name-Last: Abdulai
Author-Name: Eric Yeboah
Author-X-Name-First: Eric
Author-X-Name-Last: Yeboah
Title: Secure property right as a determinant of SME’s access to formal credit in Ghana: dynamics between Micro-finance Institutions and Universal Banks
Abstract:
Does registered land title help to improve tenure security and enhance one’s chances of securing a loan from formal financial institutions? This question continues to sharply divide opinions among academics, policy-makers and international development partners. The long running debate on the subject of ‘Property in the Commons’, which serves as the ideological origin of what has become known as ‘Washington Consensus’ in contemporary times claims that there is positive correlation between the possession of registered land title and access to credit. However, this has often received considerable rebuttals. Even if the ‘Washington Consensus’ is accepted, the argument is still laced with some fundamental difficulty because it inherently assumes and treats financial institutions as a homogenous class of business. Yet financial institutions exhibit greater diversity in their operations and decision-making process. This paper attempts to contribute towards developing improved understanding between the ‘secure land title and access to credit relationship’ by disaggregating financial institutions into Micro-finance and Universal Banks (UBs) and examining what role secure land title play in granting credit from the perspectives of these two categories of financial institutions. To achieve this, field level investigations were conducted amongst officials of both Micro-finance Institutions (MFIs) and UBs in Ghana using structured questionnaires. A total of 200 questionnaires – 100 each to MFI and Universal Banks were administered of which a response rate of 51 and 57 was, respectively, achieved. The data were analysed using various non-parametric statistics. The study amongst other things established that UBs and MFIs differ in their opinions on how important secure titles are in the lending process and the nature of the influence they can exert on the final lending decision. It was established that both categories of lenders do regard secure titles as important but whether or not it will influence their decision to accept a given landed property as collateral varies across lender types.
Journal: Journal of Property Research
Pages: 162-188
Issue: 2
Volume: 33
Year: 2016
Month: 4
X-DOI: 10.1080/09599916.2016.1160948
File-URL: http://hdl.handle.net/10.1080/09599916.2016.1160948
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Handle: RePEc:taf:jpropr:v:33:y:2016:i:2:p:162-188
Template-Type: ReDIF-Article 1.0
Author-Name: Daniel Wurstbauer
Author-X-Name-First: Daniel
Author-X-Name-Last: Wurstbauer
Author-Name: Stephan Lang
Author-X-Name-First: Stephan
Author-X-Name-Last: Lang
Author-Name: Christoph Rothballer
Author-X-Name-First: Christoph
Author-X-Name-Last: Rothballer
Author-Name: Wolfgang Schaefers
Author-X-Name-First: Wolfgang
Author-X-Name-Last: Schaefers
Title: Can common risk factors explain infrastructure equity returns? Evidence from European capital markets
Abstract:
This is the first paper to test the ability of conventional asset pricing models to explain the excess returns of European infrastructure stocks. Specifically, we firstly run the well-known Fama and French three-factor model, including three common stock market factors (market risk, size risk and value risk), and subsequently augment the model with two common bond risk factors (term and default risk), as infrastructure firms should be closely related to bond markets. The times-series regressions span the period from July 1992 to June 2014 and are conducted using an individually created infrastructure equity data-set. With the help of an intensive screening process, we only include those infrastructure stocks that in fact own and/or operate physical infrastructure. The results reveal that the three-factor model is unable to capture most of the variation in infrastructure returns. Therefore, bond risk factors should be included in asset pricing models in order increase the goodness of fit, as infrastructure stocks prove to be sensitive to interest rate changes. Nevertheless, even the augmented asset pricing model leaves a substantial part of the variance unexplained, thus indicating that infrastructure firms exhibit a high level of idiosyncratic risk. In addition, the results suggest that there may be further risk factors which should be investigated in future studies.
Journal: Journal of Property Research
Pages: 97-120
Issue: 2
Volume: 33
Year: 2016
Month: 4
X-DOI: 10.1080/09599916.2016.1169211
File-URL: http://hdl.handle.net/10.1080/09599916.2016.1169211
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Handle: RePEc:taf:jpropr:v:33:y:2016:i:2:p:97-120
Template-Type: ReDIF-Article 1.0
Author-Name: The Editors
Title: Erratum
Journal: Journal of Property Research
Pages: (i)-(i)
Issue: 2
Volume: 33
Year: 2016
Month: 4
X-DOI: 10.1080/09599916.2016.1179480
File-URL: http://hdl.handle.net/10.1080/09599916.2016.1179480
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Handle: RePEc:taf:jpropr:v:33:y:2016:i:2:p:(i)-(i)
Template-Type: ReDIF-Article 1.0
Author-Name: Nafeesa Yunus
Author-X-Name-First: Nafeesa
Author-X-Name-Last: Yunus
Title: Modelling interactions among the housing market and key US sectors
Abstract:
This study evaluates the dynamic interactions among the housing market and ten key US sectors including: consumer discretionary, consumer staples, energy, financials, industrial, technology, health care, materials, utility and telecommunications. Long-run results indicate that the housing market is integrated with each of the ten sector and that the degree of convergence has increased over time and especially after the onset of the most recent housing crisis. Moreover, the housing market contributes most heavily to the common trends indicating that the housing market is the ‘leader’ market that drives each sector towards the long-run equilibrium relationships. Short-run analyses indicate causal linkages emanating from the housing market to each sector with reciprocal feedback. Finally, impulse response function analysis reveal that shocks from each sector affect the housing market but that shocks from the housing market have a (comparatively) more profound and persistent impact on each sector.
Journal: Journal of Property Research
Pages: 121-146
Issue: 2
Volume: 33
Year: 2016
Month: 4
X-DOI: 10.1080/09599916.2016.1190778
File-URL: http://hdl.handle.net/10.1080/09599916.2016.1190778
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Handle: RePEc:taf:jpropr:v:33:y:2016:i:2:p:121-146
Template-Type: ReDIF-Article 1.0
Author-Name: The Editors
Title: Market Review
Journal:
Pages: 85-91
Issue: 1
Volume: 19
Year: 2002
X-DOI: 10.1080/09599910210125205
File-URL: http://hdl.handle.net/10.1080/09599910210125205
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Handle: RePEc:taf:jpropr:v:19:y:2002:i:1:p:85-91
Template-Type: ReDIF-Article 1.0
Author-Name: Foort Hamelink
Author-X-Name-First: Foort
Author-X-Name-Last: Hamelink
Author-Name: Bryan MacGregor
Author-X-Name-First: Bryan
Author-X-Name-Last: MacGregor
Author-Name: Nanda Nanthakumaran
Author-X-Name-First: Nanda
Author-X-Name-Last: Nanthakumaran
Author-Name: Allison Orr
Author-X-Name-First: Allison
Author-X-Name-Last: Orr
Title: A comparison of UK equity and property duration
Abstract: This paper considers the duration of property and equity. A general formula for duration of asset classes is derived. It is shown that calculations which assume, usually implicitly, that the flowthrough of inflation to cash flow is zero, produce misleadingly high durations for property and equities. These are typically in the range 15-25 years. Simulations using the formulae show that property has some bond-like characteristics. The results indicate that, for realistic flow-through rates, equities have a higher duration than property. The flow-through rate is the most important variable in the estimation of equities. Using historical data, equity duration is estimated at 8.65 years and property's at 3.15 years. These are substantially lower than those commonly cited. If these values can be substantiated, and if higher values are used in practice, portfolio immunization strategies may need to be reconsidered.
Journal: Journal of Property Research
Pages: 61-80
Issue: 1
Volume: 19
Year: 2002
X-DOI: 10.1080/09599910110079631
File-URL: http://hdl.handle.net/10.1080/09599910110079631
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Handle: RePEc:taf:jpropr:v:19:y:2002:i:1:p:61-80
Template-Type: ReDIF-Article 1.0
Author-Name: Mike Gillen
Author-X-Name-First: Mike
Author-X-Name-Last: Gillen
Author-Name: Peter Fisher
Author-X-Name-First: Peter
Author-X-Name-Last: Fisher
Title: Residential developer behaviour in land price determination
Abstract: This paper examines residential developer behaviour in the determination of land prices during the late 1980s and 1990s. Drawing upon a representative survey of volume residential developers in England, it is argued that expectations of future trends in housing demand and constrained land supply policies have combined to inflate the price developers are prepared to pay for land, in order to retain a presence in particular housing markets. Empirical observations suggest that the consequences of such actions have led to destabilizing effects upon land price movements, developer profitability and upon the composition of the wider industry, notably delaying market recovery.
Journal: Journal of Property Research
Pages: 39-59
Issue: 1
Volume: 19
Year: 2002
X-DOI: 10.1080/09599910110110653
File-URL: http://hdl.handle.net/10.1080/09599910110110653
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Handle: RePEc:taf:jpropr:v:19:y:2002:i:1:p:39-59
Template-Type: ReDIF-Article 1.0
Author-Name: The Editors
Title: Book review
Journal:
Pages: 81-84
Issue: 1
Volume: 19
Year: 2002
X-DOI: 10.1080/09599910110048644a
File-URL: http://hdl.handle.net/10.1080/09599910110048644a
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Handle: RePEc:taf:jpropr:v:19:y:2002:i:1:p:81-84
Template-Type: ReDIF-Article 1.0
Author-Name: Seow Eng Ong
Author-X-Name-First: Seow Eng
Author-X-Name-Last: Ong
Author-Name: Lan Yuan Lim
Author-X-Name-First: Lan Yuan
Author-X-Name-Last: Lim
Author-Name: Shi Ming Yu
Author-X-Name-First: Shi Ming
Author-X-Name-Last: Yu
Author-Name: Amy Khor
Author-X-Name-First: Amy
Author-X-Name-Last: Khor
Title: A long run initial yield for offices: a panel cointegration test
Abstract: Initial yields are traditionally used to capture the relation between rentals and capital values. However, this relation changes over time since the markets are not continuously in equilibrium. The idea of reversion toward an equilibrium suggests that a long run contemporaneous cointegrating relation should exist between rents and prices for income-producing properties. However, empirical work in ascertaining long run cointegrating relations is often limited by the scarcity of data as well as insufficiently long data sets. This paper extends current work by simultaneously testing for heterogeneous panel cointegration between office rents and prices. The concept of heterogeneous panel cointegration advocated by Pedroni (Working paper, Indiana University, 1995; Oxford Bulletin of Economics and Statistics, 1999) allows information from heterogeneous panels to be aggregated over time and across panel members. While the traditional bivariate Engle-Granger cointegration results are somewhat inconclusive, the empirical evidence from the heterogeneous panel cointegration test clearly shows that a long run initial yield or present value relation persists in office markets in Singapore.
Journal: Journal of Property Research
Pages: 1-12
Issue: 1
Volume: 19
Year: 2002
X-DOI: 10.1080/09599910110110680
File-URL: http://hdl.handle.net/10.1080/09599910110110680
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Handle: RePEc:taf:jpropr:v:19:y:2002:i:1:p:1-12
Template-Type: ReDIF-Article 1.0
Author-Name: Michael Ball
Author-X-Name-First: Michael
Author-X-Name-Last: Ball
Author-Name: Sotiris Tsolacos
Author-X-Name-First: Sotiris
Author-X-Name-Last: Tsolacos
Title: UK commercial property forecasting: the devil is in the data
Abstract: The modelling of UK property markets using construction statistics faces considerable problems because of the way in which those statistics are drawn up. These difficulties are shown here to include data accuracy; the impact of large projects; the cost indices used to deflate current price data; missing information; the addition of unrecorded output and estimates that induce serial correlation. Such problems make the data relatively poor bases on which to formulate property market forecasts. Ex post forecasting analysis over two horizons showed that simple regression models, which include variables that affect development profitability, did not outperform ARIMA models, which are based solely on the construction statistics. The available floor-space data are also poor indicators of building supply. There seems to be a strong case for the government to improve the quality of the commercial supply data it provides.
Journal: Journal of Property Research
Pages: 13-38
Issue: 1
Volume: 19
Year: 2002
X-DOI: 10.1080/09599910110110699
File-URL: http://hdl.handle.net/10.1080/09599910110110699
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Handle: RePEc:taf:jpropr:v:19:y:2002:i:1:p:13-38
Template-Type: ReDIF-Article 1.0
Author-Name: Sören Gröbel
Author-X-Name-First: Sören
Author-X-Name-Last: Gröbel
Title: Analysis of spatial variance clustering in the hedonic modeling of housing prices
Abstract:
This paper examines the spatial dependency exhibited by the error term variance of hedonic modeling based on German housing price data. To this end, it applies the spatial autoregressive conditional heteroscedasticity (SARCH) model previously discussed in housing literature, which allows for the consideration of spatial dependency when modeling the error variance of hedonic pricing. This model represents a spatialized version of the well-known ARCH-model used in time series analysis. Consistent with previous findings, this paper confirms the existence of spatial conditional heteroscedasticity, i.e. dependency in the error variance. However, this spatial dependency is not a global phenomenon, but can be ascribed to spatial concentrations of apartments with a relatively high variance in a small number of the same neighborhoods. The analysis of spatial heteroscedasticity helps to improve the estimation efficiency and prediction accuracy. In addition, spatial differences can be used to account for idiosyncratic risk when conducting mass appraisal.
Journal: Journal of Property Research
Pages: 1-26
Issue: 1
Volume: 36
Year: 2019
Month: 1
X-DOI: 10.1080/09599916.2018.1562490
File-URL: http://hdl.handle.net/10.1080/09599916.2018.1562490
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Handle: RePEc:taf:jpropr:v:36:y:2019:i:1:p:1-26
Template-Type: ReDIF-Article 1.0
Author-Name: Kim Hiang Liow
Author-X-Name-First: Kim Hiang
Author-X-Name-Last: Liow
Author-Name: Xiaoxia Zhou
Author-X-Name-First: Xiaoxia
Author-X-Name-Last: Zhou
Author-Name: Qiang Li
Author-X-Name-First: Qiang
Author-X-Name-Last: Li
Author-Name: Yuting Huang
Author-X-Name-First: Yuting
Author-X-Name-Last: Huang
Title: Co-movement between the US and the securitised real estate markets of the Asian-Pacific economies
Abstract:
The novelty of this study is the use of continuous wavelet transform analysis of wavelet coherence, as well as its partial and multiple forms, to revisit the co-movements of Asian-Pacific public real estate markets among themselves and with the US, for a time span which covers the 12 January 1995–23 June 2016 period. Earlier research does not have satisfactory results because traditional methods average different relationships in time domain only. From the wavelet analysis, investors can extract the time-scale that most interests them. We find that the co-movement relationship across the real estate markets increases during the two major crisis period, as well as becomes stronger as the scale increases. Hong Kong and Singapore have the strongest time-scale co-movement relationship. Finally, the influence of domestic macroeconomic factors on real estate return co-movement appears to be greater at the long-term horizons than at the short-term horizons.
Journal: Journal of Property Research
Pages: 27-58
Issue: 1
Volume: 36
Year: 2019
Month: 1
X-DOI: 10.1080/09599916.2019.1568283
File-URL: http://hdl.handle.net/10.1080/09599916.2019.1568283
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Handle: RePEc:taf:jpropr:v:36:y:2019:i:1:p:27-58
Template-Type: ReDIF-Article 1.0
Author-Name: Jorge Iván Pérez-Rave
Author-X-Name-First: Jorge Iván
Author-X-Name-Last: Pérez-Rave
Author-Name: Juan Carlos Correa-Morales
Author-X-Name-First: Juan Carlos
Author-X-Name-Last: Correa-Morales
Author-Name: Favián González-Echavarría
Author-X-Name-First: Favián
Author-X-Name-Last: González-Echavarría
Title: A machine learning approach to big data regression analysis of real estate prices for inferential and predictive purposes
Abstract:
The hedonic price regressions have mainly been used for inference. In contrast, machine learning employed on big data has a great potential for prediction. To contribute to the integration of these two strategies, this article proposes a machine learning approach to the regression analysis of big data, viz. real estate prices, for both inferential and predictive purposes. The methodology incorporates a new procedure of selecting variables, called ‘incremental sample with resampling’ (MINREM). The methodology is tested on two cases. The first is data from web advertisements selling used homes in Colombia (61,826 observations). The second considers the data (58,888 observations) from a sample of the Metropolitan American Housing Survey 2011 obtained and prepared by a reference study. The methodology consists of two stages. The first chooses the important variables under MINREM; the second focuses on the traditional training and validation procedure for machine learning, adding three activities. In both test cases, the methodology shows its value for obtaining highly parsimonious and stable models for different sample sizes, as well as taking advantage of the inferential and predictive use of the obtained regression functions. This paper contributes to an original methodology for big data regression analysis.
Journal: Journal of Property Research
Pages: 59-96
Issue: 1
Volume: 36
Year: 2019
Month: 1
X-DOI: 10.1080/09599916.2019.1587489
File-URL: http://hdl.handle.net/10.1080/09599916.2019.1587489
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Handle: RePEc:taf:jpropr:v:36:y:2019:i:1:p:59-96
Template-Type: ReDIF-Article 1.0
Author-Name: Laura McCann
Author-X-Name-First: Laura
Author-X-Name-Last: McCann
Author-Name: Norman Hutchison
Author-X-Name-First: Norman
Author-X-Name-Last: Hutchison
Author-Name: Alastair Adair
Author-X-Name-First: Alastair
Author-X-Name-Last: Adair
Title: External funding of major capital projects in the UK Higher Education sector: issues of demand, supply and market timing?
Abstract:
The aim of this paper is to consider the sources of finance used to support major capital expenditure in the UK Higher Education sector and to reflect on any differences between traditional corporate finance theory and practice in the UK university sector. Utilising both HESA data returns and published annual accounts, an in-depth analysis using a logit structure is carried out on data from the top 63 UK universities over the period 2014–2017, to establish the range of funding sources adopted for major capital projects, all set within the context of the UK macro environment and a period of low interest rates. The research also carries out a survey of funders to understand the decision criteria used by lenders active in the Higher Education sector and a survey of university finance directors to determine the use of the funds, the reasons behind past lending decisions and to ascertain likely future demand for finance to fund major capital projects.
Journal: Journal of Property Research
Pages: 97-130
Issue: 1
Volume: 36
Year: 2019
Month: 1
X-DOI: 10.1080/09599916.2019.1590453
File-URL: http://hdl.handle.net/10.1080/09599916.2019.1590453
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Handle: RePEc:taf:jpropr:v:36:y:2019:i:1:p:97-130
Template-Type: ReDIF-Article 1.0
Author-Name: Pim Klamer
Author-X-Name-First: Pim
Author-X-Name-Last: Klamer
Author-Name: Cok Bakker
Author-X-Name-First: Cok
Author-X-Name-Last: Bakker
Author-Name: Vincent Gruis
Author-X-Name-First: Vincent
Author-X-Name-Last: Gruis
Title: Research bias in judgement bias studies – a systematic review of valuation judgement literature
Abstract:
Valuation judgement bias has been a research topic for several years due to its proclaimed effect on valuation accuracy. However, little is known on the emphasis of literature on judgement bias, with regard to, for instance, research methodologies, research context and robustness of research evidence. A synthesis of available research will establish consistency in the current knowledge base on valuer judgement, identify future research opportunities and support decision-making policy by educational and regulatory stakeholders how to cope with judgement bias. This article therefore, provides a systematic review of empirical research on real estate valuer judgement over the last 30 years. Based on a number of inclusion and exclusion criteria, we have systematically analysed 32 relevant papers on valuation judgement bias. Although we find some consistency in evidence, we also find the underlying research to be biased; the methodology adopted is dominated by a quantitative approach; research context is skewed by timing and origination; and research evidence seems fragmented and needs replication. In order to obtain a deeper understanding of valuation judgement processes and thus extend the current knowledge base, we advocate more use of qualitative research methods and scholars to adopt an interpretative paradigm when studying judgement behaviour.
Journal: Journal of Property Research
Pages: 285-304
Issue: 4
Volume: 34
Year: 2017
Month: 10
X-DOI: 10.1080/09599916.2017.1379552
File-URL: http://hdl.handle.net/10.1080/09599916.2017.1379552
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Handle: RePEc:taf:jpropr:v:34:y:2017:i:4:p:285-304
Template-Type: ReDIF-Article 1.0
Author-Name: Steven Devaney
Author-X-Name-First: Steven
Author-X-Name-Last: Devaney
Author-Name: Pat McAllister
Author-X-Name-First: Pat
Author-X-Name-Last: McAllister
Author-Name: Anupam Nanda
Author-X-Name-First: Anupam
Author-X-Name-Last: Nanda
Title: Determinants of transaction activity in commercial real estate markets: evidence from European and Asia-Pacific countries
Abstract:
Variations in transaction activity between commercial real estate markets could have important implications for investment strategies and pricing. We consider why turnover rates, a common liquidity proxy, vary between countries and over time. We examine 38 countries in Europe and Asia-Pacific over the period 2000–2014. A conceptual framework is discussed prior to estimation of panel models that use turnover rates as the dependent variable. Our results indicate that the size and wealth of a country, the risk associated with that country and the performance of its commercial real estate market are significant factors that explain transaction activity. The quality of property rights is also an important factor.
Journal: Journal of Property Research
Pages: 251-268
Issue: 4
Volume: 34
Year: 2017
Month: 10
X-DOI: 10.1080/09599916.2017.1383931
File-URL: http://hdl.handle.net/10.1080/09599916.2017.1383931
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Handle: RePEc:taf:jpropr:v:34:y:2017:i:4:p:251-268
Template-Type: ReDIF-Article 1.0
Author-Name: Marianthi Stamou
Author-X-Name-First: Marianthi
Author-X-Name-Last: Stamou
Author-Name: Angelos Mimis
Author-X-Name-First: Angelos
Author-X-Name-Last: Mimis
Author-Name: Antonis Rovolis
Author-X-Name-First: Antonis
Author-X-Name-Last: Rovolis
Title: House price determinants in Athens: a spatial econometric approach
Abstract:
In this paper, we try to identify the price determinants in the biggest real estate market of Greece, the metropolitan area of Athens. For that purpose, various spatial econometric models are used to explore their prediction ability and we are displaying the variations in property prices for the wider area of Athens. These models have been compared based on different criteria such as model fit, the Akaike information criterion and variance of the residuals. Our results indicate that, in our case, the spatial general model is the most appropriate simultaneous autoregressive model when dealing with spatially autocorrelated prices of housing properties data, in terms of our selection criteria.
Journal: Journal of Property Research
Pages: 269-284
Issue: 4
Volume: 34
Year: 2017
Month: 10
X-DOI: 10.1080/09599916.2017.1400575
File-URL: http://hdl.handle.net/10.1080/09599916.2017.1400575
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Handle: RePEc:taf:jpropr:v:34:y:2017:i:4:p:269-284
Template-Type: ReDIF-Article 1.0
Author-Name: Jyoti Rao
Author-X-Name-First: Jyoti
Author-X-Name-Last: Rao
Author-Name: Piyush Tiwari
Author-X-Name-First: Piyush
Author-X-Name-Last: Tiwari
Author-Name: Norman E. Hutchison
Author-X-Name-First: Norman E.
Author-X-Name-Last: Hutchison
Title: Capability approach to compulsory purchase compensation: evidence of the functionings of land identified by affected landowners in Scotland
Abstract:
This research was inspired by the challenges faced by landowners seeking adequate compensation for all their losses following the compulsory acquisition of land by public authorities in Scotland. This research uses Sen’s ‘capability approach’ and argues that the well-being contribution of land extends beyond its market value and therefore compensation payable following compulsory acquisition should include these other losses. The aim of this research is to identify the valuable functionings (or usefulness) of land from the perspective of the existing landowners. The functionings which contribute to their well-being can be both financial and non-financial and should be appropriately compensated. This research identifies and creates a list of valuable ‘functionings’ of individual landowners who have suffered losses due to compulsory acquisition, servitude and severance under various public projects in Scotland. Qualitative Content Analysis is applied to analyse case reports prepared by the Lands Tribunal for Scotland. In-depth analysis of 19 relevant cases is performed with the use of NVIVO software and reveals a list of 15 different functionings of land. Results show that financial functionings are the most frequently discussed at the Lands Tribunal. The debate on the loss of financial benefits from expected and planned development on land in the near future is the most debated topic by the landowners.
Journal: Journal of Property Research
Pages: 305-324
Issue: 4
Volume: 34
Year: 2017
Month: 10
X-DOI: 10.1080/09599916.2017.1400576
File-URL: http://hdl.handle.net/10.1080/09599916.2017.1400576
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Handle: RePEc:taf:jpropr:v:34:y:2017:i:4:p:305-324
Template-Type: ReDIF-Article 1.0
Author-Name: The Editors
Title: Book reviews
Journal:
Pages: 353-356
Issue: 4
Volume: 17
Year: 2000
X-DOI: 10.1080/095999100750046682
File-URL: http://hdl.handle.net/10.1080/095999100750046682
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Handle: RePEc:taf:jpropr:v:17:y:2000:i:4:p:353-356
Template-Type: ReDIF-Article 1.0
Author-Name: L.H. Li
Author-X-Name-First: L.H.
Author-X-Name-Last: Li
Author-Name: K.G. McKinnell
Author-X-Name-First: K.G.
Author-X-Name-Last: McKinnell
Author-Name: A. Walker
Author-X-Name-First: A.
Author-X-Name-Last: Walker
Title: Convergence of the land tenure systems of China, Hong Kong and Taiwan?
Abstract: The combined economies of China, Hong Kong and Taiwan, referred to collectively as Greater China, are forecast to equal that of the USA by 2002. Land development has played a significant part in this growth in Hong Kong and Taiwan and is doing so increasingly in China as opportunities are taken as a result of land reform. As they continue to converge both economically and politically, the apparent disparity of their land tenure systems may inhibit this process. This paper examines the common roots of their land tenure systems and the divergences which have occurred during the last two centuries. In tracing these roots it focuses on the major evolution during this century when the communists and nationalists split to form the People's Republic of China and the Republic of China respectively whilst Hong Kong continued to be administered by Britain. It identifies the major land tenure reforms which have occurred and argues that the apparent differences in land tenure systems are not substantive due to all three systems being founded on a common history and with philosophical developments which are compatible but one in which Britain's position seems somewhat ironic.
Journal: Journal of Property Research
Pages: 339-352
Issue: 4
Volume: 17
Year: 2000
X-DOI: 10.1080/09599910010001439
File-URL: http://hdl.handle.net/10.1080/09599910010001439
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Handle: RePEc:taf:jpropr:v:17:y:2000:i:4:p:339-352
Template-Type: ReDIF-Article 1.0
Author-Name: Khor Amy
Author-X-Name-First: Khor
Author-X-Name-Last: Amy
Author-Name: Yu Shi Ming
Author-X-Name-First: Yu Shi
Author-X-Name-Last: Ming
Author-Name: Lim Lan Yuan
Author-X-Name-First: Lim Lan
Author-X-Name-Last: Yuan
Title: The natural vacancy rate of the Singapore office market
Abstract: The concept of a natural vacancy rate is relatively well established in the real estate literature. The natural vacancy rate is an equilibrium level of inventory of space, in the sense that both the matching process between landlord and tenant is facilitated, and that building owners hold an optimal buffer stock of inventory to meet future leasing contingencies. It is the current deviation from the natural vacancy rate (and not the absolute level of the current vacancy rate) which determines the degree to which the given market is in or out of equilibrium. When vacancy rates are above the natural vacancy rate, rents will fall and vacancies will drift upward toward equilibrium. The determination of the natural vacancy rate is therefore significant in that it can facilitate the monitoring of the market conditions since a vacancy rate below the natural vacancy rate signifies tight market. The converse is true if the vacancy rate is above the equilibrium level. The natural vacancy rate for the office space market in Singapore over the sample period 1979-1997 is found to be between 10% and 12% depending on the model used. These models have been selected based on their R 2 , D-W and other relevant statistics.
Journal: Journal of Property Research
Pages: 329-338
Issue: 4
Volume: 17
Year: 2000
X-DOI: 10.1080/09599910010001448
File-URL: http://hdl.handle.net/10.1080/09599910010001448
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Handle: RePEc:taf:jpropr:v:17:y:2000:i:4:p:329-338
Template-Type: ReDIF-Article 1.0
Author-Name: The Editors
Title: Market review
Journal:
Pages: 357-366
Issue: 4
Volume: 17
Year: 2000
X-DOI: 10.1080/09599910010002708
File-URL: http://hdl.handle.net/10.1080/09599910010002708
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Handle: RePEc:taf:jpropr:v:17:y:2000:i:4:p:357-366
Template-Type: ReDIF-Article 1.0
Author-Name: The Editors
Title: Editorial
Journal:
Pages: 277-277
Issue: 4
Volume: 17
Year: 2000
X-DOI: 10.1080/09599910010001394
File-URL: http://hdl.handle.net/10.1080/09599910010001394
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Handle: RePEc:taf:jpropr:v:17:y:2000:i:4:p:277-277
Template-Type: ReDIF-Article 1.0
Author-Name: Seow Eng Ong
Author-X-Name-First: Seow Eng
Author-X-Name-Last: Ong
Title: Temporal and distribution biases in real estate transaction based price indices
Abstract: This paper contends that returns generated by a transaction-based property price index provide biased estimates of the true underlying real estate returns. Two biases - temporal and distribution - are examined. Transaction data from 34 condominium developments in Singapore are used to test for the existence of these biases. In addition, the temporal and distribution biases provide testable hypotheses that suggest that the bias differ across market conditions. The empirical evidence supports the hypotheses. Finally, policy implications and measures to rectify the biases are highlighted.
Journal: Journal of Property Research
Pages: 293-310
Issue: 4
Volume: 17
Year: 2000
X-DOI: 10.1080/09599910010001411
File-URL: http://hdl.handle.net/10.1080/09599910010001411
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Handle: RePEc:taf:jpropr:v:17:y:2000:i:4:p:293-310
Template-Type: ReDIF-Article 1.0
Author-Name: Kim Hiang Liow
Author-X-Name-First: Kim Hiang
Author-X-Name-Last: Liow
Title: The dynamics of the Singapore commercial property market
Abstract: This paper assesses the cointegration characteristics of commercial property prices, property stock prices, gross domestic product (financial and business services/ commerce), interest rates and supply of commercial space in the Singapore economy over the period 1980–1997. The primary motivation is to provide useful insights into the long-term and short-run dynamics of commercial property market in the presence of stock market conditions and macroeconomic influences. Our evidence suggests that commercial property market is linked to the property stock market and macroeconomic conditions in the long run, and that about 0.10 of the deviations between the actual and the equilibrium value of commercial property price is corrected in each quarter.
Journal: Journal of Property Research
Pages: 279-291
Issue: 4
Volume: 17
Year: 2000
X-DOI: 10.1080/09599910010001402
File-URL: http://hdl.handle.net/10.1080/09599910010001402
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Handle: RePEc:taf:jpropr:v:17:y:2000:i:4:p:279-291
Template-Type: ReDIF-Article 1.0
Author-Name: Yong Tu
Author-X-Name-First: Yong
Author-X-Name-Last: Tu
Title: Segmentation of Australian housing markets: 1989–98
Abstract: The Australian national housing market has gone through a long recovery to achieve its current level. Using econometric modelling techniques, this paper has found that the real weekly earnings per employee, the nominal mortgage rates, the unemployment rates and the housing construction activities are the key driving forces behind to lead the national housing market out of its recession. The Australian national housing market comprises a series of segmented subnational housing markets. It implies the disparities of economic performance at subnational level.
Journal: Journal of Property Research
Pages: 311-327
Issue: 4
Volume: 17
Year: 2000
X-DOI: 10.1080/09599910010001420
File-URL: http://hdl.handle.net/10.1080/09599910010001420
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Handle: RePEc:taf:jpropr:v:17:y:2000:i:4:p:311-327
Template-Type: ReDIF-Article 1.0
Author-Name: The Editors
Title: Market Reviews
Journal:
Pages: 89-97
Issue: 1
Volume: 18
Year: 2001
X-DOI: 10.1080/09599910010024849
File-URL: http://hdl.handle.net/10.1080/09599910010024849
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Handle: RePEc:taf:jpropr:v:18:y:2001:i:1:p:89-97
Template-Type: ReDIF-Article 1.0
Author-Name: Philip Booth
Author-X-Name-First: Philip
Author-X-Name-Last: Booth
Author-Name: Duncan Walsh
Author-X-Name-First: Duncan
Author-X-Name-Last: Walsh
Title: The application of financial theory to the pricing of upward-only rent reviews
Abstract: Traditional and discounted cash flow (DCF) methods of property appraisal do not deal adequately with the option nature of upward-only rent reviews. DCF techniques typically value the higher of the expected market level of rents after future rent reviews and the current rent. However, the expected level of income after a review is higher than either of these quantities because, assuming no voids, the distribution of rents is truncated at the current rent until the lease comes to an end. This feature exhibits the same financial characteristics as a fixed-income security with a call option to exchange the fixed income for the market rent if that is higher. An option pricing approach is developed for pricing this option and then an adjusted DCF method is developed. The option-pricing approach is an improvement on those previously published in the literature because it does not need to make the unrealistic assumption of perfect hedging. The DCF approach requires the input of a risk discount rate, and the option pricing approach requires a parameter which has to be estimated from other investment market data.
Journal: Journal of Property Research
Pages: 69-83
Issue: 1
Volume: 18
Year: 2001
X-DOI: 10.1080/09599910010014147
File-URL: http://hdl.handle.net/10.1080/09599910010014147
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Handle: RePEc:taf:jpropr:v:18:y:2001:i:1:p:69-83
Template-Type: ReDIF-Article 1.0
Author-Name: Timothy M. Havard
Author-X-Name-First: Timothy M.
Author-X-Name-Last: Havard
Title: An experimental evaluation of the effect of data presentation on heuristic bias in commercial valuation
Abstract: This paper reports the results of experiments that examine behavioural aspects of commercial property valuation. Earlier work has suggested that valuers make an early value judgement when undertaking a valuation task. This initial view of value seems to form an 'anchor' which influences the final outcome of the valuation and is one of a number potential anchors investigated by other researchers. This paper reports an experiment that examined whether the mode of data presentation can counter bias resulting from this source. The experiments reported here were undertaken with student valuers and comprised a mock valuation task. A cohort of 45 students drawn from two UK universities were used in the experiment which consisted of two stages. In the first, 23 of the students were assigned randomly to two groups to carry out a valuation task, one with knowledge of the transaction price of the property to be valued, one without. Both groups received the same information including information on ten transactions representing the market evidence. This information was received sequentially. The group with knowledge of the transaction price produced valuations that were biased towards this price. In the second stage of the experiment, 22 students repeated the task, again being divided into two groups. In this case, the information on the transactions was supplemented with a tabulated presentation of the market evidence. In this case there was no apparent bias detected to knowledge of the transaction price. The implications of these findings are discussed.
Journal: Journal of Property Research
Pages: 51-67
Issue: 1
Volume: 18
Year: 2001
X-DOI: 10.1080/09599910010014138
File-URL: http://hdl.handle.net/10.1080/09599910010014138
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Handle: RePEc:taf:jpropr:v:18:y:2001:i:1:p:51-67
Template-Type: ReDIF-Article 1.0
Author-Name: Steven C. Bourassa
Author-X-Name-First: Steven C.
Author-X-Name-Last: Bourassa
Author-Name: Patric H. Hendershott
Author-X-Name-First: Patric H.
Author-X-Name-Last: Hendershott
Author-Name: James Murphy
Author-X-Name-First: James
Author-X-Name-Last: Murphy
Title: Further evidence on the existence of housing market bubbles
Abstract: Studies of United States, Swedish, and Australian cities have obtained mixed results regarding the existence of housing market bubbles. The US estimates imply large bubbles on its two coasts, but not inland, and the Australian and Swedish estimates imply insignificant and modest bubbles, respectively. The results of the present work for three New Zealand cities are most similar to those for Swedish cities. Like evidence from the other countries, real income (employment and the real wage rate), real construction costs, and the real after-tax interest rate all matter. While the estimation methodology is similar to an error correction model, it is believed to be a superior method when the data time series is short. In any event, tests for house price bubbles would seem to be necessary in house price research.
Journal: Journal of Property Research
Pages: 1-19
Issue: 1
Volume: 18
Year: 2001
X-DOI: 10.1080/0959991001004110
File-URL: http://hdl.handle.net/10.1080/0959991001004110
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Handle: RePEc:taf:jpropr:v:18:y:2001:i:1:p:1-19
Template-Type: ReDIF-Article 1.0
Author-Name: A. D. H. Crook
Author-X-Name-First: A. D. H.
Author-X-Name-Last: Crook
Author-Name: J. E. T. Hughes
Author-X-Name-First: J. E. T.
Author-X-Name-Last: Hughes
Title: Market signals and disrepair in privately rented housing
Abstract: Despite recent improvements, private rented housing in England is in a worse state of repair than dwellings in other tenures. This has been attributed to a number of factors, including rent control and regulation, tax and subsidy policy, and falling effective demand. In the post-war period governments tried to achieve improvements by several means, including grant aid, enforcing standards, and transferring dwellings to the social rented sector. Since 1988 government policy has been designed to revive private rented housing and rents have been deregulated. Government policy makes it clear that landlords are primarily responsible for undertaking repairs and maintaining standards. It is assumed that market rents will provide sufficient incentives for landlords to carry out maintenance and do improvements. The evidence presented in this paper shows, however, that market rents are not strongly related to the state of repair of dwellings in the deregulated sector and also that the dwellings in the poorest condition are owned by landlords primarily seeking a commercial return on their investments. This suggests that conditions are not likely to improve under the current policy framework which seeks to increase the proportion of dwellings owned by investment oriented landlords, so long as market rents are not related to the state of repair of private rented dwellings.
Journal: Journal of Property Research
Pages: 21-50
Issue: 1
Volume: 18
Year: 2001
X-DOI: 10.1080/09599910010014129
File-URL: http://hdl.handle.net/10.1080/09599910010014129
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Handle: RePEc:taf:jpropr:v:18:y:2001:i:1:p:21-50
Template-Type: ReDIF-Article 1.0
Author-Name: The Editors
Title: Book reviews
Journal:
Pages: 85-87
Issue: 1
Volume: 18
Year: 2001
X-DOI: 10.1080/09599910010004193
File-URL: http://hdl.handle.net/10.1080/09599910010004193
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Handle: RePEc:taf:jpropr:v:18:y:2001:i:1:p:85-87
Template-Type: ReDIF-Article 1.0
Author-Name: William G. Hardin
Author-X-Name-First: William G.
Author-X-Name-Last: Hardin
Author-Name: Gow-Cheng Huang
Author-X-Name-First: Gow-Cheng
Author-X-Name-Last: Huang
Author-Name: Kartono Liano
Author-X-Name-First: Kartono
Author-X-Name-Last: Liano
Author-Name: Ming-Shiun Pan
Author-X-Name-First: Ming-Shiun
Author-X-Name-Last: Pan
Title: Firm and industry informational content from REIT FFO announcements
Abstract:
Conveyance of information associated with REIT FFO announcements is investigated by decomposing stock returns into three components: firm-specific, industry-level and market-wide. The relative importance of firm-specific and industry information is evaluated around and following FFO announcements. The initial market reaction to REIT FFO announcements is primarily driven by the firm-specific return component. The underreaction to firm-specific information appears in drift after the announcement, especially for negative FFO surprises. FFO surprises explain the firm-specific return component, but not the industry-level return component which further suggests that FFO announcements only convey firm-specific information.
Journal: Journal of Property Research
Pages: 131-152
Issue: 2
Volume: 36
Year: 2019
Month: 4
X-DOI: 10.1080/09599916.2019.1589554
File-URL: http://hdl.handle.net/10.1080/09599916.2019.1589554
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Handle: RePEc:taf:jpropr:v:36:y:2019:i:2:p:131-152
Template-Type: ReDIF-Article 1.0
Author-Name: Cath Jackson
Author-X-Name-First: Cath
Author-X-Name-Last: Jackson
Author-Name: Allison Orr
Author-X-Name-First: Allison
Author-X-Name-Last: Orr
Title: Investment decision-making under economic policy uncertainty
Abstract:
It is widely established that economic policy uncertainty (EPU) affects investment decisions and performance, yet research in this area has overlooked the direct property investment market. This article seeks to rectify this and proposes a multistage multilevel analytical framework to offer new insights and a richness of findings. Using a news-based measure of EPU in the United Kingdom, and controlling for economic conditions, a national-level analysis reveals some evidence of Granger-Causality between EPU and total returns, indicating that pricing is responsive to uncertainty. These findings suggest that EPU is an important risk factor for direct property investments, with pricing implications. Differences in data and performance measure are important, however, with income returns unresponsive. A micro-level investigation begins to reveal some of the asset-pricing decisions underpinning the national results, indicating investors’ concerns for income streams are consistently high, regardless of varying EPU. Pricing can also cause changes in EPU, such as in the retail and industrial markets (increasingly linked through logistics) reflecting sector-specific stakeholder groups and newsworthy issues. This evidence highlights how important it is for policy-makers to understand the complex and bi-directional relationship, that indecision can undermine investment confidence and cause investment market volatility, in turn raising EPU.
Journal: Journal of Property Research
Pages: 153-185
Issue: 2
Volume: 36
Year: 2019
Month: 4
X-DOI: 10.1080/09599916.2019.1590454
File-URL: http://hdl.handle.net/10.1080/09599916.2019.1590454
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Handle: RePEc:taf:jpropr:v:36:y:2019:i:2:p:153-185
Template-Type: ReDIF-Article 1.0
Author-Name: Qiulin Ke
Author-X-Name-First: Qiulin
Author-X-Name-Last: Ke
Author-Name: Karen Sieracki
Author-X-Name-First: Karen
Author-X-Name-Last: Sieracki
Title: Exploring sentiment-driven trading behaviour of different types of investors in the London office market
Abstract:
We investigates the sentiment-driven trading behaviour of the four types of investors in the London office market, i.e. UK institutional investors, UK private investors, UK listed real estate companies/Real Estate Investment Trust (REIT)s and overseas investors. In addition, we examine the relationship between investor sentiment and property performance. Related indices are calculated to examine the existence of herding behaviour of different investors. We find that UK private investors follow a contrarian strategy to UK institutional investors and listed real estate companies/REITs and enter/exit the market at different points of time. UK institutional investors tend to follow the sentiment of UK listed real estate companies/REITs and overseas investors with lags. There is no evidence that overseas investors rely upon the sentiment of UK specialised property investors in their decision-making. We find the sentiment of different investors is influenced differently by market fundamentals. Yield and rental growth rate have significant impact on trading activity of overseas investors, but not on other investors. The stock market return and securitised real estate return have significant impact on the trading activity of UK institutional investor and overseas investor, but have no significant influence on the trading behaviour of UK private investor and listed real estate company/REIT.
Journal: Journal of Property Research
Pages: 186-205
Issue: 2
Volume: 36
Year: 2019
Month: 4
X-DOI: 10.1080/09599916.2019.1593220
File-URL: http://hdl.handle.net/10.1080/09599916.2019.1593220
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Handle: RePEc:taf:jpropr:v:36:y:2019:i:2:p:186-205
Template-Type: ReDIF-Article 1.0
Author-Name: Jaime Armengot
Author-X-Name-First: Jaime
Author-X-Name-Last: Armengot
Author-Name: Brendan Williams
Author-X-Name-First: Brendan
Author-X-Name-Last: Williams
Author-Name: J. Francisco Padial
Author-X-Name-First: J. Francisco
Author-X-Name-Last: Padial
Title: Spatial and temporal impacts on building depreciation
Abstract:
This article explores the relationship between new housing and the existing housing stock in terms of an urban market value hierarchy, considering the importance of the concept of depreciation, as influenced by three factors: the age, location and quality of the building. Based on a sample from the Almond area of Madrid City Centre, the research considers many variables and applies an adapted appraisal approach termed differential depreciation to analyse the evidence of real estate values and the influence of spatial and temporal location factors. The study of the role of depreciation in the value of housing used in this research provides researchers with objective criteria on the functioning of the urban land market. This shows that the relationship between depreciation and the need for renovation is not linear, but instead follows identifiable patterns linked to the era of construction rather than solely the age of the building.
Journal: Journal of Property Research
Pages: 206-225
Issue: 2
Volume: 36
Year: 2019
Month: 4
X-DOI: 10.1080/09599916.2019.1602844
File-URL: http://hdl.handle.net/10.1080/09599916.2019.1602844
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Handle: RePEc:taf:jpropr:v:36:y:2019:i:2:p:206-225
Template-Type: ReDIF-Article 1.0
Author-Name: Andrew Golland
Author-X-Name-First: Andrew
Author-X-Name-Last: Golland
Author-Name: Peter Boelhouwer
Author-X-Name-First: Peter
Author-X-Name-Last: Boelhouwer
Title: Speculative housing supply land and housing, markets: a comparison
Abstract: Speculative development is significant as a way of providing new owner occupied housing in Europe. Yet because this sector of supply is developed under very different policy conditions, the relationships between new build output, housing markets and the wider economy can vary considerably. Previous research, which has sought to understand the determinants of speculative housing development, has largely failed to recognize the contribution that can result from a comparative European study. In this paper, the UK is compared with the Netherlands, where speculative housing sectors operate under different land and planning systems. Supply or 'cost' based theoretical frameworks are contrasted with quantity 'signal' approaches in an investigation of the relationship between macroeconomy, existing housing, and new build market. It is shown, via an analysis of the period 1975-1997, that both UK and Dutch speculative housing sectors respond to a significant extent to changes in housing market indicators such as the level of turnover and house prices; however, Dutch speculative housing output has been more responsive to changes in the wider economy. This is explained not only in terms of the system of municipal land supply, but also in terms of a tenure neutral new build housing policy. It is argued that although there will be some convergence with respect to the long run land-house price relationship, development industries will continue to operate very differently, particularly in dealing with public sector bodies.
Journal: Journal of Property Research
Pages: 231-251
Issue: 3
Volume: 19
Year: 2002
X-DOI: 10.1080/09599910210151332
File-URL: http://hdl.handle.net/10.1080/09599910210151332
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Handle: RePEc:taf:jpropr:v:19:y:2002:i:3:p:231-251
Template-Type: ReDIF-Article 1.0
Author-Name: Timothy Dixon
Author-X-Name-First: Timothy
Author-X-Name-Last: Dixon
Author-Name: Neil Crosby
Author-X-Name-First: Neil
Author-X-Name-Last: Crosby
Author-Name: Andrew Marston
Author-X-Name-First: Andrew
Author-X-Name-Last: Marston
Author-Name: Gaye Pottinger
Author-X-Name-First: Gaye
Author-X-Name-Last: Pottinger
Title: Can valuation factors be prescribed?: the case of collective enfranchisement and leasehold extension of flats in England and Wales
Abstract: Recent concerns over the valuation process in collective leasehold enfranchisement and lease extension cases have culminated in new legislation. To underpin this, the Government (Department of Environment Transport and the Regions (DETR)) commissioned new research, which examined whether the valuation of the freehold in such cases could be simplified through the prescription of either yield or marriage value/relativity. This paper, which is based on that research, examines whether it is possible or desirable to prescribe such factors in the valuation process. Market, settlement and Local Valuation Tribunal (LVT) decisions are analysed, and the basis of 'relativity charts' used in practice is critically examined. Ultimately the imperfect nature of the market in freehold investment sales and leasehold vacant possession sales means that recommendations must rest on an analysis of LVT data. New relativity curves are developed from this data and used in conjunction with an alternative approach to valuation yields (based on other investment assets). However, the paper concludes that although the prescription of yields and relativity is possible, it is not fully defensible because of problems in determining risk premia; that the evidential basis for relativity consists of LVT decisions; and that a formula approach would tend to 'lead' the market as a whole.
Journal: Journal of Property Research
Pages: 253-280
Issue: 3
Volume: 19
Year: 2002
X-DOI: 10.1080/0959991022000016269
File-URL: http://hdl.handle.net/10.1080/0959991022000016269
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Handle: RePEc:taf:jpropr:v:19:y:2002:i:3:p:253-280
Template-Type: ReDIF-Article 1.0
Author-Name: Geoffrey Meen
Author-X-Name-First: Geoffrey
Author-X-Name-Last: Meen
Title: On the long run relationship between industrial construction and housing
Abstract: Most empirical analysis of property development treats the subcomponents of the construction industry as independent. For example, models of housing construction typically do not consider any relationship with industrial or commercial construction. In fact, there are a number of ways in which changes over time may be interdependent. For example, economic theory suggests that, under some conditions, housing investment crowds out industrial and commercial investment. In general, therefore, if there are interdependencies, the presumption is that the relationship is negative. Here the relationship between new housing and industrial construction is concentrated on. It is found that, in the long run, based on Johansen tests for Britain since the sixties, the relationship is positive - movements are complementary. At first sight, this result is counter-intuitive, at least in an aspatial setting. But, in a spatial setting, the results are consistent with the view that (i) 'jobs move to workers' as relocating firms seek out highly skilled workers who, in turn, search for high quality housing locations; (ii) particularly in SE England, which has a high rate of new firm formation, fast growing new firms are started by high potential entrepreneurs close to where they live. Therefore, new housing and industrial development are self-reinforcing.
Journal: Journal of Property Research
Pages: 191-211
Issue: 3
Volume: 19
Year: 2002
X-DOI: 10.1080/09599910210151314
File-URL: http://hdl.handle.net/10.1080/09599910210151314
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Handle: RePEc:taf:jpropr:v:19:y:2002:i:3:p:191-211
Template-Type: ReDIF-Article 1.0
Author-Name: The Editors
Title: Book Reviews
Journal:
Pages: 281-284
Issue: 3
Volume: 19
Year: 2002
X-DOI: 10.1080/09599910110048644
File-URL: http://hdl.handle.net/10.1080/09599910110048644
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Handle: RePEc:taf:jpropr:v:19:y:2002:i:3:p:281-284
Template-Type: ReDIF-Article 1.0
Author-Name: The Editors
Title: Market Reviews
Journal:
Pages: 285-290
Issue: 3
Volume: 19
Year: 2002
X-DOI: 10.1080/0959991021000016387
File-URL: http://hdl.handle.net/10.1080/0959991021000016387
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Handle: RePEc:taf:jpropr:v:19:y:2002:i:3:p:285-290
Template-Type: ReDIF-Article 1.0
Author-Name: Stanley McGreal
Author-X-Name-First: Stanley
Author-X-Name-Last: McGreal
Author-Name: Ali Parsa
Author-X-Name-First: Ali
Author-X-Name-Last: Parsa
Author-Name: Ramin Keivani
Author-X-Name-First: Ramin
Author-X-Name-Last: Keivani
Title: Evolution of property investment markets in Central Europe: opportunities and constraints
Abstract: The forces of globalization with implications for competitiveness present opportunities and challenges for the future development of cities. In central Europe the economic transformation of the 1990s has coincided with the growth of global forces; however due to their post-war history cities in this region are starting from an uncompetitive base. This paper examines the extent to which capital cities in central Europe have adapted to global forces specifically in relation to the development of commercial property markets. The research methodology is from a qualitative perspective and primarily draws upon an evaluation of expert opinion based on focus groups conducted in Budapest, Prague and Warsaw supported by evidence from market reports, survey and structured interview. Themes include the rationale for investment, factors influencing/barriers to investment and development, policy and institutional considerations, and future scenarios for each city within the region. Conclusions are drawn on the evolving property investment market. Constraints include administrative structures, planning policies, land ownership, information sources, valuation methods and the absence of effective city marketing.
Journal: Journal of Property Research
Pages: 213-230
Issue: 3
Volume: 19
Year: 2002
X-DOI: 10.1080/09599910210151323
File-URL: http://hdl.handle.net/10.1080/09599910210151323
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Handle: RePEc:taf:jpropr:v:19:y:2002:i:3:p:213-230
Template-Type: ReDIF-Article 1.0
Author-Name: Riëtte Carstens
Author-X-Name-First: Riëtte
Author-X-Name-Last: Carstens
Author-Name: Julia Freybote
Author-X-Name-First: Julia
Author-X-Name-Last: Freybote
Title: Tone in REIT financial statements and institutional investments
Abstract:
We investigate the response of institutional REIT investors to the abnormally (net) positive tone in REIT financial statements. For non-REIT firms, sophisticated investors have been found to respond negatively to an abnormally positive tone due to managerial incentives to take advantage of information asymmetries and use a positive tone to manipulate investor perception. However, institutional REIT investors have an informational advantage as they either directly invest in commercial real estate as part of their portfolio management strategy or, at a minimum, have access to commercial real estate market data. Thus, they are able to evaluate the abnormally positive tone in REIT financial statements against their perception of conditions in the commercial real estate and derivative REIT market. For a sample of US REITs over the period of 2001 to 2017, we find that the response of institutional investors to the abnormally positive tone in REIT financial statements is time-varying and non-linear, irrespective of whether we use variables in levels or changes. In particular, in periods of institutional REIT investor optimism (pessimism), institutional REIT investors respond positively (negatively) to an abnormally positive tone and behave as net buyers (net sellers).
Journal: Journal of Property Research
Pages: 227-244
Issue: 3
Volume: 36
Year: 2019
Month: 7
X-DOI: 10.1080/09599916.2019.1650802
File-URL: http://hdl.handle.net/10.1080/09599916.2019.1650802
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Handle: RePEc:taf:jpropr:v:36:y:2019:i:3:p:227-244
Template-Type: ReDIF-Article 1.0
Author-Name: Danielle C. Sanderson
Author-X-Name-First: Danielle C.
Author-X-Name-Last: Sanderson
Author-Name: Farazia Shakurina
Author-X-Name-First: Farazia
Author-X-Name-Last: Shakurina
Author-Name: Jolene Lim
Author-X-Name-First: Jolene
Author-X-Name-Last: Lim
Title: The impact of sale and leaseback on commercial real estate prices and initial yields in the UK
Abstract:
This research evaluates the impact of Sale and Leaseback (SLB) on UK commercial property prices and yields, compared with arms-length transactions. Data on 357 SLB deals and 1266 non-SLB deals are extracted from CoStar and EGI. Hedonic regressions and comparative analysis with the risk-free rate are undertaken. In addition to the SLB dummy variable, explanatory variables include building size, quality, age, sector, location and year of transaction. SLB transactions are found to occur at a statistically significant price premium, with the greatest premium occurring in the office sector. SLB properties achieve a 4.5 percentage point premium compared with the risk-free rate. The net initial yield of the SLB transaction sample is around 2 percentage points lower than for the non-SLB sample in every sector. Reasons for these differences are probed by considering the effect of WAULT and tenant covenant strength. From a vendor’s perspective, the results give an indication of the price premium they might be able to negotiate for their property compared with market prices. This will help them assess whether SLB is worthwhile compared with other available financing options. The findings of a yield reduction should help investors decide whether to engage in SLB investment.
Journal: Journal of Property Research
Pages: 245-271
Issue: 3
Volume: 36
Year: 2019
Month: 7
X-DOI: 10.1080/09599916.2019.1642370
File-URL: http://hdl.handle.net/10.1080/09599916.2019.1642370
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Handle: RePEc:taf:jpropr:v:36:y:2019:i:3:p:245-271
Template-Type: ReDIF-Article 1.0
Author-Name: Gaetano Lisi
Author-X-Name-First: Gaetano
Author-X-Name-Last: Lisi
Title: Sales comparison approach, multiple regression analysis and the implicit prices of housing
Abstract:
By using two of the main evaluation methods, namely the sales comparison approach and the multiple regression analysis, this paper points out the key role of implicit prices of housing characteristics in real estate appraisal. Firstly, this paper confirms the close link existing between the sales comparison approach and the multiple regression analysis. Furthermore, unlike examples in the related literature, this paper highlights the difference between marginal and implicit prices of housing characteristics. Although the related literature expresses awareness of the methodology for calculating marginal and implicit prices, there appears to be less awareness that implicit prices can: 1) lead to an estimate of the house price that is different from the regression model-predicted price; 2) replace the crucial and non-trivial phase of adjustment and reconciliation that characterises the main appraisal method, namely, the popular Sales Comparison Approach. Finally, an empirical analysis provides evidence of the key role of implicit prices in estimating house value.
Journal: Journal of Property Research
Pages: 272-290
Issue: 3
Volume: 36
Year: 2019
Month: 7
X-DOI: 10.1080/09599916.2019.1651755
File-URL: http://hdl.handle.net/10.1080/09599916.2019.1651755
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Handle: RePEc:taf:jpropr:v:36:y:2019:i:3:p:272-290
Template-Type: ReDIF-Article 1.0
Author-Name: Anders Eika
Author-X-Name-First: Anders
Author-X-Name-Last: Eika
Title: Urban development and cooperation games
Abstract:
This paper investigates what makes developers and municipal planning authorities more (or less) likely to cooperate. It borrows methods from behavioural economics for eliciting the propensity of cooperation in different groups under different circumstances. Participants from private development companies, public planning, and related fields have played simple games in which they chose whether to cooperate in an urban transformation scenario (N = 269). By altering minor details, we learn about what makes people cooperate. The paper is able to quantify some human biases affecting the actions we observe in development projects: The findings indicate that people tend to be more cooperative towards people from the same sector, are less likely to cooperate in riskier scenarios, and in situations where some group members have fewer resources to contribute to the cooperative effort. Hopefully, the novelty of using economic experiments on planning and property development decision making could serve as an inspiration for other researchers in the field, although the methodology does carry limited external validity.
Journal: Journal of Property Research
Pages: 291-311
Issue: 3
Volume: 36
Year: 2019
Month: 7
X-DOI: 10.1080/09599916.2019.1615977
File-URL: http://hdl.handle.net/10.1080/09599916.2019.1615977
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Handle: RePEc:taf:jpropr:v:36:y:2019:i:3:p:291-311
Template-Type: ReDIF-Article 1.0
Author-Name: Julian Diaz III
Author-X-Name-First: Julian Diaz
Author-X-Name-Last: III
Author-Name: Paul Gallimore
Author-X-Name-First: Paul
Author-X-Name-Last: Gallimore
Author-Name: Deborah Levy
Author-X-Name-First: Deborah
Author-X-Name-Last: Levy
Title: Residential valuation behaviour in the United States, the United Kingdom and New Zealand
Abstract: This paper investigates the valuation processes employed by United States (US), United Kingdom (UK), and New Zealand (NZ) residential valuation experts. Professional appraisers from all three countries participated in a series of valuation experiments that revealed (i) switching from familiar to unfamiliar property settings did not alter valuation behaviour, (ii) valuation behaviour was consistently non-normative, and (iii) the processes employed by US appraisers differed from those of UK experts but not NZ experts. These behavioural differences are attributed to differences in the normative training and business cultures of the countries. Descriptive models of valuation behaviour are developed and compared.
Journal: Journal of Property Research
Pages: 313-326
Issue: 4
Volume: 19
Year: 2002
X-DOI: 10.1080/09599910220008321
File-URL: http://hdl.handle.net/10.1080/09599910220008321
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Handle: RePEc:taf:jpropr:v:19:y:2002:i:4:p:313-326
Template-Type: ReDIF-Article 1.0
Author-Name: The Editors
Title: Book reviews
Journal:
Pages: 375-379
Issue: 4
Volume: 19
Year: 2002
X-DOI: 10.1080/09599910110093699
File-URL: http://hdl.handle.net/10.1080/09599910110093699
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Handle: RePEc:taf:jpropr:v:19:y:2002:i:4:p:375-379
Template-Type: ReDIF-Article 1.0
Author-Name: Linda Tay
Author-X-Name-First: Linda
Author-X-Name-Last: Tay
Title: Business performance of surveying firms: a data-driven path model
Abstract: Business performance is an important concern for all profit organizations including surveying firms. Based on the data from 179 UK surveying firms, a data-driven path analysis is conducted to examine the direct and indirect effects of eight independent variables on business performance (the dependent variable). These are organization structure, environmental uncertainty, interconnectedness, size of firm, marketing performance, market orientation, management and strategy. The results suggest that only the marketing performance variable has a strong and significant direct effect on business performance. In turn, marketing performance is largely dependent on the firm's degree of market orientation. The finding in this study reinforces the postulation in existing literature that a market orientation is essential for sustaining competitive advantage in business firms. As such, the implication for surveying firms is that the stronger the market orientation of the firm, the better would be the business performance.
Journal: Journal of Property Research
Pages: 327-351
Issue: 4
Volume: 19
Year: 2002
X-DOI: 10.1080/09599910210155509
File-URL: http://hdl.handle.net/10.1080/09599910210155509
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Handle: RePEc:taf:jpropr:v:19:y:2002:i:4:p:327-351
Template-Type: ReDIF-Article 1.0
Author-Name: Lesley Hemphill
Author-X-Name-First: Lesley
Author-X-Name-Last: Hemphill
Author-Name: Stanley McGreal
Author-X-Name-First: Stanley
Author-X-Name-Last: McGreal
Author-Name: Jim Berry
Author-X-Name-First: Jim
Author-X-Name-Last: Berry
Title: An aggregated weighting system for evaluating sustainable urban regeneration
Abstract: This paper is concerned with developing an effective means of weighting the key attributes of sustainable urban regeneration in accordance with their relative importance. The theme is initially explored from a literature review, highlighting the potential compatibility of urban regeneration and sustainability concepts, whilst illustrating the changes occurring in urban policy aimed at encapsulating the economic, environmental and social dimensions of sustainability. A methodology is presented setting out how hierarchical modelling, the Delphi technique and multicriteria analysis can be utilized as part of a three-stage process to dissect sustainable urban regeneration into its constituent parts, obtain expert consensus and calculate the relative importance weightings to be allocated to the key indicator groupings. Conclusions seek to relate the hierarchical model to contemporary urban policy and issues central to the sustainability debate.
Journal: Journal of Property Research
Pages: 353-373
Issue: 4
Volume: 19
Year: 2002
X-DOI: 10.1080/09599910210155491
File-URL: http://hdl.handle.net/10.1080/09599910210155491
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Handle: RePEc:taf:jpropr:v:19:y:2002:i:4:p:353-373
Template-Type: ReDIF-Article 1.0
Author-Name: Charles C. Carter
Author-X-Name-First: Charles C.
Author-X-Name-Last: Carter
Author-Name: William J. Haloupek
Author-X-Name-First: William J.
Author-X-Name-Last: Haloupek
Title: Dispersion of stores of the same type in shopping malls: theory and preliminary evidence
Abstract: A theoretical justification is set out for the dispersion of non-anchor stores by store type in shopping malls and some preliminary evidence presented to support it. The basic theoretical outline of spatial economic behaviour developed by Ingene and Ghosh (Geographical Analysis, 22(1), 70-93, 1990) is first considered and it is expanded to include customer traffic in two directions. The results of this economic model of customer behaviour are discussed in the context of shopping malls. Simple assumptions about points of supply and demand in shopping malls provide the basis for a general test of the model. Using an algorithm called the p-median problem, and a data base of several regional and super-regional shopping malls scattered throughout the United States, it was found that the supply of goods of the same type was dispersed throughout the mall and consistent with the model.
Journal: Journal of Property Research
Pages: 291-311
Issue: 4
Volume: 19
Year: 2002
X-DOI: 10.1080/0959991022000013550
File-URL: http://hdl.handle.net/10.1080/0959991022000013550
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Handle: RePEc:taf:jpropr:v:19:y:2002:i:4:p:291-311
Template-Type: ReDIF-Article 1.0
Author-Name: Arvydas Jadevicius
Author-X-Name-First: Arvydas
Author-X-Name-Last: Jadevicius
Author-Name: Simon Huston
Author-X-Name-First: Simon
Author-X-Name-Last: Huston
Author-Name: Andrew Baum
Author-X-Name-First: Andrew
Author-X-Name-Last: Baum
Author-Name: Allan Butler
Author-X-Name-First: Allan
Author-X-Name-Last: Butler
Title: Two centuries of farmland prices in England
Abstract:
The dissemination of robust asset price data can help improve market efficiency, resource allocation and investment analysis. Land prices influence housing affordability, food security and the carbon infrastructure. Yet price and return histories for farmland in England are fragmented. To provide perspective, a long farmland price series is needed to improve transparency and bring the asset class into line with commercial and residential real estate. After reviewing the historical backdrop and considering methodology, this research uses a chain-linking approach to construct a long-term farmland price series for England. It then adjusts the series for inflation to examine real land prices. The resulting two-century English farmland prices series contributes to farmland market analysis. Notwithstanding some concerns with long-run chain component heterogeneity, the combined series helps us to understand English average farmland price dynamics. As measured by the geometric mean, English land price real capital returns have been positive over more than two centuries. Farmland real price growth was 0.33 per cent annually from 1781 to 2013 and 0.71 per cent from 1801 to 2013. The series contributes to an understanding of land price dynamics.
Journal: Journal of Property Research
Pages: 72-94
Issue: 1
Volume: 35
Year: 2018
Month: 1
X-DOI: 10.1080/09599916.2017.1393450
File-URL: http://hdl.handle.net/10.1080/09599916.2017.1393450
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Handle: RePEc:taf:jpropr:v:35:y:2018:i:1:p:72-94
Template-Type: ReDIF-Article 1.0
Author-Name: Omokolade Akinsomi
Author-X-Name-First: Omokolade
Author-X-Name-Last: Akinsomi
Author-Name: Nikiwe Mkhabela
Author-X-Name-First: Nikiwe
Author-X-Name-Last: Mkhabela
Author-Name: Marimo Taderera
Author-X-Name-First: Marimo
Author-X-Name-Last: Taderera
Title: The role of macro-economic indicators in explaining direct commercial real estate returns: evidence from South Africa
Abstract:
This study investigates the role of macro-economic indicators in explaining direct real estate returns in South Africa (SA). Literature review is conducted to identify factors that drive direct commercial real returns and the identified drivers are tested in an emerging market. The study applies SA annual commercial real estate returns including total returns, rental growth and capital growth published by the Investment Property Databank (IPD) over the past 20 years, from 1995 to 2014, as an independent variable. The most dominant and significant factors that explain total returns across all property types and provinces in South Africa are GDP, unemployment rates and interest rates which are macro-economic indicators. Our study finds key differences between the determinants of total return and change in capital values which are different from the variables which determine rental growth – the results also highlight the heterogeneity and complexity of real estate returns. These results are important for asset managers as well as government regulatory agencies to make better informed decisions in relation to factors which affect direct real estate returns in an emerging economy.
Journal: Journal of Property Research
Pages: 28-52
Issue: 1
Volume: 35
Year: 2018
Month: 1
X-DOI: 10.1080/09599916.2017.1402071
File-URL: http://hdl.handle.net/10.1080/09599916.2017.1402071
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Handle: RePEc:taf:jpropr:v:35:y:2018:i:1:p:28-52
Template-Type: ReDIF-Article 1.0
Author-Name: Catherine Bruneau
Author-X-Name-First: Catherine
Author-X-Name-Last: Bruneau
Author-Name: Souad Cherfouh
Author-X-Name-First: Souad
Author-X-Name-Last: Cherfouh
Title: Modelling the asymmetric behaviour of property yields: evidence from the UK office market
Abstract:
This paper examines the determinants of UK office market yields and their relative importance depending on overall monetary and financial conditions, with special attention given to the role of macroeconomic liquidity. To do so, we rely on a standard linear model as well as on non-linear one that allows for a transition between two possible regimes of liquidity conditions – accommodative or tight – both models accounting for possible trend reverting behaviour. The results of the study provide new insights to the discussion on property yield modelling. Whatever the type of modelling, linear or not, we find that in addition to its traditional drivers – notably risk-free interest rate and expected rental growth – money supply is a key factor of property yields. Moreover, depending on the evolution of the ratio of M2 to GDP, property yields evolve according to two regimes; in the one depicted as a normal liquidity regime, the property yields dynamics mainly obeys an error correcting mechanism which tends to counter excessive discrepancy between property yields and their fundamental value deduced from a Present Value type model, while in the second one, this mechanism is dominated by the impact of money supply growth which can induce increasing movements in the property prices, possibly turning to bubbles.
Journal: Journal of Property Research
Pages: 1-27
Issue: 1
Volume: 35
Year: 2018
Month: 1
X-DOI: 10.1080/09599916.2017.1411966
File-URL: http://hdl.handle.net/10.1080/09599916.2017.1411966
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Handle: RePEc:taf:jpropr:v:35:y:2018:i:1:p:1-27
Template-Type: ReDIF-Article 1.0
Author-Name: Mohammed Said Obeidat
Author-X-Name-First: Mohammed Said
Author-X-Name-Last: Obeidat
Author-Name: Tarek Qasim
Author-X-Name-First: Tarek
Author-X-Name-Last: Qasim
Author-Name: Aseel Khanfar
Author-X-Name-First: Aseel
Author-X-Name-Last: Khanfar
Title: Implementing the AHP multi-criteria decision approach in buying an apartment in Jordan
Abstract:
Buying an apartment or a house is an important step in everyone’s life worldwide, to reach a settled and stable life. Several criteria are considered when buying an apartment or a house. In Jordan, apartments are customers’ preferred choices because of financial circumstances. It is not easy for a person to decide on the apartment’s specifications such as location, design, building design and finances. This study assists people in selecting an appropriate apartment using the Analytical Hierarchy Process (AHP), which is considered an important multi-criteria decision-making approach. Data used in this study were collected in Jordan; however, people worldwide can benefit from this study. The methodology used is twofold. First, feedback was considered from five investors in the real estate sector in Jordan about specifications that customers consider when buying an apartment. Second, several customers were asked about their preferences in a dream apartment using a pairwise comparison questionnaire, which was collected from 305 participants to obtain the priorities of 10 different apartment alternatives found in the Jordanian real estate market. The AHP technique is used to analyse the collected data to assist customers in reaching the best purchase decision.
Journal: Journal of Property Research
Pages: 53-71
Issue: 1
Volume: 35
Year: 2018
Month: 1
X-DOI: 10.1080/09599916.2017.1413588
File-URL: http://hdl.handle.net/10.1080/09599916.2017.1413588
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Handle: RePEc:taf:jpropr:v:35:y:2018:i:1:p:53-71
Template-Type: ReDIF-Article 1.0
Author-Name: Jonathan A. Wiley
Author-X-Name-First: Jonathan A.
Author-X-Name-Last: Wiley
Title: Leverage, liquidity and information in commercial property prices
Abstract:
Transactions volume and property cash flows appear to have little, if any, predictive value for commercial property price appreciation in the US during 2001 to mid-2015. Price appreciation is predicted by both credit tightening and the market share of highly active investors. Buyer composition (introduced by this study) appears to proxy informational content in the transactions market, as trading patterns for highly active investors are consistent with those possessing informational advantages. Underwriting restrictiveness adversely affects asset prices. Apart from buyer composition and credit policy, aggregate price movement appears largely produced by cycles of investment momentum rather than cycles in commercial property fundamentals.
Journal: Journal of Property Research
Pages: 77-107
Issue: 2
Volume: 34
Year: 2017
Month: 4
X-DOI: 10.1080/09599916.2017.1320683
File-URL: http://hdl.handle.net/10.1080/09599916.2017.1320683
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Handle: RePEc:taf:jpropr:v:34:y:2017:i:2:p:77-107
Template-Type: ReDIF-Article 1.0
Author-Name: Juan Huang
Author-X-Name-First: Juan
Author-X-Name-Last: Huang
Author-Name: Geoffrey Qiping Shen
Author-X-Name-First: Geoffrey Qiping
Author-X-Name-Last: Shen
Title: Residential housing bubbles in Hong Kong: identification and explanation based on GSADF test and dynamic probit model
Abstract:
We aim to investigate whether the current high housing price in Hong Kong contains a bubble and to identify the causes of such housing bubble if it exists by combining the generalised sup augmented Dickey–Fuller (GSADF) test and dynamic probit models. Empirical results indicate that the current Hong Kong housing market contains a bubble, and it’s the investors’ speculative demand and the increase of monetary supply that lead to the housing bubbles in Hong Kong. Moreover, speculative investors would prefer the mass markets to the luxury ones considering the outstanding performance of the former. Such preference would contribute to more bubbles in the mass markets than in the luxury ones. In view of these, Hong Kong Government should retrospect the linked exchange rate system and be alert to the impacts of the US monetary policies on Hong Kong residential market. To offset the housing bubble, a targeted and effective approach to the Hong Kong Government is to constrict the speculative demand from investors particularly in the mass markets.
Journal: Journal of Property Research
Pages: 108-128
Issue: 2
Volume: 34
Year: 2017
Month: 4
X-DOI: 10.1080/09599916.2017.1321574
File-URL: http://hdl.handle.net/10.1080/09599916.2017.1321574
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Handle: RePEc:taf:jpropr:v:34:y:2017:i:2:p:108-128
Template-Type: ReDIF-Article 1.0
Author-Name: Colin Jones
Author-X-Name-First: Colin
Author-X-Name-Last: Jones
Author-Name: Neil Dunse
Author-X-Name-First: Neil
Author-X-Name-Last: Dunse
Author-Name: Nicola Livingstone
Author-X-Name-First: Nicola
Author-X-Name-Last: Livingstone
Author-Name: Kevin Cutsforth
Author-X-Name-First: Kevin
Author-X-Name-Last: Cutsforth
Title: The restructuring of the institutional real estate portfolio in the UK
Abstract:
Real estate investment portfolios of financial institutions have seen dramatic changes over the last three decades or more. Historically such property investment decisions have been seen within a portfolio diversification paradigm that has sought to balance risk and return. This paper considers the role of the supply of assets in the determining and constraining the UK institutional portfolio. The supply of real estate assets not only expands during property booms but has also been transformed by a long term urban development cycle as cities adapt to cars and the ICT revolution that has brought new property forms. The research examines long term trends in investment change by disaggregating into ten property forms rather than the usual three land use sectors. It then assesses to what extent investment patterns can be explained in terms of portfolio theory, short term net returns of individual sectors or driven by the supply of real estate assets. It concludes that the supply of real assets is an overlooked explanation.
Journal: Journal of Property Research
Pages: 129-146
Issue: 2
Volume: 34
Year: 2017
Month: 4
X-DOI: 10.1080/09599916.2017.1334222
File-URL: http://hdl.handle.net/10.1080/09599916.2017.1334222
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Handle: RePEc:taf:jpropr:v:34:y:2017:i:2:p:129-146
Template-Type: ReDIF-Article 1.0
Author-Name: Jian Zhou
Author-X-Name-First: Jian
Author-X-Name-Last: Zhou
Title: The economic value of using range-based volatility for international REIT diversification
Abstract:
Conditional volatility of financial assets can be estimated through either a return-based estimator or a range-based estimator. This paper investigates whether the range-based estimator can lead to economic benefits over a return-based benchmark. We take an asset-allocation perspective and compare the performances of an all-REIT international portfolio using the two estimators. We find that the portfolio constructed based on the range-based estimator significantly outperforms the one constructed based on the return-based estimator. This conclusion is robust to different portfolio performance measures and asset allocation periods. We also demonstrate the implementability of the range-based portfolio by showing that the economic value of using it is sufficient to compensate for transaction costs. Overall, our findings suggest that using range-based volatility adds value to international diversification among real estate markets.
Journal: Journal of Property Research
Pages: 147-162
Issue: 2
Volume: 34
Year: 2017
Month: 4
X-DOI: 10.1080/09599916.2017.1344724
File-URL: http://hdl.handle.net/10.1080/09599916.2017.1344724
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Handle: RePEc:taf:jpropr:v:34:y:2017:i:2:p:147-162
Template-Type: ReDIF-Article 1.0
Author-Name: Claudia Ascherl
Author-X-Name-First: Claudia
Author-X-Name-Last: Ascherl
Author-Name: Liesa Schrand
Author-X-Name-First: Liesa
Author-X-Name-Last: Schrand
Author-Name: Wolfgang Schaefers
Author-X-Name-First: Wolfgang
Author-X-Name-Last: Schaefers
Author-Name: Sofia Dermisi
Author-X-Name-First: Sofia
Author-X-Name-Last: Dermisi
Title: The Determinants of Executive Compensation in US REITs: Performance vs. Corporate Governance Factors
Abstract:
The paper examines whether executive compensation packages within the US REIT industry are determined merely by performance or also by CEO power mechanisms that have an essential influence on board-level negotiations. We offer original insights into management compensation arrangements during and after the financial crisis. The relative importance of cash bonuses in CEO compensation contracts has more than halved after the crisis. Simultaneously, after the financial crisis, equity-based compensation became increasingly important. Concerning the pay-for-performance link, our results show no relationship during the financial crisis. However, after the crisis, we find a strong significant link between remuneration packages and corporate success.
Journal: Journal of Property Research
Pages: 313-342
Issue: 4
Volume: 36
Year: 2019
Month: 10
X-DOI: 10.1080/09599916.2019.1653955
File-URL: http://hdl.handle.net/10.1080/09599916.2019.1653955
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Handle: RePEc:taf:jpropr:v:36:y:2019:i:4:p:313-342
Template-Type: ReDIF-Article 1.0
Author-Name: Michael McCord
Author-X-Name-First: Michael
Author-X-Name-Last: McCord
Author-Name: Daniel Lo
Author-X-Name-First: Daniel
Author-X-Name-Last: Lo
Author-Name: John McCord
Author-X-Name-First: John
Author-X-Name-Last: McCord
Author-Name: Peadar Thomas Davis
Author-X-Name-First: Peadar Thomas
Author-X-Name-Last: Davis
Author-Name: Martin Haran
Author-X-Name-First: Martin
Author-X-Name-Last: Haran
Title: Measuring the cointegration of housing types in Northern Ireland
Abstract:
The primary purpose of this paper is to examine the dynamic and Granger causal (inter) relationships between house prices and to empirically assess the co-movement in-house prices across different property types within Northern Ireland (NI). The Johansen cointegration, Granger causality tests and vector error correction model are applied to quarterly house price data for the NI housing market between Q1 1995 and Q2 2018 to determine whether price transmissions are propagated contemporaneously into both short-term and long-term price adjustments. The findings show the stylised facts of lead–lag relationships across property types in NI using long-term Granger causality tests that the performance of the Apartment sector systematically and consistently lagged behind all other residential property segments over the period. Indeed, the results indicate that there are obvious market filtration transmission pricing signals in operation in a Granger-causal fashion. Property price signals are observed to be transmitted from the more liquid owner-occupier-led Detached and Semi-detached segments to the Apartment segment, but not vice versa.
Journal: Journal of Property Research
Pages: 343-366
Issue: 4
Volume: 36
Year: 2019
Month: 10
X-DOI: 10.1080/09599916.2019.1688851
File-URL: http://hdl.handle.net/10.1080/09599916.2019.1688851
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Handle: RePEc:taf:jpropr:v:36:y:2019:i:4:p:343-366
Template-Type: ReDIF-Article 1.0
Author-Name: Neil Crosby
Author-X-Name-First: Neil
Author-X-Name-Last: Crosby
Author-Name: Peter Wyatt
Author-X-Name-First: Peter
Author-X-Name-Last: Wyatt
Title: What is a ‘competitive return’ to a landowner? Parkhurst Road and the new UK planning policy environment
Abstract:
In the UK, contributions from landowners towards the provision of affordable housing are obtained through a process of negotiation that centres on the financial viability of each development proposal. National Planning Practice Guidance, first published in 2014 and recently revised in 2018 and 2019, provides the Government framework for these negotiations and sets parameters for the financial viability appraisals. Failure to achieve levels of affordable housing set out in local plans has been attributed to ‘gaming’ strategies employed by landowners and developers within viability negotiations. This paper examines how planning guidance has influenced financial viability appraisals. A key issue within these appraisals is the determination of a suitable return to the landowner, known as Benchmark Land Value. Using a case study approach to investigate two planning appeals and a subsequent High Court decision concerning a residential development site in London, this paper demonstrates how planning policy and practice guidance on viability can lead to reduced planning obligations being delivered. It identifies the technical concerns that need to be addressed to enable appraisals to determine land prices that are fair to landowners, whilst delivering policy-compliant levels of affordable housing, and discusses whether the revised National Planning Guidance has made those changes.
Journal: Journal of Property Research
Pages: 367-386
Issue: 4
Volume: 36
Year: 2019
Month: 10
X-DOI: 10.1080/09599916.2019.1690028
File-URL: http://hdl.handle.net/10.1080/09599916.2019.1690028
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Handle: RePEc:taf:jpropr:v:36:y:2019:i:4:p:367-386
Template-Type: ReDIF-Article 1.0
Author-Name: Abdul-Rasheed Amidu
Author-X-Name-First: Abdul-Rasheed
Author-X-Name-Last: Amidu
Author-Name: David Boyd
Author-X-Name-First: David
Author-X-Name-Last: Boyd
Author-Name: Fernand Gobet
Author-X-Name-First: Fernand
Author-X-Name-Last: Gobet
Title: A Study of the Interplay between Intuition and Rationality in Valuation Decision Making
Abstract:
There is widespread acceptance that both intuition and rationality can play significant roles in valuation decision-making. However, a study that specifically examines how intuitive and rational approaches interact is still missing. This study addresses this gap by applying cognitive theories of information processing and using a very detailed analysis of verbal protocols to propose a model of cognitive structure that identifies and describes the reasoning of property valuers during a commercial valuation task. The empirical data suggest that valuers start with an established goal and then engage in analytical and intuitive thinking until a valuation outcome has been reached. It is argued that a major reason for effective valuation decision-making, in a real-world context, is that the cognitive processes required by experts’ analytical and intuitive thinking demonstrate greater degree of cohesiveness and interrelatedness. The ability of valuers to integrate more intuition into their largely rational decision-making process suggests the need for valuation professional organisations to formally acknowledge intuition as an important component of valuation professional competence and skill requirement and to customise professional valuers’ training and development programmes to facilitate the development of appropriate intuitive approaches for effective valuation decision-making.
Journal: Journal of Property Research
Pages: 387-418
Issue: 4
Volume: 36
Year: 2019
Month: 10
X-DOI: 10.1080/09599916.2019.1687572
File-URL: http://hdl.handle.net/10.1080/09599916.2019.1687572
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Handle: RePEc:taf:jpropr:v:36:y:2019:i:4:p:387-418
Template-Type: ReDIF-Article 1.0
Author-Name: Eli Beracha
Author-X-Name-First: Eli
Author-X-Name-Last: Beracha
Author-Name: David H. Downs
Author-X-Name-First: David H.
Author-X-Name-Last: Downs
Author-Name: Greg MacKinnon
Author-X-Name-First: Greg
Author-X-Name-Last: MacKinnon
Title: The 4% rule: Does real estate make a difference?
Abstract:
This paper examines the wealth maximisation and preservation effects of including commercial real estate in retirement-phase portfolio management. Prior research addresses the role of real estate during the wealth-accumulation phase of the investor lifecycle; however, little is known about the contribution of real estate during the invest-and-spend, or decumulation, phase. To address this issue, we estimate short-fall risk based on the widely known 4% Rule. We use pricing data for multiple asset classes and simulation techniques, combined with a robust correlation structure, to examine: short-fall risk sensitivity to alternative spending rules; the impact of public vs. private real estate allocations; wealth preservation as an investment objective; and the effect of real estate on upside, or wealth maximisation, potential. We find short-fall risk in a decumulation portfolio decreases with substantial allocations to real estate. This result holds for a portfolio including either public or private real estate. Additionally, and under most conditions, the best performing decumulation-phase portfolios include a real estate allocation with both public and private real estate exposure. These results have significant implications for investors, whether they be retirees, plan administrators or endowments, as well as financial economists studying the lifecycle of investment decisions.
Journal: Journal of Property Research
Pages: 181-210
Issue: 3
Volume: 34
Year: 2017
Month: 7
X-DOI: 10.1080/09599916.2017.1293134
File-URL: http://hdl.handle.net/10.1080/09599916.2017.1293134
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Handle: RePEc:taf:jpropr:v:34:y:2017:i:3:p:181-210
Template-Type: ReDIF-Article 1.0
Author-Name: Hao Wu
Author-X-Name-First: Hao
Author-X-Name-Last: Wu
Author-Name: Piyush Tiwari
Author-X-Name-First: Piyush
Author-X-Name-Last: Tiwari
Author-Name: Sun Sheng Han
Author-X-Name-First: Sun Sheng
Author-X-Name-Last: Han
Author-Name: Toong-Khuan Chan
Author-X-Name-First: Toong-Khuan
Author-X-Name-Last: Chan
Title: Brownfield risk communication and evaluation
Abstract:
Brownfield development is a risky business requiring specific knowledge and sensible judgement in order to create valuable real estate capital. This paper approaches brownfield risk in a multi-criterion, multi-actor interactive framework, taking into account the risks perceived and communicated by key actors. The paper begins with the development of a generic risk evaluation model using the analytical hierarchical process; this is followed by a primary purposive survey of experts’ stated-preference for weighting, ranking and scoring of risk factors developed earlier by the authors. The risk evaluation leads to a consistent hierarchy of risk factors influence brownfield decisions in the Melbourne context. Results indicate that site specific and project risks are the most important in brownfield development decision-making. Financial and market and planning risks are moderately important. Political and legal and socio-economic risks are relatively less important. The findings also indicate some inter sub-group variation in the relative importance of the risk factors. Developers rate financial and market and site specific risks most highly. Least of the developers’ concern is the socio-economic risk. Planners and consultants rate site specific and project risks highly. The AHP-based risk evaluation model is a new addition to the literature, and the findings may help improve explicit evaluation and communication in brownfield project financial decision and value reporting.
Journal: Journal of Property Research
Pages: 233-250
Issue: 3
Volume: 34
Year: 2017
Month: 7
X-DOI: 10.1080/09599916.2017.1320684
File-URL: http://hdl.handle.net/10.1080/09599916.2017.1320684
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Handle: RePEc:taf:jpropr:v:34:y:2017:i:3:p:233-250
Template-Type: ReDIF-Article 1.0
Author-Name: Tetsuharu Oba
Author-X-Name-First: Tetsuharu
Author-X-Name-Last: Oba
Author-Name: Douglas Simpson Noonan
Author-X-Name-First: Douglas Simpson
Author-X-Name-Last: Noonan
Title: The many dimensions of historic preservation value: national and local designation, internal and external policy effects
Abstract:
This analysis examines the internal and external policy effects of national and local register programmes for historic preservation. Robust hedonic pricing models are crucial to informing policy proposals and understanding how property markets relate to urban heritage. Estimating a repeat-sales hedonic model with neighbourhood trends and spatial mixed models, novel to this literature, offers a marked improvement in terms of jointly identifying internal and external policy effects, comparing national and local designations, separating policy from heritage effects and estimating models robust to spatial dependence and trends in hedonic prices. Historic designation variables, while often individually insignificant in the model, are always jointly significant in explaining varying appreciation rates. Local districts exhibit no consistent price impacts across the models. Being located inside a national district confers a price premium that increases over time in the preferred model specification, while prices fall in national districts’ buffers after designation. The sensitivity of results to model specification raises questions about alternative approaches to spatial dependence in the data in the urban historic preservation context. Evidence of the influence of historic district designation on property turnover and renovation investments is also examined.
Journal: Journal of Property Research
Pages: 211-232
Issue: 3
Volume: 34
Year: 2017
Month: 7
X-DOI: 10.1080/09599916.2017.1362027
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Handle: RePEc:taf:jpropr:v:34:y:2017:i:3:p:211-232
Template-Type: ReDIF-Article 1.0
Author-Name: Julia Freybote
Author-X-Name-First: Julia
Author-X-Name-Last: Freybote
Author-Name: Lihong Qian
Author-X-Name-First: Lihong
Author-X-Name-Last: Qian
Title: Corporate real estate, stock market valuation and the reputational effects of eco-certification
Abstract:
Improving the energy efficiency of retail stores has become an important strategy for retailers. However, why do some retailers obtain Energy Star certification for their stores while others do not? We argue that retailers pursue this certification to capture reputational benefits of the Energy Star label when their stock market valuation is low. Using longitudinal data for US retailers (grocery and department stores) over the period of 2002 to 2014, we find that stock market valuation measured by Tobin’s Q explains (1) the likelihood of a retailer obtaining Energy Star certification and (2) the share of Energy Star-certified stores in a retailer’s portfolio. Operating expenses on the other hand do not appear to drive the decision to obtain Energy Star certification. Our results also suggest that the motivations of retailers to obtain LEED and Energy Star certification differ.
Journal: Journal of Property Research
Pages: 163-180
Issue: 3
Volume: 34
Year: 2017
Month: 7
X-DOI: 10.1080/09599916.2017.1372508
File-URL: http://hdl.handle.net/10.1080/09599916.2017.1372508
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Handle: RePEc:taf:jpropr:v:34:y:2017:i:3:p:163-180
Template-Type: ReDIF-Article 1.0
Author-Name: Neil Crosby
Author-X-Name-First: Neil
Author-X-Name-Last: Crosby
Author-Name: Steven Devaney
Author-X-Name-First: Steven
Author-X-Name-Last: Devaney
Author-Name: Peter Wyatt
Author-X-Name-First: Peter
Author-X-Name-Last: Wyatt
Title: The implied internal rate of return in conventional residual valuations of development sites
Abstract:
Explicit discounted cash flow methods are used in many countries to assess the value of real estate investments or their likely rate of return given a particular price. These are typically supplemented by simpler models for the purpose of estimating market value, leading to debate about different approaches. A parallel situation exists in the case of UK development sites: both cash flow appraisals and simpler residual valuations are used to assess site values. Yet debate here has been limited, even though traditional residual valuations involve steps that depart from project appraisal practices used in mainstream capital budgeting. We explore the relationship between the profit and interest allowances used in traditional residual valuations and the internal rates of return that they appear to imply. Published residual valuations typically allow for profit through use of a simple proportionate relationship between required profit and the cost or final value of a scheme. They also show limited variation in their profit assumptions, but this implies large differences in expected IRRs. Simulated examples then illustrate the implications of applying standard profit-on-cost rates to schemes of different lengths and with different levels of land value. Findings for project duration, in particular, are noteworthy since they indicate that lower IRRs are implied for longer projects, though this relationship is not necessarily rational.
Journal: Journal of Property Research
Pages: 234-251
Issue: 3
Volume: 35
Year: 2018
Month: 7
X-DOI: 10.1080/09599916.2018.1457070
File-URL: http://hdl.handle.net/10.1080/09599916.2018.1457070
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Handle: RePEc:taf:jpropr:v:35:y:2018:i:3:p:234-251
Template-Type: ReDIF-Article 1.0
Author-Name: Sören Gröbel
Author-X-Name-First: Sören
Author-X-Name-Last: Gröbel
Author-Name: Lorenz Thomschke
Author-X-Name-First: Lorenz
Author-X-Name-Last: Thomschke
Title: Hedonic pricing and the spatial structure of housing data – an application to Berlin
Abstract:
Housing prices are largely determined by physical location. By applying the outsample prediction accuracy of rental prices as evaluation criteria, we examine whether the choice of the hedonic model additionally depends on the spatial structure of housing data, i.e. accounting for locational effects by either district fixed effects or spatial econometric modelling. Our results show that a generalised spatio-temporal model outperforms a district fixed effects model only if the spatial density – the weighted mean distance to nearest neighbours – is relatively small. Moreover, we use the required density thresholds to deduce a pseudo indifference curve, thereby showing that the ratio of the weighted spatial distance-to-the mean district diameter increases with the mean sample size per district. This emphasises the role of data structure and district choices for model selection. Differences in data can thereby serve as an explanation for contradictory findings in literature, whether spatial econometric methods or simple district fixed effects are used.
Journal: Journal of Property Research
Pages: 185-208
Issue: 3
Volume: 35
Year: 2018
Month: 7
X-DOI: 10.1080/09599916.2018.1510428
File-URL: http://hdl.handle.net/10.1080/09599916.2018.1510428
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Handle: RePEc:taf:jpropr:v:35:y:2018:i:3:p:185-208
Template-Type: ReDIF-Article 1.0
Author-Name: Pim Klamer
Author-X-Name-First: Pim
Author-X-Name-Last: Klamer
Author-Name: Cok Bakker
Author-X-Name-First: Cok
Author-X-Name-Last: Bakker
Author-Name: Vincent Gruis
Author-X-Name-First: Vincent
Author-X-Name-Last: Gruis
Title: Complexity in valuation practice: an inquiry into valuers’ perceptions of task complexity in the Dutch real estate market
Abstract:
The aim of this paper is to examine valuer judgement behaviour, by exploring the manifestation of task complexity in Dutch commercial valuation practice. For this purpose, we adopted a grounded theory approach and undertook 18 in-depth interviews with senior valuation professionals across the Netherlands. Our findings indicate a strong presence of situational task complexity in commercial valuation practice, as professionals operating in large valuation teams perceive different elements of task complexity throughout commercial valuation practice in comparison to peers working in small valuation teams or self-employed valuers. Further, coping strategies used to deal with task complexity vary substantially by type of valuer as well. From our data, we deducted three types of task environment constructs in which valuers operate, which basically represent the various levels of professional standards required by clients as well as organisational settings composed to meet client standards. As such, we found that task environment settings strongly coincide with perceptions of task complexity. The presence of situational task complexity in commercial real estate valuation practice points to the need for customisation of professional valuer’s development programs to facilitate valuers to deal with task complexity in different stages of valuation practice and hence contribute to advancing valuer judgement skills.
Journal: Journal of Property Research
Pages: 209-233
Issue: 3
Volume: 35
Year: 2018
Month: 7
X-DOI: 10.1080/09599916.2018.1510429
File-URL: http://hdl.handle.net/10.1080/09599916.2018.1510429
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Handle: RePEc:taf:jpropr:v:35:y:2018:i:3:p:209-233
Template-Type: ReDIF-Article 1.0
Author-Name: Ling-Hin Li
Author-X-Name-First: Ling-Hin
Author-X-Name-Last: Li
Author-Name: Ka Shing Cheung
Author-X-Name-First: Ka Shing
Author-X-Name-Last: Cheung
Author-Name: Sue Yurim Han
Author-X-Name-First: Sue Yurim
Author-X-Name-Last: Han
Title: The impacts of cross-border tourists on local retail property market: an empirical analysis of Hong Kong
Abstract:
Hong Kong as a small city has witnessed a drastic change in the number of short-stay and same-day tourists from Mainland China ever since the relaxation of the tourism policy began in the early 2000’s. This study examines the impacts on the prices of retail space attributed to the substantial increase of cross-border shoppers. Based on a comprehensive retail property transaction records in Hong Kong and a semi-log regression model, our study confirms a positive impact of the number of cross-border shoppers on retail property prices, especially on the value of newer and larger-sized street-level retail shops. Moreover, we find that the effects brought on the retail property market are city-wide and not limited to specific districts which are relatively closer to the border with Shenzhen and with a higher degree of accessibility by these cross-border shoppers. This paper is limited by a number of assumptions including travel distance of the shoppers from Shenzhen. Nevertheless, with an increase in personal travels by the affluent Mainland Chinese citizens who usually spend a lot on shopping outside China, future studies can be made in other North American or European cities for comparison.
Journal: Journal of Property Research
Pages: 252-270
Issue: 3
Volume: 35
Year: 2018
Month: 7
X-DOI: 10.1080/09599916.2018.1511628
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Template-Type: ReDIF-Article 1.0
Author-Name: The Editors
Title: Editorial
Journal:
Pages: 93-94
Issue: 2
Volume: 24
Year: 2007
X-DOI: 10.1080/09599910701439968
File-URL: http://hdl.handle.net/10.1080/09599910701439968
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Handle: RePEc:taf:jpropr:v:24:y:2007:i:2:p:93-94
Template-Type: ReDIF-Article 1.0
Author-Name: Nafeesa Yunus
Author-X-Name-First: Nafeesa
Author-X-Name-Last: Yunus
Author-Name: Peggy Swanson
Author-X-Name-First: Peggy
Author-X-Name-Last: Swanson
Title: Modelling Linkages between US and Asia‐Pacific Securitized Property Markets
Abstract: The aim of this paper is to examine long‐run relationships and short‐run causal linkages among the public property markets of the Asia‐Pacific region (Australia, Hong Kong, Japan and Singapore) and the US over a period beginning January 2000 and ending March 2006. Long‐term results indicate that, from the perspective of the US investor, the markets of Hong Kong and Japan provide the greater diversification benefits. Short‐run causality tests show no significant lead‐lag relationships between the property market of the US and those of the Asia‐Pacific markets, indicating a wide range of possible diversification opportunities. Thus, US investors in international real estate markets can derive diversification benefits from investing in these public property markets both in the long and short run.
Journal: Journal of Property Research
Pages: 95-122
Issue: 2
Volume: 24
Year: 2007
X-DOI: 10.1080/09599910701439992
File-URL: http://hdl.handle.net/10.1080/09599910701439992
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Handle: RePEc:taf:jpropr:v:24:y:2007:i:2:p:95-122
Template-Type: ReDIF-Article 1.0
Author-Name: Patrick Wilson
Author-X-Name-First: Patrick
Author-X-Name-Last: Wilson
Author-Name: Simon Stevenson
Author-X-Name-First: Simon
Author-X-Name-Last: Stevenson
Author-Name: Ralf Zurbruegg
Author-X-Name-First: Ralf
Author-X-Name-Last: Zurbruegg
Title: Measuring Spillover Effects Across Asian Property Stocks
Abstract: This paper uses a structural time series approach to isolate stochastic trend and cyclical components across a system of securitized Asian property markets. For the purposes of understanding the degree of commonality and spillover effects of behaviour across property markets, these real estate markets are treated as a system of endogenous variables with any spillover effects measured by intermarket dependencies of the unobserved stochastic components. This is combined with an examination of long‐run trends within Asian property markets to reveal a broad level of interdependence that transcends the Asian Financial Crisis of 1997. These results further highlight the importance for financial analysts to examine securitized real estate behaviour, as it may provide useful information on explaining general equity market movements.
Journal: Journal of Property Research
Pages: 123-138
Issue: 2
Volume: 24
Year: 2007
X-DOI: 10.1080/09599910701440081
File-URL: http://hdl.handle.net/10.1080/09599910701440081
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Handle: RePEc:taf:jpropr:v:24:y:2007:i:2:p:123-138
Template-Type: ReDIF-Article 1.0
Author-Name: Eddie Hui
Author-X-Name-First: Eddie
Author-X-Name-Last: Hui
Author-Name: Joseph OOI
Author-X-Name-First: Joseph
Author-X-Name-Last: OOI
Author-Name: Kelvin Wong
Author-X-Name-First: Kelvin
Author-X-Name-Last: Wong
Title: Economic Performance of Property Companies in Hong Kong
Abstract: This paper examines the economic performance of 16 property companies in Hong Kong, and how well they do in comparison with Singapore property companies. The results show that Hong Kong property companies that diversified into other sectors appeared to perform better than those focused solely in real estate. Property companies in Hong Kong generally achieved higher rate of returns on their capital invested than Singapore property companies. Government financial assistance for private homeownership is believed to play an important role in the relatively better performance of Hong Kong's companies, particularly after 1997. Meanwhile, firms in Hong Kong are exposed to higher weighted average cost of capital due to higher business risks, in addition to higher interest rate stemmed from a linked exchange rate system. On the whole, property companies in both Singapore and Hong Kong do not perform well from an Economic Value‐Added (EVA) perspective, but this does not necessarily mean that they are poorly managed. The empirical results show that the performance of a company is influenced dramatically by profits generated from the sale of non‐property assets.
Journal: Journal of Property Research
Pages: 139-157
Issue: 2
Volume: 24
Year: 2007
X-DOI: 10.1080/09599910701440123
File-URL: http://hdl.handle.net/10.1080/09599910701440123
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Handle: RePEc:taf:jpropr:v:24:y:2007:i:2:p:139-157
Template-Type: ReDIF-Article 1.0
Author-Name: Kwame Addae‐Dapaah
Author-X-Name-First: Kwame
Author-X-Name-Last: Addae‐Dapaah
Author-Name: Kim Hin/David Ho
Author-X-Name-First: Kim Hin/David
Author-X-Name-Last: Ho
Author-Name: Yong Hua Chua
Author-X-Name-First: Yong Hua
Author-X-Name-Last: Chua
Title: Contrarian Real Estate Investment in Some Asia Pacific Cities
Abstract: The profitability of contrarian investment strategy (i.e. investing in value stocks) is one of the most well‐established empirical facts in the finance literature. It would appear, however, that the strategy has not been extended to real estate. Thus, the paper examines the contrarian investment strategy in relation to real estate so as to ascertain the comparative advantage(s) (in terms of performance) of ‘value’ and ‘growth’ property investments. It is found, after a case study of 11 cities in the Asia‐Pacific over the period 1994Q2 through 2004Q2, that contrarian real estate investment consistently outperformed growth property investment. The results of stochastic dominance test validate the relative superiority of ‘value’ over ‘growth’ property investment. This implies that fund managers who traditionally have been favouring prime (i.e. growth) property investment may have to reconsider their investment strategy if they want to maximize their return.
Journal: Journal of Property Research
Pages: 159-190
Issue: 2
Volume: 24
Year: 2007
X-DOI: 10.1080/09599910701440156
File-URL: http://hdl.handle.net/10.1080/09599910701440156
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Handle: RePEc:taf:jpropr:v:24:y:2007:i:2:p:159-190
Template-Type: ReDIF-Article 1.0
Author-Name: Philip McCann
Author-X-Name-First: Philip
Author-X-Name-Last: McCann
Title: The optimal length of an industrial tenancy
Abstract: Industrial or commercial tenancies incur costs to the tenant which are both directly and inversely related to the length of the tenancy. From optimization theory, the result of this is that there is a unique optimum tenancy length for each tenant at each location, and tenants will be willing to pay rental premiums in order to ensure tenancies are close to their particular optimum lengths. The existence of an institutional standard lease length therefore imposes welfare costs on society, and the level of these welfare costs depends on the extent to which the institutional lease length differs from the market optimum.
Journal: Journal of Property Research
Pages: 321-339
Issue: 4
Volume: 18
Year: 2001
X-DOI: 10.1080/09599910110079659
File-URL: http://hdl.handle.net/10.1080/09599910110079659
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Handle: RePEc:taf:jpropr:v:18:y:2001:i:4:p:321-339
Template-Type: ReDIF-Article 1.0
Author-Name: Gerald Brown
Author-X-Name-First: Gerald
Author-X-Name-Last: Brown
Author-Name: Kim Hiang Liow
Author-X-Name-First: Kim Hiang
Author-X-Name-Last: Liow
Title: Cyclical relationship between commercial real estate and property stock prices
Abstract: This study contains an examination of the cyclical characteristics of Singapore commercial real estate and property stock prices and their frequency space correlation for the period 1975–1998. The approach taken is univariate spectral analysis and cross-spectral analysis. Results of the individual spectral indicate that the prices for the commercial real estate and property stock exhibit cyclical patterns. The full cycle is approximately eight years for both markets. Evidence from the coherency and cross-amplitude spectra suggests significant price comovement between the two markets in the long run. In addition, the phase estimates of the series imply a property stock lead of up to 1–3 quarters in the short run. However, this lead time eventually disappears in the long run.
Journal: Journal of Property Research
Pages: 309-320
Issue: 4
Volume: 18
Year: 2001
X-DOI: 10.1080/09599910110079622
File-URL: http://hdl.handle.net/10.1080/09599910110079622
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Handle: RePEc:taf:jpropr:v:18:y:2001:i:4:p:309-320
Template-Type: ReDIF-Article 1.0
Author-Name: Alastair Adair
Author-X-Name-First: Alastair
Author-X-Name-Last: Adair
Title: Market review
Journal:
Pages: 361-367
Issue: 4
Volume: 18
Year: 2001
X-DOI: 10.1080/09599910110101329
File-URL: http://hdl.handle.net/10.1080/09599910110101329
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Handle: RePEc:taf:jpropr:v:18:y:2001:i:4:p:361-367
Template-Type: ReDIF-Article 1.0
Author-Name: The Editors
Title: Book reviews
Journal:
Pages: 357-360
Issue: 4
Volume: 18
Year: 2001
X-DOI: 10.1080/09599910110048626
File-URL: http://hdl.handle.net/10.1080/09599910110048626
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Handle: RePEc:taf:jpropr:v:18:y:2001:i:4:p:357-360
Template-Type: ReDIF-Article 1.0
Author-Name: Richard Barras
Author-X-Name-First: Richard
Author-X-Name-Last: Barras
Title: Building investment is a diminishing source of economic growth
Abstract: While the UK's capital stock seems to have embodied technical progress at a fairly steady, though probably increasing, rate since the mid-nineteenth century, a fundamental shift in the nature of that embodied technical progress occurred during the early part of the twentieth century. During the nineteenth century commercial buildings and infrastructure were the dominant components of capital investment, both quantitatively and as carriers of the new technologies. However, during the twentieth century, faster rates of technical progress in the manufacture of equipment compared to buildings ensured that its share of capital investment has increased, while its growing dominance as the engine of growth has been reinforced by taking over as the main carrier of new technologies. Whilst this has relegated commercial building to a secondary role as driver of productivity growth, the complementarity of structures and equipment means that the function of buildings as an integrated component of business capital remains as vital as ever. These findings have important implications for the property industry as it attempts to adapt to the demands of the new information economy.
Journal: Journal of Property Research
Pages: 279-308
Issue: 4
Volume: 18
Year: 2001
X-DOI: 10.1080/09599910110060055
File-URL: http://hdl.handle.net/10.1080/09599910110060055
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Handle: RePEc:taf:jpropr:v:18:y:2001:i:4:p:279-308
Template-Type: ReDIF-Article 1.0
Author-Name: Chris Brooks
Author-X-Name-First: Chris
Author-X-Name-Last: Brooks
Author-Name: Apostolos Katsaris
Author-X-Name-First: Apostolos
Author-X-Name-Last: Katsaris
Author-Name: Tony McGough
Author-X-Name-First: Tony
Author-X-Name-Last: McGough
Author-Name: Sotiris Tsolacos
Author-X-Name-First: Sotiris
Author-X-Name-Last: Tsolacos
Title: Testing for bubbles in indirect property price cycles
Abstract: Speculative bubbles are generated when investors include the expectation of the future price in their information set. Under these conditions, the actual market price of the security, that is set according to demand and supply, will be a function of the future price and vice versa. In the presence of speculative bubbles, positive expected bubble returns will lead to increased demand and will thus force prices to diverge from their fundamental value. This paper investigates whether the prices of UK equity-traded property stocks over the past 15 years contain evidence of a speculative bubble. The analysis draws upon the methodologies adopted in various studies examining price bubbles in the general stock market. Fundamental values are generated using two models: the dividend discount and the Gordon growth. Variance bounds tests are then applied to test for bubbles in the UK property asset prices. Finally, cointegration analysis is conducted to provide further evidence on the presence of bubbles. Evidence of the existence of bubbles is found, although these appear to be transitory and concentrated in the mid-to-late 1990s.
Journal: Journal of Property Research
Pages: 341-356
Issue: 4
Volume: 18
Year: 2001
X-DOI: 10.1080/09599910110079640
File-URL: http://hdl.handle.net/10.1080/09599910110079640
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Handle: RePEc:taf:jpropr:v:18:y:2001:i:4:p:341-356
Template-Type: ReDIF-Article 1.0
Author-Name: The Editors
Title: Indexes
Journal:
Pages: 369-370
Issue: 4
Volume: 18
Year: 2001
X-DOI: 10.1080/09599910127353
File-URL: http://hdl.handle.net/10.1080/09599910127353
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Handle: RePEc:taf:jpropr:v:18:y:2001:i:4:p:369-370
Template-Type: ReDIF-Article 1.0
Author-Name: Nestor Garza
Author-X-Name-First: Nestor
Author-X-Name-Last: Garza
Author-Name: Colin Lizieri
Author-X-Name-First: Colin
Author-X-Name-Last: Lizieri
Title: Skyscrapers and the economy in Latin America
Abstract:
Skyscrapers are an intellectual challenge for urban analysis because of their imposing visual presence in the city landscape, and because of their environmental and real estate impacts. These characteristics however have not received much attention in the literature, particularly in analyses about Latin American cities. In this paper, we describe and test four theories about record-breaking buildings height: traditional microeconomic theory, game theory, business cycle, and global cities. We use a 2000–2012 panel database of 29 cities from 10 different Latin American countries, in order to contrast the contesting explanations about buildings’ height. We design a baseline model and then, using four different estimation techniques and diverse specifications, find that traditional theory and more strongly, global cities are good predictors of buildings’ height.
Journal: Journal of Property Research
Pages: 269-292
Issue: 4
Volume: 33
Year: 2016
Month: 10
X-DOI: 10.1080/09599916.2016.1224914
File-URL: http://hdl.handle.net/10.1080/09599916.2016.1224914
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Handle: RePEc:taf:jpropr:v:33:y:2016:i:4:p:269-292
Template-Type: ReDIF-Article 1.0
Author-Name: Neil Crosby
Author-X-Name-First: Neil
Author-X-Name-Last: Crosby
Author-Name: Cath Jackson
Author-X-Name-First: Cath
Author-X-Name-Last: Jackson
Author-Name: Allison Orr
Author-X-Name-First: Allison
Author-X-Name-Last: Orr
Title: Refining the real estate pricing model
Abstract:
Investment theory dictates that capitalisation (cap) rates for freehold real estate should be determined by the risk-free nominal rate of return plus the risk premium (RP) less the expected growth rate, with an allowance for depreciation. However, importing the concept of the RP from the capital markets fails to guide investors through the complexities of the asset, or enable exploration of purchaser preferences and behaviour. A refined pricing model for real estate is proposed, based on a concept termed a risk scale, to distinguish between macro (market) and micro (stock) determinants of risk and growth within the RP. This pricing model is estimated for a major global investment market, using a cross-sectional inter-temporal framework, with a data-set of 497 transactions in the London office sector over 2010 Q2–2012 Q3. Average cap rates are estimated at just over 5%, with asset-specific attributes dominating yield determination, with submarket quality and tenant covenant most important; and unexpired term insignificant, surprising during the ‘flight to safety’ characterising the period. International investors bought at lower cap rates, despite the ongoing economic and financial instability of the study period. Improving understanding of pricing behaviour and market transparency is important and may be advanced through the pricing model.
Journal: Journal of Property Research
Pages: 332-358
Issue: 4
Volume: 33
Year: 2016
Month: 10
X-DOI: 10.1080/09599916.2016.1237539
File-URL: http://hdl.handle.net/10.1080/09599916.2016.1237539
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Handle: RePEc:taf:jpropr:v:33:y:2016:i:4:p:332-358
Template-Type: ReDIF-Article 1.0
Author-Name: Ilir Nase
Author-X-Name-First: Ilir
Author-X-Name-Last: Nase
Author-Name: Jim Berry
Author-X-Name-First: Jim
Author-X-Name-Last: Berry
Author-Name: Alastair Adair
Author-X-Name-First: Alastair
Author-X-Name-Last: Adair
Title: Impact of quality-led design on real estate value: a spatiotemporal analysis of city centre apartments
Abstract:
This paper estimates the impact of quality design attributes on real estate value through empirical investigation of the owner-occupied multifamily residential sector. The methodological design is based on spatiotemporal modelling using a unique data-set of 424 Belfast City Centre apartments sold during the period 2000–2008. The key findings indicate that urban scale aspects of quality such as connectivity and vitality associated with building density add to real estate value. At the building level, quality features highly valued by home buyers are namely appropriateness of material quality, fenestration and massing to the surroundings. These key criteria are considered to have a significant visual perception compared to more complex concepts such as identity, material choice and overall condition. The contribution to knowledge involves extending the hedonic model to incorporate a wider selection of design quality variables; and improving estimation through the use of spatiotemporal modelling.
Journal: Journal of Property Research
Pages: 309-331
Issue: 4
Volume: 33
Year: 2016
Month: 10
X-DOI: 10.1080/09599916.2016.1258588
File-URL: http://hdl.handle.net/10.1080/09599916.2016.1258588
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Handle: RePEc:taf:jpropr:v:33:y:2016:i:4:p:309-331
Template-Type: ReDIF-Article 1.0
Author-Name: Phil Maguire
Author-X-Name-First: Phil
Author-X-Name-Last: Maguire
Author-Name: Robert Miller
Author-X-Name-First: Robert
Author-X-Name-Last: Miller
Author-Name: Philippe Moser
Author-X-Name-First: Philippe
Author-X-Name-Last: Moser
Author-Name: Rebecca Maguire
Author-X-Name-First: Rebecca
Author-X-Name-Last: Maguire
Title: A robust house price index using sparse and frugal data
Abstract:
In this article, we describe a house price index algorithm which requires only sparse and frugal data, namely house location, date of sale and sale price, as input data. We aim to show that our algorithm is as effective for predicting price changes as more complex models which require detailed or extensive data. Although various methods are employed for determining house price indexes, such as hedonic regression, mix-adjusted median or repeat sales, there is no consensus on how to determine the robustness of an index, and hence no agreement on which method is the best to use. We formalise an objective criterion for what a house price index should achieve, namely consistency between time periods. Using this criterion, we investigate whether it is possible to achieve strong robustness using frugal data covering only 66 months of transactions on the Irish property market. We develop a simple multi-stage algorithm and show that it is more robust than the complex hedonic regression model currently employed by the Irish Central Statistics Office.
Journal: Journal of Property Research
Pages: 293-308
Issue: 4
Volume: 33
Year: 2016
Month: 10
X-DOI: 10.1080/09599916.2016.1258718
File-URL: http://hdl.handle.net/10.1080/09599916.2016.1258718
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Handle: RePEc:taf:jpropr:v:33:y:2016:i:4:p:293-308
Template-Type: ReDIF-Article 1.0
Author-Name: The Editors
Title: Editorial Board
Journal: Journal of Property Research
Pages: (ebi)-(ebi)
Issue: 4
Volume: 33
Year: 2016
Month: 10
X-DOI: 10.1080/09599916.2016.1270833
File-URL: http://hdl.handle.net/10.1080/09599916.2016.1270833
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Handle: RePEc:taf:jpropr:v:33:y:2016:i:4:p:(ebi)-(ebi)
Template-Type: ReDIF-Article 1.0
Author-Name: Rotimi Boluwatife Abidoye
Author-X-Name-First: Rotimi Boluwatife
Author-X-Name-Last: Abidoye
Author-Name: Albert P. C. Chan
Author-X-Name-First: Albert P. C.
Author-X-Name-Last: Chan
Title: Modelling property values in Nigeria using artificial neural network
Abstract:
Unreliable and inaccurate property valuation has been associated with techniques currently used in property valuation. A possible explanation for these findings may be due to the utilisation of traditional valuation methods. In the current study, an artificial neural network (ANN) is applied in property valuation using the Lagos metropolis property market as a representative case. Property sales transactions data (11 property attributes and property value) were collected from registered real estate firms operating in Lagos, Nigeria. The result shows that the ANN model possesses a good predictive ability, implying that it is suitable and reliable for property valuation. The relative importance analysis conducted on the property attributes revealed that the number of servants’ quarters is the most important attribute affecting property values. The findings suggest that the ANN model could be used as a tool by real estate stakeholders, especially valuers and researchers for property valuation.
Journal: Journal of Property Research
Pages: 36-53
Issue: 1
Volume: 34
Year: 2017
Month: 1
X-DOI: 10.1080/09599916.2017.1286366
File-URL: http://hdl.handle.net/10.1080/09599916.2017.1286366
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Handle: RePEc:taf:jpropr:v:34:y:2017:i:1:p:36-53
Template-Type: ReDIF-Article 1.0
Author-Name: Julia Freybote
Author-X-Name-First: Julia
Author-X-Name-Last: Freybote
Author-Name: Yiping Fang
Author-X-Name-First: Yiping
Author-X-Name-Last: Fang
Author-Name: Matthew Gebhardt
Author-X-Name-First: Matthew
Author-X-Name-Last: Gebhardt
Title: The impact of temporary uses on property prices: the example of food trucks
Abstract:
Food trucks represent a temporary use of vacant or underutilised land. They have been assumed to increase the livability, vibrancy and attractiveness of a neighbourhood. However, no previous study has investigated whether this effect is reflected in property prices within the surrounding neighbourhood. We investigate the impact of a food truck pod on the values of single-family homes nearby. Using a quasi-experimental design, transaction data from Portland, Oregon and a difference-in-difference specification of a spatial regression model, we find that food trucks actually represent a negative externality, and that proximity of a home to food trucks is penalised by homebuyers. The closer a home is to the food trucks, the lower is the sales price. Explanations for this effect include increased parking shortages and trash issues in a neighbourhood due to food truck visitors.
Journal: Journal of Property Research
Pages: 19-35
Issue: 1
Volume: 34
Year: 2017
Month: 1
X-DOI: 10.1080/09599916.2017.1288163
File-URL: http://hdl.handle.net/10.1080/09599916.2017.1288163
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Handle: RePEc:taf:jpropr:v:34:y:2017:i:1:p:19-35
Template-Type: ReDIF-Article 1.0
Author-Name: Steven Devaney
Author-X-Name-First: Steven
Author-X-Name-Last: Devaney
Author-Name: David Scofield
Author-X-Name-First: David
Author-X-Name-Last: Scofield
Title: Do ‘foreigners’ pay more? The effects of investor type and nationality on office transaction prices in New York City
Abstract:
Are commercial real estate prices in metropolitan New York affected by the type or nationality of the investors involved in a transaction? Previous research has highlighted differences in pricing between in-state and out-of-state investors and between different types of investors, but there are few extant studies that consider the influence of nationality on pricing at a micro-level. Foreign investors might pay more than domestic investors for commercial real estate assets because of a lack of information or experience in the market concerned. However, they might use local partners or brokers to mitigate such problems. To explore these issues, we use data provided by Real Capital Analytics on over 3000 office transactions in the New York metro area from 2001 to 2015. We use hedonic regression techniques and propensity score matching to examine whether pricing differs across investor groups after controlling for asset attributes. We find that foreign investors pay more than domestic investors at acquisition, but receive more when selling assets. Tests suggest that it is unmeasured aspects of quality that explain any apparent overpayment for offices in this location, not information issues.
Journal: Journal of Property Research
Pages: 1-18
Issue: 1
Volume: 34
Year: 2017
Month: 1
X-DOI: 10.1080/09599916.2017.1299197
File-URL: http://hdl.handle.net/10.1080/09599916.2017.1299197
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Handle: RePEc:taf:jpropr:v:34:y:2017:i:1:p:1-18
Template-Type: ReDIF-Article 1.0
Author-Name: Kwasi Gyau Baffour Awuah
Author-X-Name-First: Kwasi Gyau
Author-X-Name-Last: Baffour Awuah
Author-Name: Frank Gyamfi-Yeboah
Author-X-Name-First: Frank
Author-X-Name-Last: Gyamfi-Yeboah
Title: The role of task complexity in valuation errors analysis in a developing real estate market
Abstract:
The real estate valuation literature on sub-Saharan Africa (SSA) shows a growing concern over valuation errors, especially wide variation in valuations. Although there have been increased business and investment activities in the last decade or more in the region, these valuation errors pose a challenge to the maturity of SSA real estate markets as valuations promote transparency and support efficient operation of property markets. Based on archival and survey data, as well as insights from the task complexity discourse, this study examines the extent of variations in valuations and the effect of complex valuation tasks on the levels of the variations in Ghana. The study finds high levels of variations in valuation opinions of 33.6–63% for the archival and survey data, respectively. These levels of variations are substantially higher than have been reported in the literature for advanced markets suggesting that the concerns of valuation errors in SSA may be well grounded. Consistent with theory, it is further established that variations in valuation opinions may be more pronounced in comparatively more complex assignments. These findings have several implications including possible loss of confidence of market players in valuations, heightening of market uncertainty and increase in transaction costs.
Journal: Journal of Property Research
Pages: 54-76
Issue: 1
Volume: 34
Year: 2017
Month: 1
X-DOI: 10.1080/09599916.2017.1315444
File-URL: http://hdl.handle.net/10.1080/09599916.2017.1315444
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Handle: RePEc:taf:jpropr:v:34:y:2017:i:1:p:54-76
Template-Type: ReDIF-Article 1.0
Author-Name: Vitor Leone
Author-X-Name-First: Vitor
Author-X-Name-Last: Leone
Author-Name: Geetha Ravishankar
Author-X-Name-First: Geetha
Author-X-Name-Last: Ravishankar
Title: Frontiers of commercial real estate portfolio performance: Are sector-region-efficient diversification strategies a myth or reality?
Abstract:
This paper departs from the traditional optimisation methods used to evaluate portfolio performance. Rather, the Stochastic Frontier Analysis approach is used to econometrically determine the benchmark real estate portfolio frontier and subsequently assess the gains from diversifying real estate portfolios along regional and sectoral dimensions in the UK. Portfolio specific inefficiency measures are obtained which indicate whether a portfolio is efficiently diversified and therefore places on the benchmark frontier and if not, the degree to which performance can be improved is quantified. Portfolio-specific efficiencies average at 85–91%, indicating scope to further improve performance. Further, diversification be it on a sectoral or regional dimension, contributes to significantly lower variability in portfolio efficiencies.
Journal: Journal of Property Research
Pages: 95-116
Issue: 2
Volume: 35
Year: 2018
Month: 4
X-DOI: 10.1080/09599916.2017.1410851
File-URL: http://hdl.handle.net/10.1080/09599916.2017.1410851
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Handle: RePEc:taf:jpropr:v:35:y:2018:i:2:p:95-116
Template-Type: ReDIF-Article 1.0
Author-Name: Alirat Olayinka Agboola
Author-X-Name-First: Alirat Olayinka
Author-X-Name-Last: Agboola
Author-Name: David Scofield
Author-X-Name-First: David
Author-X-Name-Last: Scofield
Title: Time to completion in the Lagos commercial real estate market: an examination of institutional effects
Abstract:
This study explores how institutions affect the process of investment and the time it takes to buy and sell commercial property in Lagos, Nigeria. We isolate institutional factors that impact transaction efficiency and provide a snapshot of the process with average transaction times for the largest commercial real estate market in the most populous country in Africa. This study adopts a qualitative approach and relies on information collected from semi-structured interviews with 36 senior level individuals active in the Lagos commercial real estate market. Among our findings, we note the commercial real estate transaction process is divided into seven distinct stages and the average time to complete an acquisition across all stages (all property types) is 306 days. Title registration/perfection stage takes the longest time (around 132 days) and represents a significant risk to investors. We argue this is a consequence of imperfections in the formal institutions of title registration.
Journal: Journal of Property Research
Pages: 164-184
Issue: 2
Volume: 35
Year: 2018
Month: 4
X-DOI: 10.1080/09599916.2018.1436582
File-URL: http://hdl.handle.net/10.1080/09599916.2018.1436582
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Handle: RePEc:taf:jpropr:v:35:y:2018:i:2:p:164-184
Template-Type: ReDIF-Article 1.0
Author-Name: Lina Bellman
Author-X-Name-First: Lina
Author-X-Name-Last: Bellman
Title: High-impact information types on market value: property appraisers’ information sources and assessment confidence
Abstract:
This explanatory paper describes and analyses which types of information professional property appraisers perceive to have the most impact on a commercial property’s estimated market value, which information sources they primarily use, and how reliable they perceive the information sources to be. The paper also investigates whether appraisers’ perceptions differ depending on the location of the business. A sample of 67 authorised property appraisers in Sweden was surveyed using the repertory grid technique as a questionnaire tool (to investigate unconscious behaviour), and non-parametric statistics. Analyses of the data show that four types of information have the greatest impact on estimated market value: the local environment and location are perceived as reliable, and property appraisers have confidence in those assessments; rental income seems problematic, because the property owner is the major source of information; and property appraisers are not confident in assessments based on discount rates. This pattern holds for various geographical locations.
Journal: Journal of Property Research
Pages: 139-163
Issue: 2
Volume: 35
Year: 2018
Month: 4
X-DOI: 10.1080/09599916.2018.1443152
File-URL: http://hdl.handle.net/10.1080/09599916.2018.1443152
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Handle: RePEc:taf:jpropr:v:35:y:2018:i:2:p:139-163
Template-Type: ReDIF-Article 1.0
Author-Name: Louis Chakkalakal
Author-X-Name-First: Louis
Author-X-Name-Last: Chakkalakal
Author-Name: Ulrich Hommel
Author-X-Name-First: Ulrich
Author-X-Name-Last: Hommel
Author-Name: Wenwei Li
Author-X-Name-First: Wenwei
Author-X-Name-Last: Li
Title: Transport infrastructure equities in mixed-asset portfolios: estimating risk with a Garch-Copula CVaR model
Abstract:
Transport infrastructure is an important subsector within infrastructure, but knowledge of its equities in terms of risk-return characteristics and contribution to portfolio performance is still limited. This study assesses the subsector individually and in a multi-asset, index-based portfolio. In doing so, we apply a t-Copula-based Conditional Value-at-Risk model to simulate risk and returns. Our findings reveal that the subsector has a relatively low dependency on other equities, performs like other alternative asset classes such as general real estate, and does not grant significant risk diversification benefits for mainstream institutional investors such as pension funds. Investors aiming for higher target returns may however assign substantial weights to transport infrastructure, supporting our conjecture that it does not share the same asset class characteristics as general infrastructure. By contrasting Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) scores for both the mean-variance framework and the t-Copula simulation, we further document the limitations of traditional VaR approaches. Hence, this study’s results support the use of risk assessment tools that incorporate non-normal distributions to represent multivariate dependence structures.
Journal: Journal of Property Research
Pages: 117-138
Issue: 2
Volume: 35
Year: 2018
Month: 4
X-DOI: 10.1080/09599916.2018.1461126
File-URL: http://hdl.handle.net/10.1080/09599916.2018.1461126
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Handle: RePEc:taf:jpropr:v:35:y:2018:i:2:p:117-138
Template-Type: ReDIF-Article 1.0
Author-Name: Jian Zhou
Author-X-Name-First: Jian
Author-X-Name-Last: Zhou
Title: A comparison of realised measures for daily REIT volatility
Abstract:
Recent advances in financial econometrics have led to the development of a variety of estimators of asset volatility using frequently sampled price data, known as ‘realised measures’. These estimators rely on different assumptions and take many different functional forms. In this paper, we aim to examine the accuracy of these estimators in the measurement of daily volatility of REIT returns. We consider a wide range of commonly used realised measures and apply them to several major global REIT markets. Our findings suggest that there is no single estimator which can perform the best for all markets under study. The best-performing estimator varies across markets. We obtain our results by considering the accuracy of both volatility estimation and forecast and by using multiple robust evaluation metrics.
Journal: Journal of Property Research
Pages: 1-24
Issue: 1
Volume: 37
Year: 2020
Month: 1
X-DOI: 10.1080/09599916.2019.1693418
File-URL: http://hdl.handle.net/10.1080/09599916.2019.1693418
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Handle: RePEc:taf:jpropr:v:37:y:2020:i:1:p:1-24
Template-Type: ReDIF-Article 1.0
Author-Name: Michael McCord
Author-X-Name-First: Michael
Author-X-Name-Last: McCord
Author-Name: Daniel Lo
Author-X-Name-First: Daniel
Author-X-Name-Last: Lo
Author-Name: Peadar Thomas Davis
Author-X-Name-First: Peadar Thomas
Author-X-Name-Last: Davis
Author-Name: Lesley Hemphill
Author-X-Name-First: Lesley
Author-X-Name-Last: Hemphill
Author-Name: John McCord
Author-X-Name-First: John
Author-X-Name-Last: McCord
Author-Name: Martin Haran
Author-X-Name-First: Martin
Author-X-Name-Last: Haran
Title: A spatial analysis of EPCs in The Belfast Metropolitan Area housing market
Abstract:
Energy performance remains a debated topic in real estate, particularly with reference to the capitalisation effect with property value. An emerging corpus of research studies have investigated the relationship between energy performance characteristics and the role of Energy Performance Certificates. Whilst these studies have consistently demonstrated that a pricing effect exists, some recent studies have shown that Energy Performance Certificates (EPCs) are more complex and inconclusive, particularly when accounting for data limitations and changing model specifications. Moreover, a majority of these studies neglect to adequately account for absolute location and therefore, arguably, do not examine the geographic variation between EPCs and property value across the housing market setting. This study presents one of the first spatial analyses of EPCs using transactions for the Belfast Metropolitan Area. In evaluating whether spatial effects exist between EPCs and house prices, a number of spatial tests are performed and a series of models are developed to account for spatial dependency and determine whether there are any spatially correlating effects. The findings indicate that EPCs comprise a partial effect on house prices, and importantly, there are pricing differentials in the spatial variation in EPCs with the pricing effects conforming to both spatial clustering and randomness.
Journal: Journal of Property Research
Pages: 25-61
Issue: 1
Volume: 37
Year: 2020
Month: 1
X-DOI: 10.1080/09599916.2019.1697345
File-URL: http://hdl.handle.net/10.1080/09599916.2019.1697345
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Handle: RePEc:taf:jpropr:v:37:y:2020:i:1:p:25-61
Template-Type: ReDIF-Article 1.0
Author-Name: Jyoti Rao
Author-X-Name-First: Jyoti
Author-X-Name-Last: Rao
Author-Name: Norman Hutchison
Author-X-Name-First: Norman
Author-X-Name-Last: Hutchison
Author-Name: Piyush Tiwari
Author-X-Name-First: Piyush
Author-X-Name-Last: Tiwari
Title: Analysing the process of compulsory acquisition of land through the lens of procedural fairness: evidence from Scotland
Abstract:
Compulsory acquisition of land is contested bitterly by affected landowners for various reasons including fairness in the compensation that is offered to landowners and fairness in the process that is followed in land acquisition by acquiring authorities. While there is a volume of research that has focussed on compensation, there is a paucity of literature analysing fairness in the process of land acquisition. This paper examines fairness in land acquisition using the case of Scotland, which is currently in the process of reforming laws and policies governing the compulsory acquisition of land. A primary survey was undertaken with stakeholders involved in a road project and information was analysed using ‘qualitative content analysis’. This research identifies the gaps in the existing process of compulsory acquisition using the theoretical lens of ‘procedural justice’ with a strong focus on the social psychology dimension and argues for the incorporation of basic principles of ‘procedural justice’. Fifteen major procedural gaps were identified, which include weak decision-making power of the members of the public in the identification and design of public projects; inadequate representation of objectors due to the high personal cost associated with representation in a public inquiry; time delays; information asymmetries and inefficient grievance management.
Journal: Journal of Property Research
Pages: 62-84
Issue: 1
Volume: 37
Year: 2020
Month: 1
X-DOI: 10.1080/09599916.2020.1713859
File-URL: http://hdl.handle.net/10.1080/09599916.2020.1713859
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Handle: RePEc:taf:jpropr:v:37:y:2020:i:1:p:62-84
Template-Type: ReDIF-Article 1.0
Author-Name: Deborah Susan Levy
Author-X-Name-First: Deborah Susan
Author-X-Name-Last: Levy
Author-Name: Catherine Frethey-Bentham
Author-X-Name-First: Catherine
Author-X-Name-Last: Frethey-Bentham
Author-Name: William Ka Shing Cheung
Author-X-Name-First: William Ka Shing
Author-X-Name-Last: Cheung
Title: Asymmetric framing effects and market familiarity: experimental evidence from the real estate market
Abstract:
Buying a home may typically be the biggest lifetime purchase of any individual. People looking to purchase a home are bombarded with messages relating to the housing market every day and the framing of these messages has the potential to affect their purchase decisions. To examine these effects, an experiment was carried out with 620 participants who were divided into four groups, each presented with a different message scenario reflecting market familiarity and positive and negative framing. The findings indicate that framing effects are asymmetric in nature and could serve to prolong a housing market downturn within a property cycle. Pessimistic framing was found to lead homebuyers to perceive a more substantial decrease in housing prices, as compared to an optimistic framing which exhibited a significantly lesser increase. The study also suggests that such asymmetry is mitigated when individuals are more familiar with a market. The paper considers the implications of such framing by analysing residential property market data and demonstrates the existence of such asymmetric behaviour and how the market familiarity mitigates such behaviour.
Journal: Journal of Property Research
Pages: 85-104
Issue: 1
Volume: 37
Year: 2020
Month: 1
X-DOI: 10.1080/09599916.2020.1713858
File-URL: http://hdl.handle.net/10.1080/09599916.2020.1713858
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Handle: RePEc:taf:jpropr:v:37:y:2020:i:1:p:85-104
Template-Type: ReDIF-Article 1.0
Author-Name: Chris Ratcliffe
Author-X-Name-First: Chris
Author-X-Name-Last: Ratcliffe
Author-Name: Bill Dimovski
Author-X-Name-First: Bill
Author-X-Name-Last: Dimovski
Author-Name: Monica Keneley
Author-X-Name-First: Monica
Author-X-Name-Last: Keneley
Author-Name: Scott Salzman
Author-X-Name-First: Scott
Author-X-Name-Last: Salzman
Title: Dividend disclosure and post-performance of REIT IPOs
Abstract:
When a Real Estate Investment Trust (REIT) decides to become a publicly listed entity, they are faced with a choice with regard to providing a dividend forecast in their prospectus. To date, there have been limited studies on the relationship between post-listing performance and disclosure choice. This study finds that the choice of disclosure has an important impact on REIT post-listing performance. Theoretical research argues that not all value uncertainty is resolved prior to the initial public offering (IPO) and ambiguous information quality can have long-term negative impacts on share prices. We examine the information content in the prospectuses of 114 US Equity REITs in regard to their dividend forecast between 1996 and 2017. We observe significant post-listing underperformance over the 3-, 6-, 9-and 12-month event windows for REITs that provide no dividend forecasts in their prospectus. These results suggest that the lack of distribution information has a long-term negative impact on newly listed REITs. This research has implications for both managers and investors’ portfolio choices.
Journal: Journal of Property Research
Pages: 105-117
Issue: 2
Volume: 37
Year: 2020
Month: 4
X-DOI: 10.1080/09599916.2020.1748691
File-URL: http://hdl.handle.net/10.1080/09599916.2020.1748691
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Handle: RePEc:taf:jpropr:v:37:y:2020:i:2:p:105-117
Template-Type: ReDIF-Article 1.0
Author-Name: Michael Beenstock
Author-X-Name-First: Michael
Author-X-Name-Last: Beenstock
Author-Name: Dan Feldman
Author-X-Name-First: Dan
Author-X-Name-Last: Feldman
Author-Name: Daniel Felsenstein
Author-X-Name-First: Daniel
Author-X-Name-Last: Felsenstein
Title: Identifying local housing markets through revealed preference
Abstract:
A new empirical approach to identify local housing markets (LHM’s) is proposed, which focuses on the spatial correlation between local house price indices constructed from repeat sales data. It extends the work of Pryce who claimed that if housing in different locations are perfect substitutes, their house price indices should be perfectly correlated over time. Pryce’s work represents a paradigmatic change in identifying local housing markets using revealed preferences rather than hedonic pricing. It requires spatial panel data for house prices which we construct using repeated sales data to generate house price indices for Tel Aviv (1998–2014) for over 100 census tracts. These price indices are used to define LHMs. The number of LHMs varies inversely with the degree to which house prices in locations belonging to the same LHM, are expected to be correlated. It also varies directly with the order of contiguity of these locations. Results point to considerable spatial heterogeneity in house price movement. This belies the popular impression that the Tel Aviv housing market is relatively homogeneous, characterised by expensive housing and uniform house price movements.
Journal: Journal of Property Research
Pages: 118-146
Issue: 2
Volume: 37
Year: 2020
Month: 4
X-DOI: 10.1080/09599916.2020.1714698
File-URL: http://hdl.handle.net/10.1080/09599916.2020.1714698
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Handle: RePEc:taf:jpropr:v:37:y:2020:i:2:p:118-146
Template-Type: ReDIF-Article 1.0
Author-Name: Pat McAllister
Author-X-Name-First: Pat
Author-X-Name-Last: McAllister
Author-Name: Ilir Nase
Author-X-Name-First: Ilir
Author-X-Name-Last: Nase
Title: The accuracy of consensus real estate forecasts revisited
Abstract:
This study updates and expands upon the existing work on the accuracy of the IPF’s Consensus Forecasts. The paper evaluates the extent to which the consensus forecasts were able to predict the relative performance. It also assesses the accuracy of implied yield forecasts and concludes that failure in yield forecasting is the main source of failure in forecasts of capital growth and total returns. A high level of agreement between the actual and forecasted sector rankings was found. Evidence of a pessimism bias was identified. Yield forecasts are consistently found to perform worst using a range of forecast performance metrics.
Journal: Journal of Property Research
Pages: 147-170
Issue: 2
Volume: 37
Year: 2020
Month: 4
X-DOI: 10.1080/09599916.2020.1720784
File-URL: http://hdl.handle.net/10.1080/09599916.2020.1720784
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Handle: RePEc:taf:jpropr:v:37:y:2020:i:2:p:147-170
Template-Type: ReDIF-Article 1.0
Author-Name: Neil Crosby
Author-X-Name-First: Neil
Author-X-Name-Last: Crosby
Author-Name: Steven Devaney
Author-X-Name-First: Steven
Author-X-Name-Last: Devaney
Author-Name: Pete Wyatt
Author-X-Name-First: Pete
Author-X-Name-Last: Wyatt
Title: Performance metrics and required returns for UK real estate development schemes
Abstract:
Real estate development has received less scrutiny than real estate investment in terms of appraisal practices and performance measurement. This is despite the inherent uncertainty and financial risks associated with development as an activity. We investigate market practices regarding performance metrics and return expectations both for residential and commercial real estate development in the UK, exploring what is considered as an appropriate return and how this varies according to type and duration of scheme, and method of appraisal used. After examining the literature and the information available on ex-post returns from development activity, results from a survey of real estate developers are reported, supplemented by findings from interviews. The results suggest that the use of traditional residual valuation techniques dominates discounted cash flow models when appraising development projects, particularly among residential developers, while profit-on-cost and profit-on-value are the most popular metrics for quantifying required returns. Unlike NPV or IRR, these metrics do not account for the timing of cash flows, raising questions about the robustness of appraisals in this sector. Such metrics might suffice if required profits are adjusted in ways that are consistent with scheme duration and risks, but it is unclear that this is currently the case.
Journal: Journal of Property Research
Pages: 171-193
Issue: 2
Volume: 37
Year: 2020
Month: 4
X-DOI: 10.1080/09599916.2020.1720269
File-URL: http://hdl.handle.net/10.1080/09599916.2020.1720269
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Handle: RePEc:taf:jpropr:v:37:y:2020:i:2:p:171-193
Template-Type: ReDIF-Article 1.0
Author-Name: Aras Khazal
Author-X-Name-First: Aras
Author-X-Name-Last: Khazal
Author-Name: Ole Jakob Sønstebø
Author-X-Name-First: Ole Jakob
Author-X-Name-Last: Sønstebø
Author-Name: Jon Olaf Olaussen
Author-X-Name-First: Jon Olaf
Author-X-Name-Last: Olaussen
Author-Name: Are Oust
Author-X-Name-First: Are
Author-X-Name-Last: Oust
Title: The impact of strategic jump bidding in residential English auctions
Abstract:
In the Norwegian real estate market, used dwellings are normally sold through an auction process similar to the standard English (open ascending-bid) auction. Using survey results (N = 1,803), we define jump bids and investigate the motivations behind the use of such strategies. We find that most bidders tend to consider intimidation and signalling as the main motivations for applying a jump-bidding strategy, and intimidation strategies applied by competing bidders appear to be an important reason for bidders withdrawing early from an auction. We also use a sample of 1,142 auction journals and find that, on average, auctions containing jump bids achieve 2.8–9.3 percent higher price premiums compared to strictly straightforward-bidding auctions. The premium is higher when the intimidation strategy fails and competing bidders counter with jump bids. Additionally, this paper provides evidence that jump bids are usually placed at the earliest stage of the auction and have a stronger intimidation effect the earlier they are placed, despite having an overall positive effect on the premium. The results are robust to different valuation approaches and omitted variable bias controls. Our findings have important implications for sellers and buyers in auction settings, and for regulators of auction processes.
Journal: Journal of Property Research
Pages: 195-218
Issue: 3
Volume: 37
Year: 2020
Month: 07
X-DOI: 10.1080/09599916.2020.1767681
File-URL: http://hdl.handle.net/10.1080/09599916.2020.1767681
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Handle: RePEc:taf:jpropr:v:37:y:2020:i:3:p:195-218
Template-Type: ReDIF-Article 1.0
Author-Name: Jan Reinert
Author-X-Name-First: Jan
Author-X-Name-Last: Reinert
Title: Accuracy of the German income approach in comparison to German DCF valuations
Abstract:
The traditional German Income Approach (GIA) is often criticised for resulting in smooth and stable estimations of value that do not adequately represent market movements. So far, empirical evidence has been scarce. The first part of the analysis consisted of a direct comparison of actual valuations and sale prices according to GIA and DCF models in Germany. The second part of the analysis used hedonic regressions to derive fitted sale prices that could be compared to valuations of held properties in order to assess valuation accuracy on a larger and more homogenous dataset. The Heckman Correction was used to reduce the impact of sample selection bias. The research hypothesis, that GIA valuations and DCF valuations result in equally accurate proxies for market prices, could not be rejected. Both techniques produced on average a comparable amount of valuations within the selected threshold of 15%. This finding suggests that the underlying valuation technique, at least with respect to DCF and GIA, is not able to explain the observed smoothness of German valuation-based indices. Future research should focus on a country comparison of valuation accuracy in order to put the results of this study into perspective.
Journal: Journal of Property Research
Pages: 219-237
Issue: 3
Volume: 37
Year: 2020
Month: 07
X-DOI: 10.1080/09599916.2020.1758754
File-URL: http://hdl.handle.net/10.1080/09599916.2020.1758754
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Handle: RePEc:taf:jpropr:v:37:y:2020:i:3:p:219-237
Template-Type: ReDIF-Article 1.0
Author-Name: Kimberly R. Goodwin
Author-X-Name-First: Kimberly R.
Author-X-Name-Last: Goodwin
Author-Name: Claire Reeves La Roche
Author-X-Name-First: Claire Reeves
Author-X-Name-Last: La Roche
Author-Name: Bennie D. Waller
Author-X-Name-First: Bennie D.
Author-X-Name-Last: Waller
Title: Restrictions versus amenities: the differential impact of home owners associations on property marketability
Abstract:
Common-interest developments (CIDs) or planned urban developments (PUDs) can include a multitude of property types such as condos, townhomes, coops and single-family residences. Many such developments are privately governed by a homeowners’ association (HOA) and managed by an HOA board of directors comprised of community homeowners. While such communities and their governing bodies have been widely criticised for their onerous rules, regulations and exclusionary practices, many argue that the amenities, benefits and utility afforded to its members provide a large degree of satisfaction for homeowners. In fact, one of the purposes of an HOA is to preserve and enhance home values by creating an environment with minimal negative externalities. Although it is generally assumed that an HOA does add value, these associations have also generated a number of controversial disputes. This paper examines the effects of an HOA on marketability to empirically shed light on the question of whether buyers find HOAs to be beneficial or burdensome. The results show that the impact of the HOA on price, marketing time and probability of sale are not even across price segments and exist even after controlling for the presence of gated communities.
Journal: Journal of Property Research
Pages: 238-253
Issue: 3
Volume: 37
Year: 2020
Month: 07
X-DOI: 10.1080/09599916.2020.1740765
File-URL: http://hdl.handle.net/10.1080/09599916.2020.1740765
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Handle: RePEc:taf:jpropr:v:37:y:2020:i:3:p:238-253
Template-Type: ReDIF-Article 1.0
Author-Name: Pat McAllister
Author-X-Name-First: Pat
Author-X-Name-Last: McAllister
Title: Can brokers rig the real estate market? An exploratory study of the commercial real estate sector
Abstract:
This paper focuses on how brokerage practices in the markets for commercial real estate investment assets and residential development land in England generate different possibilities for and patterns of opportunistic behaviours. Drawing upon previous research and analysis, the paper examines the nature of the brokerage market in both sub-markets. An interactionist model of the determinants of ethical judgement in the context of the brokerage sector is created. Based upon an interview survey of brokers and principals, the findings of an exploratory empirical study are discussed. Whilst there are challenges in defining, observing and measuring opportunistic behaviours, it is concluded that a number of different unethical practices have become routine rather than exceptional in the markets for institutional-grade real estate assets and residential development land.
Journal: Journal of Property Research
Pages: 254-288
Issue: 3
Volume: 37
Year: 2020
Month: 07
X-DOI: 10.1080/09599916.2020.1794935
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Handle: RePEc:taf:jpropr:v:37:y:2020:i:3:p:254-288
Template-Type: ReDIF-Article 1.0
Author-Name: N. Kundan Kishor
Author-X-Name-First: N. Kundan
Author-X-Name-Last: Kishor
Title: Understanding the relationship between public and private commercial real estate markets
Abstract:
This paper provides a modelling framework to examine the very low correlation at short horizons and high correlation at long horizons between private and public commercial real estate returns. For this purpose, we use a correlated, unobserved component model with a common trend and Markov-switching heteroskedasticity. This model decomposes the public and private commercial real estate prices into a common trend and interdependent cycles. The proposed model is able to endogenously capture low and high volatility regimes in real estate markets. More importantly, our model shows that the low correlation observed at short horizons between the public and private real estate markets is mainly due to the absence of any correlation in low-volatility regimes. On the other hand, the cycles, or short-run movements, in these two markets are highly correlated in high-volatility regimes.
Journal: Journal of Property Research
Pages: 289-307
Issue: 4
Volume: 37
Year: 2020
Month: 10
X-DOI: 10.1080/09599916.2020.1794936
File-URL: http://hdl.handle.net/10.1080/09599916.2020.1794936
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Handle: RePEc:taf:jpropr:v:37:y:2020:i:4:p:289-307
Template-Type: ReDIF-Article 1.0
Author-Name: A. Krause
Author-X-Name-First: A.
Author-X-Name-Last: Krause
Author-Name: A. Martin
Author-X-Name-First: A.
Author-X-Name-Last: Martin
Author-Name: M. Fix
Author-X-Name-First: M.
Author-X-Name-Last: Fix
Title: Uncertainty in automated valuation models: Error-based versus model-based approaches
Abstract:
Point estimates from Automated Valuation Models (AVMs) represent the most likely value from a distribution of possible values. The uncertainty in the point estimate – the width of the range of possible values at a given level of confidence – is a critical piece of the AVM output, especially in collateral and transactional situations. Estimating AVM uncertainty, however, remains highly unstandardised in both terminology and methods. In this paper, we present and compare two of the most common approaches to estimating AVM uncertainty – model-based and error-based prediction intervals. We also present a uniform language and framework for evaluating the calibration and efficiency of uncertainty estimates. Based on empirical tests on a large, longitudinal dataset of home sales, we show that model-based approaches outperform error-based ones in all but cases with very highest confidence level requirements. The differences between the two methods are conditioned on model class, geographic data partitions and data filtering conditions.
Journal: Journal of Property Research
Pages: 308-339
Issue: 4
Volume: 37
Year: 2020
Month: 10
X-DOI: 10.1080/09599916.2020.1807587
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Handle: RePEc:taf:jpropr:v:37:y:2020:i:4:p:308-339
Template-Type: ReDIF-Article 1.0
Author-Name: Allen C. Goodman
Author-X-Name-First: Allen C.
Author-X-Name-Last: Goodman
Author-Name: Brent C. Smith
Author-X-Name-First: Brent C.
Author-X-Name-Last: Smith
Title: Distortions in a segment of the commercial office market: the case of medical office buildings
Abstract:
This article examines the U.S. market for Medical Office Buildings (MOB), a segment of the office market that has received little attention in the academic literature. Our attention is directed towards the impact of Certificate-of-Need (CON), a set of state level distortionary public laws that regulate health services planning. With respect to real estate, we find CON regulations increase rents and sales prices medical office building (MOB) rental rates. What makes these findings particularly interesting is that none of the states that currently have CON legislation in place have any language restricting MOB development. The empirical findings suggest that there is a supply constraint due to CON that has a distortionary effect on the MOB market.
Journal: Journal of Property Research
Pages: 340-359
Issue: 4
Volume: 37
Year: 2020
Month: 10
X-DOI: 10.1080/09599916.2020.1826561
File-URL: http://hdl.handle.net/10.1080/09599916.2020.1826561
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Handle: RePEc:taf:jpropr:v:37:y:2020:i:4:p:340-359
Template-Type: ReDIF-Article 1.0
Author-Name: Soosung Hwang
Author-X-Name-First: Soosung
Author-X-Name-Last: Hwang
Author-Name: Youngha Cho
Author-X-Name-First: Youngha
Author-X-Name-Last: Cho
Author-Name: Jinho Shin
Author-X-Name-First: Jinho
Author-X-Name-Last: Shin
Title: The impact of UK household overconfidence in public information on house prices
Abstract:
We investigate if house prices are affected by the overconfidence of households who predict house prices using imperfect public information about economic outlook. For this purpose, we develop a new measure of household overconfidence in the Bayesian framework. For the three variables we test – changes in consumption, stock returns, and changes in human capital, we find that UK households were overconfident about the signals of consumption regardless of regions. However, households in London were overconfident about the signals of stock markets whereas those remote from London were overconfident about the signals of human capital. The results of household overconfidence appear positive in the UK housing market for our sample period from 1980 to 2018, in particular, 0.5% per quarter in London.
Journal: Journal of Property Research
Pages: 360-389
Issue: 4
Volume: 37
Year: 2020
Month: 10
X-DOI: 10.1080/09599916.2020.1790631
File-URL: http://hdl.handle.net/10.1080/09599916.2020.1790631
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Handle: RePEc:taf:jpropr:v:37:y:2020:i:4:p:360-389
Template-Type: ReDIF-Article 1.0
Author-Name: Garrison Hongyu Song
Author-X-Name-First: Garrison Hongyu
Author-X-Name-Last: Song
Author-Name: Abeba Mussa
Author-X-Name-First: Abeba
Author-X-Name-Last: Mussa
Title: Commercial Real Estate Market with Two-sided Random Search: Theory and Implications
Abstract:
In this paper, we set up a two-sided random search model to study the trading behaviour between buyers and sellers in the commercial real estate market. Our model shows that the interaction between search and bargaining has a profound influence on the role played by the market search friction regarding the equilibrium transaction price of commercial property and the well-being of both buyers and sellers. Against the traditional view that the existence of search friction always plays a negative role in the commercial real estate market, we find that under some conditions the market search friction can increase the equilibrium transaction price of commercial property and thus benefit sellers, which is considered the most valuable especially during the downturn of a business cycle.
Journal: Journal of Property Research
Pages: 1-24
Issue: 1
Volume: 38
Year: 2021
Month: 01
X-DOI: 10.1080/09599916.2020.1844784
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Handle: RePEc:taf:jpropr:v:38:y:2021:i:1:p:1-24
Template-Type: ReDIF-Article 1.0
Author-Name: Jan Reinert
Author-X-Name-First: Jan
Author-X-Name-Last: Reinert
Title: Valuation accuracy across Europe: a mass appraisal approach
Abstract:
The aim of this paper was to compare valuation accuracy of eight European markets, using the same time period, data source and methodology. The emphasis was placed on the accuracy of held properties because previous studies showed that sold properties tend to be valued closer to the market. Real sales data was used to derive hedonic sale prices. The Heckman correction was employed to correct for sample selection bias. A comparison of simple differences between actual valuations and fitted prices showed that valuations were on average below fitted prices in all countries except the Netherlands, indicating a possible overvaluation problem of held properties in Europe. A comparison of the absolute difference showed that the Netherlands and Switzerland displayed the highest valuation accuracy. Italy and Sweden on the other hand were the markets with the lowest median valuation accuracy and largest spreads of observations. All countries, except Sweden, had a majority of observations within an absolute difference of 20%. The two most interesting conclusions from the analysis were that Germany and Switzerland did not differ significantly from other markets in terms of valuation accuracy and that Sweden was consistently the market with the lowest valuation accuracy.
Journal: Journal of Property Research
Pages: 25-47
Issue: 1
Volume: 38
Year: 2021
Month: 01
X-DOI: 10.1080/09599916.2020.1837209
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Handle: RePEc:taf:jpropr:v:38:y:2021:i:1:p:25-47
Template-Type: ReDIF-Article 1.0
Author-Name: Winky K.O. Ho
Author-X-Name-First: Winky K.O.
Author-X-Name-Last: Ho
Author-Name: Bo-Sin Tang
Author-X-Name-First: Bo-Sin
Author-X-Name-Last: Tang
Author-Name: Siu Wai Wong
Author-X-Name-First: Siu Wai
Author-X-Name-Last: Wong
Title: Predicting property prices with machine learning algorithms
Abstract:
This study uses three machine learning algorithms including, support vector machine (SVM), random forest (RF) and gradient boosting machine (GBM) in the appraisal of property prices. It applies these methods to examine a data sample of about 40,000 housing transactions in a period of over 18 years in Hong Kong, and then compares the results of these algorithms. In terms of predictive power, RF and GBM have achieved better performance when compared to SVM. The three performance metrics including mean squared error (MSE), root mean squared error (RMSE) and mean absolute percentage error (MAPE) associated with these two algorithms also unambiguously outperform those of SVM. However, our study has found that SVM is still a useful algorithm in data fitting because it can produce reasonably accurate predictions within a tight time constraint. Our conclusion is that machine learning offers a promising, alternative technique in property valuation and appraisal research especially in relation to property price prediction.
Journal: Journal of Property Research
Pages: 48-70
Issue: 1
Volume: 38
Year: 2021
Month: 01
X-DOI: 10.1080/09599916.2020.1832558
File-URL: http://hdl.handle.net/10.1080/09599916.2020.1832558
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Handle: RePEc:taf:jpropr:v:38:y:2021:i:1:p:48-70
Template-Type: ReDIF-Article 1.0
Author-Name: Carsten Fritz
Author-X-Name-First: Carsten
Author-X-Name-Last: Fritz
Author-Name: Cay Oertel
Author-X-Name-First: Cay
Author-X-Name-Last: Oertel
Title: AR-GARCH-EVT-Copula for securitised real estate: an approach to improving risk forecasts?
Abstract:
This study presents a quantitative analysis of the so-called AR-GARCH-EVT-Copula model aimed at forecasting risk metrics for multi-asset portfolios, including securitised real estate positions. The model incorporates a non-linear dependence structure and time-varying volatility in asset returns. Accordingly, an empirical study using data from six major global markets is carried out. The approach is applied to forecast risk metrics, in comparison to classical methods like historical simulation and variance-covariance models. Forecasts are then compared with realised returns, to calculate hit sequences and conduct statistical interference on the respective models. It is empirically shown that, the AR-GARCH-EVT-Copula model provides a superior forecast concerning risk metrics. This is mainly due to the usage of copulas, allowing us to individually model the dependence structure of random variables. Back testing and test results confirm the superiority of our model in comparison with classic methods such as historical simulation and Variance-Covariance approach. The decomposition of the univariate and multivariate models of the target model reveal the necessity to allow for high order and thus long-lasting autoregressive modelling as well as asymmetric tail dependence and rotated copulae across different portfolios.
Journal: Journal of Property Research
Pages: 71-98
Issue: 1
Volume: 38
Year: 2021
Month: 01
X-DOI: 10.1080/09599916.2020.1838600
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Handle: RePEc:taf:jpropr:v:38:y:2021:i:1:p:71-98
Template-Type: ReDIF-Article 1.0
Author-Name: The Editors
Title: Correction
Journal: Journal of Property Research
Pages: 174-174
Issue: 2
Volume: 38
Year: 2021
Month: 04
X-DOI: 10.1080/09599916.2021.1926053
File-URL: http://hdl.handle.net/10.1080/09599916.2021.1926053
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Handle: RePEc:taf:jpropr:v:38:y:2021:i:2:p:174-174
Template-Type: ReDIF-Article 1.0
Author-Name: The Editors
Title: Publisher’s note
Journal: Journal of Property Research
Pages: 173-173
Issue: 2
Volume: 38
Year: 2021
Month: 04
X-DOI: 10.1080/09599916.2021.1926058
File-URL: http://hdl.handle.net/10.1080/09599916.2021.1926058
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Handle: RePEc:taf:jpropr:v:38:y:2021:i:2:p:173-173
Template-Type: ReDIF-Article 1.0
Author-Name: Nils Hinrichs
Author-X-Name-First: Nils
Author-X-Name-Last: Hinrichs
Author-Name: Jens Kolbe
Author-X-Name-First: Jens
Author-X-Name-Last: Kolbe
Author-Name: Axel Werwatz
Author-X-Name-First: Axel
Author-X-Name-Last: Werwatz
Title: Using shrinkage for data-driven automated valuation model specification – a case study from Berlin
Abstract:
We study whether data-driven AVM specification that combines a flexible-yet-simple regression model with shrinkage estimators considerably improves upon the prediction accuracy of a conventional hedonic model. A rolling window prediction comparison based on all condominium sales in Berlin, Germany, between 1996 and 2013 delivered the following results. The highly parameterised model can result in extreme errors if the flexible model, which employs roughly 3,800 variables, is estimated by OLS and even if shrinkage is applied via Ridge regression. Once the most extreme errors are disregarded, Ridge regression appears as the clear winner of the prediction comparison. It is the only procedure that delivers a considerable reduction in the root mean squared prediction error relative to a parsimonious benchmark model (estimated via OLS). Of the two procedures with variable selection capability, Elastic Net delivers a slightly better prediction performance. Lasso, on the other hand, acts considerably more as a selector and typically sets the bulk of the several thousand coefficients to zero. Both procedures largely agree in terms of which characteristics they frequently select: core characteristics of hedonic pricing such as floor space, building age and location dummies.
Journal: Journal of Property Research
Pages: 130-153
Issue: 2
Volume: 38
Year: 2021
Month: 04
X-DOI: 10.1080/09599916.2021.1905690
File-URL: http://hdl.handle.net/10.1080/09599916.2021.1905690
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Handle: RePEc:taf:jpropr:v:38:y:2021:i:2:p:130-153
Template-Type: ReDIF-Article 1.0
Author-Name: Miriam Steurer
Author-X-Name-First: Miriam
Author-X-Name-Last: Steurer
Author-Name: Robert J. Hill
Author-X-Name-First: Robert J.
Author-X-Name-Last: Hill
Author-Name: Norbert Pfeifer
Author-X-Name-First: Norbert
Author-X-Name-Last: Pfeifer
Title: Metrics for evaluating the performance of machine learning based automated valuation models
Abstract:
Automated Valuation Models (AVMs) based on Machine Learning (ML) algorithms are widely used for predicting house prices. While there is consensus in the literature that cross-validation (CV) should be used for model selection in this context, the interdisciplinary nature of the subject has made it hard to reach consensus over which metrics to use at each stage of the CV exercise. We collect 48 metrics (from the AVM literature and elsewhere) and classify them into seven groups according to their structure. Each of these groups focuses on a particular aspect of the error distribution. Depending on the type of data and the purpose of the AVM, the needs of users may be met by some classes, but not by others. In addition, we show in an empirical application how the choice of metric can influence the choice of model, by applying each metric to evaluate five commonly used AVM models. Finally – since it is not always practicable to produce 48 different performance metrics – we provide a short list of 7 metrics that are well suited to evaluate AVMs. These metrics satisfy a symmetry condition that we find is important for AVM performance, and can provide a good overall model performance ranking.
Journal: Journal of Property Research
Pages: 99-129
Issue: 2
Volume: 38
Year: 2021
Month: 04
X-DOI: 10.1080/09599916.2020.1858937
File-URL: http://hdl.handle.net/10.1080/09599916.2020.1858937
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Handle: RePEc:taf:jpropr:v:38:y:2021:i:2:p:99-129
Template-Type: ReDIF-Article 1.0
Author-Name: Rainer Schulz
Author-X-Name-First: Rainer
Author-X-Name-Last: Schulz
Author-Name: Martin Wersing
Author-X-Name-First: Martin
Author-X-Name-Last: Wersing
Title: Automated Valuation Services: A case study for Aberdeen in Scotland
Abstract:
Automated valuation services (AVSs) offered by listings platforms predict market values based on property characteristics supplied by users. We investigate the implementation of such a service for the City of Aberdeen. We fit different market value models with machine learning methods and assess them in a rolling windows procedure that mimics an AVS setting. We also investigate the ease and robustness with which the models can be implemented. We discuss how prediction uncertainty can be measured and reported to users. If implemented in the future, such a service has the potential to improve the transparency of the local housing market.
Journal: Journal of Property Research
Pages: 154-172
Issue: 2
Volume: 38
Year: 2021
Month: 04
X-DOI: 10.1080/09599916.2020.1861066
File-URL: http://hdl.handle.net/10.1080/09599916.2020.1861066
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Handle: RePEc:taf:jpropr:v:38:y:2021:i:2:p:154-172
Template-Type: ReDIF-Article 1.0
Author-Name: Christian Weis
Author-X-Name-First: Christian
Author-X-Name-Last: Weis
Author-Name: René-Ojas Woltering
Author-X-Name-First: René-Ojas
Author-X-Name-Last: Woltering
Author-Name: Steffen Sebastian
Author-X-Name-First: Steffen
Author-X-Name-Last: Sebastian
Title: Which stocks are driven by which interest rates?
Abstract:
This paper analyzes the return sensitivities of real estate value and growth stocks to changes in five different interest rate proxies. Using a global sample of 352 listed real estate companies from 12 countries as a test object, we find that real estate value stocks are more sensitive than real estate growth stocks to changes in the short-term interest rate. This finding is consistent with the theory that investors with shorter investment horizons trade off the high initial yield of value stocks against lower-risk short-term interest rates. In contrast, real estate growth stocks are more sensitive to changes in the long-term interest rate, which is consistent with a stronger impact on the present value of the future cash flows of growth stocks. We also find that real estate value stocks are more sensitive to changes in the credit yield. Because credit costs have a direct impact on a firm’s cost of capital, this result is consistent with risk-based theories of the value premium, which argue value stocks are riskier because they tend to have higher leverage and greater default probability.
Journal: Journal of Property Research
Pages: 175-197
Issue: 3
Volume: 38
Year: 2021
Month: 07
X-DOI: 10.1080/09599916.2021.1903531
File-URL: http://hdl.handle.net/10.1080/09599916.2021.1903531
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Handle: RePEc:taf:jpropr:v:38:y:2021:i:3:p:175-197
Template-Type: ReDIF-Article 1.0
Author-Name: Dane Bax
Author-X-Name-First: Dane
Author-X-Name-Last: Bax
Author-Name: Temesgen Zewotir
Author-X-Name-First: Temesgen
Author-X-Name-Last: Zewotir
Author-Name: Delia North
Author-X-Name-First: Delia
Author-X-Name-Last: North
Title: Appraising residential property using hierarchical generalised additive models
Abstract:
Log linear hedonic models are ubiquitous in econometric real estate research even though functional form assumptions are often not satisfied and the nested structure of homes in suburbs is not captured adequately. This study focuses on appraising different residential property types located throughout South Africa, investigating a flexible approach which does not assume some explicit functional form. The objective of this paper was to fit and compare two hierarchical generalised additive models to 412 500 property listings from 2013 to 2017. A gamma hierarchical model with random intercepts for the suburb provided the best fit and generalisability, while accounting for the spatial dependency in the data. The results show that hierarchical generalised additive models capture complex shapes between listing prices and structural property characteristics, and further reveal that partial pooling is useful to capture between suburb variability.
Journal: Journal of Property Research
Pages: 198-212
Issue: 3
Volume: 38
Year: 2021
Month: 07
X-DOI: 10.1080/09599916.2021.1888774
File-URL: http://hdl.handle.net/10.1080/09599916.2021.1888774
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Handle: RePEc:taf:jpropr:v:38:y:2021:i:3:p:198-212
Template-Type: ReDIF-Article 1.0
Author-Name: Jyoti Shukla
Author-X-Name-First: Jyoti
Author-X-Name-Last: Shukla
Title: Compulsory yet Fair Acquisition of Land: Assessing Procedural Fairness of Compulsory Acquisition Process in India
Abstract:
Coerciveness built in the process of compulsory acquisition (CA) induces a perception of unfairness among the affected landowners and may alleviate with fair compensation and due process. This research focuses on the latter and aims to identify issues of unfairness perceived by the affected landowners using six criteria of procedural fairness from the legal literature including ethicality, representativeness, bias-suppression, accuracy, correctability and consistency. While procedural unfairness is a concern in many geographies (see for Scotland), this research adopts a case-study approach given the geographical specificity of CA laws and examines Indian process for its relatively recent modification under the newly enacted CA act of 2013. The paper undertakes a qualitative content analysis of court case reports on the Bangalore–Mysore Infrastructure Corridor project and interview transcripts of forty-seven landowners whose land was acquired using Karnataka Industrial Area Development Act of 1966 (a precursor to the new act). This research argues that fixing following issues is crucial to improving the landowners’ perception of fairness: ethical behaviour by the acquirers; representativeness of the affected landowners; quality information throughout the process; accountability of acquirers; neutral review of objections; unbiased assessment of compensation; and inexpensive conflict resolutions.
Journal: Journal of Property Research
Pages: 238-261
Issue: 3
Volume: 38
Year: 2021
Month: 07
X-DOI: 10.1080/09599916.2021.1892802
File-URL: http://hdl.handle.net/10.1080/09599916.2021.1892802
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Handle: RePEc:taf:jpropr:v:38:y:2021:i:3:p:238-261
Template-Type: ReDIF-Article 1.0
Author-Name: Abdul-Rasheed Amidu
Author-X-Name-First: Abdul-Rasheed
Author-X-Name-Last: Amidu
Author-Name: Deborah Levy
Author-X-Name-First: Deborah
Author-X-Name-Last: Levy
Author-Name: Muhammed Bolomope
Author-X-Name-First: Muhammed
Author-X-Name-Last: Bolomope
Title: Conceptualising valuation quality in practice: a valuer perspective
Abstract:
Valuation quality is a complex, multifaceted construct deeply embedded within curriculum and the standards documents of property valuation professional practice, yet explicit discussion of how the concept is currently understood and approached within the valuation process is lacking in literature. The aim of this study is to contribute to the interpretation of valuation quality by exploring how it is conceptualised from the perspective of valuers in practice. Drawing on 19 semi-structured, in-depth interviews, the study explores the experiences of practising valuers, active in the cities of Auckland and Wellington, New Zealand. The findings provide insights into four important quality indicators: professionalism; effective and customised communication; reporting accuracy; and compliance obligations, which accommodate the practical meaning of valuation quality and enable a nuanced understanding of the various behaviours or acts (e.g., production of readable report and telling a clear story of process) and objects (e.g., aesthetic, collaborations and standards) that firms and individuals create and rely on to produce quality in practice. These insights can provide the basis for a robust description of valuers’ expectation and the development of a framework for valuation quality to enhance valuer training and professional development. Future research should focused on how these quality indicators match up to the client’s expectations.
Journal: Journal of Property Research
Pages: 213-237
Issue: 3
Volume: 38
Year: 2021
Month: 07
X-DOI: 10.1080/09599916.2021.1930108
File-URL: http://hdl.handle.net/10.1080/09599916.2021.1930108
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Handle: RePEc:taf:jpropr:v:38:y:2021:i:3:p:213-237
Template-Type: ReDIF-Article 1.0
Author-Name: Jan Reinert
Author-X-Name-First: Jan
Author-X-Name-Last: Reinert
Title: Valuation accuracy of external and internal property valuations in Germany
Abstract:
While all valuers are obliged to act impartially and transparently to reduce bias, the closer relationship between valuers and clients among internal valuations may raise additional concerns regarding the independence of the valuer and hence the objectivity of the result. This paper analyses how internal and external valuations differ in their ability to mirror market prices. The dataset for the analyses contained 4,805 commercial properties in Germany between 1995 and 2013. The first part of the analysis was a Market-Adjusted Valuation and Actual Sale Price Comparison, based on sold properties. It showed that a majority of both valuation types had a valuation error within the acceptable threshold of 15% but that external valuations were on average significantly closer to sale prices than internal valuations. Due to sample selection issues, a second analysis, called Actual Valuation and Fitted Sale Price Comparison, was carried out. Real transactions were used to derive hedonic prices that could be compared against valuations of held properties. The Heckman Correction was used to mitigate sample selection bias. The results showed that both valuation types produced a majority of observations within the set threshold but that external valuations were on average closer to sale prices than internal valuations.
Journal: Journal of Property Research
Pages: 337-354
Issue: 4
Volume: 38
Year: 2021
Month: 10
X-DOI: 10.1080/09599916.2021.1885053
File-URL: http://hdl.handle.net/10.1080/09599916.2021.1885053
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Handle: RePEc:taf:jpropr:v:38:y:2021:i:4:p:337-354
Template-Type: ReDIF-Article 1.0
Author-Name: Prodosh E. Simlai
Author-X-Name-First: Prodosh
Author-X-Name-Last: E. Simlai
Title: Predicting owner-occupied housing values using machine learning: an empirical investigation of California census tracts data
Abstract:
In this paper, we introduce machine-learning (ML) methods to evaluate one of the key concepts of real estate analysis – the prediction of housing prices in the presence of a large number of covariates. We use several supervised ML tools that are based on regularisation methods – notably Ridge, LASSO, and Elastic Net regressions – and discuss their relative performance in comparison to conventional OLS-based methods. Our empirical results show that the supervised ML methods provide a comprehensive description of the determinants of owner-occupied housing values in the census tracts of California. We find that, compared to the familiar worlds of OLS and WLS, the Ridge, LASSO, and Elastic Net regressions provide relatively better out-of-sample predictions. Among the benefits of shrinkage-based ML methods are their ability to resolve such issues as variable selection and overfitting.
Journal: Journal of Property Research
Pages: 305-336
Issue: 4
Volume: 38
Year: 2021
Month: 10
X-DOI: 10.1080/09599916.2021.1890187
File-URL: http://hdl.handle.net/10.1080/09599916.2021.1890187
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Handle: RePEc:taf:jpropr:v:38:y:2021:i:4:p:305-336
Template-Type: ReDIF-Article 1.0
Author-Name: Liesa Schrand
Author-X-Name-First: Liesa
Author-X-Name-Last: Schrand
Author-Name: Julia Freybote
Author-X-Name-First: Julia
Author-X-Name-Last: Freybote
Author-Name: Wolfgang Schaefers
Author-X-Name-First: Wolfgang
Author-X-Name-Last: Schaefers
Title: Do REIT investors care? An investigation into the market response to the public release of SEC comment letter correspondences
Abstract:
The Securities and Exchange Commission (SEC) in the US reviews REIT financial statements at least every three years. In these reviews, it adopts the perspective of an investor in evaluating the disclosure of REITs and asks questions an investor would ask. If any disclosure deficiencies are identified, the SEC sends a comment letter to the REIT requesting clarification, more discussion or corrections/improvements in future filings. We investigate the response of REIT investors to the public release of comment letter correspondences between the SEC and publicly traded equity REITs as well as the impact of different types of SEC comments on this response. Using a sample of 395 comment letter correspondences for annual reports (10-Ks) over the period of 2006 to 2019, we find a negative stock market response. Business-related SEC comments are most important in explaining the market response, but only for less transparent REITs. Our results suggest that SEC comment letters may improve the information environment for certain types of REITs by providing new information relevant to forecasting future cash flows and/or signalling information about a REIT’s reporting quality.
Journal: Journal of Property Research
Pages: 263-285
Issue: 4
Volume: 38
Year: 2021
Month: 10
X-DOI: 10.1080/09599916.2021.1903067
File-URL: http://hdl.handle.net/10.1080/09599916.2021.1903067
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Handle: RePEc:taf:jpropr:v:38:y:2021:i:4:p:263-285
Template-Type: ReDIF-Article 1.0
Author-Name: Yang Yang
Author-X-Name-First: Yang
Author-X-Name-Last: Yang
Author-Name: Michael Rehm
Author-X-Name-First: Michael
Author-X-Name-Last: Rehm
Title: Housing prices and speculation dynamics: a study of Auckland housing market
Abstract:
Many housing markets across the globe have experienced upward trends in real estate prices during the past two decades. The dynamics between housing prices and speculation have been analysed by existing housing literature, but this study has a few features that may deepen the understanding of this topic. This research uses transaction-level data, focuses on only investor-purchase records, distinguishes leveraged transactions from unleveraged ones and adopts a new proxy for property speculation. Furthermore, the price elasticity of housing supply has been examined as the price responsiveness is important for understanding the topic in a supply-constrained market. We build a stock adjustment model to estimate the elasticity and a vector error-correction model to conduct Granger causality tests, impulse response analyses and a variance decomposition analysis. The findings uncover a feedback loop in a market with inelastic housing supply: investors’ speculative behaviour lifts Auckland housing prices which in turn spur further housing speculation.
Journal: Journal of Property Research
Pages: 286-304
Issue: 4
Volume: 38
Year: 2021
Month: 10
X-DOI: 10.1080/09599916.2021.1873405
File-URL: http://hdl.handle.net/10.1080/09599916.2021.1873405
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Handle: RePEc:taf:jpropr:v:38:y:2021:i:4:p:286-304
Template-Type: ReDIF-Article 1.0
Author-Name: Ashish Gupta
Author-X-Name-First: Ashish
Author-X-Name-Last: Gupta
Author-Name: Prashant Das
Author-X-Name-First: Prashant
Author-X-Name-Last: Das
Title: Asymmetric political attention across foreign and domestic private equity real estate investors
Abstract:
Private equity real estate (PERE) markets suffer from information inefficiency. In this study, we examine if Google Trends could help in partially mitigating the inefficiency issues. Using monthly PERE investment activities in India between 2005 and 2017, and controlling for macroeconomic variables, we show that relevant search trends are significantly associated with future investment activities. Compared to domestic investors, foreign investors are subject to information asymmetry and their investment activity is particularly sensitive to political search trends in the target country. We detect a mutually causal association between investment activity and political searches. Although significant, the effect of political Google Trends on investment activity is short-lived and fades within two months.
Journal: Journal of Property Research
Pages: 1-29
Issue: 1
Volume: 39
Year: 2022
Month: 01
X-DOI: 10.1080/09599916.2021.1906732
File-URL: http://hdl.handle.net/10.1080/09599916.2021.1906732
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Handle: RePEc:taf:jpropr:v:39:y:2022:i:1:p:1-29
Template-Type: ReDIF-Article 1.0
Author-Name: Colin Jones
Author-X-Name-First: Colin
Author-X-Name-Last: Jones
Author-Name: Abdulkader Mostafa
Author-X-Name-First: Abdulkader
Author-X-Name-Last: Mostafa
Title: The revival of private residential landlordism in Britain through the prism of changing returns
Abstract:
Unlike many other countries, Britain had a weak private rented sector (PRS) in decline for most of the twentieth century. A revival began from the turn of the millennium. The platform for this rebirth was the removal of regulation and the arrival of buy to let (BTL) mortgages for individuals at competitive interest rates. The dynamic and rapid development of the PRS cannot be understood in isolation to the financial rewards that the sector was offering to its investors. This paper calculates the internal rate of return (IRR) from investing in BTL, since its inception in 1996. It uses a financial model to simulate average BTL purchases in eleven regions, investing in every year over the period from 1996 to 2015. The paper finds strong evidence that the early spectacular growth in the BTL market was stimulated and sustained by very attractive perceived rewards. Over the entire analysis period from 1996 to 2015, investors have attained an average IRR of 12%, compared to 5.8% from the stock market. The paper also finds that recent unfavourable tax changes lower the returns, but that the sector will continue to offer a much higher return than that offered by the equity market.
Journal: Journal of Property Research
Pages: 56-76
Issue: 1
Volume: 39
Year: 2022
Month: 01
X-DOI: 10.1080/09599916.2021.1962951
File-URL: http://hdl.handle.net/10.1080/09599916.2021.1962951
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Handle: RePEc:taf:jpropr:v:39:y:2022:i:1:p:56-76
Template-Type: ReDIF-Article 1.0
Author-Name: Manya Mooya
Author-X-Name-First: Manya
Author-X-Name-Last: Mooya
Title: Hume’s guillotine - the ‘is-ought’ problem in property valuation theory
Abstract:
This paper introduces Hume’s law (the fulcrum of the ‘is-ought’ problem of moral philosophy) into the property valuation literature, and uses it as a prism to reflect on the nature and limitations of standard valuation theory. The paper shows how a consideration of Hume’ thesis can help to clarify and solve some specific practical problems in property valuation. The opportunity presented by the subject of property valuation is, in turn, used to reflect back on Hume’s thesis itself, to show conditions under which Hume’s law may be said to be false. The paper makes important contributions both to the property valuation literature and to the literature on moral philosophy. With respect to property valuation, it proposes a change in the manner conclusions of valuations are reported, and the replacement of the notion of valuation accuracy by the wider and more socially appropriate concept of reasonableness.
Journal: Journal of Property Research
Pages: 77-96
Issue: 1
Volume: 39
Year: 2022
Month: 01
X-DOI: 10.1080/09599916.2021.1918222
File-URL: http://hdl.handle.net/10.1080/09599916.2021.1918222
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Handle: RePEc:taf:jpropr:v:39:y:2022:i:1:p:77-96
Template-Type: ReDIF-Article 1.0
Author-Name: Neil Crosby
Author-X-Name-First: Neil
Author-X-Name-Last: Crosby
Author-Name: Steven Devaney
Author-X-Name-First: Steven
Author-X-Name-Last: Devaney
Author-Name: Colin Lizieri
Author-X-Name-First: Colin
Author-X-Name-Last: Lizieri
Author-Name: Nick Mansley
Author-X-Name-First: Nick
Author-X-Name-Last: Mansley
Title: Modelling sustainable rents for estimation of long-term or fundamental values of commercial real estate
Abstract:
Commercial real estate occupier markets are analysed in the context of the debate over the role of real estate lending in financial stability and the search for long-term valuation methods to complement market value estimations. Models of sustainable rent, including a long-term trend model and an econometric equilibrium rent model, are tested to examine whether they provide early warning of upcoming corrections in real rental values. Models were estimated using rental value data for the UK and predictions of corrections from the mid-1980s through to 2018/9 and were then compared against actual real rental growth. The models were successful in identifying the occupier market crash of the 1990s and the more muted downturn of the early 2000s, but were less successful at predicting the falls in real rental value that followed the GFC in 2008/9. There is a late reaction to this downturn in estimates from the econometric model, while other approaches struggled to identify it at all. Econometric modelling of sustainable rental values is the recommended approach and could be used in conjunction with a model of sustainable cap rates to develop long-term valuations. This would aid lending decisions and provide evidence for regulators of cyclical movements in CRE markets. For the UK, there are data issues related to this recommendation, especially concerning stock data.
Journal: Journal of Property Research
Pages: 30-55
Issue: 1
Volume: 39
Year: 2022
Month: 01
X-DOI: 10.1080/09599916.2021.1913441
File-URL: http://hdl.handle.net/10.1080/09599916.2021.1913441
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Handle: RePEc:taf:jpropr:v:39:y:2022:i:1:p:30-55
Template-Type: ReDIF-Article 1.0
Author-Name: Randy Anderson
Author-X-Name-First: Randy
Author-X-Name-Last: Anderson
Author-Name: Eli Beracha
Author-X-Name-First: Eli
Author-X-Name-Last: Beracha
Author-Name: Spencer Propper
Author-X-Name-First: Spencer
Author-X-Name-Last: Propper
Title: The impact of real estate allocation on investors’ ability to generate real income
Abstract:
Endowments, wealthy families and retired individuals are often concerned, first and foremost, about preserving their wealth or avoiding the possibility of depleted funds during their lifetime. This paper examines the extent to which a variety of real estate asset types, in addition to a traditional stocks and bonds allocation, can help preserve wealth or avoid a financial shortfall event subject to periodic withdrawals over an extended time period. Using a Monte Carlo Simulation technique, we analyse the resiliency of eight different real estate investment vehicles as a rule of thumb of a 4% annual withdrawal. Our results show that some – in most cases meaningful – portfolio allocation to each of these investment vehicles reduces the chance of a financial shortfall over long-term horizons of 30 or 50 years. Similarly, when wealth preservation is desired, allocation to each of these investment vehicles increases investors’ wealth preservation probability. Overall, it appears that equity REITs provide the greatest benefit to the portfolio compared with other real estate investment vehicles. These findings support portfolio allocation into real estate vehicles for investors that seek to preserve wealth or avoid financial ruin.
Journal: Journal of Property Research
Pages: 120-147
Issue: 2
Volume: 39
Year: 2022
Month: 04
X-DOI: 10.1080/09599916.2021.1968017
File-URL: http://hdl.handle.net/10.1080/09599916.2021.1968017
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Handle: RePEc:taf:jpropr:v:39:y:2022:i:2:p:120-147
Template-Type: ReDIF-Article 1.0
Author-Name: Deborah Levy
Author-X-Name-First: Deborah
Author-X-Name-Last: Levy
Author-Name: Barbara Plester
Author-X-Name-First: Barbara
Author-X-Name-Last: Plester
Author-Name: Raewyn Hills
Author-X-Name-First: Raewyn
Author-X-Name-Last: Hills
Author-Name: Jane Horan
Author-X-Name-First: Jane
Author-X-Name-Last: Horan
Title: ‘It’s a man’s world’: the lived experiences of women working in the New Zealand professional commercial property industry
Abstract:
Gender diversity in the workplace results in the increased effectiveness of an organisation. However, within the commercial property profession in many countries including New Zealand (as in a number of other professions), only a small number of women are reaching senior positions. This research investigates why this might be. The study comprises one-to-one in-depth interviews with women currently working or who have previously worked in the commercial property profession in Auckland, New Zealand, to develop an understanding of what forces are at play in women’s choices to participate in the commercial property industry in Auckland – or not. Common lived experiences are identified including passion for the industry and the importance of an effective human resources department, they demonstrate gender imbalance, issues around having children, and difficulties around promotions and wage negotiations. Common challenges were workplace bullying, attitudes towards women, socialising, ‘fitting-in’ and coping with male banter. The study concludes that women working in the commercial property profession in New Zealand have thrived through mentorship, taking ownership of their careers and finding a good employer. The insights as to how women perceive the professional commercial property industry can be used to increase effectiveness by increasing gender diversity and inclusion.
Journal: Journal of Property Research
Pages: 148-169
Issue: 2
Volume: 39
Year: 2022
Month: 04
X-DOI: 10.1080/09599916.2021.1993314
File-URL: http://hdl.handle.net/10.1080/09599916.2021.1993314
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Handle: RePEc:taf:jpropr:v:39:y:2022:i:2:p:148-169
Template-Type: ReDIF-Article 1.0
Author-Name: Benita Zulch
Author-X-Name-First: Benita
Author-X-Name-Last: Zulch
Author-Name: Joseph (JA) Yacim
Author-X-Name-First: Joseph (JA)
Author-X-Name-Last: Yacim
Author-Name: Partson Paradza
Author-X-Name-First: Partson
Author-X-Name-Last: Paradza
Title: Are former commercial farmers in Zimbabwe satisfied with the global compensation agreement?
Abstract:
Zimbabwe’s new administration indicated its willingness to end the compensation dispute, which lasted for two decades with former commercial farmers (FCFs), by signing the global compensation agreement (GCA). In the agreement, the Government of Zimbabwe (GoZ) offered to pay the sum of 3.5 billion, United States Dollars (USD) to the FCFs for their expropriated farmlands. A study carried out by the Valuation Consortium (Valcon) before the GCA signing revealed that most of the FCFs accepted the compensation offered by the expropriating authority. Thus far, no study has been done to assess the level of satisfaction of the affected FCFs, with the GCA provisions. Therefore, this study evaluated the views of FCFs and members of the Compensation Committee (MsCC) on this subject. Data were collected through a questionnaire survey which was mailed directly to the Chairperson of the FCFs, who sent it to other members to respond to issues raised. The study found mixed views by the FCFs on their levels of satisfaction with the GCA. Thus, the study concluded that compensation offered was not entirely satisfactory because it did not include accruals for delayed payment, professional fees, and a detailed breakdown of the compensable heads of claim.
Journal: Journal of Property Research
Pages: 97-119
Issue: 2
Volume: 39
Year: 2022
Month: 04
X-DOI: 10.1080/09599916.2021.1965644
File-URL: http://hdl.handle.net/10.1080/09599916.2021.1965644
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Handle: RePEc:taf:jpropr:v:39:y:2022:i:2:p:97-119
Template-Type: ReDIF-Article 1.0
Author-Name: Danielle Sanderson
Author-X-Name-First: Danielle
Author-X-Name-Last: Sanderson
Author-Name: Sara Özogul
Author-X-Name-First: Sara
Author-X-Name-Last: Özogul
Title: Key investors and their strategies in the expansion of European student housing investment
Abstract:
The aim of this paper is to understand the expansion process of investment into Purpose Built Student Accommodation (PBSA) in Europe by examining transformations in student housing investment landscapes and uncovering the profiles and strategies of key investors between 2010 and 2020. Using data from Real Capital Analytics, trends in capital structures and profiles of PBSA investors are identified. Investors driving these trends are scrutinised in terms of their investment timelines, locations, hold periods and strategies of portfolio diversification. Furthermore, in-depth interviews with property analysts, PBSA investors, and developers substantiate the quantitative analysis. The empirical results show that Private Equity entered the European PBSA market, starting with the UK, when the yield premium post-GFC justified the perceived risk. Equity funds typically hold their portfolios for around five years and trade counter-cyclically with institutions such as pension funds. PBSA specialists, mainly REITs, have accumulated substantial portfolios, and the REIT structure is well-suited to the steady income which student rents should provide, but their lack of diversification leaves them vulnerable to changes in student demographics and accommodation requirements.
Journal: Journal of Property Research
Pages: 170-196
Issue: 2
Volume: 39
Year: 2022
Month: 04
X-DOI: 10.1080/09599916.2021.1993315
File-URL: http://hdl.handle.net/10.1080/09599916.2021.1993315
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Handle: RePEc:taf:jpropr:v:39:y:2022:i:2:p:170-196
Template-Type: ReDIF-Article 1.0
# input file: catalog-resolver-3156424021408170681.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220713T202513 git hash: 99d3863004
Author-Name: Xiaojie Xu
Author-X-Name-First: Xiaojie
Author-X-Name-Last: Xu
Author-Name: Yun Zhang
Author-X-Name-First: Yun
Author-X-Name-Last: Zhang
Title: Second-hand house price index forecasting with neural networks
Abstract:
The house market in China has been growing rapidly for the past decade and price forecasting has become a significant issue to the people and policymakers. We approach this problem by examining neural networks for second-hand house price index forecasting from 10 major cities for March 2012–May 2020. Our purpose is to build simple and accurate neural networks to contribute to pure technical house price forecasting of the Chinese market. We explore various model settings across the algorithm, delay, hidden neuron, and data spitting ratio, and arrive at a rather simple neural network with three delays and eight hidden neurons, which leads to stable performance of 0.8% average relative root-mean-square error across the 10 cities for the training, validation, and testing phases. Results here can be used on a standalone basis or combined with fundamental forecasting in forming perspectives of house price trends and conducting policy analysis.
Journal: Journal of Property Research
Pages: 215-236
Issue: 3
Volume: 39
Year: 2022
Month: 07
X-DOI: 10.1080/09599916.2021.1996446
File-URL: http://hdl.handle.net/10.1080/09599916.2021.1996446
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Handle: RePEc:taf:jpropr:v:39:y:2022:i:3:p:215-236
Template-Type: ReDIF-Article 1.0
# input file: catalog-resolver-2320176168959843770.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220713T202513 git hash: 99d3863004
Author-Name: Carina Kaiser
Author-X-Name-First: Carina
Author-X-Name-Last: Kaiser
Author-Name: Julia Freybote
Author-X-Name-First: Julia
Author-X-Name-Last: Freybote
Title: Is e-commerce an investment risk priced by retail real estate investors? An investigation
Abstract:
Over the last 20 years, online shopping has evolved into a major threat to the physical retail store. We investigate whether retail real estate investors price e-commerce as an investment risk. In particular, we analyse whether e-commerce sales have informative value for retail real estate returns. Focusing on institutional-grade shopping centres over the period of 2000 to 2018, we find that e-commerce sales predict total returns in the next quarter. This effect is driven by capital returns, which suggests that e-commerce is indeed priced as an investment risk. While consistent across mall types, this effect is stronger for regional and super-regional malls than neighbourhood and community shopping centres. Explanations for this difference include the types of retail tenants in these different mall categories and the varying impact of e-commerce on their business.
Journal: Journal of Property Research
Pages: 197-214
Issue: 3
Volume: 39
Year: 2022
Month: 07
X-DOI: 10.1080/09599916.2021.1996447
File-URL: http://hdl.handle.net/10.1080/09599916.2021.1996447
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Handle: RePEc:taf:jpropr:v:39:y:2022:i:3:p:197-214
Template-Type: ReDIF-Article 1.0
# input file: catalog-resolver1984861165770418662.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220713T202513 git hash: 99d3863004
Author-Name: M McCord
Author-X-Name-First: M
Author-X-Name-Last: McCord
Author-Name: D Lo
Author-X-Name-First: D
Author-X-Name-Last: Lo
Author-Name: J McCord
Author-X-Name-First: J
Author-X-Name-Last: McCord
Author-Name: P Davis
Author-X-Name-First: P
Author-X-Name-Last: Davis
Author-Name: M Haran
Author-X-Name-First: M
Author-X-Name-Last: Haran
Author-Name: P Turley
Author-X-Name-First: P
Author-X-Name-Last: Turley
Title: The impact of COVID-19 on house prices in Northern Ireland: price persistence, yet divergent?
Abstract:
The recent onset of the COVID-19 pandemic has had a pervasive impact on all economies and indeed housing markets. This research investigates the regional impact of the pandemic on the Northern Ireland housing market and provides a unique opportunity to measure short-term reactions to epidemic shocks. Applying a unique dataset, the research measures whether price switching effects are evident as a consequence of the epidemic, and to what extent. In order to achieve this, the research applies spatial lag models to account for the effect of COVID-19 on housing market pricing behaviour. The findings show that the autocorrelation of house prices increased after COVID-19, revealing price persistence driven by behavioural changes. The results further show that a price divergent effect is observable, with the detached sector ‘leading’ the price changes. This price divergence is also apparent for rural dwellings and for neighbourhoods with higher socio-economic standing making them more resistant to the outbreak of COVID-19. This is an important finding as it reveals that epidemics of this nature impact upon housing markets in a heterogeneous way in the short-term, with a clear premium observed for larger housing in healthier and wealthier areas, which may serve to reinforce housing market inequalities.
Journal: Journal of Property Research
Pages: 237-267
Issue: 3
Volume: 39
Year: 2022
Month: 07
X-DOI: 10.1080/09599916.2021.2023610
File-URL: http://hdl.handle.net/10.1080/09599916.2021.2023610
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# input file: catalog-resolver-3325015737298475137.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220713T202513 git hash: 99d3863004
Author-Name: B V Binoy
Author-X-Name-First: B V
Author-X-Name-Last: Binoy
Author-Name: M. A Naseer
Author-X-Name-First: M. A
Author-X-Name-Last: Naseer
Author-Name: P P Anil Kumar
Author-X-Name-First: P P
Author-X-Name-Last: Anil Kumar
Title: Factors affecting land value in an Indian city
Abstract:
Land valuation is the process of determining the value of the landed property, excluding all human-made improvements. This paper presents a comprehensive assessment and modelling of the land value and its determinants. Thiruvananthapuram, the capital city of Kerala state, is selected as the study area. Land value modelling applied in this study is divided into three stages. The first stage uses a standard hedonic price model for land value estimation and spatial autocorrelation diagnostics. The spatial error model is appropriate for variable selection and modelling based on Moran’s I and Lagrange Multiplier test statistics in the second stage. The last stage of the study uses the spatial error model for land value analysis, and the results are compared with OLS regression. Proximity to major highways, disaster history, concentration of commercial establishments, and permissible FAR are the major factors affecting land value in the study area. Few other parameters like water frontage and noise pollution have a reverse relationship with similar studies in developed countries. The results indicate that factors influencing land value in Indian cities are different from the European and American cities. The study provides critical insights into the land price variation of an Indian city at a micro-level..
Journal: Journal of Property Research
Pages: 268-292
Issue: 3
Volume: 39
Year: 2022
Month: 07
X-DOI: 10.1080/09599916.2021.2014937
File-URL: http://hdl.handle.net/10.1080/09599916.2021.2014937
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# input file: RJPR_A_2070525_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220907T060133 git hash: 85d61bd949
Author-Name: Anders Hjort
Author-X-Name-First: Anders
Author-X-Name-Last: Hjort
Author-Name: Johan Pensar
Author-X-Name-First: Johan
Author-X-Name-Last: Pensar
Author-Name: Ida Scheel
Author-X-Name-First: Ida
Author-X-Name-Last: Scheel
Author-Name: Dag Einar Sommervoll
Author-X-Name-First: Dag Einar
Author-X-Name-Last: Sommervoll
Title: House price prediction with gradient boosted trees under different loss functions
Abstract:
Many banks and credit institutions are required to assess the value of dwellings in their mortgage portfolio. This valuation often relies on an Automated Valuation Model (AVM). Moreover, these institutions often report the models accuracy by two numbers: The fraction of predictions within $$ \pm 20\% $$±20% and $$ \pm 10\% $$±10% range from the true values. Until recently, AVMs tended to be hedonic regression models, but lately machine learning approaches like random forest and gradient boosted trees have been increasingly applied. Both the traditional approaches and the machine learning approaches rely on minimising mean squared prediction error, and not the number of predictions in the $$ \pm 20\% $$±20% and $$ \pm 10\% $$±10% range. We investigate whether introducing a loss function closer to the AVMs actual loss measure improves performance in machine learning approaches, specifically for a gradient boosted tree approach. This loss function yields an improvement from $$89.4\% $$89.4% to $$90.0\% $$90.0% of predictions within $$ \pm 20\% $$±20% of the true value on a data set of $$N = 126{\kern 1pt} 719$$N=126719 transactions from the Norwegian housing market between 2013 and 2015, with the biggest improvements in performance coming from the lower price segments. We also find that a weighted average of models with different loss functions improves performance further, yielding $$90.4\% $$90.4% of the observations within $$ \pm 20\% $$±20% of the true value.
Journal: Journal of Property Research
Pages: 338-364
Issue: 4
Volume: 39
Year: 2022
Month: 10
X-DOI: 10.1080/09599916.2022.2070525
File-URL: http://hdl.handle.net/10.1080/09599916.2022.2070525
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# input file: RJPR_A_2054353_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220907T060133 git hash: 85d61bd949
Author-Name: Elmar Lang
Author-X-Name-First: Elmar
Author-X-Name-Last: Lang
Author-Name: Ferdinand Mager
Author-X-Name-First: Ferdinand
Author-X-Name-Last: Mager
Author-Name: Kerstin Hennig
Author-X-Name-First: Kerstin
Author-X-Name-Last: Hennig
Title: Uncertainty and commercial real estate excess returns in European markets
Abstract:
We examine the link between uncertainty and the excess returns of direct commercial real estate markets using the well-established economic policy uncertainty index (EPU) and a novel measure of uncertainty, the world uncertainty index (WUI). Using a panel dataset of 17 European markets, we find a strong positive relation between the two uncertainty measures and excess returns in our univariate models and when we add real estate control variables. However, once macroeconomic control variables are included, only the WUI remains significant. We relate this finding to the more country-specific nature of the WUI, while the EPU potentially gives more weight to global news.
Journal: Journal of Property Research
Pages: 321-337
Issue: 4
Volume: 39
Year: 2022
Month: 10
X-DOI: 10.1080/09599916.2022.2054353
File-URL: http://hdl.handle.net/10.1080/09599916.2022.2054353
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# input file: RJPR_A_2046138_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220907T060133 git hash: 85d61bd949
Author-Name: Allison M Orr
Author-X-Name-First: Allison M
Author-X-Name-Last: Orr
Author-Name: Joanna L Stewart
Author-X-Name-First: Joanna L
Author-X-Name-Last: Stewart
Title: Property use diversity and spatial accessibility within urban retailing centres: drivers of retail rents
Abstract:
This study investigates the relationship between use and investor diversity, spatial accessibility, and high street retail rents. Spatial quantitative analysis of the high street retail sector remains an underdeveloped area so this paper seeks to bridge this gap and contribute to the debate on the adaptability of urban retailing centres by adopting a spatial fixed-effects panel modelling approach. The empirical findings reveal that diversity and richness in property use tend to have a significant positive impact on retail rental values. The influence of ownership richness on rents is positive implying that rents tend to be higher on streets where there is a greater range in the type of landlords. Walkability, as a measure of spatial accessibility, is found to have a negative relationship with market rents. This is perhaps surprising as it had been expected that the most walkable streets in retailing centres to be the most connected and have the highest rents. This contrary finding may be due to large developments interrupting the street network and restricting the choice and movement of pedestrians. Location on the prime retail pitch has a significant positive relationship with shop rents, whereas proximity to transportation nodes has a less consistent influence.
Journal: Journal of Property Research
Pages: 365-392
Issue: 4
Volume: 39
Year: 2022
Month: 10
X-DOI: 10.1080/09599916.2022.2046138
File-URL: http://hdl.handle.net/10.1080/09599916.2022.2046138
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# input file: RJPR_A_2105251_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220907T060133 git hash: 85d61bd949
Author-Name: Alexander Schiller
Author-X-Name-First: Alexander
Author-X-Name-Last: Schiller
Author-Name: René-Ojas Woltering
Author-X-Name-First: René-Ojas
Author-X-Name-Last: Woltering
Author-Name: Christian Weis
Author-X-Name-First: Christian
Author-X-Name-Last: Weis
Author-Name: Steffen Sebastian
Author-X-Name-First: Steffen
Author-X-Name-Last: Sebastian
Title: What determines the mean reversion speed of NAV spreads?
Abstract:
In this paper, we study the mean reversion behaviour of NAV spreads for a global sample of 219 listed real estate stocks. We find NAV spreads for companies trading at a high discount to mean revert fastest. Remarkably, we also provide evidence that online search attention impacts the mean reversion speed of NAV spreads: Stocks with lower levels of online search attention mean-revert significantly faster than those with higher levels. Our global research setting allows us to show that a country’s average NAV spread has an impact on the NAV spreads of individual stocks. Ultimately, we find that the NAV spread of companies receiving high levels of online search attention has a disproportionately high impact on the NAV spreads of other companies.
Journal: Journal of Property Research
Pages: 293-320
Issue: 4
Volume: 39
Year: 2022
Month: 10
X-DOI: 10.1080/09599916.2022.2105251
File-URL: http://hdl.handle.net/10.1080/09599916.2022.2105251
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# input file: RJPR_A_2114926_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220907T060133 git hash: 85d61bd949
Author-Name: Xiaojie Xu
Author-X-Name-First: Xiaojie
Author-X-Name-Last: Xu
Author-Name: Yun Zhang
Author-X-Name-First: Yun
Author-X-Name-Last: Zhang
Title: Cointegration between housing prices: evidence from one hundred Chinese cities
Abstract:
This study investigates cointegration between monthly housing prices from one hundred Chinese cities for years 2010–2019, utilising both time-invariant and time-varying approaches. Their wavelet transformations are further explored for cointegration at the scale of greater than five years. Also studied is quantitative importance of housing price information of one city to another. Empirical results show different price relationships across different pairs of cities. While cointegrating patterns are heterogeneous across tested pairs, we present many relatively stable cointegrating relationships, which tend to be aggregated results of price relationships of different scales. Housing price information of certain cities could be reflected in that of other cities at a relatively large magnitude. The results here should be of use to investors and policymakers in the housing market.
Journal: Journal of Property Research
Pages: 53-75
Issue: 1
Volume: 40
Year: 2023
Month: 01
X-DOI: 10.1080/09599916.2022.2114926
File-URL: http://hdl.handle.net/10.1080/09599916.2022.2114926
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# input file: RJPR_A_2119879_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220907T060133 git hash: 85d61bd949
Author-Name: Irene Cheloti
Author-X-Name-First: Irene
Author-X-Name-Last: Cheloti
Author-Name: Manya Mooya
Author-X-Name-First: Manya
Author-X-Name-Last: Mooya
Title: Property valuation problems and market context – evidence from Kenya
Abstract:
Property valuation problems such as valuation inaccuracies/variations, client influence, and the use of heuristics persist despite efforts by professional bodies and researchers to improve the practice of valuation worldwide. While some studies attribute the above problems to limited information, most studies link these problems to valuer misconduct. Previous studies in developing countries mirror those of developed nations despite the different property market environments in the two nations; they place little emphasis on market-related problems. Further, there is limited evidence on why valuation problems persist in developing countries. The main objective of this study is to establish why valuation problems in Kenya persist despite efforts to minimise them. The study utilised a quantitative research design involving a survey and experiment of registered and practicing valuers in Kenya. Findings indicate that the above valuation problems persist because of the nature of the valuation environment in Kenya, characterised by limited information. This is typical of many other developing countries. The study makes a critical contribution to knowledge as it builds on the existing literature by providing additional empirical support on why valuation problems persist while introducing appropriate measures to address them.
Journal: Journal of Property Research
Pages: 76-100
Issue: 1
Volume: 40
Year: 2023
Month: 01
X-DOI: 10.1080/09599916.2022.2119879
File-URL: http://hdl.handle.net/10.1080/09599916.2022.2119879
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# input file: RJPR_A_2057866_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220907T060133 git hash: 85d61bd949
Author-Name: Allison M. Orr
Author-X-Name-First: Allison M.
Author-X-Name-Last: Orr
Author-Name: Alan Gardner
Author-X-Name-First: Alan
Author-X-Name-Last: Gardner
Author-Name: Cath Jackson
Author-X-Name-First: Cath
Author-X-Name-Last: Jackson
Author-Name: James T. White
Author-X-Name-First: James T.
Author-X-Name-Last: White
Title: Changing tenant covenant perceptions and flexibility in the lease model in UK city centres
Abstract:
The retailing industry in the UK is experiencing unprecedented structural change. The impact on retailers has often dominated headlines, along with the impacts on local services and economies, but with little attention given to the implications for property owners and practitioners. Exploring and understanding the responsiveness of landlords, and their behaviours, is essential to understanding the adaptiveness of a retailing system. This study employs semi-structured interviews to examine the short- and long-term changes in the retail market and the actions of landlords in response. The findings span the period prior to and during the first year of the Covid-19 pandemic in 2020, and reveal that fundamental changes have occurred to establish tenant covenant norms and the traditional retail leasing model. The paper explores these changes, including a shift in tenant risk, reposition of the leasing model in favour of tenants, generally, and greater application of turnover rents. The pressing challenge for current valuation practitioners, therefore, is to incorporate these fundamental changes within the market into the pricing of retail assets. Significant progress in this area to date, as explored in the paper, has been limited although greater application of discounted cashflow techniques is set to be encouraged by the RICS.
Journal: Journal of Property Research
Pages: 1-24
Issue: 1
Volume: 40
Year: 2023
Month: 01
X-DOI: 10.1080/09599916.2022.2057866
File-URL: http://hdl.handle.net/10.1080/09599916.2022.2057866
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# input file: RJPR_A_2119878_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220907T060133 git hash: 85d61bd949
Author-Name: Ramya R. Aroul
Author-X-Name-First: Ramya R.
Author-X-Name-Last: Aroul
Author-Name: J. Andrew Hansz
Author-X-Name-First: J. Andrew
Author-X-Name-Last: Hansz
Title: The impact of cash financing on housing prices: a theoretical framework and empirical evidence from a volatile United States market cycle
Abstract:
This study examines cash financing transaction price implications over a 12-year United States (U.S.) housing market cycle centred around the 2008 Housing Crisis, a period of unprecedented transaction price volatility. We establish theoretical reasoning and empirical confirmation of the mortgage contingency pricing effect, operationalised as a cash financing discount. We document that cash discounts are associated with market conditions, price levels, and improvement sizes and conditions. Larger empirical cash discounts are related to greater market distress, lower price levels, smaller improvement sizes, and inferior improvement conditions. We conclude that a one-size-fits-all rule-of-thumb is not appropriate when estimating cash financing pricing impacts. Finally, additional research is encouraged across different market conditions and in non-U.S. markets.
Journal: Journal of Property Research
Pages: 25-52
Issue: 1
Volume: 40
Year: 2023
Month: 01
X-DOI: 10.1080/09599916.2022.2119878
File-URL: http://hdl.handle.net/10.1080/09599916.2022.2119878
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# input file: RJPR_A_2114927_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20
Author-Name: P. McAllister
Author-X-Name-First: P.
Author-X-Name-Last: McAllister
Author-Name: E Shepherd
Author-X-Name-First: E
Author-X-Name-Last: Shepherd
Author-Name: P. Wyatt
Author-X-Name-First: P.
Author-X-Name-Last: Wyatt
Title: An exploration of the role and significance of specialist land promoters in the housing land development market in the UK
Abstract:
Of all the inputs into housing production, land can be the most challenging to source. Over the last decade, the land promotion sector has taken a much more prominent role in converting the planning status of land in return for a proportion of the resultant increase in land value. This paper explores the significance of specialist land promoters in the strategic housing land market in the UK. The paper makes three contributions. First, it maps the range of organisations that promote land through the UK planning system and demonstrates the diversity and definitional fuzziness of the organisations operating in the contemporary UK land market. Second, in contrast to prior studies which have grouped specialist land promoters with other types of market actor, it finds that specialist land promoters made a relatively small contribution to the supply of housing land in the study period. Third, the paper shows that housebuilders account for a minority of planning consents for residential development, thereby suggesting that the degree of vertical integration in the land and housing development sector in the UK may be lower than presumed.
Journal: Journal of Property Research
Pages: 134-156
Issue: 2
Volume: 40
Year: 2023
Month: 04
X-DOI: 10.1080/09599916.2022.2114927
File-URL: http://hdl.handle.net/10.1080/09599916.2022.2114927
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# input file: RJPR_A_2114925_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20
Author-Name: Ramya Rajajagadeesan Aroul
Author-X-Name-First: Ramya Rajajagadeesan
Author-X-Name-Last: Aroul
Author-Name: Demian Hodari
Author-X-Name-First: Demian
Author-X-Name-Last: Hodari
Author-Name: Giuliano Bianchi
Author-X-Name-First: Giuliano
Author-X-Name-Last: Bianchi
Author-Name: Gwen Martignoni
Author-X-Name-First: Gwen
Author-X-Name-Last: Martignoni
Title: The impact of brand affiliation on asset values: the case of UK hotels
Abstract:
Using the hedonic pricing method, we study more than 400 hotel transactions in the United Kingdom between 2000 and 2015 to determine the impact of brands on hotel market values. We initially find that hotel brands are negatively associated with hotel values in our sample. However, after controlling for endogeneity, we find that brand affiliation produces no significant impact on hotel transaction values. These results suggest that it is the characteristics of branded hotels, rather than the fact of being branded, that determine the transaction values. To the best of our knowledge, this is one of the first studies to examine the impact of brands on hotel values, and the first to account for the role of endogeneity when comparing the transaction value of branded and unbranded hotels.
Journal: Journal of Property Research
Pages: 157-187
Issue: 2
Volume: 40
Year: 2023
Month: 04
X-DOI: 10.1080/09599916.2022.2114925
File-URL: http://hdl.handle.net/10.1080/09599916.2022.2114925
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# input file: RJPR_A_2167665_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20
Author-Name: Gurcan Avci
Author-X-Name-First: Gurcan
Author-X-Name-Last: Avci
Author-Name: Yaman Omer Erzurumlu
Author-X-Name-First: Yaman Omer
Author-X-Name-Last: Erzurumlu
Title: Blockchain tokenization of real estate investment: a security token offering procedure and legal design proposal
Abstract:
The article addresses the legal design challenges of real estate crowdfunding, proposing potential solutions that combine blockchain technology, tokenisation, finance, and law. We propose a blockchain tokenised security design, based on a sertificate similar to Sukuk, an Islamic finance asset, that draws inspiration from Equipment Trust Certificates and is managed by a Special Purpose Vehicle (SPV), that may issue blockchain tokenised certificates. These certificates grant rights related to an investment property. Each series of certificates represents specific property and will be a liability of the SPV that owns the property. In general, the tokens used resemble but remain categorically distinct from asset-backed securities. Their performance still depends on the underlying asset’s performance. Most important, token owners do not become partners in the SPV but are granted fractional ownership and rights on the underlying property. The proposed token mechanism could prevent delays in the transaction process related to transferring ownership of a property. It could split at some point to allow for the creation of ownership and income rights. The proposed security design potentially protects investors’ legal rights better without standard application of investors becoming partners in the SPV while shortening the transaction times, and increasing transparency and asset liquidity.
Journal: Journal of Property Research
Pages: 188-207
Issue: 2
Volume: 40
Year: 2023
Month: 04
X-DOI: 10.1080/09599916.2023.2167665
File-URL: http://hdl.handle.net/10.1080/09599916.2023.2167665
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# input file: RJPR_A_2141133_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20
Author-Name: Allison M Orr
Author-X-Name-First: Allison M
Author-X-Name-Last: Orr
Author-Name: Joanna L Stewart
Author-X-Name-First: Joanna L
Author-X-Name-Last: Stewart
Author-Name: Cath C Jackson
Author-X-Name-First: Cath C
Author-X-Name-Last: Jackson
Author-Name: James T White
Author-X-Name-First: James T
Author-X-Name-Last: White
Title: Shifting prime retailing pitches. A GIS analysis of the spatial adaptations in city centre retail markets
Abstract:
In this paper, the density and location of retail properties located within the primary retailing areas of Edinburgh, Glasgow, Hull, Liverpool and Nottingham are investigated over a 17 year period. The study is novel due to the original spatial databases developed and unique combination of established methods employed to explore spatial change within these northern UK cities. The paper starts from the premise that retailing markets display adaptive resilience where adaptations in use and variation in retail clustering will occur in response to endogenous and exogenous shocks that disturb the market’s agglomerative and competitive effects. The results suggest that significant new retail-led developments have intra-urban spatial outcomes that impact on the size and location of prime and secondary retailing pitches. In urban retailing centres where there have been no substantive supply disruptions, disturbances in the socio-economic environment can create contractions at the peripheral edges of the prime retailing pitch. This study is significant in providing a historical perspective of the micro-level effects of new development, changing customer shopping habits and shifting retailer location preferences. In addition, the research develops replicable and robust methods that can be employed to examine and monitor spatial change in urban centres. Understanding these dynamic micro-spatial effects are important for the future management of urban centres.
Journal: Journal of Property Research
Pages: 101-133
Issue: 2
Volume: 40
Year: 2023
Month: 04
X-DOI: 10.1080/09599916.2022.2141133
File-URL: http://hdl.handle.net/10.1080/09599916.2022.2141133
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# input file: RJPR_A_2175712_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20
Author-Name: Lion Lukas Naumann
Author-X-Name-First: Lion Lukas
Author-X-Name-Last: Naumann
Author-Name: Holger Lischke
Author-X-Name-First: Holger
Author-X-Name-Last: Lischke
Author-Name: Michael Nadler
Author-X-Name-First: Michael
Author-X-Name-Last: Nadler
Title: Empirical effects of the designation of milieu protection areas on the residential property market in Berlin
Abstract:
Milieu protection areas (MPAs) are a frequently used urban policy regulation method in large German cities such as Berlin or Munich. MPAs protect residents from displacement by restricting property rights in designated zones through limitations on modernisation and the conversion of rental apartments into condominiums. Policymakers expect this to have a price-dampening effect and slow gentrification while also anticipating corresponding effects on property markets. This study investigates the long-term empirical effects of these restrictions on the Berlin residential property market and examines how milieu protection affected the purchase prices and transactions of condominiums within Berlin’s MPAs and their surroundings. We relate transaction data from 1991 to 2019 with other neighbourhood characteristics, regress prices, and the number of transactions using geographic information systems and regression difference-in-differences models in different spatial submarkets both inside and outside of the MPAs. Results indicate that milieu protection reduces transaction activity in property markets and regulation has been ineffective in curbing price increases. Meanwhile, limitations on the conversion of former rental flats have led to lower price increases compared to the surrounding areas. This study contributes to the understanding of regulation as a potential determinant of supply and price effects in the property market.
Journal: Journal of Property Research
Pages: 224-251
Issue: 3
Volume: 40
Year: 2023
Month: 07
X-DOI: 10.1080/09599916.2023.2175712
File-URL: http://hdl.handle.net/10.1080/09599916.2023.2175712
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# input file: RJPR_A_2171305_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20
Author-Name: Naoufal Nassili
Author-X-Name-First: Naoufal
Author-X-Name-Last: Nassili
Author-Name: Arnaud Simon
Author-X-Name-First: Arnaud
Author-X-Name-Last: Simon
Author-Name: Richard Malle
Author-X-Name-First: Richard
Author-X-Name-Last: Malle
Title: Connectedness structure of Pan-European Equity REITs
Abstract:
This paper examines the interconnectedness among European equity REITs (Real Estate Investment Trusts) due to increased financialization of the real estate sector and European economic integration. It uses two models, Diebold and Yilmaz's generalised variance decomposition and Barunik and Krehlik's time-frequency dynamics framework. The study covers a sample of 42 Pan-European REITs over a 15-year period from 2004 to 2018 and finds that the connectedness among REITs is influenced by the geographical location and performance of commercial real estate sub-sectors. The dynamic analysis shows that the source of shocks does not determine the persistence, but rather how the markets interpret the shocks during high-frequency intervals. The paper concludes that the connectedness structure among REITs reflects uncertainty interaction, with some effects observed mainly at high frequency levels, and few unexpected shocks found in the long-term stability of REIT returns.
Journal: Journal of Property Research
Pages: 274-310
Issue: 3
Volume: 40
Year: 2023
Month: 07
X-DOI: 10.1080/09599916.2023.2171305
File-URL: http://hdl.handle.net/10.1080/09599916.2023.2171305
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# input file: RJPR_A_2183887_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20
Author-Name: Nicholas A. Phelps
Author-X-Name-First: Nicholas A.
Author-X-Name-Last: Phelps
Author-Name: Julie T. Miao
Author-X-Name-First: Julie T.
Author-X-Name-Last: Miao
Title: ‘It’s the hope I can’t stand’: planning, valuation and new community building
Abstract:
What are the recursive effects of planning on valuations of land, value capture and returns to developers and hence what urban planning can achieve in the building of new urban fringe communities? Valuations affect returns on investment in ways that impact on developer contributions while planning fuels hope in ways that land value capture instruments can never fully realise. We illustrate the discussion with reference to Melbourne, Australia drawing on research interviews with local and state and private sector planners, real estate brokers and valuers. In conclusion, we note the implications of the hope generated by planning for the capture of land value uplifts in the name of new community building; the desirability of integrating insights from the property and planning disciplines; further investigating the temporalities of planning; and the contribution of built environment professions in shaping discourses surrounding the value of planning.
Journal: Journal of Property Research
Pages: 252-273
Issue: 3
Volume: 40
Year: 2023
Month: 07
X-DOI: 10.1080/09599916.2023.2183887
File-URL: http://hdl.handle.net/10.1080/09599916.2023.2183887
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# input file: RJPR_A_2138505_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20
Author-Name: Julia Freybote
Author-X-Name-First: Julia
Author-X-Name-Last: Freybote
Author-Name: Riëtte Carstens
Author-X-Name-First: Riëtte
Author-X-Name-Last: Carstens
Title: Ability to work and health & safety: property user concerns and satisfaction
Abstract:
The satisfaction of property users with facilities and property management has been found to be affected, amongst others, by building features. However, we argue that the importance of building features for user satisfaction varies across user concerns about their ability to work and health & safety. We hypothesise that building comfort increases in importance for the satisfaction of users with ability to work concerns, compared to those without these concerns. Additionally, building cleanliness is of higher importance to users with health & safety concerns than those without. In our empirical analysis, we use a sample of 1,895 respondents from a multi-year survey (2015–2019) and employ mixed-effects regression. Our results are in line with expectations and suggest a moderating effect of user concerns on the relations of building features and user satisfaction. We also find a consistent impact of user expectations on their satisfaction. Our findings are relevant to property and facilities managers as they suggest that accounting for user concerns allows a more differentiate understanding of user satisfaction, which may be particularly important following the COVID-19 pandemic.
Journal: Journal of Property Research
Pages: 209-223
Issue: 3
Volume: 40
Year: 2023
Month: 07
X-DOI: 10.1080/09599916.2022.2138505
File-URL: http://hdl.handle.net/10.1080/09599916.2022.2138505
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# input file: RJPR_A_2222377_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20
Author-Name: Ramya Aroul
Author-X-Name-First: Ramya
Author-X-Name-Last: Aroul
Author-Name: Julia Freybote
Author-X-Name-First: Julia
Author-X-Name-Last: Freybote
Author-Name: Anh Nguyen
Author-X-Name-First: Anh
Author-X-Name-Last: Nguyen
Title: Do informed REIT market participants respond to property sector mispricing?
Abstract:
Sector mispricing represents the deviation of current and long-run sector fundamentals indicating either over- or undervaluation. We focus on the response of informed market participants to property sector mispricing in the context of equity REITs. We argue that REIT market participants such as institutional REIT investors and analysts have an informational advantage due to their access to commercial real estate market data. As a result, they are expected to respond to property sector mispricing. Using a sample of 2,637 firm-quarters of pure play equity REITs over the period of 1993 to 2020, we find that sector mispricing indeed impacts the decision-making of informed REIT market participants. The more overvalued (undervalued) a property sector is, the more institutional investors behave as net sellers (buyers) for REITs with the respective property type specialisation in the next quarter. Similarly, property sector overvaluation (undervaluation) results in lower (higher) net buy recommendations by analysts for REITs in the respective sector in the next quarter. However, our results are driven by smaller REITs and REITs with higher growth options. The sensitivity of institutional REIT investors and analysts to property sector mispricing also varies across different states of trading and recommendations respectively.
Journal: Journal of Property Research
Pages: 311-332
Issue: 4
Volume: 40
Year: 2023
Month: 10
X-DOI: 10.1080/09599916.2023.2222377
File-URL: http://hdl.handle.net/10.1080/09599916.2023.2222377
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# input file: RJPR_A_2199764_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20
Author-Name: Franziska Plößl
Author-X-Name-First: Franziska
Author-X-Name-Last: Plößl
Author-Name: Nino Martin Paulus
Author-X-Name-First: Nino
Author-X-Name-Last: Martin Paulus
Author-Name: Tobias Just
Author-X-Name-First: Tobias
Author-X-Name-Last: Just
Title: Trade vs. daily press: the role of news coverage and sentiment in real estate market analysis
Abstract:
Each week, thousands of newspaper articles on real estate topics are read by market participants. While the market is comparatively intransparent, readers hope to find valuable information. This raises the question of whether this investment of time pays off and whether different types of newspapers are an equivalent source of information. This paper examines the relationship between news-based coverage of real estate topics respectively news-based market sentiment and total returns of the asset classes of residential, office and retail. Using methods of natural language processing, including word embedding, topic modelling and sentiment analysis, three sentiment indicators for each asset class can be derived from 137,000 articles of two trade and two daily newspapers. Our results suggest that trade newspapers outperform daily newspapers in the prediction of future total returns and that the generated sentiment indicators Granger-cause total returns. Moreover, the results indicate that daily newspapers report more negatively on rising returns in the residential market than the trade press. To the best knowledge of the authors, this is the first study to quantify news coverage and sentiment for the main real estate asset classes through means of textual analysis, and to assess different sentiments in trade and daily press.
Journal: Journal of Property Research
Pages: 333-364
Issue: 4
Volume: 40
Year: 2023
Month: 10
X-DOI: 10.1080/09599916.2023.2199764
File-URL: http://hdl.handle.net/10.1080/09599916.2023.2199764
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# input file: RJPR_A_2199758_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20
Author-Name: Celal Erdogdu
Author-X-Name-First: Celal
Author-X-Name-Last: Erdogdu
Author-Name: Kerem Yavuz Arslanli
Author-X-Name-First: Kerem Yavuz
Author-X-Name-Last: Arslanli
Title: Analysis of the factors affecting petrol station values in Turkey
Abstract:
This study aims to provide the users with formulas for petrol station value estimation activities in Turkey. Firstly, 432 advertisements were used to estimate the asking price of the real estate listings dataset. Secondly, data obtained from 239 valuation reports were used to estimate value. The data were analysed with regression analysis, the variables were found to explain 68.7% of the asking price in the advertisement data and 90.7% of the value in the valuation reports. The results indicated that users could estimate the value of a petrol station by using some of the advertisement data or valuation reports in the estimation. This study can help valuers, especially in cases where access to the actual sales data is required for the market approach, the data needed for the cost approach, and the time needed for value estimation are limited. Our findings indicate that the share of ancillary revenues in the total revenues of petrol stations increased. In Turkey, the revenues of petrol stations, and the revenues from sales of petroleum products increased by 189%, and ancillary revenues by 326% from 2016 to 2021. Moreover, the value of petrol stations belong to one of the five major dealers increase by 24.4%.
Journal: Journal of Property Research
Pages: 391-412
Issue: 4
Volume: 40
Year: 2023
Month: 10
X-DOI: 10.1080/09599916.2023.2199758
File-URL: http://hdl.handle.net/10.1080/09599916.2023.2199758
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# input file: RJPR_A_2206823_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20
Author-Name: Bastian Krämer
Author-X-Name-First: Bastian
Author-X-Name-Last: Krämer
Author-Name: Moritz Stang
Author-X-Name-First: Moritz
Author-X-Name-Last: Stang
Author-Name: Vanja Doskoč
Author-X-Name-First: Vanja
Author-X-Name-Last: Doskoč
Author-Name: Wolfgang Schäfers
Author-X-Name-First: Wolfgang
Author-X-Name-Last: Schäfers
Author-Name: Tobias Friedrich
Author-X-Name-First: Tobias
Author-X-Name-Last: Friedrich
Title: Automated valuation models: improving model performance by choosing the optimal spatial training level
Abstract:
The academic community has discussed using Automated Valuation Models (AVMs) in the context of traditional real estate valuations and their performance for several decades. Most studies focus on finding the best method for estimating property values. One aspect that has not yet to be studied scientifically is the appropriate choice of the spatial training level. The published research on AVMs usually deals with a manually defined region and fails to test the methods used on different spatial levels. Our research aims to investigate the impact of training AVM algorithms at different spatial levels regarding valuation accuracy. We use a dataset with 1.2 million residential properties from Germany and test four methods: Ordinary Least Square, Generalised Additive Models, eXtreme Gradient Boosting and Deep Neural Network. Our results show that the right choice of spatial training level can significantly impact the model performance, and that this impact varies across the different methods.
Journal: Journal of Property Research
Pages: 365-390
Issue: 4
Volume: 40
Year: 2023
Month: 10
X-DOI: 10.1080/09599916.2023.2206823
File-URL: http://hdl.handle.net/10.1080/09599916.2023.2206823
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# input file: RJPR_A_2269956_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20231214T103247 git hash: d7a2cb0857
Author-Name: Ahmad Gamal
Author-X-Name-First: Ahmad
Author-X-Name-Last: Gamal
Author-Name: Risty Khoirunisa
Author-X-Name-First: Risty
Author-X-Name-Last: Khoirunisa
Author-Name: Iman Muhtadi
Author-X-Name-First: Iman
Author-X-Name-Last: Muhtadi
Title: Urban clusters and land price variation in Jakarta, Indonesia
Abstract:
Jakarta’s dynamism is impacted profoundly by the growing economic activity of urban agglomeration. The high intensity of urban economic activities has transformed the capital’s spatial configuration with the emergence of concentrated commercial areas, so-called urban clusters. The agglomeration stimulated an increased demand for commercial property, raising the need for land parcels. Theoretically, various determinant attributes influence land value; one of them is the location aspect. Location was often measured using the distance calculation method despite the questionable accuracy of the current city spatial structure. This research analyzes a new location attribute by considering spatial design and configuration, specifically from the arrangement of the surrounding environments. This study quantifies the degree of clusterization of an area and finds its relation to land value. We found that spatial clusterization positively correlates to the land value by 0.172%, and clusterization creates real estate advantages by adding more value to the properties within the cluster.
Journal: Journal of Property Research
Pages: 71-93
Issue: 1
Volume: 41
Year: 2024
Month: 01
X-DOI: 10.1080/09599916.2023.2269956
File-URL: http://hdl.handle.net/10.1080/09599916.2023.2269956
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# input file: RJPR_A_2296442_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20231214T103247 git hash: d7a2cb0857
Author-Name: Mats Wilhelmsson
Author-X-Name-First: Mats
Author-X-Name-Last: Wilhelmsson
Author-Name: Henrik Roos
Author-X-Name-First: Henrik
Author-X-Name-Last: Roos
Title: Age-related depreciation of older properties
Abstract:
The value of a property tends to decrease over time as it ages, resulting in a reduced ability to generate the same value. Property depreciation is a multifaceted concept that encompasses both technical and economic aspects. The purpose of the study is to evaluate whether additional information on the quality of older single-family homes affected the depreciation factor. We collected specific data from property owners on the frequency of various maintenance and reinvestment operations, both internal and external, such as the roof, foundation, heating, and kitchen. Our database consists of nearly 10,000 owner-occupied single-family houses in Sweden sold between the beginning of 2021 and 2022 that are over 30 years old. Our results show, as expected, that the depreciation per year for older properties is lower. However, for older properties that have been renovated, the age-related price effect is an appreciation. This is especially true for older properties built before 1940. Renovating and maintaining older properties can mitigate the age-related decline in prices and should be taken into account when valuing properties, especially properties older than 80 years.
Journal: Journal of Property Research
Pages: 44-70
Issue: 1
Volume: 41
Year: 2024
Month: 01
X-DOI: 10.1080/09599916.2023.2296442
File-URL: http://hdl.handle.net/10.1080/09599916.2023.2296442
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# input file: RJPR_A_2254788_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20231214T103247 git hash: d7a2cb0857
Author-Name: Carina Kaiser
Author-X-Name-First: Carina
Author-X-Name-Last: Kaiser
Author-Name: Julia Freybote
Author-X-Name-First: Julia
Author-X-Name-Last: Freybote
Title: Tenant stock market performance and retail Real Estate prices
Abstract:
We investigate the predictive value of tenant stock market performance for retail real estate transaction prices. In our empirical investigation, we focus on discount and non-discount (i.e. premium and mid-tier) department stores, which represent important anchor tenant groups in general-purpose shopping centres. We first show that the industry-level stock market performance of non-discount department stores, but not discount department stores, predicts retail real estate investor sentiment and total returns in the next quarter. Explanations for our findings include the struggles of non-discount department stores with changing consumer preferences, e-commerce, and discount competition, which affect their credit, bankruptcy, and store closure risk. Using a sample of 5,507 general-purpose shopping centre transactions, we then provide evidence that the stock market performance of non-discount department stores in the previous quarter has a positive relationship with transaction prices for shopping centres in lower quality locations (suburban) and of lower property quality. The stock market performance of discount department stores only has predictive value for transaction prices of malls with the highest risk to investors.
Journal: Journal of Property Research
Pages: 23-43
Issue: 1
Volume: 41
Year: 2024
Month: 01
X-DOI: 10.1080/09599916.2023.2254788
File-URL: http://hdl.handle.net/10.1080/09599916.2023.2254788
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# input file: RJPR_A_2279761_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20231214T103247 git hash: d7a2cb0857
Author-Name: Song Shi
Author-X-Name-First: Song
Author-X-Name-Last: Shi
Author-Name: Shuping Wu
Author-X-Name-First: Shuping
Author-X-Name-Last: Wu
Author-Name: Zan Yang
Author-X-Name-First: Zan
Author-X-Name-Last: Yang
Title: Competitive advantages and the proximity of investment: evidence from Hong Kong-listed real estate development firms in Mainland China
Abstract:
This study examines the investment behaviour of Hong Kong-based real estate firms in Mainland China. Using a sample of individual land transactions, we find that firms with higher value of growth options, as perceived in the capital market, are more likely to invest actively and further away from their home base. However, over time, Hong Kong developers tend to decrease their level of activity in Mainland China, indicating that the ‘liability of foreignness’ becomes a significant challenge. Our findings highlight the importance of balancing strategic expansion with the inherent risks of operating in distant emerging markets.
Journal: Journal of Property Research
Pages: 1-22
Issue: 1
Volume: 41
Year: 2024
Month: 01
X-DOI: 10.1080/09599916.2023.2279761
File-URL: http://hdl.handle.net/10.1080/09599916.2023.2279761
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# input file: RJPR_A_2339805_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a
Author-Name: Karl-Friedrich Keunecke
Author-X-Name-First: Karl-Friedrich
Author-X-Name-Last: Keunecke
Author-Name: Cay Oertel
Author-X-Name-First: Cay
Author-X-Name-Last: Oertel
Title: Importance of the innovation term for GARCH modelling of direct real estate returns
Abstract:
The autoregressive heteroscedastic effects of the conditional volatility processes of direct real estate (capital value) returns are subject to a broad range of econometrics. However, while many specifications have been utilised in the empirical design, the literature has commonly modelled the innovation term within the GARCH volatility processes of real estate capital values through a Gaussian normal distribution. This a priori assumption falls short of the data characteristics exhibited by capital value returns, implying that capital value returns cannot be adequately modelled without adapting to the innovation term distribution. Misspecification can underestimate risk and lead to the over-allocation of riskier assets. This study investigates the impact of the a priori assumption about the innovation terms applied to capital value returns, as well as their robustness, through a time-varying framework. The main findings are that misspecification and parameterisation occur when assuming the normality of the innovation term, and that the application of a priori assumptions of the innovation term beyond those of a normal, Student’s t, or generalised error distribution currently employed in the literature can increase the validity of volatility models when applied to capital value returns. The application of the Johnson – SU distribution yields the best overall performance.
Journal: Journal of Property Research
Pages: 95-125
Issue: 2
Volume: 41
Year: 2024
Month: 04
X-DOI: 10.1080/09599916.2024.2339805
File-URL: http://hdl.handle.net/10.1080/09599916.2024.2339805
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# input file: RJPR_A_2308908_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a
Author-Name: Alan R. Pope
Author-X-Name-First: Alan R.
Author-X-Name-Last: Pope
Author-Name: Martin R. Young
Author-X-Name-First: Martin R.
Author-X-Name-Last: Young
Title: Urban ground leases: a cross-country comparison
Abstract:
The ground lease is a form of land tenure where the property rights are split between the lessor (landowner) and the lessee (land user). Additional ground lease features, such as the obligation to pay ground rent, depend on factors including the legal framework and lessor requirements. Ground lease features can lead to interpretation problems for ground leaseholders and even valuers, such as misunderstanding the extent of ground rent review. This paper examines location-based differences in order to highlight ground lease variability across countries. The term ‘ground lease’ is effectively a catch-all term for a tenure type that can display considerable differences depending on the location. Recognition of potential ground lease pitfalls and how ground leases differ across jurisdictions is necessary in an increasingly connected world. This paper advocates for uniform international ground lease terminology that more completely explains the extent of tenure rights of each ground lease.
Journal: Journal of Property Research
Pages: 126-146
Issue: 2
Volume: 41
Year: 2024
Month: 04
X-DOI: 10.1080/09599916.2024.2308908
File-URL: http://hdl.handle.net/10.1080/09599916.2024.2308908
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# input file: RJPR_A_2317160_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a
Author-Name: Abdul-Rasheed Amidu
Author-X-Name-First: Abdul-Rasheed
Author-X-Name-Last: Amidu
Author-Name: Deborah Levy
Author-X-Name-First: Deborah
Author-X-Name-Last: Levy
Author-Name: Hassan Shuaibu Liman
Author-X-Name-First: Hassan Shuaibu
Author-X-Name-Last: Liman
Author-Name: Jessica Sneha Gray
Author-X-Name-First: Jessica Sneha
Author-X-Name-Last: Gray
Title: Writing effective narrative valuation reports: the storytelling imperative
Abstract:
The modern valuation profession faces a significant challenge in providing high-quality narrative reports that are both effective and customisable. Clear communication of the valuation story is essential, yet there is a recognised gap in understanding how to implement storytelling successfully within narrative valuation reports. This study aims to bridge this gap using semi-structured, in-depth interviews with 19 New Zealand valuers to explore the essential principles of crafting effective narrative valuation reports. This study identifies six critical components of valuation storytelling that are necessary for a high-quality narrative report: accuracy, balance, clarity, data-driven, efficiency in using multimodal tools, and reporting flawlessness. The establishment of strong relationships and robust processes within valuation practices is emphasised to reinforce these principles. This study also proposes a conceptual framework for valuation storytelling and suggests incorporating this framework into professional guidelines to equip emerging valuers with compelling narrative valuation reports.
Journal: Journal of Property Research
Pages: 166-191
Issue: 2
Volume: 41
Year: 2024
Month: 04
X-DOI: 10.1080/09599916.2024.2317160
File-URL: http://hdl.handle.net/10.1080/09599916.2024.2317160
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# input file: RJPR_A_2286244_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a
Author-Name: Nida Naeem
Author-X-Name-First: Nida
Author-X-Name-Last: Naeem
Author-Name: Irfan Ahmad Rana
Author-X-Name-First: Irfan Ahmad
Author-X-Name-Last: Rana
Title: Exploring needs, choices, and preferences of homebuyers in Islamabad, Pakistan
Abstract:
Given the multitude of factors to consider, selecting a home to buy or rent is a significant decision, and consumer behaviour plays a crucial role in this process. This study aims to shed light on consumer needs, choices, and preferences that influence the decision-making of homebuyers in Islamabad, Pakistan. To achieve this objective, a questionnaire was designed that incorporated factors extracted from existing literature on household needs, neighbourhood characteristics, consumer engagement and marketing factors, and investment determinants. Data was collected from 450 households in selected housing schemes in Islamabad, Pakistan, using a random sampling technique. Descriptive analysis, Kendell’s W, and chi-square tests to understand needs, choices, and preferences. Analysis revealed that water availability and a proper drainage system were critical factors consumers consider when purchasing a property, followed by the proximity to public transport, workplaces, shopping centres, and airports. The results indicate that billboard marketing significantly impacted people’s decision to purchase a particular property, followed by social media, the brand reputation of the developer/builder, marketing through television channels, and newspaper advertisements. Regarding investment determinants, affordability was the most critical factor that consumers considered when making a purchasing decision.
Journal: Journal of Property Research
Pages: 147-165
Issue: 2
Volume: 41
Year: 2024
Month: 04
X-DOI: 10.1080/09599916.2023.2286244
File-URL: http://hdl.handle.net/10.1080/09599916.2023.2286244
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Handle: RePEc:taf:jpropr:v:41:y:2024:i:2:p:147-165