Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089519_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Stephen Roulac Author-X-Name-First: Stephen Author-X-Name-Last: Roulac Title: Real Estate Market Cycles, Transformation Forces and Structural Change Abstract: Executive Summary. Effective real estate investing depends to a very large extent on understanding real estate market cycles, transformation forces and structural changes. The essence of real estate portfolio management is crafting strategies that reflect insights into and the appropriate differentiation between (1) the cyclic phenomena (that may be expected to recur, albeit in perhaps different forms); (2) forces that transform society's relationship to place and space; and (3) structural change that is both different from what has been before and also long-lived and profound in impact. Differentiating market cycles, transformation forces and structural change from trends that may reflect a nonrecurring, short-lived pattern of preference or activity is basic to effective real estate portfolio management.The real estate market ultimately is influenced by what happens in the overall economy, for it is the space-using needs of businesses, households and community services that create the demand for real estate. Understanding real estate cycles requires consideration of the cycles that occur in the capital markets broadly and the interaction of real estate and the broad capital markets specifically. Understanding both the new economy and the new real estate market is fundamental to addressing the relevance of the real estate market cycle.Effective real estate portfolio management is an ongoing process of monitoring markets to design investing strategies that distinguish between first-order change within the system and second-order change of the system. The challenge and opportunity are to translate the implications of market cycles and trends in the context of fundamental change that transforms property performance into operational models to forecast estimates of rents, vacancies, operating expenses, discount rates, and ultimately into calculations of present value and rates of return. Understanding and applying the understanding of market cycles, change and trends will be of increasing importance to institutional investors in future years. Journal: Journal of Real Estate Portfolio Management Pages: 1-17 Issue: 1 Volume: 2 Year: 1996 Month: 1 X-DOI: 10.1080/10835547.1996.12089519 File-URL: http://hdl.handle.net/10.1080/10835547.1996.12089519 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:2:y:1996:i:1:p:1-17 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089520_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: John Williams Author-X-Name-First: John Author-X-Name-Last: Williams Title: Real Estate Portfolio Diversification and Performance of the Twenty Largest MSAs Abstract: Executive Summary. This study evaluates the relative portfolio performance of the twenty largest MSAs by population through the application of modern portfolio theory (MPT) to economic base analysis. Each MSA is treated as a single portfolio comprised of the local industries and government services. Using employment and wage data covering the latest complete business cycle (peak July 81 to July 90 peak), portfolio risk, portfolio return and a relative risk estimate (“metro beta”) were calculated for each MSA. Covariances of employment changes between industries and governmental sectors were computed to determine the “portfolio risk”. Correlations of changes in aggregate employment between the MSAs were also computed in order to examine geographical diversification. In addition, the mean-variance efficiency of several naive portfolios was examined and the portfolios ranked.Findings from this study indicate that economic base diversification by industry and government services at the MSA level yield diversification benefits for portfolios. Moreover, geographical diversification, based on correlations between MSAs, yields portfolio benefits that are superior to the naive approaches that were tested. This study provides institutional real estate investors with an another technique for improving the performance of their real estate portfolios. Journal: Journal of Real Estate Portfolio Management Pages: 19-30 Issue: 1 Volume: 2 Year: 1996 Month: 1 X-DOI: 10.1080/10835547.1996.12089520 File-URL: http://hdl.handle.net/10.1080/10835547.1996.12089520 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:2:y:1996:i:1:p:19-30 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089521_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Edward Farragher Author-X-Name-First: Edward Author-X-Name-Last: Farragher Author-Name: Robert Kleiman Author-X-Name-First: Robert Author-X-Name-Last: Kleiman Title: A Re-Examination of Real Estate Investment Decisionmaking Practices Abstract: Executive Summary. This study attempts to ascertain the extent to which institutional real estate investors use sophisticated decisionmaking practices. It expands on earlier studies by surveying a wider cross-section of investors and by considering a more comprehensive decisionmaking process. Overall, it appears that the responding institutional real estate investors employ fairly sophisticated investment decisionmaking practices.Strategic analysis is a regular practice for most respondents. Eighty-three percent of the respondents quantify their return objective, but only 64% quantify their risk objective. Most forecast before-tax, cash returns over a ten-year investment horizon. Almost all (94%) require estimates of annual, operating returns, but far fewer require estimates of resale return (60%), tax savings (10%), or refinancing returns (24%). Almost all the respondents require a hazardous waste report, but less that half require a formal feasibility analysis or an independent appraisal. Formal quantitative risk analysis is required by only one-third of the respondents with sensitivity analysis, scenario analysis, and high-average-low forecasting being the preferred tools. Only 35% make formal risk adjustments. The most popular evaluation measures are the discounted cash flow measures, which are required by 68% of the respondents. Approximately three-quarters of the respondents require a formal implementation plan, but post-auditing is required by only 61% of the respondents. Journal: Journal of Real Estate Portfolio Management Pages: 31-39 Issue: 1 Volume: 2 Year: 1996 Month: 1 X-DOI: 10.1080/10835547.1996.12089521 File-URL: http://hdl.handle.net/10.1080/10835547.1996.12089521 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:2:y:1996:i:1:p:31-39 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089522_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Youguo Liang Author-X-Name-First: Youguo Author-X-Name-Last: Liang Author-Name: James Webb Author-X-Name-First: James Author-X-Name-Last: Webb Title: The Hedged REIT Index and Mixed-Asset Portfolios Abstract: Executive Summary. As international investing becomes more and more popular, studies of mixed-asset portfolios can no longer ignore foreign securities. This study investigates the role of U.S. commercial real estate in mixed-asset portfolios consisting of U.S. common stocks, U.S. bonds and international common equity. Historically, real estate performance has been measured by appraisal-based indices, such as the Russell-NCREIF index. It is well known that these indices suffer from appraisal-smoothing and seasonality problems. Therefore, using the Russell-NCREIF index, for example, in asset allocation decisions might be incorrect because the estimated correlations of real estate with other assets and the estimated volatility of real estate tend to be biased. A hedged equity REIT index, which reflects the returns of equity REITs after the effects of the general stock market are removed from REIT returns, is used in this study to proxy the performance of commercial real estate. The results indicate that investors should diversify into commercial real estate and international equity. For example, an efficient portfolio, which has the same expected return as a traditional portfolio of 60% stocks and 40% bonds, should have 44% of its funds in U.S. commercial real estate, 26% in U.S. common stocks, 19% in international common stocks, and 11% in U.S. bonds. Journal: Journal of Real Estate Portfolio Management Pages: 55-61 Issue: 1 Volume: 2 Year: 1996 Month: 1 X-DOI: 10.1080/10835547.1996.12089522 File-URL: http://hdl.handle.net/10.1080/10835547.1996.12089522 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:2:y:1996:i:1:p:55-61 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089523_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Pete Oppenheimer Author-X-Name-First: Pete Author-X-Name-Last: Oppenheimer Title: Hedging REIT Returns Using the Futures Markets Abstract: Executive Summary. Modern portfolio theory demonstrates that investors minimize risk by diversifying their holdings over asset classes containing different return patterns. Past research in real estate has compared returns on direct ownership in real estate assets with equity instruments for their portfolio diversification benefits and inflation hedging characteristics. Also, the literature has examined REIT returns for their co-movement with inflation, common stock returns, and returns generated from direct ownership in real estate. Specialty mutual funds that invest in a single industry attempt to diversify risk by purchasing equity interests across a broad range of companies within the industry. In addition, a manager may use the futures markets for hedging against industry risk.This study uses historical market data to investigate hedging a REIT portfolio with stock and Treasury future contracts. Johnson's (1960) minimum variance hedging strategy is used to reduce the systematic risk in a REIT portfolio. Stepwise multiple regression identifies futures contracts that contain significant (positive or negative) correlation with the returns from the REIT portfolio. The regression equation's betas represent the optimal hedging ratios for the number of futures contracts needed to minimize the variance of the REIT portfolio's returns. Results of the study show that futures contracts on Treasury debts provide the best cross-hedging during the period of study. This may be due to investors' yield expectations forcing REIT returns to perform similar to debt instruments. Problems associated with using historical return data to construct ex-ante hedging ratios compared to ex-post hedging ratios are also demonstrated. In addition, the Working's (1953) hedging strategy is discussed as an alternative to Johnson's minimum variance hedging strategy. Journal: Journal of Real Estate Portfolio Management Pages: 41-53 Issue: 1 Volume: 2 Year: 1996 Month: 1 X-DOI: 10.1080/10835547.1996.12089523 File-URL: http://hdl.handle.net/10.1080/10835547.1996.12089523 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:2:y:1996:i:1:p:41-53 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089524_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: E. Hastings Author-X-Name-First: E. Author-X-Name-Last: Hastings Author-Name: Ling Hin Li Author-X-Name-First: Ling Hin Author-X-Name-Last: Li Title: Mainland Chinese Investment in Hong Kong Real Estate Abstract: Executive Summary. Over the last twenty years the People's Republic of China has become an increasingly attractive location for overseas investment monies. This inflow of funds, together with a relaxation in the socioeconomic climate, has assisted in the creation of a booming economy, which in turn has generated a large number of cash-rich local companies looking for investment opportunities. The continuation of China's open door policy has allowed such funds to consider investment opportunities outside the mainland, and Hong Kong, a conveniently located market economy, provides both a comfortable environment and an ideal training ground for mainland Chinese enterprises to gain experience in capitalist investment strategies. Since real estate plays a major part in the Hong Kong economy, the Chinese investment funds have also chosen to participate in this sector. In this study, the trend of investment patterns of funds from mainland China and the implications of the involvement of such funds in the Hong Kong real estate market are examined. Journal: Journal of Real Estate Portfolio Management Pages: 75-89 Issue: 1 Volume: 2 Year: 1996 Month: 1 X-DOI: 10.1080/10835547.1996.12089524 File-URL: http://hdl.handle.net/10.1080/10835547.1996.12089524 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:2:y:1996:i:1:p:75-89 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089525_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Glenn Mueller Author-X-Name-First: Glenn Author-X-Name-Last: Mueller Title: Can You Mix Private Market and Public Market Real Estate in Your Portfolio? Journal: Journal of Real Estate Portfolio Management Pages: 91-93 Issue: 1 Volume: 2 Year: 1996 Month: 1 X-DOI: 10.1080/10835547.1996.12089525 File-URL: http://hdl.handle.net/10.1080/10835547.1996.12089525 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:2:y:1996:i:1:p:91-93 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089526_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Christopher Barry Author-X-Name-First: Christopher Author-X-Name-Last: Barry Author-Name: Mauricio Rodriguez Author-X-Name-First: Mauricio Author-X-Name-Last: Rodriguez Author-Name: Joseph Lipscomb Author-X-Name-First: Joseph Author-X-Name-Last: Lipscomb Title: Diversification Potential from Real Estate Companies in Emerging Capital Markets Abstract: Executive Summary. This study uses the Emerging Markets Data Base from the International Finance Corporation to examine emerging market real estate as an asset class using data on companies classified as real estate firms by SIC codes. It documents the paucity of such firms until very recent years and notes some limitations in their use as proxies for the underlying real estate investment opportunities. Nevertheless, the results indicate that real estate in emerging markets provides diversification benefits to common stock portfolios and real estate portfolios. Emerging market real estate has experienced high risk in recent years, but the returns from emerging market real estate have generally low correlations with the returns on portfolios of developed-market stocks and/or real estate. This study also describes investment restrictions that limit foreign access to direct investment in emerging market real estate. The relaxation of such restrictions in the case of other asset classes has been met with significant increases in market values. Finally, institutional facts about emerging markets that have acted to limit public ownership of real estate assets within those markets are described. Journal: Journal of Real Estate Portfolio Management Pages: 107-118 Issue: 2 Volume: 2 Year: 1996 Month: 1 X-DOI: 10.1080/10835547.1996.12089526 File-URL: http://hdl.handle.net/10.1080/10835547.1996.12089526 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:2:y:1996:i:2:p:107-118 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089527_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Gerald Brown Author-X-Name-First: Gerald Author-X-Name-Last: Brown Author-Name: Edward Schuck Author-X-Name-First: Edward Author-X-Name-Last: Schuck Title: Optimal Portfolio Allocations to Real Estate Abstract: Executive Summary. The relatively low allocations to real estate in U.S. and U.K. institutional portfolios continues to conflict with those suggested by academic studies. Reasons put forward to explain the discrepancy have included the use of historic data, instead of expectations for the future; the use of smoothed real estate return indices, which underestimate the real estate risk/return relationship and differences in the amount of leverage used to finance real estate. Although these factors may provide some explanation for the allocation problem, they do not appear to fully explain the wide variations between theory and practice.This study adopts a bootstrapping approach to derive ex-ante estimates of risk and correlations between common stocks and real estate for use in a mean-variance analysis. A dynamic optimisation approach is also undertaken by allowing the inputs to the model to vary. The effects that this has on optimal allocations to real estate in a two-asset portfolio are then explored. The impact of differences in portfolio size is also examined. A simulation model is estimated that shows it is possible to justify a wide range of allocations to real estate. The final choice of allocation depends upon the forecasting skill of real estate investors. If, on average, forecasting skill is poor, it can be shown that the low allocations observed in practice can be justified within a traditional risk/return framework. Introducing the possibility of investing in a riskless asset further justifies the current low allocations to real estate. Journal: Journal of Real Estate Portfolio Management Pages: 63-73 Issue: 2 Volume: 2 Year: 1996 Month: 1 X-DOI: 10.1080/10835547.1996.12089527 File-URL: http://hdl.handle.net/10.1080/10835547.1996.12089527 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:2:y:1996:i:2:p:63-73 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089528_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Michael Young Author-X-Name-First: Michael Author-X-Name-Last: Young Title: Capital Expenditures: Be Careful How You Count Journal: Journal of Real Estate Portfolio Management Pages: 169-174 Issue: 2 Volume: 2 Year: 1996 Month: 1 X-DOI: 10.1080/10835547.1996.12089528 File-URL: http://hdl.handle.net/10.1080/10835547.1996.12089528 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:2:y:1996:i:2:p:169-174 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089529_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Petros Sivitanides Author-X-Name-First: Petros Author-X-Name-Last: Sivitanides Title: Property-Type Diversification in Real Estate Portfolios: Multi-Period Return Measures vs Single-Period Return Measures Abstract: Executive Summary. This study utilizes historical NCREIF data to calculate three series of internal rates-of-return for four property types. These estimates are subsequently used for the derivation of return and risk measures that are compared to respective measures derived on the basis of annual returns. Both measures are eventually used in combination with the mean-variance model for the derivation of optimal allocations across property types. The results suggest that the use of annual returns, as opposed to IRRs, in asset allocation models, may lead to overestimation of expected returns, risks and diversification benefits of optimal portfolios, as well as to inefficient or suboptimal allocations of funds across property types. Journal: Journal of Real Estate Portfolio Management Pages: 127-140 Issue: 2 Volume: 2 Year: 1996 Month: 1 X-DOI: 10.1080/10835547.1996.12089529 File-URL: http://hdl.handle.net/10.1080/10835547.1996.12089529 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:2:y:1996:i:2:p:127-140 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089530_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Emil Malizia Author-X-Name-First: Emil Author-X-Name-Last: Malizia Title: Economic Fundamentals and the Performance of Warehouse Property in Large U.S. Metropolitan Areas Abstract: Executive Summary. The economic fundamentals of large metropolitan areas appear to influence the performance of warehouse properties located in these areas and may offer useful criteria for establishing real estate diversification categories. Economic fundamentals (centrality, diversity and resilience), as well as growth, stability, specialization, and other economic factors are used to establish diversification categories. Metropolitan areas are grouped by these categories, and warehouse property returns for these categories are compared. The differences in returns between categories for most economic factors are not statistically significant. The differences are statistically significant for stability and when centrality, diversity and resilience are used together. Journal: Journal of Real Estate Portfolio Management Pages: 159-168 Issue: 2 Volume: 2 Year: 1996 Month: 1 X-DOI: 10.1080/10835547.1996.12089530 File-URL: http://hdl.handle.net/10.1080/10835547.1996.12089530 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:2:y:1996:i:2:p:159-168 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089531_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Richard Gold Author-X-Name-First: Richard Author-X-Name-Last: Gold Title: The Use of MPT for Real Estate Portfolios in an Uncertain World Abstract: Executive Summary. This study examines the impact of uncertainty on the asset allocation algorithm. By “bootstrapping” the error terms from OLS-generated equations, multiple frontiers are estimated and “areas of indifference” are created. Since these alternative portfolios are as “efficient” as the original portfolios on the unperturbed frontier, the unique solution provided by traditional mean-variance optimization techniques is called into question. The analysis concludes that ranges, rather than specific investment targets, should be the preferred method of mean-variance optimization. Ranges are not only statistically robust, but also circumvent many of the practical problems associated with owning an illiquid asset, such as valuation issues and lumpiness.Second, the study also examines the role of multifamily housing in a real estate portfolio in the presence of uncertainty. Using econometrically determined ex ante property-type returns, the model's results suggest that most institutional portfolios are likely to be significantly underweighted in apartments using traditional asset allocation techniques. Journal: Journal of Real Estate Portfolio Management Pages: 95-106 Issue: 2 Volume: 2 Year: 1996 Month: 1 X-DOI: 10.1080/10835547.1996.12089531 File-URL: http://hdl.handle.net/10.1080/10835547.1996.12089531 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:2:y:1996:i:2:p:95-106 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089532_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: James Webb Author-X-Name-First: James Author-X-Name-Last: Webb Author-Name: Neil Myer Author-X-Name-First: Neil Author-X-Name-Last: Myer Title: Management Style and Asset Allocation in Real Estate Portfolios Abstract: Executive Summary. This study applies the management style model developed by Sharpe to the returns on private equity real estate. Returns from twenty-six open-end and closed-end commingled funds over the period from the fourth quarter of 1989 to the third quarter of 1995 are used to estimate implied allocations for five property types (office, retail, R&D office, warehouse, apartment). These allocations are then compared to the actual allocations for these funds. For many funds the returns on the five property-type portfolios are able to explain an important part of the variation in the fund's return. The ability to reproduce the actual allocations of the portfolios is somewhat less impressive. For a small, but not insignificant, portion of the funds, the property type has little ability to explain the fund's returns. Journal: Journal of Real Estate Portfolio Management Pages: 119-125 Issue: 2 Volume: 2 Year: 1996 Month: 1 X-DOI: 10.1080/10835547.1996.12089532 File-URL: http://hdl.handle.net/10.1080/10835547.1996.12089532 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:2:y:1996:i:2:p:119-125 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089533_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Y. Chiang Author-X-Name-First: Y. Author-X-Name-Last: Chiang Author-Name: S. Ganesan Author-X-Name-First: S. Author-X-Name-Last: Ganesan Title: Property Investment in Hong Kong Abstract: Executive Summary. In this article, Hong Kong transaction-based data collected during the 1980s and 1990s seems to confirm European and American findings that, in terms of risk and return, direct property investment is superior to that of property stocks. Returns from property investment also have a low correlation with that of stocks. Analyses based on the security market line show that property investment in the office, retail, industrial, and residential sectors all yield returns higher than what the market, comprising both property and stocks, required during the decade between 1984 and 1995. Such characteristics suggest that institutional investors in Hong Kong should have included direct property in their portfolios in order to capitalise on its diversification potential and its return/risk superiority. However, direct property is seldom included in their portfolios.This exclusion of direct property from portfolios by fund managers is attributed to the segmentation of the property and stock markets, and the large proportion of unsystematic risk of direct property investment. In contrast to stock investments, direct property investment has the problems of lumpiness and illiquidity, as well as higher information, transaction and management costs. In addition, investment managers of investment funds may perceive property investment as highly risky and out of their specialization.However, in view of the growing importance of institutional investors in Hong Kong, alternative opportunities promoting better rewards should be explored. Despite its peculiarities, direct property investment, or its securitisation, remains a likely candidate for inclusion in portfolios to achieve this goal. After all, only the institutional funds have enough muscle to diversify the unsystematic risk of direct property investment and capitalise on its diversification potential and return/risk superiority. Journal: Journal of Real Estate Portfolio Management Pages: 141-158 Issue: 2 Volume: 2 Year: 1996 Month: 1 X-DOI: 10.1080/10835547.1996.12089533 File-URL: http://hdl.handle.net/10.1080/10835547.1996.12089533 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:2:y:1996:i:2:p:141-158 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089534_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a 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: Real Estate Portfolio Analysis under Conditions of Non-Normality: The Case of NCREIF Abstract: Executive Summary. Modern portfolio theory, (MPT) has increasingly been applied in the area of real estate analysis in order to examine and justify the place of real estate in the mixed-asset portfolio. However the application of MPT presents a number of theoretical problems when the data exhibits non-normality.This study outlines these difficulties, and presents a portfolio selection model based on the Mean Absolute Deviation (MAD). This method can address the problems and produces results that are essentially identical to those produced by MPT. This study demonstrates the MAD method, and applies it to the NCREIF regional data over the period from 1Q1983 to 4Q1994. Journal: Journal of Real Estate Portfolio Management Pages: 37-46 Issue: 1 Volume: 3 Year: 1997 Month: 1 X-DOI: 10.1080/10835547.1997.12089534 File-URL: http://hdl.handle.net/10.1080/10835547.1997.12089534 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:3:y:1997:i:1:p:37-46 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089535_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: John Baen Author-X-Name-First: John Author-X-Name-Last: Baen Author-Name: Randall Guttery Author-X-Name-First: Randall Author-X-Name-Last: Guttery Title: The Coming Downsizing of Real Estate: Implications of Technology Abstract: Executive Summary. Currently there is explosive growth in the availability of databases that may be merged to create “user friendly” real estate-related market information and services. A reduction in traditional personal customer services required (e.g., Competitive Market Analysis), and the ease of collection, assimilation, and processing of information, will have major implications for the real estate industry and future employment prospects. This study collects employment trends by SIC codes and other sources, and analyzes the rapid changes occurring in the areas of real estate brokerage, finance, appraisal, leasing and title insurance, due to technology. The findings suggest that the number of real estate participants currently employed should decline significantly because of increased efficiencies. Property buyers and sellers may eventually receive an income transfer from licensed agents, lenders, appraisers, attorneys, and loan servicers. Journal: Journal of Real Estate Portfolio Management Pages: 1-18 Issue: 1 Volume: 3 Year: 1997 Month: 1 X-DOI: 10.1080/10835547.1997.12089535 File-URL: http://hdl.handle.net/10.1080/10835547.1997.12089535 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:3:y:1997:i:1:p:1-18 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089536_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Thomas Thomson Author-X-Name-First: Thomas Author-X-Name-Last: Thomson Title: Long-Term Portfolio Returns from Timber and Financial Assets Abstract: Executive Summary. This study estimates inflation adjusted multiperiod portfolio returns from direct real estate investments in Douglas fir and Southern pine timber stands combined with common stocks, corporate bonds, U.S. Government bonds, and U.S. Government Treasury bills over the fifty-eight-year period 1937-1994. A theoretical timber returns benchmark is created that is highly correlated to historical timber prices. The wealth accumulation one may have realized during the 1937-1994 period from investments in Douglas fir, Southern pine and common stocks is presented. The wealth accumulation is substantial for each of these assets, but the timber assets display both a higher return and higher variability. An empirical risk-return relationship for the financial market investments is developed using a multiperiod portfolio optimization technique. Timber asset returns are then included with security returns as input for the portfolio optimization routine. When the optimization model allowed unrestricted choice among assets, it was common to include timber assets in the portfolio. Timber assets were in some cases the only components of the portfolio. The long-run risk-return results, however, were unfavourable. Employing a strategy of holding a fixed portfolio allocation (%) of timber assets while rebalancing one's holding of financial assets, however, appears favorable. Holding a fixed 10% of a portfolio in timber showed about a 1% higher rate-of-return across portfolios with no increase in risk. Higher timber proportions indicated higher returns, but with higher risk. Journal: Journal of Real Estate Portfolio Management Pages: 57-73 Issue: 1 Volume: 3 Year: 1997 Month: 1 X-DOI: 10.1080/10835547.1997.12089536 File-URL: http://hdl.handle.net/10.1080/10835547.1997.12089536 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:3:y:1997:i:1:p:57-73 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089537_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Richard Graff Author-X-Name-First: Richard Author-X-Name-Last: Graff Author-Name: James Webb Author-X-Name-First: James Author-X-Name-Last: Webb Title: Agency Costs and Inefficiency in Commercial Real Estate Abstract: Executive Summary. Persistence in partially disaggregated NCREIF returns suggests that the institutional real estate market is inefficient and that the most significant source of market inefficiency is agency cost. A major structural distinction between the stock and real estate markets is the imposition of an agency cost control mechanism on stock portfolio managers by the existence of continuous price discovery in the stock market. Persistence in extreme return behavior distinguishes the effect of multiyear agency cost amortization on real estate returns from the effect of market dynamics subsequent to asset acquisition. The application of persistence tests to real estate return series can form the basis for substitute portfolio controls to compensate partially for the absence of continuous price discovery from the real estate market. Journal: Journal of Real Estate Portfolio Management Pages: 19-36 Issue: 1 Volume: 3 Year: 1997 Month: 1 X-DOI: 10.1080/10835547.1997.12089537 File-URL: http://hdl.handle.net/10.1080/10835547.1997.12089537 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:3:y:1997:i:1:p:19-36 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089538_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Will McIntosh Author-X-Name-First: Will Author-X-Name-Last: McIntosh Title: Real Estate Portfolio Benchmarking Journal: Journal of Real Estate Portfolio Management Pages: 75-77 Issue: 1 Volume: 3 Year: 1997 Month: 1 X-DOI: 10.1080/10835547.1997.12089538 File-URL: http://hdl.handle.net/10.1080/10835547.1997.12089538 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:3:y:1997:i:1:p:75-77 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089539_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Elaine Worzala Author-X-Name-First: Elaine Author-X-Name-Last: Worzala Author-Name: Vickie Bajtelsmit Author-X-Name-First: Vickie Author-X-Name-Last: Bajtelsmit Title: Real Estate Asset Allocation and the Decisionmaking Framework Used by Pension Fund Managers Abstract: Executive Summary. This study summarizes a survey that examined the decisionmaking process used by large defined benefit pension plans in their real-estate-only portfolios. Most researchers have concluded that a well-diversified portfolio should contain at least 10%-20% real estate. But it is well documented that pension plans typically hold less than 4%, on average, in equity real estate. The survey results provide some evidence to partially explain the divergence of theory from practice, as the decisionmaking process differs substantially from that recommended by theory. Furthermore, the decisionmaking process for equity real estate investment differs by size and type of fund, making generalizations across funds inappropriate. Furthermore, reported allocations may actually be incomparable across pension funds, since managers disagree about the classification of REIT shares (i.e., if they are real estate or common stock). Journal: Journal of Real Estate Portfolio Management Pages: 47-56 Issue: 1 Volume: 3 Year: 1997 Month: 1 X-DOI: 10.1080/10835547.1997.12089539 File-URL: http://hdl.handle.net/10.1080/10835547.1997.12089539 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:3:y:1997:i:1:p:47-56 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089540_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Joseph Rabianski Author-X-Name-First: Joseph Author-X-Name-Last: Rabianski Author-Name: Ping Cheng Author-X-Name-First: Ping Author-X-Name-Last: Cheng Title: Intrametropolitan Spatial Diversification Abstract: Executive Summary. This study investigates the possibility of intrametropolitan geographic diversification. Four metropolitan areas, Atlanta, Boston, Chicago, and Dallas were selected for investigation. The vacancy rates of both office and industrial space in all submarkets of the four metropolitan areas are used as a proxy for asset performance. An ANOVA technique is employed to test the homogeneity of asset performance and identify the homogeneous groups of submarkets within each metropolitan area. The correlation coefficients of these homogeneous groups are then calculated to see whether low or negative correlations of asset performance exist among these groups. The results indicate that the asset performances within metropolitan areas are highly heterogeneous, and low or negative correlations exist among most submarkets or groups of submarkets. The findings imply that (1) portfolio risk can be reduced by diversification across submarkets within metropolitan areas, and (2) viewing metropolitan areas as homogeneous real estate markets may result in misdirected investment strategy, and the location impact imposed by submarkets should be recognized and properly analyzed. Journal: Journal of Real Estate Portfolio Management Pages: 117-128 Issue: 2 Volume: 3 Year: 1997 Month: 1 X-DOI: 10.1080/10835547.1997.12089540 File-URL: http://hdl.handle.net/10.1080/10835547.1997.12089540 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:3:y:1997:i:2:p:117-128 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089541_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Steven Laposa Author-X-Name-First: Steven Author-X-Name-Last: Laposa Title: Raise the Bar—The Message of Real Estate Journal: Journal of Real Estate Portfolio Management Pages: 141-144 Issue: 2 Volume: 3 Year: 1997 Month: 1 X-DOI: 10.1080/10835547.1997.12089541 File-URL: http://hdl.handle.net/10.1080/10835547.1997.12089541 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:3:y:1997:i:2:p:141-144 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089542_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Neil Myer Author-X-Name-First: Neil Author-X-Name-Last: Myer Author-Name: James Webb Author-X-Name-First: James Author-X-Name-Last: Webb Author-Name: Ling He Author-X-Name-First: Ling Author-X-Name-Last: He Title: Issues in Measuring Performance of Commingled Real Estate Funds Abstract: Executive Summary. This study analyzes the performance of non-securitized real estate investments in relation to two phenomena—the effect of asset management fees and the persistence of the returns. This is done using data from the Townsend Real Estate Universe on CREFs. Cumulative returns and Jensen's alpha are used for seventy-two CREFS. The NCREIF Index is used as the benchmark return. The results indicate that performance rankings are not effected by asset management fees and that the choice of a risk-adjusted performance measure (Jensen's alpha) or a non-risk-adjusted performance measure (the cumulative return) have a significant impact. Journal: Journal of Real Estate Portfolio Management Pages: 79-85 Issue: 2 Volume: 3 Year: 1997 Month: 1 X-DOI: 10.1080/10835547.1997.12089542 File-URL: http://hdl.handle.net/10.1080/10835547.1997.12089542 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:3:y:1997:i:2:p:79-85 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089543_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Brigitte Ziobrowski Author-X-Name-First: Brigitte Author-X-Name-Last: Ziobrowski Author-Name: Alan Ziobrowski Author-X-Name-First: Alan Author-X-Name-Last: Ziobrowski Title: Higher Real Estate Risk and Mixed-Asset Portfolio Performance Abstract: Executive Summary. It has been more than a decade since researchers first raised the spectre of smoothing for appraisal-based real estate return series, suggesting that real estate risk had been grossly underestimated. Since that time, a number of studies have presented evidence which argued that, even with significant additional risk, real estate still offered investors substantial diversification benefits.Unlike earlier studies, which constructed only a few isolated optimal portfolios and measured the effect of higher real estate risk on portfolio composition, this study constructs full efficient frontiers and directly measures the impact of higher real estate risk on mean-variance performance at all levels of investor risk preference.The results indicate that additional real estate risk of a magnitude consistent with rational appraiser behavior can have a negative impact on mixed-asset portfolio performance. For investors with a low-risk tolerance the higher levels of real estate risk can eliminate all real estate diversification benefits. Journal: Journal of Real Estate Portfolio Management Pages: 107-115 Issue: 2 Volume: 3 Year: 1997 Month: 1 X-DOI: 10.1080/10835547.1997.12089543 File-URL: http://hdl.handle.net/10.1080/10835547.1997.12089543 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:3:y:1997:i:2:p:107-115 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089544_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Stephen Lee Author-X-Name-First: Stephen Author-X-Name-Last: Lee Title: The Components of Property Fund Performance Abstract: Executive Summary. The evaluation of investment fund performance has been one of the main developments of modern portfolio theory. Most studies employ the technique developed by Jensen (1968) that compares a particular fund's returns to a benchmark portfolio of equal risk. However, such studies implicitly assume that the risk level of the portfolio is stationary through the evaluation period, something that would seem unlikely in an actively managed portfolio. Fama (1972) and Treynor and Black (1973) have suggested that such active management can be separated into the distinct components (1) selectivity (the ability to select undervalued assets), and (2) timing (the ability to adjust security holdings in anticipation of general market movements). The application of simple regression techniques to calculate the Jensen index of performance will, therefore, be biased and any tests of significance distorted (Fama, 1972; Jensen, 1972). Recognising this, a number of researchers have developed models of performance that permit identification and separation of timing and selectivity skills. The simplest and most widely used is the approach developed by Henriksson and Merton (1981). This study analyses the performance of thirty-seven property funds over the period 1987 to 1995 in order to test for the presence of timing and/or selection skills on the part of the fund managers. The results indicate that very few funds appear to engage in timing activities and those that do were generally unsuccessful, while the results for selection skill are much more encouraging. Journal: Journal of Real Estate Portfolio Management Pages: 97-105 Issue: 2 Volume: 3 Year: 1997 Month: 1 X-DOI: 10.1080/10835547.1997.12089544 File-URL: http://hdl.handle.net/10.1080/10835547.1997.12089544 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:3:y:1997:i:2:p:97-105 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089545_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Elaine Worzala Author-X-Name-First: Elaine Author-X-Name-Last: Worzala Author-Name: Graeme Newell Author-X-Name-First: Graeme Author-X-Name-Last: Newell Title: International Real Estate: A Review of Strategic Investment Issues Abstract: Executive Summary. This study compares and contrasts the results of two surveys of investors interested in international real estate (European and Southeast Asian). The results provide information on how fund managers currently view international real estate. Furthermore, comments by the respondents highlight the perceptions of the additional risks and problems incurred with international (versus domestic) real estate investment. Since U.S. pension fund investment in international real estate is expected to grow, these results provide valuable insights for investors formulating international real estate investment strategies. Journal: Journal of Real Estate Portfolio Management Pages: 87-96 Issue: 2 Volume: 3 Year: 1997 Month: 1 X-DOI: 10.1080/10835547.1997.12089545 File-URL: http://hdl.handle.net/10.1080/10835547.1997.12089545 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:3:y:1997:i:2:p:87-96 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089546_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Gerald Brown Author-X-Name-First: Gerald Author-X-Name-Last: Brown Title: Reducing the Dispersion of Returns in U.K. Real Estate Portfolios Abstract: Executive Summary. Although real estate represents a substantial proportion of the U.K. investment market, research in this area is extremely limited. This is particularly true of the performance and construction of portfolios. This paper deals with one of the major issues that confronts both investor and advisor; namely, how effective is the diversification of a real estate portfolio as more properties are included. The analysis is undertaken at an empirical level and draws on similar research developed in the stock market. The main findings are that the low correlation between returns on individual properties enable high levels of risk reduction to be achieved. This correlation structure does, however, impose a penalty, making it extremely difficult to construct highly diversified portfolios. The problem is exacerbated by the indivisibility of real estate assets. Journal: Journal of Real Estate Portfolio Management Pages: 129-140 Issue: 2 Volume: 3 Year: 1997 Month: 1 X-DOI: 10.1080/10835547.1997.12089546 File-URL: http://hdl.handle.net/10.1080/10835547.1997.12089546 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:3:y:1997:i:2:p:129-140 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089547_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Marvin Wolverton Author-X-Name-First: Marvin Author-X-Name-Last: Wolverton Author-Name: Ping Cheng Author-X-Name-First: Ping Author-X-Name-Last: Cheng Author-Name: William Hardin Author-X-Name-First: William Author-X-Name-Last: Hardin Title: Real Estate Portfolio Risk Reduction through Intracity Diversification Abstract: Executive Summary. This study examines gains in real estate portfolio efficiency obtainable through intracity diversification. Employing a unique, ten-and-a-half year, Seattle, Washington, apartment income data set and bootstrapping techniques, it uncovers five homogeneous groupings of Seattle neighborhoods with low or negative between-group apartment income correlations. Quadratic programming is used to construct a diversified investment portfolio by optimally weighting the five neighborhood groups to minimize intracity apartment investment risk. The results show significant and sizeable reductions in standard deviation of portfolio income at a given rate of return. Journal: Journal of Real Estate Portfolio Management Pages: 35-41 Issue: 1 Volume: 4 Year: 1998 Month: 1 X-DOI: 10.1080/10835547.1998.12089547 File-URL: http://hdl.handle.net/10.1080/10835547.1998.12089547 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:4:y:1998:i:1:p:35-41 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089548_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: S. Ganesan Author-X-Name-First: S. Author-X-Name-Last: Ganesan Author-Name: Y. Chiang Author-X-Name-First: Y. Author-X-Name-Last: Chiang Title: The Inflation-Hedging Characteristics of Real and Financial Assets in Hong Kong Abstract: Executive Summary. This study examines whether real and financial assets in Hong Kong can hedge against inflation. Many studies have been undertaken using one or all of the three common ways of measuring inflation hedges: (1) comparison between inflation rates and rates of returns, (2) the Fama and Schwert Framework, and (3) co-integration techniques. The first method is considered inadequate due to the lack of any indication of the underlying process. Fama and Schwert proposed a methodology to measure an asset's inflation hedge against expected and unexpected inflation. Their method was adopted in many similar studies that followed. However, this methodology was criticised for being based on a static regression method, which was unable to differentiate between long-run equilibrium adjustments and short-run dynamic movement. Especially for real assets, a method of separating the long-run movements from any short-run ones is necessary. Therefore, many studies have employed co-integration techniques to test for the existence of any long-run equilibrium relationship between inflation and asset returns. In order to compare the inflation-hedging characteristics of both real and financial assets in Hong Kong during an eleven-year period (from 1984-94), the quarterly data was subjected to analysis using both the Fama and Schwert framework and co-integration techniques. The study concludes that real assets in general are not a good hedge against inflation, in the sense the methodologies imply. Further, financial assets in Hong Kong appear to have been a better hedge against inflation than real assets. Journal: Journal of Real Estate Portfolio Management Pages: 55-67 Issue: 1 Volume: 4 Year: 1998 Month: 1 X-DOI: 10.1080/10835547.1998.12089548 File-URL: http://hdl.handle.net/10.1080/10835547.1998.12089548 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:4:y:1998:i:1:p:55-67 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089549_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Marc Louargand Author-X-Name-First: Marc Author-X-Name-Last: Louargand Title: Information and Real Estate Markets Journal: Journal of Real Estate Portfolio Management Pages: 79-81 Issue: 1 Volume: 4 Year: 1998 Month: 1 X-DOI: 10.1080/10835547.1998.12089549 File-URL: http://hdl.handle.net/10.1080/10835547.1998.12089549 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:4:y:1998:i:1:p:79-81 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089550_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Richard Graff Author-X-Name-First: Richard Author-X-Name-Last: Graff Title: The Impact of Seasonality on Investment Statistics Derived from Quarterly Returns Abstract: Executive Summary. The sample variance, covariance and correlation functions are not consistent estimators for the corresponding true distributional parameters when applied to returns that display seasonal behavior. Seasonality in quarterly appraisal-based returns generates sample bias that can be either upward or downward, depending on whether assets are appraised in the same or different quarters. The bias is material in magnitude and does not decrease as sample size increases. Seasonality acts in such a way as to exaggerate the apparent contribution of MPT to real estate portfolio diversification. Seasonally induced correlation bias appears to have affected some real estate diversification studies that base derivations upon quarterly return indices. The bias source can be avoided by substituting annual returns for quarterly returns in portfolio optimization input. Journal: Journal of Real Estate Portfolio Management Pages: 1-16 Issue: 1 Volume: 4 Year: 1998 Month: 1 X-DOI: 10.1080/10835547.1998.12089550 File-URL: http://hdl.handle.net/10.1080/10835547.1998.12089550 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:4:y:1998:i:1:p:1-16 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089551_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Frank Petkunas Author-X-Name-First: Frank Author-X-Name-Last: Petkunas Author-Name: Glenn Mueller Author-X-Name-First: Glenn Author-X-Name-Last: Mueller Title: Commingled Real Estate Fund Trading: The Emergence of a Formalized Secondary Trading Market Abstract: Executive Summary. Since the early 1970s, private commingled real estate funds (CREFs)1have served as a popular investment vehicle through which institutional investors have allocated capital to the real estate market. Because the institutional investment arena is dominated by pension funds that are either subject to ERISA mandates or merely choose to follow ERISA “prudence,”2CREF securities have attracted institutional capital because of their ability to maintain diversity, value and stable returns throughout the years. Although still prevalent as a viable asset class, CREFs however have not survived peacefully without demand for alternative market structures and various criticisms initiated by market participants.This article summarizes and identifies three of the most commonly reoccurring issues, suggested by many industry professionals, to be potential structural flaws with both the CREF market and the CREF vehicle itself. The article further explores an industry reaction to alternative market structure demand; a formalized secondary market for the trading of unregistered real estate securities,3and analyzes the opinions of industry participants as to the possibility of such a market improving the status quo. During the course of research for this article, thirty industry participants (thirteen fund managers, twelve plan sponsors and various representatives associated with formalized secondary market efforts) were interviewed. The interview results, along with review of industry literature, serve as the basis for identifying additional thoughts that could prove relevant to the successful operation of a formalized secondary market for CREF share trading. Journal: Journal of Real Estate Portfolio Management Pages: 43-53 Issue: 1 Volume: 4 Year: 1998 Month: 1 X-DOI: 10.1080/10835547.1998.12089551 File-URL: http://hdl.handle.net/10.1080/10835547.1998.12089551 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:4:y:1998:i:1:p:43-53 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089552_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Youguo Liang Author-X-Name-First: Youguo Author-X-Name-Last: Liang Author-Name: Willard McIntosh Author-X-Name-First: Willard Author-X-Name-Last: McIntosh Title: REIT Style and Performance Abstract: Executive Summary. Applying a performance style model developed by Sharpe, we investigate the style and performance of real estate investment trusts from March 1984 through December 1997. Total returns of the S&P 500, S&P MidCap 400, S&P SmallCap 600, Lehman Brothers' government bond index, and Salomon Brothers' three-month Treasury bill index are used to replicate the performance of all REIT, equity REIT and mortgage REIT portfolios. We find that all REITs and equity REITs have remarkably stable style attributes over time: they behave similarly to a portfolio of 40% small capitalization stocks and 60% bonds (including Treasury bills). The behavior of mortgage REITs, however, has been more erratic. Sharpe's alpha, a performance measure similar to Jensen's alpha, indicates that equity REITs performed approximately at par to its style portfolio prior to 1994 and has dramatically outperformed its style portfolio since then. All REITs and mortgage REITs that underperformed at first, outperformed their respective style portfolios in recent years. REITs, in general, have become more “unique” as the R-squared value of the Sharpe model has declined dramatically over the last five years for all REITs as well as equity REITs. Journal: Journal of Real Estate Portfolio Management Pages: 69-78 Issue: 1 Volume: 4 Year: 1998 Month: 1 X-DOI: 10.1080/10835547.1998.12089552 File-URL: http://hdl.handle.net/10.1080/10835547.1998.12089552 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:4:y:1998:i:1:p:69-78 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089553_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Terry Grissom Author-X-Name-First: Terry Author-X-Name-Last: Grissom Author-Name: James DeLisle Author-X-Name-First: James Author-X-Name-Last: DeLisle Title: Alternative Total Return Series for Direct Real Estate Investment Abstract: Executive Summary. With the recognition of real estate as a distinct asset class, there is an increasing need to understand the alternative performance measures of return available to assist in real estate decisions. This study reviews the literature and several of the available return series used in industry and supports in spirit much of the findings of previous studies that a number of problems can be identified in real estate return series and index measures. However, to achieve the perspective of real estate as an asset class and develop techniques for performance measurement in that context, the approach of simply criticizing existing data and suggesting limited hope for developing appropriate measures is not a viable option. Although future techniques are expected and can be developed, there is a need to more fully utilize existing data, because long-term observations are necessary to understand cyclical performance, the nature of various relationships and to delineate equilibrium potentials. The position of this investigation is that one option is to view return series as artifacts that allow comparative analysis of real asset performance in distinct time periods. Within this context several traditional tools can be employed to abstract implicit information from existing, albeit divergent, databases to form comparable and explicit performance measures that can then be viewed in a comparative analytical context. Journal: Journal of Real Estate Portfolio Management Pages: 17-33 Issue: 1 Volume: 4 Year: 1998 Month: 1 X-DOI: 10.1080/10835547.1998.12089553 File-URL: http://hdl.handle.net/10.1080/10835547.1998.12089553 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:4:y:1998:i:1:p:17-33 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089554_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Ping Cheng Author-X-Name-First: Ping Author-X-Name-Last: Cheng Author-Name: Roy Black Author-X-Name-First: Roy Author-X-Name-Last: Black Title: Geographic Diversification and Economic Fundamentals in Apartment Markets: A Demand Perspective Abstract: Executive Summary. This study explores the diversification opportunities across the U.S metropolitan apartment markets and attempts to discover the crucial economic factors for determining the relationship of asset performances among different MSAs. Historical data of local economy and apartment markets are collected for forty U. S. Metropolitan Statistical Areas (MSAs). Cluster analysis is used to develop homogeneous groupings of the metropolitan apartment markets. A bootstrap simulation technique is combined with the cluster analysis to improve the stability of the output. The optimal MSA cluster grouping is then linked to a set of economic variables by using a multiple discriminant analysis (MDA) technique. The results of cluster analysis provide strong evidence for the existence of homogeneous groups in the metropolitan apartment markets, and the discriminant model identified six demand-side factors that are significant in determining the group membership of the individual MSAs. Journal: Journal of Real Estate Portfolio Management Pages: 93-105 Issue: 2 Volume: 4 Year: 1998 Month: 1 X-DOI: 10.1080/10835547.1998.12089554 File-URL: http://hdl.handle.net/10.1080/10835547.1998.12089554 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:4:y:1998:i:2:p:93-105 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089555_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Glenn Mueller Author-X-Name-First: Glenn Author-X-Name-Last: Mueller Title: REIT Size and Earnings Growth: Is Bigger Better, or a New Challenge? Abstract: Executive Summary. 1995, 1996 and 1997 were explosive growth years for real estate investment trusts (REITs) to acquire properties and grow as large as possible, as quickly as possible. Property acquisitions were the easiest way to increase a REIT's total earnings; however the growth in earnings per share is the key to long-term stock price increases and this becomes more difficult as a REIT grows in size. Larger total size eventually causes the FFO per-share growth rate to decline, as additional acquisitions are such a small percentage of overall company earnings, and the additional shares that must be issued to acquire more properties makes per-share FFO growth more difficult. While prices seemed to be driven by size growth these last few years, in the long run, REIT prices should be driven by FFO per-share growth because the stock market's dividend discount model applies to REITs as well as all other stocks.The REIT growth race that began in 1992 has created a new mega-cap REIT group in 1998. These mega-cap REITs appear to be going through a “metamorphosis” where they will either, become an index proxy for the rental growth of their private real estate sectors or, start becoming operating companies with different characteristics and risks. This research questions whether Bigger total size is really Better as the earnings per-share growth rate slows down as the number of outstanding equity shares increases—a mega-cap REIT problem evidenced by a dramatic price decline in the first half of 1988. Only the future will tell whether the mega REITs can sustain earnings per-share growth. Some possible alternatives are to sell properties that do not have growth potential and reinvest in higher growth investments or that some of today's mega-cap REITs may be forced to break up into smaller regionally focused REITs to regain profitable growth, just like the 1980 conglomerates that are now spinning off highly focused and specialized companies to maximize shareholder value. At the other end of the size spectrum, small-cap REITs under $500 million have been just as profitable as the large-cap REITs in the past five years, because they can grow more profitably from a small base. Journal: Journal of Real Estate Portfolio Management Pages: 149-157 Issue: 2 Volume: 4 Year: 1998 Month: 1 X-DOI: 10.1080/10835547.1998.12089555 File-URL: http://hdl.handle.net/10.1080/10835547.1998.12089555 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:4:y:1998:i:2:p:149-157 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089556_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: James Boyd Author-X-Name-First: James Author-X-Name-Last: Boyd Author-Name: Alan Ziobrowski Author-X-Name-First: Alan Author-X-Name-Last: Ziobrowski Author-Name: Brigitte Ziobrowski Author-X-Name-First: Brigitte Author-X-Name-Last: Ziobrowski Author-Name: Ping Cheng Author-X-Name-First: Ping Author-X-Name-Last: Cheng Title: Leverage and Real Estate Investment in Mixed-Asset Portfolios Abstract: Executive Summary. Academics examining real estate's potential to improve the efficiency of mixed-asset portfolios usually view the situation from the perspective of the debt-free equity investor. This study investigates the implications for portfolio performance of holding leveraged real estate. Of particular interest is the effect of including leveraged real estate in portfolios held by nontaxable institutions. To investigate these effects, a bootstrap estimate with a Markowitz mean-variance analysis is used to generate efficient portfolio frontiers from annual investment performance data covering both securities and real estate. The efficient frontiers represent different assumed opportunity sets which vary depending on the inclusion of debt-free real estate, leveraged real estate and real estate tax effects. All the appraisal-based real estate data used in this study were adjusted for “smoothing”.Overall, the results are consistent with theoretical expectations. Beginning with a securities-only opportunity set (stocks, corporate bonds and t-bills), adding debt-free real estate produced higher portfolio efficiency (lower risk) for all investors except those with the very lowest risk preference. For nontaxable investors, leveraging the real estate caused a decline in mixed-asset portfolio efficiency. However, for taxable investors, leveraging the real estate improved portfolio performance. Journal: Journal of Real Estate Portfolio Management Pages: 135-147 Issue: 2 Volume: 4 Year: 1998 Month: 1 X-DOI: 10.1080/10835547.1998.12089556 File-URL: http://hdl.handle.net/10.1080/10835547.1998.12089556 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:4:y:1998:i:2:p:135-147 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089557_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Jacques Gordon Author-X-Name-First: Jacques Author-X-Name-Last: Gordon Title: The Real Estate Portfolio Manager: DIPs, SIPs and REITs Journal: Journal of Real Estate Portfolio Management Pages: 169-172 Issue: 2 Volume: 4 Year: 1998 Month: 1 X-DOI: 10.1080/10835547.1998.12089557 File-URL: http://hdl.handle.net/10.1080/10835547.1998.12089557 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:4:y:1998:i:2:p:169-172 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089558_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Jacques Gordon Author-X-Name-First: Jacques Author-X-Name-Last: Gordon Author-Name: Todd Canter Author-X-Name-First: Todd Author-X-Name-Last: Canter Author-Name: James Webb Author-X-Name-First: James Author-X-Name-Last: Webb Title: The Effect of International Real Estate Securities on Portfolio Diversification Abstract: Executive Summary. Previous research has documented the risk-reduction benefits of international real estate securities to a real estate portfolio, but has stopped short of examining the effect of these securities on a mixed-asset portfolio. To this end, this study evaluates international real estate securities within the framework of a mixed-asset portfolio consisting of U.S. stocks, U.S. corporate bonds, U.S. real estate securities, and international common stocks. Each asset class was examined from a risk-return perspective and the results indicate that international real estate securities offer significant diversification benefits for a U.S. mixed-asset portfolio for a U.S. investor. In order to examine the risk-reduction potential from international property stocks on a U.S. mixed-asset portfolio, efficient frontiers were constructed for each combination of asset classes. This study covers a thirteen-year time span from 1984 through 1997. Journal: Journal of Real Estate Portfolio Management Pages: 83-91 Issue: 2 Volume: 4 Year: 1998 Month: 1 X-DOI: 10.1080/10835547.1998.12089558 File-URL: http://hdl.handle.net/10.1080/10835547.1998.12089558 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:4:y:1998:i:2:p:83-91 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089559_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Mitchell Conover Author-X-Name-First: Mitchell Author-X-Name-Last: Conover Author-Name: Swint Friday Author-X-Name-First: Swint Author-X-Name-Last: Friday Author-Name: Shelly Howton Author-X-Name-First: Shelly Author-X-Name-Last: Howton Title: The Relationship between Size and Return for Foreign Real Estate Investments Abstract: Executive Summary. In this study, we utilize a relatively new database to examine whether small foreign real estate firms have higher returns than large foreign real estate firms. We examine this issue from the perspective of a U.S. investor who forms portfolios of international real estate firms on the basis of U.S. dollar market value of equity. Using eleven years of foreign real estate data for more than 1200 observations in twenty countries, we find that large firms have higher returns and lower risk than small firms. These results hold when returns are denominated in either local currency or dollars. Further, the relationship between firm size and return is monotonic across portfolio groupings. Journal: Journal of Real Estate Portfolio Management Pages: 107-112 Issue: 2 Volume: 4 Year: 1998 Month: 1 X-DOI: 10.1080/10835547.1998.12089559 File-URL: http://hdl.handle.net/10.1080/10835547.1998.12089559 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:4:y:1998:i:2:p:107-112 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089560_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Youguo Liang Author-X-Name-First: Youguo Author-X-Name-Last: Liang Author-Name: Willard McIntosh Author-X-Name-First: Willard Author-X-Name-Last: McIntosh Title: Employment Growth and Real Estate Return: Are They Linked? Abstract: Executive Summary. Real estate returns and employment growth rates over the 1983-1997 period for forty-six major MSAs are used to examine the relationship between employment growth and real estate return. The results suggest: (1) Employment growth contributes to real estate return only in the short term. There is no relationship between expected return and employment growth over the long term (e.g., ten years). Employment growth, however, tends to reduce return beta and return volatility. (2) Employment beta and volatility are positively linked, respectively, to return beta and volatility. (3) Both employment beta and return beta are priced in the marketplace, that is, a larger beta is likely to be associated with a higher expected return. To investors, this study confirms the validity of employment analysis for investment decisionmaking because employment growth characteristics are related to return characteristics. Investors, however, are cautioned against aggressively pricing employment growth into their ten-year IRRs, especially for a long-term investment. Journal: Journal of Real Estate Portfolio Management Pages: 125-133 Issue: 2 Volume: 4 Year: 1998 Month: 1 X-DOI: 10.1080/10835547.1998.12089560 File-URL: http://hdl.handle.net/10.1080/10835547.1998.12089560 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:4:y:1998:i:2:p:125-133 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089561_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Petros Sivitanides Author-X-Name-First: Petros Author-X-Name-Last: Sivitanides Title: A Downside-Risk Approach to Real Estate Portfolio Structuring Abstract: Executive Summary. This study uses annual NCREIF returns to examine the implications of the Downside-Risk (DR) approach for real estate portfolio structuring and to identify the biases that may be introduced by the Modern Portfolio Theory (MPT) approach. The results indicate that the most efficient portfolio differs across investors with different Minimum Required Return (MRR) levels. They also suggest that the MPT and DR approaches produce optimal portfolios with different compositions only within a limited range of returns on the efficient frontier. In the case of investors with an MRR equal to the risk-free rate or the average NCREIF return, MPT portfolios are only minimally less efficient than the respective DR portfolios. Journal: Journal of Real Estate Portfolio Management Pages: 159-168 Issue: 2 Volume: 4 Year: 1998 Month: 1 X-DOI: 10.1080/10835547.1998.12089561 File-URL: http://hdl.handle.net/10.1080/10835547.1998.12089561 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:4:y:1998:i:2:p:159-168 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089562_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Éamonn D'Arcy Author-X-Name-First: Éamonn Author-X-Name-Last: D'Arcy Author-Name: Stephen Lee Author-X-Name-First: Stephen Author-X-Name-Last: Lee Title: A Real Estate Portfolio Strategy for Europe: A Review of the Options Abstract: Executive Summary. This study examines the basis for the construction of a pan-European real estate portfolio strategy within the context of increased economic and monetary integration in Europe and the differences that exist between European property markets in their institutional structure. Utilising data on returns by property type from 1990 to 1996 taken from the ONCOR International data set, a limited empirical examination is carried out of portfolio strategies as an illustration of the issues raised. The findings of this analysis clearly indicate that, portfolios need to be constructed on a country basis, a portfolio concentrated in secondary cities outperforms a similar one in capital cities, and the composition of the optimal portfolio exhibits considerable inter-temporal instability. Journal: Journal of Real Estate Portfolio Management Pages: 113-123 Issue: 2 Volume: 4 Year: 1998 Month: 1 X-DOI: 10.1080/10835547.1998.12089562 File-URL: http://hdl.handle.net/10.1080/10835547.1998.12089562 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:4:y:1998:i:2:p:113-123 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089563_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Ronald Kaiser Author-X-Name-First: Ronald Author-X-Name-Last: Kaiser Title: Using Capital Markets' Value Cycles in Allocating to Real Estate vs. Stocks or Bonds Abstract: Executive Summary. Traditionally, asset allocation involves efficient frontiers of forecasted returns and risks. The known limitations to this approach involve the nonnormality of real estate return distributions, the definition of volatility in appraisal-based returns and the sluggish liquidity in real estate. As a result, most institutional investors resort to “experience and intuition” in determining the proper asset mix. This article analyzes fundamental value measures since 1951: real estate cap rates, stock market earnings yields and ten-year bond yields. A simple model is constructed to allocate portfolios between stocks and real estate and between bonds and real estate, taking into account the inherent time delays and transaction costs. The conclusion is that fundamental value strategies can offer superior return/risk ratios to any of the single asset comparisons. Journal: Journal of Real Estate Portfolio Management Pages: 1-22 Issue: 1 Volume: 5 Year: 1999 Month: 1 X-DOI: 10.1080/10835547.1999.12089563 File-URL: http://hdl.handle.net/10.1080/10835547.1999.12089563 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:5:y:1999:i:1:p:1-22 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089564_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Youguo Liang Author-X-Name-First: Youguo Author-X-Name-Last: Liang Author-Name: Robert Hess Author-X-Name-First: Robert Author-X-Name-Last: Hess Author-Name: David Bradford Author-X-Name-First: David Author-X-Name-Last: Bradford Author-Name: Willard McIntosh Author-X-Name-First: Willard Author-X-Name-Last: McIntosh Title: Return Attribution for Commercial Real Estate Investment Management Abstract: Executive Summary. In this study, we offer a refinement to a return attribution method proposed by the pioneers of return attribution analysis. Returns for the aggregate portfolio are decomposed into selection and allocation contributions as originally presented. We introduce the use of a neutral effect, which aggregates to zero at the portfolio level, that insures proper interpretation of the decomposition of the sector returns of the portfolio into selection and allocation contributions. This refinement is particularly relevant to private real estate investment, where portfolio performance is measured against both an aggregate benchmark and benchmarks for sub-sectors. In addition, we suggest a methodology for performing multi-period attribution analysis. Further, we offer a new presentation format to report both single and multi-period return attributes. Journal: Journal of Real Estate Portfolio Management Pages: 23-30 Issue: 1 Volume: 5 Year: 1999 Month: 1 X-DOI: 10.1080/10835547.1999.12089564 File-URL: http://hdl.handle.net/10.1080/10835547.1999.12089564 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:5:y:1999:i:1:p:23-30 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089565_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Michael Giliberto Author-X-Name-First: Michael Author-X-Name-Last: Giliberto 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 Author-Name: Bryan MacGregor Author-X-Name-First: Bryan Author-X-Name-Last: MacGregor Title: Optimal Diversification within Mixed-Asset Portfolios using a Conditional Heteroskedasticity Approach: Evidence from the U.S. and the U.K. Abstract: Executive Summary. In this article, portfolio allocation strategies based on a threshold autoregressive conditional heteroskedasticity model (QTARCH) are constructed for the United States and the United Kingdom and compared to a conventional asset allocation. Our procedure is based on partitioning the historical data into ‘states of the world,’ which are used to produce expectations of return and risk. Several approaches are developed to partition an initial in-sample period (1978-1983), using quarterly asset returns and economic data. These partitions are then used to test out-of-sample strategies for the next quarter. Although the conditional results are sensitive to the method of partitioning, we show that the approach can improve portfolio performance in both countries and that most of the performance improvement stems from using conditional variances-covariances. Journal: Journal of Real Estate Portfolio Management Pages: 31-45 Issue: 1 Volume: 5 Year: 1999 Month: 1 X-DOI: 10.1080/10835547.1999.12089565 File-URL: http://hdl.handle.net/10.1080/10835547.1999.12089565 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:5:y:1999:i:1:p:31-45 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089566_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Ling He Author-X-Name-First: Ling Author-X-Name-Last: He Author-Name: Robert Winder Author-X-Name-First: Robert Author-X-Name-Last: Winder Title: Price Causality between Adjacent Housing Markets within a Metropolitan Area: A Case Study Abstract: Executive Summary. Using quarterly housing price data, this study investigates the price relationships and the price causality between three adjacent housing markets in the Hampton Roads region in Virginia. The results of the cointegration tests indicate stable long-run equilibrium price relationships between the adjacent housing markets. The results of the Geweke causality tests further suggest a bidirectional price causality between two adjacent housing markets that share similarities in changes in per capita income and single-family building permits. Journal: Journal of Real Estate Portfolio Management Pages: 47-58 Issue: 1 Volume: 5 Year: 1999 Month: 1 X-DOI: 10.1080/10835547.1999.12089566 File-URL: http://hdl.handle.net/10.1080/10835547.1999.12089566 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:5:y:1999:i:1:p:47-58 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089567_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Donald Jud Author-X-Name-First: Donald Author-X-Name-Last: Jud Author-Name: Daniel Winkler Author-X-Name-First: Daniel Author-X-Name-Last: Winkler Title: Price Indexes for Commercial and Office Properties: An Application of the Assessed Value Method Abstract: Executive Summary. This study constructs a nonresi-dential, constant-quality price index, based on the assessed-value approach, and adjusts for the possibility for sample selection bias. The sample consists of a large sample of commercial and office properties located in Charlotte, N.C. during 1981-1994. Statistical tests for sample selection bias suggest that bias is present in the office sample, but not in the commercial property sample. For office properties, the selection process is such that higher prices prevail for equivalent office properties that sell relative to those that do not sell. The estimated price indexes indicate average appreciation rates of 16.2% for commercial property and 9.9% for office property. Journal: Journal of Real Estate Portfolio Management Pages: 71-81 Issue: 1 Volume: 5 Year: 1999 Month: 1 X-DOI: 10.1080/10835547.1999.12089567 File-URL: http://hdl.handle.net/10.1080/10835547.1999.12089567 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:5:y:1999:i:1:p:71-81 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089568_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: David Downs Author-X-Name-First: David Author-X-Name-Last: Downs Author-Name: Barrett Slade Author-X-Name-First: Barrett Author-X-Name-Last: Slade Title: Characteristics of a Full-Disclosure, Transaction-Based Index of Commercial Real Estate Abstract: Executive Summary. This study addresses the characteristics of a transaction-based index of commercial real estate as reported in a full-disclosure market. Prior research on transaction-based indices has enumerated various shortcomings for commercial real estate markets. This study circumvents many of these problems by using a large data set of commercial property transactions obtained for the Phoenix, Arizona metropolitan statistical area. The empirical analysis demonstrates that investors stand to gain considerable insight by comparing full-disclosure, transaction-based indices with voluntary-disclosure, appraisal-based indices. The results suggest that full-disclosure indices avoid some of the institutional biases associated with other benchmarks of commercial real estate performance. In addition, some public policy issues emerge on the role of state mandated disclosure rules. Journal: Journal of Real Estate Portfolio Management Pages: 95-104 Issue: 1 Volume: 5 Year: 1999 Month: 1 X-DOI: 10.1080/10835547.1999.12089568 File-URL: http://hdl.handle.net/10.1080/10835547.1999.12089568 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:5:y:1999:i:1:p:95-104 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089569_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Simon Stevenson Author-X-Name-First: Simon Author-X-Name-Last: Stevenson Author-Name: Louis Murray Author-X-Name-First: Louis Author-X-Name-Last: Murray Title: An Examination of the Inflation Hedging Ability of Irish Real Estate Abstract: Executive Summary. This article examines the inflation hedging ability of the commercial real estate sector in the Republic of Ireland. Tests using the conventional Fama and Schwert (1977) model are conducted, together with cointegration and causality tests. The data is initially analyzed over the period 1985 to 1996. Regression results do not provide any evidence to support the hypothesis that real estate acts as an effective inflation hedge. Since the study period coincides with a period of relative stability in Irish inflation rates, the tests are rerun using annual data from 1969, however the results are unaltered. A further finding was that, using virtually all models, real estate offers a significant positive real return. Cointegration tests, examining long term hedging ability, similarly find no evidence to support the hypothesis. However, the causality models do indicate that real estate leads inflation. Journal: Journal of Real Estate Portfolio Management Pages: 59-69 Issue: 1 Volume: 5 Year: 1999 Month: 1 X-DOI: 10.1080/10835547.1999.12089569 File-URL: http://hdl.handle.net/10.1080/10835547.1999.12089569 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:5:y:1999:i:1:p:59-69 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089570_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Teck Chin Author-X-Name-First: Teck Author-X-Name-Last: Chin Author-Name: Geofrey Mills Author-X-Name-First: Geofrey Author-X-Name-Last: Mills Title: An Optimal Control Approach to Market Timing in the Singapore Property Market Abstract: Executive Summary. We investigate an optimal control approach to market timing strategy to assist property investors in deciding the allocation of investment funds between the risk-free savings deposit and the comparatively risky property investment. This strategy generates recommended investment actions, namely, buy, hold, sell and wait, with the objective to attain superior investment returns. The investment performance of this market timing strategy is compared to that of the buy-and-hold strategy. Results from the simulation study for the twenty-year period from 1977:1 to 1996:4 indicates that the proposed market timing strategy is capable of achieving superior investment returns in the Singapore property market. Journal: Journal of Real Estate Portfolio Management Pages: 83-94 Issue: 1 Volume: 5 Year: 1999 Month: 1 X-DOI: 10.1080/10835547.1999.12089570 File-URL: http://hdl.handle.net/10.1080/10835547.1999.12089570 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:5:y:1999:i:1:p:83-94 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089571_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Kevin Lu Author-X-Name-First: Kevin Author-X-Name-Last: Lu Author-Name: Jianping Mei Author-X-Name-First: Jianping Author-X-Name-Last: Mei Title: The Return Distributions of Property Shares in Emerging Markets Abstract: Executive Summary. We empirically examined the return process of the emerging equity markets, and that of property indices in particular. We found that the emerging market property indices are more volatile than both the respective market indices and the real estate investment trust indices in the United States. In terms of predictability, contrary to the traditional wisdom, we did not find overwhelming evidence for autocorrelation in the majority number of these indices. We found certain diversification benefits to invest in the emerging market property indices, but we also found the unfavorable asymmetry in the correlation between emerging property indices and the U.S. NAREIT Index (i.e., correlations were higher during time of market volatility). Journal: Journal of Real Estate Portfolio Management Pages: 145-160 Issue: 2 Volume: 5 Year: 1999 Month: 1 X-DOI: 10.1080/10835547.1999.12089571 File-URL: http://hdl.handle.net/10.1080/10835547.1999.12089571 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:5:y:1999:i:2:p:145-160 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089572_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Bernard Winograd Author-X-Name-First: Bernard Author-X-Name-Last: Winograd Title: Point of View Research I'd Like to Read Journal: Journal of Real Estate Portfolio Management Pages: 195-197 Issue: 2 Volume: 5 Year: 1999 Month: 1 X-DOI: 10.1080/10835547.1999.12089572 File-URL: http://hdl.handle.net/10.1080/10835547.1999.12089572 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:5:y:1999:i:2:p:195-197 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089573_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Jacques Gordon Author-X-Name-First: Jacques Author-X-Name-Last: Gordon Author-Name: Todd Canter Author-X-Name-First: Todd Author-X-Name-Last: Canter Title: International Real Estate Securities: A Test of Capital Markets Integration Abstract: Executive Summary. The investigation into the cross-sectional and time-series differences in correlation coefficients between property stocks and broader equity indices in fourteen countries yields several interesting findings. First, the study found that correlation coefficients in many countries have not been stable over time, and in several of these countries there is a discernable trend toward integration or segmentation of the property sector with the broader equity market. Second, the study explored three hypotheses (Relative Weight, Global and Investment Structure) that would account for these differences and trends. While further quantitative work will be needed, the preliminary findings support two of the three original hypotheses. It appears that both a Global and Investment Structure hypothesis explain a great deal of the variation that is observed in market integration / segmentation across countries. More rigorous statistical tests will be needed to confirm these preliminary observations. Journal: Journal of Real Estate Portfolio Management Pages: 161-170 Issue: 2 Volume: 5 Year: 1999 Month: 1 X-DOI: 10.1080/10835547.1999.12089573 File-URL: http://hdl.handle.net/10.1080/10835547.1999.12089573 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:5:y:1999:i:2:p:161-170 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089574_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Richard Graff Author-X-Name-First: Richard Author-X-Name-Last: Graff Title: Changing Leases into Investment-Grade Bonds: Financial Alchemy and Cost Reduction in Real Estate Finance Abstract: Executive Summary. Ownership of economic benefits from current leases of real property can be separated from ownership of economic benefits from future leases. The ownership interests can be securitized into assets that are independent of each other for investment purposes. Ownership of benefits from current leases can be regarded as a fixed-income asset. In the case of single-tenant property with a bondable-net lease and investment-grade tenant, the fixed-income asset is ratable based on the tenant credit rating and lease default provisions. In the case of general properties and leases, the fixed-income assets are ratable provided additional financial structure is superimposed. The fixed-income assets can be sold as corporate bond-equivalents in the private placement market to create low-cost leverage for real estate investments. Journal: Journal of Real Estate Portfolio Management Pages: 183-194 Issue: 2 Volume: 5 Year: 1999 Month: 1 X-DOI: 10.1080/10835547.1999.12089574 File-URL: http://hdl.handle.net/10.1080/10835547.1999.12089574 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:5:y:1999:i:2:p:183-194 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089575_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Alan Ziobrowski Author-X-Name-First: Alan Author-X-Name-Last: Ziobrowski Author-Name: Royce Caines Author-X-Name-First: Royce Author-X-Name-Last: Caines Author-Name: Brigitte Ziobrowski Author-X-Name-First: Brigitte Author-X-Name-Last: Ziobrowski Title: Mixed-Asset Portfolio Composition with Long-Term Holding Periods and Uncertainty Abstract: Executive Summary. A bootstrap analysis is used to estimate confidence intervals for the optimum level of real estate investment in mixed-asset portfolios over a five-year holding period. The data used in the study extends from 1973 to 1994. Lengthening the holding period to five years provides much narrower confidence intervals in comparison to those generated in earlier studies that examined shorter holding periods of one year or less. The optimum amount of real estate in mixed-asset portfolios was remarkably stable at all levels of investor risk preference along the efficient frontier when investors held their portfolios for five years. Furthermore, the estimates of optimum real estate composition produced by the bootstrap are highly consistent with the behavior of pension fund managers. This suggests that the markets are efficient and fund managers are exactly where they should be in terms of real estate investment. Journal: Journal of Real Estate Portfolio Management Pages: 139-144 Issue: 2 Volume: 5 Year: 1999 Month: 1 X-DOI: 10.1080/10835547.1999.12089575 File-URL: http://hdl.handle.net/10.1080/10835547.1999.12089575 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:5:y:1999:i:2:p:139-144 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089576_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Richard Graff Author-X-Name-First: Richard Author-X-Name-Last: Graff Author-Name: Adrian Harrington Author-X-Name-First: Adrian Author-X-Name-Last: Harrington Author-Name: Michael Young Author-X-Name-First: Michael Author-X-Name-Last: Young Title: Serial Persistence in Disaggregated Australian Real Estate Returns Abstract: Executive Summary. Serial persistence of total annual returns for all properties in the Property Council of Australia database is shown to be statistically significant in all quartiles of disaggregated returns between 1985 and 1997. More precisely, performance in a particular quartile is generally followed by continued performance in the same quartile. However, when grouped by property type, persistence differences emerge. Office and Retail properties show statistically significant persistence in the extreme (combined first and fourth) quartiles and moderate (combined second and third) quartiles but Industrial properties show serial independence in both the extreme and moderate quartiles. When Office properties are grouped by CBD and non-CBD locations, serial persistence exists in all quartiles for CBD Office properties but not for non-CBD Office properties. The empirical evidence of serial persistence among real estate returns in the Property Council of Australia database challenges the conclusions of research based upon models that incorporate the assumption of serial independence. Journal: Journal of Real Estate Portfolio Management Pages: 113-127 Issue: 2 Volume: 5 Year: 1999 Month: 1 X-DOI: 10.1080/10835547.1999.12089576 File-URL: http://hdl.handle.net/10.1080/10835547.1999.12089576 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:5:y:1999:i:2:p:113-127 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089577_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Michael Seiler Author-X-Name-First: Michael Author-X-Name-Last: Seiler Author-Name: James Webb Author-X-Name-First: James Author-X-Name-Last: Webb Author-Name: F. Neil Myer Author-X-Name-First: F. Author-X-Name-Last: Neil Myer Title: Are EREITs Real Estate? Abstract: Executive Summary. This study examines the return properties of securitized real estate investment trusts (EREITs) and unsecuritized real estate for four property types: apartment, industrial, office and retail. Return properties studied include central tendency, normality, autocorrelation, the lead-lag relationship and risk-adjusted performance. The results indicate that private real estate returns display significant levels of autocorrelation, even after lower order effects have been removed. Moreover, both types of real estate exhibit levels of skewness and kurtosis inconsistent with a normal distribution. Concerning risk-adjusted performance, the choice of performance measure does matter, while choice of benchmark makes little difference. Finally, returns on private and public real estate behave differently from one another and should be treated as separate and distinct asset classes from a real estate portfolio manager's perspective. Journal: Journal of Real Estate Portfolio Management Pages: 171-181 Issue: 2 Volume: 5 Year: 1999 Month: 1 X-DOI: 10.1080/10835547.1999.12089577 File-URL: http://hdl.handle.net/10.1080/10835547.1999.12089577 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:5:y:1999:i:2:p:171-181 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089578_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Barry Ziering Author-X-Name-First: Barry Author-X-Name-Last: Ziering Author-Name: Willard McIntosh Author-X-Name-First: Willard Author-X-Name-Last: McIntosh Title: Property Size and Risk: Why Bigger is Not Always Better Abstract: Executive Summary.This study investigates the relationship between property size and risk-return profile. Conventional wisdom has suggested that large (or trophy) properties are more stable due to a number of factors. For example, these properties are likely to have, among other things, a greater proportion of credit tenants, the locational advantage of being in highly populated urban centers, and a premium associated with their trophy status. We analyzed the performance of four property size classes—below $20 million; $20-40 million; $40-$100 and over $100 million—across the 1981-1998 period and within the four imbedded phases of the real estate cycle. Results indicate that property size is a powerful moderator of risk / return across the spectrum of size, and that the largest category of property ($100 million and over), while providing investors with the highest average return, also exhibits the greatest volatility. Journal: Journal of Real Estate Portfolio Management Pages: 105-112 Issue: 2 Volume: 5 Year: 1999 Month: 1 X-DOI: 10.1080/10835547.1999.12089578 File-URL: http://hdl.handle.net/10.1080/10835547.1999.12089578 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:5:y:1999:i:2:p:105-112 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089579_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Adrian Chua Author-X-Name-First: Adrian Author-X-Name-Last: Chua Title: The Role of International Real Estate in Global Mixed-Asset Investment Portfolios Abstract: Executive Summary. Many studies have advocated the inclusion of real estate in mixed-asset investment portfolios. However, the majority of past studies have focused on the role of domestic real estate in domestic mixed-asset portfolios. This study goes further by considering whether the inclusion of international real estate would enhance the risk-return characteristics of an internationally diversified investment portfolio that already invests in bonds, cash, equities and gold. The study also corrects for the higher taxes, transaction costs and asset management fees incurred when investing in real estate vis-à-vis the other asset classes, as well as the impact of appraisal-smoothing on reported real estate returns. Using mean-variance portfolio optimization, the study concludes that, even after these corrections, international real estate does have a viable role to play in global mixed-asset investment portfolios. Journal: Journal of Real Estate Portfolio Management Pages: 129-137 Issue: 2 Volume: 5 Year: 1999 Month: 1 X-DOI: 10.1080/10835547.1999.12089579 File-URL: http://hdl.handle.net/10.1080/10835547.1999.12089579 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:5:y:1999:i:2:p:129-137 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089580_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Michael Anikeeff Author-X-Name-First: Michael Author-X-Name-Last: Anikeeff Title: Estimating the Demand for Seniors Housing and Home Health Care Abstract: Executive Summary. Recently released government data on nursing homes, board and care and home health care show that long-term care use after age 65 varies significantly by state. This study found that the use of care in a state is highly correlated with one particular variable: a state's population over age 85 (R = .96). In general, the model provides a good fit for the state data. However, New York uses more care while California and Florida use less care than predicted. Journal: Journal of Real Estate Portfolio Management Pages: 247-258 Issue: 3 Volume: 5 Year: 1999 Month: 1 X-DOI: 10.1080/10835547.1999.12089580 File-URL: http://hdl.handle.net/10.1080/10835547.1999.12089580 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:5:y:1999:i:3:p:247-258 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089581_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Jerry Doctrow Author-X-Name-First: Jerry Author-X-Name-Last: Doctrow Author-Name: Glenn Mueller Author-X-Name-First: Glenn Author-X-Name-Last: Mueller Author-Name: Lauren Craig Author-X-Name-First: Lauren Author-X-Name-Last: Craig Title: Survival of the Fittest: Competition, Consolidation and Growth in the Assisted Living Industry Abstract: Executive Summary. This article reviews existing static demand models commonly used in seniors housing industry research to estimate demand for assisted living facilities and advances a new dynamic model for estimating the effective demand of assisted living facilities. The new model considers the number of age-, income-and disability-qualified seniors that can reasonably be expected to move to assisted living annually from independent residences, other assisted living facilities and skilled nursing facilities. It then compares this effective demand to the number of assisted living units that must be re-rented annually due to high resident turnover and concludes that the effective demand for assisted living is less than many current industry estimates. It proposes new implications for the impact of lower effective demand of new assisted living units for the industry and investors. Journal: Journal of Real Estate Portfolio Management Pages: 225-234 Issue: 3 Volume: 5 Year: 1999 Month: 1 X-DOI: 10.1080/10835547.1999.12089581 File-URL: http://hdl.handle.net/10.1080/10835547.1999.12089581 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:5:y:1999:i:3:p:225-234 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089582_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Anthony Mullen Author-X-Name-First: Anthony Author-X-Name-Last: Mullen Title: A Note on Underwriting and Investing in Senior Living and Long-Term Care Properties: Separating the Business from the Real Estate Journal: Journal of Real Estate Portfolio Management Pages: 299-299 Issue: 3 Volume: 5 Year: 1999 Month: 1 X-DOI: 10.1080/10835547.1999.12089582 File-URL: http://hdl.handle.net/10.1080/10835547.1999.12089582 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:5:y:1999:i:3:p:299-299 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089583_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Michael Anikeeff Author-X-Name-First: Michael Author-X-Name-Last: Anikeeff Author-Name: Glenn Mueller Author-X-Name-First: Glenn Author-X-Name-Last: Mueller Title: Introduction: Seniors Housing Journal: Journal of Real Estate Portfolio Management Pages: 201-202 Issue: 3 Volume: 5 Year: 1999 Month: 1 X-DOI: 10.1080/10835547.1999.12089583 File-URL: http://hdl.handle.net/10.1080/10835547.1999.12089583 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:5:y:1999:i:3:p:201-202 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089584_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Stephen Roulac Author-X-Name-First: Stephen Author-X-Name-Last: Roulac Author-Name: Aditya Eachempati Author-X-Name-First: Aditya Author-X-Name-Last: Eachempati Title: Growth Strategies for Senior Living Companies Abstract: Executive Summary. Senior living companies have emerged to comprise an industry of institutional providers for what were once family-provided services. These senior living companies represent possible opportunities for institutional investors. Investors ultimately are interested in how management's actions can translate into earnings increases and business expansion. To attract capital, these senior living companies must articulate and execute appealing growth strategies. Given the still embryonic stage of the senior living services industry, the most critical factor in the success of a company in this industry is the clear articulation of a strong and credible growth strategy. This article explores growth strategies for senior living companies. Journal: Journal of Real Estate Portfolio Management Pages: 203-209 Issue: 3 Volume: 5 Year: 1999 Month: 1 X-DOI: 10.1080/10835547.1999.12089584 File-URL: http://hdl.handle.net/10.1080/10835547.1999.12089584 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:5:y:1999:i:3:p:203-209 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089585_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Steven Laposa Author-X-Name-First: Steven Author-X-Name-Last: Laposa Author-Name: Harvey Singer Author-X-Name-First: Harvey Author-X-Name-Last: Singer Title: Size, Scope and Performance of the Seniors Housing and Care Industry: A Comparison With the Multifamily and Lodging Sectors Abstract: Executive Summary. This research compares the size, operating performance and financial performance of the seniors housing and long term care (SHLTC) industry with two other major real estate sectors: multifamily (apartments) and lodging (hotels). The multifamily and lodging sectors receive a broader investor following than SHLTC even though SHLTC was found to be similar in dwelling unit count to lodging and has higher industry revenues than multifamily. SHLTC industry operating income is three-quarters that of lodging, and one-half that of multifamily. Capitalization rates and returns on investment in SHLTC are comparable to or higher than the other sectors, and total SHLTC market value (based on capitalized income) is two-thirds that of lodging and more than one-third that of multifamily. Thus, SHLTC may deserve greater attention from capital market investors and institutions. Journal: Journal of Real Estate Portfolio Management Pages: 211-224 Issue: 3 Volume: 5 Year: 1999 Month: 1 X-DOI: 10.1080/10835547.1999.12089585 File-URL: http://hdl.handle.net/10.1080/10835547.1999.12089585 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:5:y:1999:i:3:p:211-224 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089586_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Randy Anderson Author-X-Name-First: Randy Author-X-Name-Last: Anderson Author-Name: Danielle Lewis Author-X-Name-First: Danielle Author-X-Name-Last: Lewis Author-Name: James Webb Author-X-Name-First: James Author-X-Name-Last: Webb Title: The Efficiency of Nursing Home Chains and the Implications of Non-profit Status Abstract: Executive Summary: In this article, we estimate X-efficiency levels in the nursing home industry and investigate the impact of their profit status and chain affiliation on performance. Using a Bayesian stochastic frontier approach and a nation-wide data set, we find that nursing homes are relatively cost inefficient. We also find strong evidence that chain affiliations and nonprofit status reduce a firm's operational cost efficiency. Finding that chain-affiliated homes are less cost efficient than independent homes casts concerns on the industry in light of the recent growth in chain affiliations. Journal: Journal of Real Estate Portfolio Management Pages: 235-245 Issue: 3 Volume: 5 Year: 1999 Month: 1 X-DOI: 10.1080/10835547.1999.12089586 File-URL: http://hdl.handle.net/10.1080/10835547.1999.12089586 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:5:y:1999:i:3:p:235-245 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089587_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: David Macpherson Author-X-Name-First: David Author-X-Name-Last: Macpherson Author-Name: Stacy Sirmans Author-X-Name-First: Stacy Author-X-Name-Last: Sirmans Title: Forecasting Seniors Housing Demand in Florida Abstract: Executive Summary. This study uses a multinomial logit model to estimate the demand for seniors housing in Florida using these categories of housing choices: (1) no care required, owner-occupied; (2) no care required, renter-occupied; (3) assisted living; (4) congregate care; and (5) nursing home. The logit results are combined with the United States Census population projections to forecast the demand for the housing categories through the year 2025. Some results are: The no care, owner-occupied category is the largest. The population in assisted living is predicted to grow by 149% from 1990 to 2025. Congregate care is the smallest category and is predicted to remain so. Older non-minorities are more likely to use congregate care while minorities have a very low probability. No care, renter-occupied is the second largest category and is predicted to grow at the highest annual rate. These changes in demand for seniors housing have implications concerning reallocation of resources to meet the specific seniors housing needs. Journal: Journal of Real Estate Portfolio Management Pages: 259-274 Issue: 3 Volume: 5 Year: 1999 Month: 1 X-DOI: 10.1080/10835547.1999.12089587 File-URL: http://hdl.handle.net/10.1080/10835547.1999.12089587 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:5:y:1999:i:3:p:259-274 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089588_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Thomas Carroll Author-X-Name-First: Thomas Author-X-Name-Last: Carroll Author-Name: Mike Clauretie Author-X-Name-First: Mike Author-X-Name-Last: Clauretie Title: Transitory Effects of Disamenities on Residential Housing Values: The Case of Public and Senior Housing Abstract: Executive Summary. This article investigates the effect of low-income and senior housing on the value of nearby residential properties. It is unique in that, in addition to testing for the effect on establishment, it also tests for the duration of the impact. Thirteen projects, including three public senior housing facilities (two large and one moderate in size) are included in the analysis. We investigate the extent and the longevity of the effect of the projects on a sample of 6,321 residential properties. We find that while public housing in general and senior housing in particular has an initial negative impact on nearby property values the effect is neither substantial nor long lasting. Journal: Journal of Real Estate Portfolio Management Pages: 287-297 Issue: 3 Volume: 5 Year: 1999 Month: 1 X-DOI: 10.1080/10835547.1999.12089588 File-URL: http://hdl.handle.net/10.1080/10835547.1999.12089588 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:5:y:1999:i:3:p:287-297 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089589_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Eleanor Tessier Author-X-Name-First: Eleanor Author-X-Name-Last: Tessier Author-Name: Glenn Mueller Author-X-Name-First: Glenn Author-X-Name-Last: Mueller Title: Trade Area Demand Analysis for Private Pay Assisted Living Facilities Abstract: Executive Summary. Demand analysis for assisted living facilities (ALFs) is a new and growing field. This study attempts to improve ALF demand feasibility models by providing a statistical analysis of residents in four successful ALFs in order to determine where residents came from and what their demographics are, compared to the surrounding community demographics. The results indicate that an average of 70% of the residents and 82% of the adult children come from within a fifteen-mile radius of the four facilities studied, and 80% of the residents and 95% of the adult children come from within a thirty-mile radius of the facilities studied, confirming that the market for ALFs is very local in nature. This study also analyzes the age, gender, income, education, occupation and ADL requirements of residents in facilities to further the understanding of micromarket demand fundamentals and help identify micromarket demographics used in creating a demand model. Journal: Journal of Real Estate Portfolio Management Pages: 275-286 Issue: 3 Volume: 5 Year: 1999 Month: 1 X-DOI: 10.1080/10835547.1999.12089589 File-URL: http://hdl.handle.net/10.1080/10835547.1999.12089589 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:5:y:1999:i:3:p:275-286 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089590_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Carol Graham Author-X-Name-First: Carol Author-X-Name-Last: Graham Author-Name: John Knight Author-X-Name-First: John Author-X-Name-Last: Knight Title: Cash Flows vs. Earnings in the Valuation of Equity REITs Abstract: Executive Summary. This article examines the incremental information content of net income and cash flows for equity real estate investment trusts (REITs). REITs provide a natural setting for investigating which measure, earnings or cash flows, provides a better summary statistic of corporate value. No formal empirical analysis has been conducted for REITs however, and existing research for public firms in general provides mixed results.Using three alternative models, we find funds from operations (FFO) has a higher information content than net income, and contains incremental information beyond that contained in net income. Our results support the usefulness of the FFO measure for REITs. Journal: Journal of Real Estate Portfolio Management Pages: 17-25 Issue: 1 Volume: 6 Year: 2000 Month: 1 X-DOI: 10.1080/10835547.2000.12089590 File-URL: http://hdl.handle.net/10.1080/10835547.2000.12089590 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:6:y:2000:i:1:p:17-25 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089591_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Lawrence Souza Author-X-Name-First: Lawrence Author-X-Name-Last: Souza Title: Point of View Academic and Applied Real Estate Research: “As Two Worlds Collide” or “As Two Worlds Divide”? Journal: Journal of Real Estate Portfolio Management Pages: 97-100 Issue: 1 Volume: 6 Year: 2000 Month: 1 X-DOI: 10.1080/10835547.2000.12089591 File-URL: http://hdl.handle.net/10.1080/10835547.2000.12089591 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:6:y:2000:i:1:p:97-100 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089592_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Yuming Li Author-X-Name-First: Yuming Author-X-Name-Last: Li Author-Name: Zhong-guo Zhou Author-X-Name-First: Zhong-guo Author-X-Name-Last: Zhou Title: Time-Varying Expected Returns and Information in Home Prices Abstract: Executive Summary. In this article, we estimate a conditional two-beta asset pricing model in which the expected excess returns are not only related to the conditional beta with respect to the market portfolio of financial assets but also related to the conditional beta with respect to changes in home prices. We first apply a rolling regression procedure to form an ex ante factor mimicking portfolio that has a maximum correlation with changes in real home prices. We then conduct tests of the conditional two-beta asset pricing model in which the conditional betas vary in a nonlinear way with the real market returns and changes in real home prices. We find that home prices contain valuable information about the time-varying betas and expected stock and bond returns. Journal: Journal of Real Estate Portfolio Management Pages: 61-74 Issue: 1 Volume: 6 Year: 2000 Month: 1 X-DOI: 10.1080/10835547.2000.12089592 File-URL: http://hdl.handle.net/10.1080/10835547.2000.12089592 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:6:y:2000:i:1:p:61-74 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089593_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Timothy Viezer Author-X-Name-First: Timothy Author-X-Name-Last: Viezer Title: Evaluating “Within Real Estate” Diversification Strategies Abstract: Executive Summary. This article refines previous comparisons of “within real estate” portfolio diversification by adding controls to the experimental design to determine why one strategy is superior to another. Two “new” economic diversification methods were among the thirteen strategies tested. The best strategy used sixteen dimensions (four property types in four geographic regions). The return/risk ratio was found to be more important than correlation matrix in explaining the ranking of diversification strategies. The article also discusses how the data's time period and market membership affect the weighting recommendations. Journal: Journal of Real Estate Portfolio Management Pages: 75-95 Issue: 1 Volume: 6 Year: 2000 Month: 1 X-DOI: 10.1080/10835547.2000.12089593 File-URL: http://hdl.handle.net/10.1080/10835547.2000.12089593 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:6:y:2000:i:1:p:75-95 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089594_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Seow-Eng Ong Author-X-Name-First: Seow-Eng Author-X-Name-Last: Ong Author-Name: Malik Ranasinghe Author-X-Name-First: Malik Author-X-Name-Last: Ranasinghe Title: Portfolio Variance and Correlation Matrices Abstract: Executive Summary. The fact that portfolio variances must be positive implies that the correlation matrix for asset returns should be positive definite. As such, a test for positive definiteness in the correlation matrix should be routinely implemented prior to any portfolio optimization exercise. A program is developed to test for positive definiteness in correlation matrices and to detect correlation coefficients that violate the positive definiteness condition. The correlation matrices from five randomly selected papers are tested and violations revealed in larger correlation matrices. Where violations are detected, the portfolio manager or analyst should proceed with the optimization exercise only if the alternative bounds on the correlation coefficients computed by our program are acceptable. Journal: Journal of Real Estate Portfolio Management Pages: 1-6 Issue: 1 Volume: 6 Year: 2000 Month: 1 X-DOI: 10.1080/10835547.2000.12089594 File-URL: http://hdl.handle.net/10.1080/10835547.2000.12089594 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:6:y:2000:i:1:p:1-6 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089595_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Ping Cheng Author-X-Name-First: Ping Author-X-Name-Last: Cheng Author-Name: Youguo Liang Author-X-Name-First: Youguo Author-X-Name-Last: Liang Title: Optimal Diversification: Is It Really Worthwhile? Abstract: Executive Summary. Recent research has demonstrated that the Markowitz efficient frontier is fuzzy and may consist of many statistically indistinguishable frontiers. Therefore, it opens the possibility that an efficient portfolio developed by mean-variance analysis may not be any more efficient than a naively diversified portfolio. Using an efficiency test developed by Gibbons, Ross, and Shanken (1989), we find evidence to support that an efficient portfolio is statistically more efficient than a corresponding naively diversified portfolio when the portfolio formation period is the same as the period used for testing the efficiency difference. However, no evidence is found to support that an efficient portfolio is statistically more efficient than a corresponding naively diversified portfolio when the portfolio formation period differs from the test period. Thus, in practical terms, efficient portfolios may not be superior to naively diversified portfolios in a statistical sense. Journal: Journal of Real Estate Portfolio Management Pages: 7-16 Issue: 1 Volume: 6 Year: 2000 Month: 1 X-DOI: 10.1080/10835547.2000.12089595 File-URL: http://hdl.handle.net/10.1080/10835547.2000.12089595 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:6:y:2000:i:1:p:7-16 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089596_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Andrew Holmes Author-X-Name-First: Andrew Author-X-Name-Last: Holmes Title: Neighborhood Racial Composition and Mortgage Redlining: A Nationwide Analysis Abstract: Executive Summary. Concerns about fairness in the mortgage markets have motivated a large and growing literature and continues to be a regulatory issue impacting a wide range of financial institutions. However, disparate conclusions from recent studies on redlining and discrimination leave the question of equitable lending unanswered. General inference from the existing evidence is hampered by the uncertainties surrounding regional variability and methodological discontinuity. For example, differences in data, variable definitions and statistical techniques inhibit comparisons across studies. Moreover, differing economic circumstances, employment conditions, industry representation, and, perhaps, biases, will also induce dissimilar conclusions. This article analyzes the geographic flow of mortgage credit on a national basis with a single methodology. Thus, we avoid many of the pitfalls from earlier studies that impeded general inference concerning racially induced redlining. Our tests provide statistical evidence that neighborhood racial composition may affect the flow of mortgage credit in some regions. However, the economic significance of these results is, at most, small. Journal: Journal of Real Estate Portfolio Management Pages: 37-51 Issue: 1 Volume: 6 Year: 2000 Month: 1 X-DOI: 10.1080/10835547.2000.12089596 File-URL: http://hdl.handle.net/10.1080/10835547.2000.12089596 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:6:y:2000:i:1:p:37-51 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089597_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Seow-Eng Ong Author-X-Name-First: Seow-Eng Author-X-Name-Last: Ong Author-Name: Yan Yong Author-X-Name-First: Yan Author-X-Name-Last: Yong Title: Real Estate Exposure and Asset Intensity Abstract: Executive Summary. Real estate accounts for a significant proportion of the corporate assets of publicly listed companies. The real estate exposure of publicly traded companies in land scare economies such as Hong Kong and Singapore is particularly high. This study explores the real estate exposure of listed companies in Singapore where non-real estate companies are classified by their real estate asset intensity. A six-factor Arbitrage Pricing Theory (APT) model, capturing changes in real estate prices, industrial production, expected inflation, unanticipated inflation, risk premium and term structure, shows that real estate exposure is priced. In addition, the real estate risk premium is found to vary across companies with different real estate asset intensity. A close linkage is also established between real estate exposure and various industries. Other than the real estate-intensive industries such as real estate, hotel and construction, conglomerates and financial companies also have a high exposure to real estate. Interestingly, our analysis shows that real estate exposure, which is computationally tedious to determine, can be proxied by real estate asset intensity, a simple accounting measure. The implications for portfolio management in a land-scare market are examined. Journal: Journal of Real Estate Portfolio Management Pages: 27-35 Issue: 1 Volume: 6 Year: 2000 Month: 1 X-DOI: 10.1080/10835547.2000.12089597 File-URL: http://hdl.handle.net/10.1080/10835547.2000.12089597 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:6:y:2000:i:1:p:27-35 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089598_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Raymond Tse Author-X-Name-First: Raymond Author-X-Name-Last: Tse Author-Name: James Webb Author-X-Name-First: James Author-X-Name-Last: Webb Title: Public versus Private Real Estate in Hong Kong Abstract: Executive Summary. The main objective of this study is to examine the impact of real estate prices on real estate stock prices in Hong Kong. Real estate-related firms account for over 30% of Hong Kong's stock market capitalization. The real estate markets are therefore, potentially, major determinants of changes in real estate stock prices. This study indicates that residential, office and industrial property prices (to a lessor degree) and the expected rate of inflation are important determinants of the change in real estate stock prices for Hong Kong. The results in this study make it easier to understand whether or not diversification can be achieved with different types of real estate. Journal: Journal of Real Estate Portfolio Management Pages: 53-60 Issue: 1 Volume: 6 Year: 2000 Month: 1 X-DOI: 10.1080/10835547.2000.12089598 File-URL: http://hdl.handle.net/10.1080/10835547.2000.12089598 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:6:y:2000:i:1:p:53-60 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089599_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Arjun Chatrath Author-X-Name-First: Arjun Author-X-Name-Last: Chatrath Author-Name: Youguo Liang Author-X-Name-First: Youguo Author-X-Name-Last: Liang Author-Name: Willard McIntosh Author-X-Name-First: Willard Author-X-Name-Last: McIntosh Title: The Asymmetric REIT-Beta Puzzle Abstract: Executive Summary. Recent investigations into the behavior of real estate investment trusts (REITs) point to an asymmetric relationship between the returns of REITs and those of the general market. Specifically, REIT returns more closely track the general market when markets are declining than when they are rising. In this article, we provide further evidence on the nature of this ‘return-dependence’ in REIT betas and investigate its origins. We advance and test three explanations for this pattern, namely (1) the decay in the REITs-stock market relationship; (2) dividend-related effects; and (3) small-stock effects. The evidence suggests that the asymmetry in beta is not the product of dividend effects or a declining REIT-market relationship. Instead, the pattern in REIT betas is similar to small capitalization stocks in general. However, the traditional explanations for the small stock effect in betas are not found to satisfactorily describe the beta pattern in REITs. Notably, the asymmetry in betas, particularly in small stocks, has been thought to arise from returns being related to their variances. We find that the asymmetry in REITs' betas persist even when we control for such variance effects. Journal: Journal of Real Estate Portfolio Management Pages: 101-111 Issue: 2 Volume: 6 Year: 2000 Month: 1 X-DOI: 10.1080/10835547.2000.12089599 File-URL: http://hdl.handle.net/10.1080/10835547.2000.12089599 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:6:y:2000:i:2:p:101-111 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089600_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Elaine Worzala Author-X-Name-First: Elaine Author-X-Name-Last: Worzala Author-Name: G. Sirmans Author-X-Name-First: G. Author-X-Name-Last: Sirmans Author-Name: Emily Zietz Author-X-Name-First: Emily Author-X-Name-Last: Zietz Title: Risk and Return Perceptions of Institutional Investors Abstract: Executive Summary. This study examines the responses of a survey mailed to portfolio managers for large pension funds and insurers regarding their perceptions of the inherent risk and return of twenty investment choices. The purpose of the study is to determine whether large portfolio managers perceive the inherent risk of a specific asset to be consistent with the expected return for that investment vehicle. Results from a means difference test on responses indicate that these investors generally do not feel that the inherent risk of many assets is justified by the return expected for a particular asset. For many asset classes respondents indicate that they perceive an asset to have a greater inherent risk level than the expected return for that asset class. This indicates that investors may be applying different risk and return levels for various assets in their portfolio allocation processes. Findings could partially explain why actual portfolio allocations often do not follow theoretically suggested guidelines. Journal: Journal of Real Estate Portfolio Management Pages: 153-166 Issue: 2 Volume: 6 Year: 2000 Month: 1 X-DOI: 10.1080/10835547.2000.12089600 File-URL: http://hdl.handle.net/10.1080/10835547.2000.12089600 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:6:y:2000:i:2:p:153-166 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089601_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Michael Bond Author-X-Name-First: Michael Author-X-Name-Last: Bond Author-Name: Michael Seiler Author-X-Name-First: Michael Author-X-Name-Last: Seiler Author-Name: Vicky Seiler Author-X-Name-First: Vicky Author-X-Name-Last: Seiler Author-Name: Ben Blake Author-X-Name-First: Ben Author-X-Name-Last: Blake Title: Uses of Websites for Effective Real Estate Marketing Abstract: Executive Summary. The Internet is quickly becoming the place where customers first look to buy products and services. The real estate brokerage industry is no exception. Whether relocating across town or across the country, individuals are shopping more and more over the Internet. It is the fastest and least expensive information source available. As such, it is becoming increasingly more important that brokerage firms remain competitive by offering their properties on the Net. This study examines the efforts of residential real estate brokers to keep up with this dynamic environment by gathering listing information of existing real estate brokerage websites. Journal: Journal of Real Estate Portfolio Management Pages: 203-211 Issue: 2 Volume: 6 Year: 2000 Month: 1 X-DOI: 10.1080/10835547.2000.12089601 File-URL: http://hdl.handle.net/10.1080/10835547.2000.12089601 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:6:y:2000:i:2:p:203-211 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089602_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Scott Below Author-X-Name-First: Scott Author-X-Name-Last: Below Author-Name: Stanley Stansell Author-X-Name-First: Stanley Author-X-Name-Last: Stansell Author-Name: Mark Coffin Author-X-Name-First: Mark Author-X-Name-Last: Coffin Title: Institutional Investment in REIT Common Stocks: An Examination of the Prudent Man Investment Hypothesis Abstract: Executive Summary. This study examines the determinants of institutional investment demand for real estate investment trust (REIT) common stock and whether institutional investment decisions are influenced by REIT financial ratios. We estimate the institutional investor demand function using a common set of financial ratios. We perform several different analyses using linear regression and two types of neural network models. The results indicate that some financial ratios appear to influence institutional investment decisions, and that preferences for many ratios change over time. Finally, the results indicate that in terms of prediction, the linear regression models are generally superior to the two neural network models. Journal: Journal of Real Estate Portfolio Management Pages: 113-130 Issue: 2 Volume: 6 Year: 2000 Month: 1 X-DOI: 10.1080/10835547.2000.12089602 File-URL: http://hdl.handle.net/10.1080/10835547.2000.12089602 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:6:y:2000:i:2:p:113-130 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089603_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: James Webb Author-X-Name-First: James Author-X-Name-Last: Webb Author-Name: Raymond Tse Author-X-Name-First: Raymond Author-X-Name-Last: Tse Title: Regional Comparison of Office Prices and Rentals in China: Evidence from Shanghai, Guangzhou and Shenzhen Abstract: Executive Summary. This article examines the market converging behaviors and the feedback effects between office prices and rentals in Shanghai, Guangzhou and Shenzhen. Comparisons are made among the three markets using Granger causality, and market convergence tests through linking up the asset and space markets. The findings indicate that the office property prices in Guangzhou and Shenzhen consistently contain highly significant information about the future movements of office property prices in Shanghai. However, the results do not indicate any lead-lag relationship between the prices in Shenzhen and Guangzhou. Because of their proximity to Hong Kong, the office markets may be affected by common macroeconomic factors in Hong Kong. Journal: Journal of Real Estate Portfolio Management Pages: 141-151 Issue: 2 Volume: 6 Year: 2000 Month: 1 X-DOI: 10.1080/10835547.2000.12089603 File-URL: http://hdl.handle.net/10.1080/10835547.2000.12089603 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:6:y:2000:i:2:p:141-151 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089604_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Norman Miller Author-X-Name-First: Norman Author-X-Name-Last: Miller Title: Retail Leasing in a Web Enabled World Abstract: Executive Summary. As retail marketing through the Internet expands, traditional retail showrooms will take on new roles in the collection of data for use in direct marketing efforts. How will successful property managers take advantage of total connectivity to assist tenants with the new modes of marketing? In addition, how will leasing agents and owners value physical space when many sales are redirected through other modes of marketing and distribution? These questions are addressed in this article with some speculation on how real estate owners will measure and capture the true value of physical retail space. Journal: Journal of Real Estate Portfolio Management Pages: 167-184 Issue: 2 Volume: 6 Year: 2000 Month: 1 X-DOI: 10.1080/10835547.2000.12089604 File-URL: http://hdl.handle.net/10.1080/10835547.2000.12089604 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:6:y:2000:i:2:p:167-184 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089605_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Bob Aalberts Author-X-Name-First: Bob Author-X-Name-Last: Aalberts Author-Name: Richard Hoyt Author-X-Name-First: Richard Author-X-Name-Last: Hoyt Title: Appraisers and Toxic Mold: Legal and Valuation Issues Abstract: New construction techniques designed to improve insulation have created conditions ripe for the proliferation of toxic mold. These developments have spawned numerous and costly lawsuits. Appraisers could be sued for negligent appraisals if they do not follow professional standards of care. Since mold has only recently become a serious issue, appraisers and other real estate professionals must devise policies and procedures to handle this potentially explosive problem. For appraisers, the amount of required expertise is dictated by the Uniform Standards of Professional Appraisal Practice, specifically in the Competency and Ethical Rules. Appraiser guidance is also contained in The Appraisal Foundation’s Advisory Opinion 9 (AO-9) and the Appraisal Institute Guide Notes 6 and 8. Journal: Journal of Real Estate Portfolio Management Pages: 203-215 Issue: 2 Volume: 6 Year: 2000 Month: 1 X-DOI: 10.1080/10835547.2000.12089605 File-URL: http://hdl.handle.net/10.1080/10835547.2000.12089605 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:6:y:2000:i:2:p:203-215 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089606_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Roger Brown Author-X-Name-First: Roger Author-X-Name-Last: Brown Author-Name: Ling Li Author-X-Name-First: Ling Author-X-Name-Last: Li Author-Name: Kenneth Lusht Author-X-Name-First: Kenneth Author-X-Name-Last: Lusht Title: A Note on Intracity Geographic Diversification of Real Estate Portfolios: Evidence from Hong Kong Abstract: Executive Summary. There is mixed evidence on the effectiveness of diversifying real estate portfolios geographically. Some suggest disappointing results are traceable to the use of geographic areas that are too crudely defined. We divide Hong Kong into submarkets, and find that this intracity geographic diversification produces marginally improved portfolio performance in some cases, but that several naïve diversification strategies are effectively efficient. Journal: Journal of Real Estate Portfolio Management Pages: 131-140 Issue: 2 Volume: 6 Year: 2000 Month: 1 X-DOI: 10.1080/10835547.2000.12089606 File-URL: http://hdl.handle.net/10.1080/10835547.2000.12089606 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:6:y:2000:i:2:p:131-140 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089607_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: John Baen Author-X-Name-First: John Author-X-Name-Last: Baen Title: The Effects of Technology on Retail Sales, Commercial Property Values and Percentage Rents Abstract: Executive Summary. This study examines the impact of e-commerce and the effect of technology on traditional retail sales, commercial property values and percentage rents. This study analyzes standard retail leases and seeks evidence of retailers shifting on-site sales to off-site e-commerce and catalog operations. The results indicate that of those surveyed, most shopping center owners, managers and leases contain no provisions for these sales, which have value implications to owners. In addition, this study presents both theoretical concepts and empirical results that suggest commercial leases need to be altered to account for online and catalog sales. Alternative uses for vacant bank buildings and retail spaces are suggested as well as specific recommendations to owners / tenants to reduce the threat of e-commerce to retail centers. Journal: Journal of Real Estate Portfolio Management Pages: 185-201 Issue: 2 Volume: 6 Year: 2000 Month: 1 X-DOI: 10.1080/10835547.2000.12089607 File-URL: http://hdl.handle.net/10.1080/10835547.2000.12089607 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:6:y:2000:i:2:p:185-201 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089608_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Patrick Wilson Author-X-Name-First: Patrick Author-X-Name-Last: Wilson Author-Name: John Okunev Author-X-Name-First: John Author-X-Name-Last: Okunev Author-Name: Craig Ellis Author-X-Name-First: Craig Author-X-Name-Last: Ellis Author-Name: David Higgins Author-X-Name-First: David Author-X-Name-Last: Higgins Title: Comparing Univariate Forecasting Techniques in Property Markets Abstract: Executive Summary. This article presents a visual comparison of out-of-sample turning point performance as well as a brief comparison of forecast accuracy statistics of spectral analysis against other univariate techniques such as ARIMA modeling and exponential smoothing. Conventional forecast accuracy statistics show that exponential smoothing models are highly comparable with, and generally outperform, the other more complex model structures but only in those property markets when a stable trend is present. However, the article also demonstrates that such models perform poorly in turning point prediction. By way of contrast, the research shows that both the ARIMA and spectral regression modeling processes are capable of predicting turning points in property markets. Journal: Journal of Real Estate Portfolio Management Pages: 283-306 Issue: 3 Volume: 6 Year: 2000 Month: 1 X-DOI: 10.1080/10835547.2000.12089608 File-URL: http://hdl.handle.net/10.1080/10835547.2000.12089608 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:6:y:2000:i:3:p:283-306 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089609_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Peter H. Oppenheimer Author-X-Name-First: Peter H. Author-X-Name-Last: Oppenheimer Title: An Investigation of Current Debt Levels of Equity REITs Abstract: Executive Summary. This study investigates the current debt levels of equity real estate investment trusts (EREITs) and the ability of these companies to meet their interest and dividend payments. Critical financial ratios for the aggregate industry show that EREIT debt levels have consistently fallen since the recession of the early 1990s. In addition, lower debt levels and improved cash flows have reduced the risk of default as indicated by increasing debt coverage levels. However, this trend significantly reversed in 1998 when the industry experienced sharp increases in debt and reductions in interest coverage ratios. Journal: Journal of Real Estate Portfolio Management Pages: 225-237 Issue: 3 Volume: 6 Year: 2000 Month: 1 X-DOI: 10.1080/10835547.2000.12089609 File-URL: http://hdl.handle.net/10.1080/10835547.2000.12089609 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:6:y:2000:i:3:p:225-237 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089610_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: John Benjamin Author-X-Name-First: John Author-X-Name-Last: Benjamin Author-Name: G. Donald Jud Author-X-Name-First: G. Donald Author-X-Name-Last: Jud Author-Name: Daniel Winkler Author-X-Name-First: Daniel Author-X-Name-Last: Winkler Title: Retail Vacancy Rates: The Influence of National and Local Economic Conditions Abstract: Executive Summary. This study examines the extent to which local retail vacancy rates are influenced by vacancy rates in surrounding communities versus the overall national vacancy rate in the retail sector. Consistent with prior research, our simultaneous spatial autore-gressive analyses of pooled retail market vacancy rates suggests that there is considerable spatial correlation in vacancy rates among neighboring metropolitan areas. There is also evidence of substantial temporal correlation in local vacancy rates. While spatial correlation dominates the national vacancy rate in explaining variation in the level of vacancy rates, changes in the national vacancy rate explain a statistically significant portion of the variation in the changes in local vacancy rates. The nature and extent to which changes in national rates affect local rates is found to differ markedly across MSAs. Journal: Journal of Real Estate Portfolio Management Pages: 249-258 Issue: 3 Volume: 6 Year: 2000 Month: 1 X-DOI: 10.1080/10835547.2000.12089610 File-URL: http://hdl.handle.net/10.1080/10835547.2000.12089610 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:6:y:2000:i:3:p:249-258 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089611_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: H. Swint Friday Author-X-Name-First: H. Swint Author-X-Name-Last: Friday Author-Name: Eric Higgins Author-X-Name-First: Eric Author-X-Name-Last: Higgins Title: The Day of the Week Effect in Real Estate Investment Trusts Abstract: Executive Summary. This study examines the behavior of real estate investment trust (REIT) returns surrounding the weekend. The results for equity REITs show that similar to equity securities, returns on Monday are positive when returns on Friday are positive and returns on Monday are negative when returns on Friday are negative. This same relationship does not hold for mortgage REITs. In addition, a significant first order autocorrelation pattern is observed for all REIT types around the weekend. The study also finds that REIT investors respond more strongly to information contained in the market's previous return rather than that contained in previous REIT returns. This implies that REIT investors may have a difficult time processing information about REIT securities and rely heavily on market information to make investment decisions. Journal: Journal of Real Estate Portfolio Management Pages: 273-282 Issue: 3 Volume: 6 Year: 2000 Month: 1 X-DOI: 10.1080/10835547.2000.12089611 File-URL: http://hdl.handle.net/10.1080/10835547.2000.12089611 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:6:y:2000:i:3:p:273-282 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089612_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Tien Foo Sing Author-X-Name-First: Tien Foo Author-X-Name-Last: Sing Author-Name: Seow Eng Ong Author-X-Name-First: Seow Eng Author-X-Name-Last: Ong Title: Asset Allocation in a Downside Risk Framework Abstract: Executive Summary. The traditional Markowitz portfolio optimization has two serious drawbacks. First, mean-variance portfolio optimization is inadequate when asset returns are skewed. Second, investor risk aversion is ignored. A more efficient measure of risk that focuses only on the deviation below a pre-specified target rate of return is defined in a generalized lower partial moment (LPM) framework. The concepts of LPM and co-LPM, a downside measure of the covariance of return, are extended to Markowitz's model to provide a more efficient and robust optimization process. This article demonstrates that downside risk models can be easily implemented using spreadsheet programs and illustrates how investor risk aversion can be incorporated into a downside risk asset optimization model. Journal: Journal of Real Estate Portfolio Management Pages: 213-223 Issue: 3 Volume: 6 Year: 2000 Month: 1 X-DOI: 10.1080/10835547.2000.12089612 File-URL: http://hdl.handle.net/10.1080/10835547.2000.12089612 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:6:y:2000:i:3:p:213-223 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089613_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Edward O'Neal Author-X-Name-First: Edward Author-X-Name-Last: O'Neal Author-Name: Daniel Page Author-X-Name-First: Daniel Author-X-Name-Last: Page Title: Real Estate Mutual Funds: Abnormal Performance and Fund Characteristics Abstract: Executive Summary. The assets in real estate mutual funds have increased by a factor of thirty-eight over the past eight years. This rate of growth far outstrips equity and bond mutual funds over the same period. Given the growing popularity of mutual funds as a way to invest in real estate, questions arise about the performance that these funds provide relative to real estate index portfolios. In this study, we measure the abnormal returns over the three-year period 1996-98 for a sample of twenty-eight real estate funds. We find that, as a group, real estate mutual funds do not deliver positive abnormal performance and that expense ratios, turnover and fund age are all correlated with fund performance. Journal: Journal of Real Estate Portfolio Management Pages: 239-247 Issue: 3 Volume: 6 Year: 2000 Month: 1 X-DOI: 10.1080/10835547.2000.12089613 File-URL: http://hdl.handle.net/10.1080/10835547.2000.12089613 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:6:y:2000:i:3:p:239-247 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089614_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Ling He Author-X-Name-First: Ling Author-X-Name-Last: He Author-Name: James Webb Author-X-Name-First: James Author-X-Name-Last: Webb Title: Causality in Real Estate Markets: The Case of Hong Kong Abstract: Executive Summary. This study examines the causal price/rental relationships between the residential and the commercial real estate markets (office buildings, retail stores and industrial properties) in Hong Kong. Contemporaneous causalities between residential and the three types of commercial properties are found. The results indicate that the residential and commercial real estate markets have similar responses to some important economic and political news.In contrast to the common view that large transactions of commercial properties are usually leading indicators of change in real estate markets, evidence about the unidirectional causality from residential prices/rentals to commercial prices/rentals suggests that the higher frequency of price/rental adjustments for residential real estate provides more opportunities to reflect the impact of significant news. However, no unidirectional causality between residential rentals and industrial rentals is found. This may reflect fundamental differences in lease terms. Journal: Journal of Real Estate Portfolio Management Pages: 259-271 Issue: 3 Volume: 6 Year: 2000 Month: 1 X-DOI: 10.1080/10835547.2000.12089614 File-URL: http://hdl.handle.net/10.1080/10835547.2000.12089614 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:6:y:2000:i:3:p:259-271 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089617_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Jeffrey Fisher Author-X-Name-First: Jeffrey Author-X-Name-Last: Fisher Author-Name: Michael Young Author-X-Name-First: Michael Author-X-Name-Last: Young Title: Institutional Property Tenure: Evidence from the NCREIF Database Abstract: Executive Summary. This article examines holding periods for commercial real estate held by institutional investors in the NCREIF database in the United States and contrasts them with those found in a United Kingdom study using the IPD database. The similarity of results suggests that there may be fundamental reasons for the relatively long holding period for real estate that is global and related to differences in the relative liquidity and lease structures. Evidence is also found that holding periods have been declining over time and that the volume of transactions, and consequently holding periods, may be related to market conditions and structural changes in the management of real estate assets. Journal: Journal of Real Estate Portfolio Management Pages: 327-338 Issue: 4 Volume: 6 Year: 2000 Month: 1 X-DOI: 10.1080/10835547.2000.12089617 File-URL: http://hdl.handle.net/10.1080/10835547.2000.12089617 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:6:y:2000:i:4:p:327-338 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089618_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: F. Neil Author-X-Name-First: F. Author-X-Name-Last: Neil Author-Name: James Webb Author-X-Name-First: James Author-X-Name-Last: Webb Title: Management Styles of REIT Funds Abstract: Executive Summary. This study examines the ability of implied property type allocations to aid in the explanation for the performance of real estate investment trust (REIT) funds. Implied allocations are estimated for ten institutional REIT managers and for nine mutual funds specializing in real estate from January, 1994 through September, 1996. The study finds evidence for the ability of the implied allocations to explain performance, but the tests for a statistically significant relationship are mixed. Journal: Journal of Real Estate Portfolio Management Pages: 339-348 Issue: 4 Volume: 6 Year: 2000 Month: 1 X-DOI: 10.1080/10835547.2000.12089618 File-URL: http://hdl.handle.net/10.1080/10835547.2000.12089618 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:6:y:2000:i:4:p:339-348 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089619_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Shawn Howton Author-X-Name-First: Shawn Author-X-Name-Last: Howton Author-Name: Shelly Howton Author-X-Name-First: Shelly Author-X-Name-Last: Howton Author-Name: H. Friday Author-X-Name-First: H. Author-X-Name-Last: Friday Title: Long Run Underperformance in REITs Following Seasoned Equity Offerings Abstract: Executive Summary. This study examines the long-run performance of real estate investment trusts (REITs) following seasoned equity offerings (SEOs). Over 61% of the 178 REITs examined underperform an index of REITs for the first year after the issue, and over 72% of the firms underperform the index for three years following the issue. The sample is partitioned according to book-to-market value of equity ratio, market value of equity and REIT type. The results reveal that all REIT subsamples except the highest book-to-market quintile and the lowest size quintile exhibit the same patterns of underperform-ance observed in the full sample. In addition, equity REITs underperform the index for both one and three years while non-equity REITs underperform for three years but exhibit no underperformance for one year following the SEO. Journal: Journal of Real Estate Portfolio Management Pages: 355-363 Issue: 4 Volume: 6 Year: 2000 Month: 1 X-DOI: 10.1080/10835547.2000.12089619 File-URL: http://hdl.handle.net/10.1080/10835547.2000.12089619 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:6:y:2000:i:4:p:355-363 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089620_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Shawn Howton Author-X-Name-First: Shawn Author-X-Name-Last: Howton Author-Name: Shelly Howton Author-X-Name-First: Shelly Author-X-Name-Last: Howton Author-Name: H. Friday Author-X-Name-First: H. Author-X-Name-Last: Friday Title: Long Run Underperformance in REITs Following Seasoned Equity Offerings Abstract: Executive Summary. This study examines the long-run performance of real estate investment trusts (REITs) following seasoned equity offerings (SEOs). Over 61% of the 178 REITs examined underperform an index of REITs for the first year after the issue, and over 72% of the firms underperform the index for three years following the issue. The sample is partitioned according to book-to-market value of equity ratio, market value of equity and REIT type. The results reveal that all REIT subsamples except the highest book-to-market quintile and the lowest size quintile exhibit the same patterns of underperform-ance observed in the full sample. In addition, equity REITs underperform the index for both one and three years while non-equity REITs underperform for three years but exhibit no underperformance for one year following the SEO. Journal: Journal of Real Estate Portfolio Management Pages: 355-363 Issue: 4 Volume: 6 Year: 2000 Month: 1 X-DOI: 10.1080/10835547.2000.12089620 File-URL: http://hdl.handle.net/10.1080/10835547.2000.12089620 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:6:y:2000:i:4:p:355-363 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089621_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Stephen Roulac Author-X-Name-First: Stephen Author-X-Name-Last: Roulac Title: Institutional Real Estate Investing Processes, Due Diligence Practices and Market Conditions Abstract: Executive Summary. The institutionalization of the real estate capital markets has created a market in which those who put capital at risk are increasingly separated from those who make the investment decisions. Investors expect their investment fiduciaries' actions to be consistent with the prudent man standard, employing appropriate due diligence prior to investing. Effective due diligence can improve the prospects of investment performance and mitigate loss exposure. The findings confirm that more resources are devoted to due diligence during times of difficult market conditions than during times of optimistic expectations. The preponderance of due diligence factors are considered by the institutional investor to be important, indicating that for it to be effective, it must be comprehensively rather than selectively implemented. Journal: Journal of Real Estate Portfolio Management Pages: 387-416 Issue: 4 Volume: 6 Year: 2000 Month: 1 X-DOI: 10.1080/10835547.2000.12089621 File-URL: http://hdl.handle.net/10.1080/10835547.2000.12089621 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:6:y:2000:i:4:p:387-416 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089622_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Ling He Author-X-Name-First: Ling Author-X-Name-Last: He Title: Causal Relationships Between Apartment REIT Stock Returns and Unsecuritized Residential Real Estate Abstract: Executive Summary. This study performs a complete set of Granger causality tests to examine different types of causal relationships between apartment real estate investment trust (REIT) stock returns and changes in unsecuritized residential real estate. Results of causality tests provide evidence that stock returns for apartment REITs Granger-cause alterations in new housing starts. On the other hand, changes in both new house prices and new housing starts provide relevant and useful information/feedback to revise expectations of unsecuritized residential real estate returns/cash flows. In addition, a very strong positive contemporaneous causality between apartment REIT stock returns and new house prices is detected. The result clearly suggests that the two series respond simultaneously to some fundamental changes, such as changes in interest rates. Journal: Journal of Real Estate Portfolio Management Pages: 365-372 Issue: 4 Volume: 6 Year: 2000 Month: 1 X-DOI: 10.1080/10835547.2000.12089622 File-URL: http://hdl.handle.net/10.1080/10835547.2000.12089622 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:6:y:2000:i:4:p:365-372 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089623_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Tien-Foo National Author-X-Name-First: Tien-Foo Author-X-Name-Last: National Author-Name: Swee-Hiang Low Author-X-Name-First: Swee-Hiang Author-X-Name-Last: Low Title: The Inflation-Hedging Characteristics of Real Estate and Financial Assets in Singapore Abstract: Executive Summary. This study empirically tests the inflation hedging characteristics of real estate and financial assets in Singapore. The results show that real estate provides a better hedge against inflation than does stock and securitized real estate. Industrial property is the most effective hedge against both expected and unexpected inflation, whereas shop offers only significant hedge against the expected inflation. The returns of the two assets establish more than one-to-one correspondence relationships with inflation. When the inflation hedging characteristics of assets are tested in different inflation environments, residential property hedges effectively against unexpected inflation in the low inflation regime, whereas the hedging performance of industrial property against both types of inflation is better in the high inflation regime. Journal: Journal of Real Estate Portfolio Management Pages: 373-385 Issue: 4 Volume: 6 Year: 2000 Month: 1 X-DOI: 10.1080/10835547.2000.12089623 File-URL: http://hdl.handle.net/10.1080/10835547.2000.12089623 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:6:y:2000:i:4:p:373-385 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089624_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Olga Kaganova Author-X-Name-First: Olga Author-X-Name-Last: Kaganova Author-Name: Ritu Nayyar-Stone Author-X-Name-First: Ritu Author-X-Name-Last: Nayyar-Stone Title: Municipal Real Property Asset Management: An Overview of World Experience, Trends and Financial Implications Abstract: Executive Summary. In nearly all countries, municipalities own or control substantial amounts of real estate, but few municipal governments think of their holdings as a “portfolio” whose composition might be modified to better serve public purposes. This study is based on research conducted for the World Bank, and discusses the conceptual evolution in this area during the last twenty to twenty-five years. It outlines a core set of features that are an integral part of an efficient and accountable asset management system, and also provides an in-dept analysis of asset management issues in countries in transition, where municipal governments often are the largest property owners. Journal: Journal of Real Estate Portfolio Management Pages: 307-326 Issue: 4 Volume: 6 Year: 2000 Month: 1 X-DOI: 10.1080/10835547.2000.12089624 File-URL: http://hdl.handle.net/10.1080/10835547.2000.12089624 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:6:y:2000:i:4:p:307-326 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089625_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Joel Stoesser Author-X-Name-First: Joel Author-X-Name-Last: Stoesser Author-Name: Robert Hess Author-X-Name-First: Robert Author-X-Name-Last: Hess Title: Point of View Styles of Higher Return Strategies Journal: Journal of Real Estate Portfolio Management Pages: 417-422 Issue: 4 Volume: 6 Year: 2000 Month: 1 X-DOI: 10.1080/10835547.2000.12089625 File-URL: http://hdl.handle.net/10.1080/10835547.2000.12089625 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:6:y:2000:i:4:p:417-422 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089626_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Michael Seiler Author-X-Name-First: Michael Author-X-Name-Last: Seiler Author-Name: James Webb Author-X-Name-First: James Author-X-Name-Last: Webb Author-Name: F Neil Mye Author-X-Name-First: F Author-X-Name-Last: Neil Mye Title: Can Private Real Estate Portfolios Be Rebalanced/Diversified Using Equity REIT Shares? Abstract: Executive Summary. The purpose of this study is to determine whether or not private real estate portfolios can be diversified or rebalanced using public real estate (equity real estate investment trust stocks). An examination of resulting efficient frontiers and their corresponding optimal portfolio weights across various levels of expected return reveals that the ability of public real estate to rebalance private real estate only portfolios, using either long or short positions, is very much in doubt. The results found in a mixed-asset setting are more promising, but not convincing. Hence, if institutional investors wish to continue to hold public real estate, they should do so for reasons other than rebalancing or diversifying their private real estate portfolios. Journal: Journal of Real Estate Portfolio Management Pages: 25-41 Issue: 1 Volume: 7 Year: 2001 Month: 1 X-DOI: 10.1080/10835547.2001.12089626 File-URL: http://hdl.handle.net/10.1080/10835547.2001.12089626 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:7:y:2001:i:1:p:25-41 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089627_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Simon Stevenson Author-X-Name-First: Simon Author-X-Name-Last: Stevenson Title: The Long-Term Advantages to Incorporating Indirect Securities in Direct Real Estate Portfolios Abstract: Executive Summary. This study examines the longterm diversification opportunities potentially available to real estate managers from using firstly real estate investment trusts and secondly international real estate securities as a diversification tool. The results show that when optimal direct real estate portfolios are used as the base, while indirect securities do gain allocations in the extended optimal portfolios, the improvement in performance is not statistically significant. However, when the national NCREIF Index is used, thereby assuming a diversified direct market portfolio, significant results are obtained. Journal: Journal of Real Estate Portfolio Management Pages: 5-16 Issue: 1 Volume: 7 Year: 2001 Month: 1 X-DOI: 10.1080/10835547.2001.12089627 File-URL: http://hdl.handle.net/10.1080/10835547.2001.12089627 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:7:y:2001:i:1:p:5-16 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089628_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Glenn Mueller Author-X-Name-First: Glenn Author-X-Name-Last: Mueller Author-Name: Michael Anikeeff Author-X-Name-First: Michael Author-X-Name-Last: Anikeeff Title: Real Estate Ownership and Operating Businesses: Does Combining Them Make Sense for REITs? Abstract: Executive Summary. Variance in returns and riskadjusted returns of six real estate investment trust (REIT) property types were analyzed for rent’s connection to operating business. We find that hotel REITs where real estate rents are connected to hotel operations has performed poorly, and retail mall and outlet REIT returns where rents are tied to sales have also had lower risk-adjusted returns. One surprise was that seniors housing REIT returns had average variance. Further analysis found the operations component of healthcare was separated from the real estate component in these REITs. These results place in question the value of the new Taxable REIT Subsidiary law available in 2001, as it may create higher return variance and lower riskadjusted returns. Journal: Journal of Real Estate Portfolio Management Pages: 55-65 Issue: 1 Volume: 7 Year: 2001 Month: 1 X-DOI: 10.1080/10835547.2001.12089628 File-URL: http://hdl.handle.net/10.1080/10835547.2001.12089628 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:7:y:2001:i:1:p:55-65 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089629_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Robert Mooradian Author-X-Name-First: Robert Author-X-Name-Last: Mooradian Author-Name: Shiawee Yang Author-X-Name-First: Shiawee Author-X-Name-Last: Yang Title: Dividend Policy and Firm Performance:Hotel REITs vs. Non-REIT Hotel Companies Abstract: Executive Summary. This article investigates whether the greater reliance of real estate investment trusts (REITs) relative to non-REIT corporations on external equity financing suggests greater capital market discipline of REIT management, or greater access to capital, overpaying for assets, overbuilding and overinvestment. Our analysis is based on a sample of sixteen hotel REITs and fifty-one non-REIT hotel corporations from 1993 to 1999. We examine differences in performance and whether free cash flow can explain the differences. The findings suggest that hotel REITs retain a significantly smaller amount of free cash flow than non-REIT hotel companies. Market valuation reflected in the market-tobook ratio is clearly negatively related to free cash flow measured at both before and after dividend levels. In addition, relatively small hotel REITs enjoy significantly higher excess market values than their non-REIT counterparts at similar sizes, suggesting greater growth opportunities for REITs. Journal: Journal of Real Estate Portfolio Management Pages: 79-87 Issue: 1 Volume: 7 Year: 2001 Month: 1 X-DOI: 10.1080/10835547.2001.12089629 File-URL: http://hdl.handle.net/10.1080/10835547.2001.12089629 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:7:y:2001:i:1:p:79-87 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089630_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Timothy Craft Author-X-Name-First: Timothy Author-X-Name-Last: Craft Title: The Role of Private and Public Real Estate in Pension Plan Portfolio Allocation Choices Abstract: Executive Summary. This article examines the portfolio allocation decision within an asset/liability framework. Here portfolio weights are chosen not just by an asset’s return and variance but also by its correlation with pension liabilities. This results in assets that are highly correlated with pension liabilities being weighted higher in the portfolio. Typical mean-variance models estimate allocations to both public and private real estate as high as 40%. In the asset/liability model, allocations to both private and public real estate are lower and closer to what is actually observed in pension plan portfolios. Journal: Journal of Real Estate Portfolio Management Pages: 17-23 Issue: 1 Volume: 7 Year: 2001 Month: 1 X-DOI: 10.1080/10835547.2001.12089630 File-URL: http://hdl.handle.net/10.1080/10835547.2001.12089630 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:7:y:2001:i:1:p:17-23 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089631_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Shiawee Yang Author-X-Name-First: Shiawee Author-X-Name-Last: Yang Title: Is Bigger Better? A Re-examination of the Scale Economies of REITs Abstract: Executive Summary. This study re-examines economies of scale for the equity real estate investment trust (REIT) industry, particularly the use of the translog model in empirical tests. Three cost functional forms are tested using data from 120 equity REITs in 1997: translog, simple quadratic and quadratic semi-log. The commonly utilized translog model is found to have little significance in explaining the scale effect, which suggests that the economy-of-scale parameter results derived from a translog model are irrelevant. However, the simple quadratic and quadratic semi-log functions are found to be significantly concave, supporting the existence of economies of scale in equity REITs. Journal: Journal of Real Estate Portfolio Management Pages: 67-77 Issue: 1 Volume: 7 Year: 2001 Month: 1 X-DOI: 10.1080/10835547.2001.12089631 File-URL: http://hdl.handle.net/10.1080/10835547.2001.12089631 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:7:y:2001:i:1:p:67-77 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089632_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a 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 Title: The Time-Varying Nature of the Link between REIT, Real Estate and Financial Asset Returns Abstract: Executive Summary. This study examines the sensitivity of equity real estate investment trust (REIT) returns to returns on other asset classes, including real estate, using an estimation method that explicitly allows for variation over time in the sensitivities. The results show that the relationship between REIT returns and returns to bonds, small cap stocks, large cap stocks and unsecuritized real estate has changed over time. During the 1990s, REITs began to exhibit a direct link to real estate returns, indicating that REITs do provide portfolios with some exposure to the real estate asset class. The strength of this link, however, is cyclical in nature. The sensitivity of REIT returns to large cap stocks has declined through time. REIT returns exhibit a sensitivity to small cap returns that has a strong cyclical component, with the two becoming more closely linked in REIT market downturns. Journal: Journal of Real Estate Portfolio Management Pages: 43-54 Issue: 1 Volume: 7 Year: 2001 Month: 1 X-DOI: 10.1080/10835547.2001.12089632 File-URL: http://hdl.handle.net/10.1080/10835547.2001.12089632 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:7:y:2001:i:1:p:43-54 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089633_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Joseph Ooi Author-X-Name-First: Joseph Author-X-Name-Last: Ooi Title: Dividend Payout Characteristics of U.K. Property Companies Abstract: Executive Summary. Employing panel data methodology, the dividend policy of property companies quoted on the London Stock Exchange is examined. Between 1986 and 1998, the quoted property sector paid out, on average, 44% of its net earnings as dividends. Similar to firms in other sectors, real estate corporations smooth their dividend payout to minimize the chance of having to reduce dividends in subsequent years. The empirical evidence further shows that the dividend payout ratio of the average real estate corporation is dictated to a large extent by the firm's total asset holding and leverage ratio. Property investment companies pay significantly higher dividends, compared to property trading companies. Journal: Journal of Real Estate Portfolio Management Pages: 133-142 Issue: 2 Volume: 7 Year: 2001 Month: 1 X-DOI: 10.1080/10835547.2001.12089633 File-URL: http://hdl.handle.net/10.1080/10835547.2001.12089633 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:7:y:2001:i:2:p:133-142 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089634_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Shawn Howton Author-X-Name-First: Shawn Author-X-Name-Last: Howton Author-Name: Shelly Howton Author-X-Name-First: Shelly Author-X-Name-Last: Howton Title: The Wealth Effects of REIT Straight Debt Offerings Abstract: Executive Summary. The market's reaction to seventy-four real estate investment trust (REIT) straight debt issues between 1991 and 1997 is examined. No significant market reaction to straight debt issues on the announcement day is found. The findings also show that in univariate tests of announcement day returns, the market reaction to a straight debt issue is inversely related to the issuer's level of existing cash and inversely related to investment opportunities as measured by Tobin's q. These results differ from previous findings for industrial firms in Howton, Howton and Perfect (1998). The differences between REITs and industrials may be due to the regulatory structure of REITs. Journal: Journal of Real Estate Portfolio Management Pages: 151-157 Issue: 2 Volume: 7 Year: 2001 Month: 1 X-DOI: 10.1080/10835547.2001.12089634 File-URL: http://hdl.handle.net/10.1080/10835547.2001.12089634 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:7:y:2001:i:2:p:151-157 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089635_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Dapeng Hu Author-X-Name-First: Dapeng Author-X-Name-Last: Hu Author-Name: Anthony Pennington-Cross Author-X-Name-First: Anthony Author-X-Name-Last: Pennington-Cross Title: The Evolution of Real Estate in the Economy Abstract: Executive Summary. While the economy as a whole has been rapidly changing in response to technological innovation, real estate has evolved from a depository of wealth for households and assets for corporations into a major force in the debt and equity markets. In contrast, the role of real estate as a contributor to the nation's output and income has remained steady at approximately 11% of gross domestic product. Journal: Journal of Real Estate Portfolio Management Pages: 169-176 Issue: 2 Volume: 7 Year: 2001 Month: 1 X-DOI: 10.1080/10835547.2001.12089635 File-URL: http://hdl.handle.net/10.1080/10835547.2001.12089635 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:7:y:2001:i:2:p:169-176 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089636_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Ping Cheng Author-X-Name-First: Ping Author-X-Name-Last: Cheng Author-Name: Marvin Wolverton Author-X-Name-First: Marvin Author-X-Name-Last: Wolverton Title: MPT and the Downside Risk Framework: A Comment on Two Recent Studies Abstract: Executive Summary. Comparing the downside risk (DR) framework with classic modern portfolio theory (MPT) is less straightforward than it may appear. Two recent studies have attempted to compare the two models in terms of portfolio risk. This study uses an empirical example to demonstrate the pitfalls of making such comparisons. Additionally, we suggest a means of making an appropriate comparison between DR and MPT. Journal: Journal of Real Estate Portfolio Management Pages: 125-131 Issue: 2 Volume: 7 Year: 2001 Month: 1 X-DOI: 10.1080/10835547.2001.12089636 File-URL: http://hdl.handle.net/10.1080/10835547.2001.12089636 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:7:y:2001:i:2:p:125-131 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089637_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Raymond Tse Author-X-Name-First: Raymond Author-X-Name-Last: Tse Author-Name: James Webb Author-X-Name-First: James Author-X-Name-Last: Webb Title: Public vs. Private Real Estate in Hong Kong Using Adaptive Expectations Abstract: Executive Summary. Previous studies (Tse and Webb, 2000) have found mixed evidence for the role of the expected growth rate in real estate prices for explaining ex post real estate stock prices. This study demonstrates that the change in real estate stock prices is affected by both expected and unexpected changes in real estate prices where real estate price expectations are formed adaptively. The model presented in this study explains very well the real estate stock prices in Hong Kong for the period 1984-1998. This study indicates that both the expected and unexpected changes in residential, office and industrial real estate prices are important determinants of the change in real estate securities prices for Hong Kong. Journal: Journal of Real Estate Portfolio Management Pages: 143-149 Issue: 2 Volume: 7 Year: 2001 Month: 1 X-DOI: 10.1080/10835547.2001.12089637 File-URL: http://hdl.handle.net/10.1080/10835547.2001.12089637 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:7:y:2001:i:2:p:143-149 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089638_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Stephen Lee Author-X-Name-First: Stephen Author-X-Name-Last: Lee Title: The Relative Importance of Property Type and Regional Factors in Real Estate Returns Abstract: Executive Summary. This article presents an elegant and simple approach to the decomposition of property type and regional influences on property returns, and thus provides a quantitative framework for analyzing the relative impact of these two diversification categories to real estate portfolio selection. Using data on retail, office and industrial properties spread across 326 real estate locations in the United Kingdom, over the period 1981 to 1995, the results show that the performance of real estate is largely property type-driven, a result in line with previous work. This implies that the property type composition of the real estate fund should be the first level of analysis in constructing and managing the real estate portfolio. As a consequence, real estate fund managers need to pay more attention to the property type allocation of their portfolios than to the regional spread. Journal: Journal of Real Estate Portfolio Management Pages: 159-167 Issue: 2 Volume: 7 Year: 2001 Month: 1 X-DOI: 10.1080/10835547.2001.12089638 File-URL: http://hdl.handle.net/10.1080/10835547.2001.12089638 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:7:y:2001:i:2:p:159-167 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089639_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Kris Knox Author-X-Name-First: Kris Author-X-Name-Last: Knox Author-Name: Eric Blankmeyer Author-X-Name-First: Eric Author-X-Name-Last: Blankmeyer Author-Name: J Stutzman Author-X-Name-First: J Author-X-Name-Last: Stutzman Title: The Efficiency of Nursing Home Chains and the Implications of Nonprofit Status: A Comment Abstract: Executive Summary. Anderson, Lewis and Webb (1999) find that nursing facilities are relatively cost inefficient, profit-seeking homes are less inefficient than nonprofit facilities and chain facilities are more inefficient than independent firms. The purpose of this comment is to support and extend their findings. We also find that profit-seeking facilities are more efficient than nonprofit homes. However, chain facilities are significantly more efficient when both technical (cost) and allocative (price) efficiency are considered. Hence, we are reluctant to accept their policy recommendation that mergers and subsidies to chain facilities be discouraged. Journal: Journal of Real Estate Portfolio Management Pages: 177-182 Issue: 2 Volume: 7 Year: 2001 Month: 1 X-DOI: 10.1080/10835547.2001.12089639 File-URL: http://hdl.handle.net/10.1080/10835547.2001.12089639 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:7:y:2001:i:2:p:177-182 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089640_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Elaine Worzala Author-X-Name-First: Elaine Author-X-Name-Last: Worzala Author-Name: Anne McCarthy Author-X-Name-First: Anne Author-X-Name-Last: McCarthy Title: Landlords, Tenants and E-Commerce: Will the Retail Industry Change Significantly? Abstract: Executive Summary. Internet sales of goods were approximately $170 billion in 1999 and are expected to increase rapidly (Center for Research in Electronic Commerce, 1999). Predictions about the impact of e-commerce on retailers change just as rapidly. No study to date has analyzed the impact the Internet might have on individual retailers and their plans for expansion. This study provides an empirical baseline from which to track changes. On-site interviews of tenants at four types of retail locations revealed that unique products, high levels of service and closeness to the customer are important retailer strategies. Further, only a small number of retailers expect Internet sales to have a negative impact on their need for retail space. Journal: Journal of Real Estate Portfolio Management Pages: 89-97 Issue: 2 Volume: 7 Year: 2001 Month: 1 X-DOI: 10.1080/10835547.2001.12089640 File-URL: http://hdl.handle.net/10.1080/10835547.2001.12089640 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:7:y:2001:i:2:p:89-97 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089641_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Richard Graff Author-X-Name-First: Richard Author-X-Name-Last: Graff Title: Economic Analysis Suggests that REIT Investment Characteristics are Not as Advertised Abstract: Executive Summary. Commercial real estate is a cyclical asset with partial inflation-hedging characteristics. The inflation-hedging characteristics can account for the observed long-term appreciation in institutional-grade real estate value over the last two decades. Investment characteristics of regulated investment companies are shaped by two sets of economic attributes: investment portfolio characteristics and legal constraints on the companies. Both sets of real estate investment trust (REIT) attributes differ from corresponding attributes of regulated funds that invest in corporate securities. Analysis of the REIT attributes suggests that REIT investment performance since industry inception has been more or less as could have been anticipated. Despite imminent regulatory changes, it also suggests that future REIT investment performance should be similar to performance in the recent past. Journal: Journal of Real Estate Portfolio Management Pages: 99-124 Issue: 2 Volume: 7 Year: 2001 Month: 1 X-DOI: 10.1080/10835547.2001.12089641 File-URL: http://hdl.handle.net/10.1080/10835547.2001.12089641 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:7:y:2001:i:2:p:99-124 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089642_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Ping Cheng Author-X-Name-First: Ping Author-X-Name-Last: Cheng Title: Comparing Downside-Risk and Mean-Variance Analysis Using Bootstrap Simulation Abstract: Executive Summary. Is Downside risk (DR) a better alternative to the traditional mean-variance analysis (MV) for real estate portfolio diversification? This study demonstrates a bootstrap approach for comparing the two models. The results show that ex ante DR portfolio return distributions tend to be negatively skewed with a smaller left tail, and median returns seem to be higher than that of MV portfolios. Also, the DR model suggests the weight of real estate in a mixed-asset portfolio is similar to the practice of institutional investors. The results imply that portfolios formed with DR approach have certain desirable properties unavailable to MV portfolios. Journal: Journal of Real Estate Portfolio Management Pages: 225-238 Issue: 3 Volume: 7 Year: 2001 Month: 1 X-DOI: 10.1080/10835547.2001.12089642 File-URL: http://hdl.handle.net/10.1080/10835547.2001.12089642 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:7:y:2001:i:3:p:225-238 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089643_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Randy Anderson Author-X-Name-First: Randy Author-X-Name-Last: Anderson Author-Name: Youguo Liang Author-X-Name-First: Youguo Author-X-Name-Last: Liang Title: Point of View Mature and Yet Imperfect: Real Estate Capital Market Arbitrage Abstract: Executive Summary. The familiar boom-and-bust pattern of the real estate market has been tempered recently by an increased amount of discipline administered by the capital markets, and by the debt markets in particular. Additionally, due to the emergence of the public REIT and CMBS markets in the 1990s, and the accompanying proliferation of data concerning not only property market conditions but also capital flows and broader industry trends, the industry's ability to detect property and capital market imbalances has greatly improved. While this is generally a positive for the industry, this informational efficiency has created an environment in which it has become increasingly difficult for real estate investors to obtain excess returns.However, while real estate capital markets are much more competitive than they were a decade ago, they are still exceptionally fragmented due to the unique supply and demand characteristics of real estate properties, markets and real estate-related securities. This fragmentation or “market segmentation” leads to inefficiencies than can be exploited by investors desiring excess returns.In this article, we examine the overall characteristics and trends of the real estate capital markets that have led to increases in efficiency. Subsequently, we explore the inefficiencies and segmentations that still remain in the market, and demonstrate how a general real estate investment strategy can be enhanced by capitalizing on opportunities to arbitrage valuation discontinuities and inefficiencies between and within these segments. Journal: Journal of Real Estate Portfolio Management Pages: 281-288 Issue: 3 Volume: 7 Year: 2001 Month: 1 X-DOI: 10.1080/10835547.2001.12089643 File-URL: http://hdl.handle.net/10.1080/10835547.2001.12089643 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:7:y:2001:i:3:p:281-288 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089644_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: John Benjamin Author-X-Name-First: John Author-X-Name-Last: Benjamin Author-Name: Stacy Sirmans Author-X-Name-First: Stacy Author-X-Name-Last: Sirmans Author-Name: Emily Zietz Author-X-Name-First: Emily Author-X-Name-Last: Zietz Title: Returns and Risk on Real Estate and Other Investments: More Evidence Abstract: Executive Summary. This study reviews the most recent findings on real estate returns, and organizes the reviews into five categories: (1) risk and returns; (2) diversification and portfolio optimization benefits; (3) returns on real estate versus other investments; (4) REITs; and (5) inflation and real estate returns. An annotation of each study is provided and current findings are compared to those of previous studies.Real estate research is broadening to include topics such as market efficiency, REITs and the power of macroeconomic variables in explaining and predicting real estate returns. Discussed are findings on whether real estate provides diversification benefits, real estate returns versus other investments, REIT return performance and real estate as an inflation hedge. Journal: Journal of Real Estate Portfolio Management Pages: 183-214 Issue: 3 Volume: 7 Year: 2001 Month: 1 X-DOI: 10.1080/10835547.2001.12089644 File-URL: http://hdl.handle.net/10.1080/10835547.2001.12089644 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:7:y:2001:i:3:p:183-214 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089645_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: John Scott Author-X-Name-First: John Author-X-Name-Last: Scott Author-Name: Randy Anderson Author-X-Name-First: Randy Author-X-Name-Last: Anderson Author-Name: Anthony Loviscek Author-X-Name-First: Anthony Author-X-Name-Last: Loviscek Title: Are REIT CEOs Rewarded for Performance? Another Look Abstract: Executive Summary. Researchers have found that firm size is more important than firm performance in determining the compensation of top managers of real estate investment trusts (REITs). In fact, some recent research excludes performance altogether as an explanatory variable in estimating compensation. This research reexamines this issue by using a market-based measure of performance and by segmenting compensation into total and incentive-based components. The results demonstrate that the rewards to performance dominate the rewards to size. This finding indicates that performance is a more important explanatory variable than prior research suggests. Journal: Journal of Real Estate Portfolio Management Pages: 247-252 Issue: 3 Volume: 7 Year: 2001 Month: 1 X-DOI: 10.1080/10835547.2001.12089645 File-URL: http://hdl.handle.net/10.1080/10835547.2001.12089645 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:7:y:2001:i:3:p:247-252 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089646_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Chinmoy Ghosh Author-X-Name-First: Chinmoy Author-X-Name-Last: Ghosh Author-Name: Raja Nag Author-X-Name-First: Raja Author-X-Name-Last: Nag Author-Name: C Sirmans Author-X-Name-First: C Author-X-Name-Last: Sirmans Title: Pricing Effects of Seasoned Debt Issues of Equity REITs Abstract: Executive Summary. Real estate investment trusts (REITs) have been one of the most active sectors in the capital market over the last few years. This study examines the equity valuation effects of seasoned debt offers by REITs during the 1991-1997 period. REITs raised more than $35 billion through debt issues during this period. The findings indicate a positive significant reaction to announcements of debt offers. Although the results are inconsistent with traditional finance literature, it corroborates Howe and Shilling's (1988) findings for a smaller sample of 73 REITs. Further, the price changes are found to be significant and positively related to the amount of debt issued and significant and negatively related to the apartment and mall property types. Journal: Journal of Real Estate Portfolio Management Pages: 239-246 Issue: 3 Volume: 7 Year: 2001 Month: 1 X-DOI: 10.1080/10835547.2001.12089646 File-URL: http://hdl.handle.net/10.1080/10835547.2001.12089646 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:7:y:2001:i:3:p:239-246 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089647_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Gerald Buetow Author-X-Name-First: Gerald Author-X-Name-Last: Buetow Author-Name: Robert Johnson Author-X-Name-First: Robert Author-X-Name-Last: Johnson Title: The Real Estate Asset Allocation Decision: Monetary Policy Implications Abstract: Executive Summary. Previous research establishes that Federal Reserve monetary policy influences both stock and bond returns. This research extends past research and shows that similar patterns exist for real estate investment trust returns. We find that the correlation structure of asset returns changes with alternative monetary policy environments. Mean-variance analysis indicates that optimal asset allocations differ dramatically in different monetary policy environments, and that the exposure to real estate should be prominent only in expansive environments. Overall, the findings suggest that investors may wish to realign their portfolios in reaction to, or anticipation of, Federal Reserve actions. Journal: Journal of Real Estate Portfolio Management Pages: 215-223 Issue: 3 Volume: 7 Year: 2001 Month: 1 X-DOI: 10.1080/10835547.2001.12089647 File-URL: http://hdl.handle.net/10.1080/10835547.2001.12089647 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:7:y:2001:i:3:p:215-223 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089648_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Bruce Weber Author-X-Name-First: Bruce Author-X-Name-Last: Weber Title: The Use of GIS & OLAP for Accurate Valuation of Developable Land Abstract: Executive Summary. The purpose of this study is to describe a beginning best practice technique for the valuation of brownfields that incorporates business cycle as well as market analysis. The literature suggests that a developmental model that uses Monte Carlo methods to estimate land value as a residual, in light of all risks, is likely to be the most appropriate methodology. This study examines approaches to market analysis and illustrates how technology can provide more accurate results. It suggests a reference scope of work for market analysis. It is badly needed in order to communicate the level of market analysis that has been used in an appraisal for international valuation standards. Journal: Journal of Real Estate Portfolio Management Pages: 253-280 Issue: 3 Volume: 7 Year: 2001 Month: 1 X-DOI: 10.1080/10835547.2001.12089648 File-URL: http://hdl.handle.net/10.1080/10835547.2001.12089648 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:7:y:2001:i:3:p:253-280 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089649_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Richard Graff Author-X-Name-First: Richard Author-X-Name-Last: Graff Title: Synthetic Debt: Off-Balance-Sheet Corporate Finance for the Twenty-First Century Abstract: Executive Summary. Off-balance-sheet fixed-income financial obligations can arise in an efficiently regulated market environment. Recent advances in financial technology have resulted in a class of lease-based fixed-income products to finance off-balance-sheet corporate acquisitions of tangible assets. Such products as synthetic leases and synthetic debt enable corporations to lease assets and also benefit from any increase in asset valuation while the assets are under lessee control. Synthetic lease finance imposes a number of constraints in return for the off-balance-sheet benefit. By contrast, synthetic debt finance provides corporate financiers with cost and flexibility comparable to conventional senior corporate debt. Journal: Journal of Real Estate Portfolio Management Pages: 45-54 Issue: 1 Volume: 8 Year: 2002 Month: 1 X-DOI: 10.1080/10835547.2002.12089649 File-URL: http://hdl.handle.net/10.1080/10835547.2002.12089649 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:8:y:2002:i:1:p:45-54 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089650_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Elaine Worzala Author-X-Name-First: Elaine Author-X-Name-Last: Worzala Author-Name: David Gilliland Author-X-Name-First: David Author-X-Name-Last: Gilliland Author-Name: Jacques Gordon Author-X-Name-First: Jacques Author-X-Name-Last: Gordon Title: Real Estate Research Needs of the Plan Sponsor Community: What Do the Plan Sponsor Real Estate Investment Managers Want to Know? Abstract: Executive Summary. This article reports the results of a web-based survey of real estate portfolio managers in the pension fund industry. The study focused on ascertaining the real estate research interests of the respondents as well as whether or not research funding should be allocated to various research topics. Performance measures of real estate assets and portfolios, microeconomic factors affecting real estate and the role of real estate in a mixed-asset portfolio were the top three real estate research interests. There was some variation by the type and size of fund providing evidence that segmentation is important within the money management industry. Respondents were also queried on more focused research subtopics and additional questions in the survey focused on satisfaction with existing real estate benchmarks, and perceptions of the usefulness of published research. Findings should be used to guide research practitioners and academics as to the most important research interests of plan sponsor real estate investment managers. Journal: Journal of Real Estate Portfolio Management Pages: 65-77 Issue: 1 Volume: 8 Year: 2002 Month: 1 X-DOI: 10.1080/10835547.2002.12089650 File-URL: http://hdl.handle.net/10.1080/10835547.2002.12089650 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:8:y:2002:i:1:p:65-77 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089651_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Jacques Gordon Author-X-Name-First: Jacques Author-X-Name-Last: Gordon Title: Point of View The Rodney Dangerfield Effect Journal: Journal of Real Estate Portfolio Management Pages: 93-95 Issue: 1 Volume: 8 Year: 2002 Month: 1 X-DOI: 10.1080/10835547.2002.12089651 File-URL: http://hdl.handle.net/10.1080/10835547.2002.12089651 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:8:y:2002:i:1:p:93-95 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089652_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Mitchell Conover Author-X-Name-First: Mitchell Author-X-Name-Last: Conover Author-Name: Swint Friday Author-X-Name-First: Swint Author-X-Name-Last: Friday Author-Name: Stacy Sirmans Author-X-Name-First: Stacy Author-X-Name-Last: Sirmans Title: Diversification Benefits from Foreign Real Estate Investments Abstract: Executive Summary. Previous research has questioned the stability of international equity diversification. This study examines whether foreign real estate exists in a more segmented market and whether foreign real estate provides any diversification benefit beyond that obtainable from foreign stocks. Using data encompassing the stock market crash of 1987, foreign real estate was found to have a lower correlation with U.S. stocks than foreign stocks. This lower correlation is shown to be stable through time as foreign real estate has a lower correlation in nearly the entire time period. Foreign real estate was also found to have a significant weight in efficient international portfolios. Journal: Journal of Real Estate Portfolio Management Pages: 17-25 Issue: 1 Volume: 8 Year: 2002 Month: 1 X-DOI: 10.1080/10835547.2002.12089652 File-URL: http://hdl.handle.net/10.1080/10835547.2002.12089652 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:8:y:2002:i:1:p:17-25 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089653_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Richard Ott Author-X-Name-First: Richard Author-X-Name-Last: Ott Author-Name: Robert Van Ness Author-X-Name-First: Robert Author-X-Name-Last: Van Ness Title: An Analysis of the Impact of the Taxpayer Relief Act of 1997 on the Valuation of REITs and the Adverse Selection Component of the Bid/Ask Spread Abstract: Executive Summary. This study analyzes the impact of the Taxpayer Relief Act (TRA) of 1997 on Real Estate Investment Trusts (REITs). The findings indicate that there are no price effects on the day of passage (or on the day that the bill went into effect). The findings also indicate that there is no change in the unsystematic risk associated with REITs after the change. Additionally, the adverse selection component of the spread increases after the tax change. This is attributed to the uncertainty that the added managerial flexibility has added to REITs. Journal: Journal of Real Estate Portfolio Management Pages: 55-63 Issue: 1 Volume: 8 Year: 2002 Month: 1 X-DOI: 10.1080/10835547.2002.12089653 File-URL: http://hdl.handle.net/10.1080/10835547.2002.12089653 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:8:y:2002:i:1:p:55-63 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089654_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Donald Jud Author-X-Name-First: Donald Author-X-Name-Last: Jud Author-Name: Tony Wingler Author-X-Name-First: Tony Author-X-Name-Last: Wingler Author-Name: Daniel Winkler Author-X-Name-First: Daniel Author-X-Name-Last: Winkler Title: The Integration of Retail Space Markets Abstract: Executive Summary. This study estimates optimized portfolios on an efficient frontier of real estate investment in the retail sector of fifty-eight metropolitan markets (MSAs), using quarterly sample data covering 1987-2000. The efficient opportunity sets and associated percentage allocations are determined for the entire sample of fifty-eight MSAs, as well as for subsets for each region of the country. Findings indicate that some regions offer much higher performance in a risk / return occupancy context than others. Also, the occupancy risk / return performance improves substantially when allocations are not limited to particular regions, suggesting that the retail space markets are relatively segmented. Journal: Journal of Real Estate Portfolio Management Pages: 79-92 Issue: 1 Volume: 8 Year: 2002 Month: 1 X-DOI: 10.1080/10835547.2002.12089654 File-URL: http://hdl.handle.net/10.1080/10835547.2002.12089654 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:8:y:2002:i:1:p:79-92 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089655_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Kwame National Author-X-Name-First: Kwame Author-X-Name-Last: National Author-Name: Ser Wee Author-X-Name-First: Ser Author-X-Name-Last: Wee Author-Name: Shahid Ebrahim Author-X-Name-First: Shahid Author-X-Name-Last: Ebrahim Title: Real Estate Portfolio Diversification by Sources of Return Abstract: Executive Summary. The basis of the superior performance of the contrarian strategy is a lively debate in the finance literature. In relation to real property, the contrarian strategy implies that properties with high running yield (i.e., value properties) could outperform properties with low running yield (i.e., growth properties). Williams (1995) was the first to hypothesize and demonstrate that “the greater the relative balance of return (percentage) from operating and reversion, the more diversified the portfolio, and thus the better the portfolio performance.” This study modified the model to conform to the Markowitz routine, and found that the association between the cash flow concentration level and the portfolio performance index, and between the diversification index and the portfolio performance index was stronger than depicted by Williams. This implies that diversification by sources of return could improve real estate portfolio performance. Journal: Journal of Real Estate Portfolio Management Pages: 1-15 Issue: 1 Volume: 8 Year: 2002 Month: 1 X-DOI: 10.1080/10835547.2002.12089655 File-URL: http://hdl.handle.net/10.1080/10835547.2002.12089655 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:8:y:2002:i:1:p:1-15 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089656_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a 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 Title: International Asset Allocation with Real Estate Securities in a Shortfall Risk Framework: The Viewpoint of German and U.S. Investors Abstract: Executive Summary. This study analyses the diversification potential of integrating indirect real estate investments in international investment portfolios. To this end, monthly index-return time-series for the time-period from January, 1985, through June, 2001, from real estate investment companies, common stocks and bonds in France, Germany, Great Britain, Switzerland and the United States were used. Due to the critical normal distribution assumption, a mean / lower-partial-moment framework was employed. In order to take into account the influence of the currency risk for international investments, the analyses have been undertaken with and without hedging the currency risk. The viewpoint of a German as well as that of a U.S. investor was taken to gain insight into the dependency of the diversification potential on the reference currency of the investor. Journal: Journal of Real Estate Portfolio Management Pages: 27-43 Issue: 1 Volume: 8 Year: 2002 Month: 1 X-DOI: 10.1080/10835547.2002.12089656 File-URL: http://hdl.handle.net/10.1080/10835547.2002.12089656 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:8:y:2002:i:1:p:27-43 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089657_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Raymond Tse Author-X-Name-First: Raymond Author-X-Name-Last: Tse Title: Price-Earnings Ratios, Dividend Yields and Real Estate Stock Prices Abstract: Executive Summary. Both dividend yields and past returns have predictive power for P/E ratios; hence they can be used as tools in forming a market timing and asset allocation strategy in stock markets. This study examines the extent to which changes in real estate returns, reflected in changes of property value and dividend yields, can have great effects on P/E ratios. The study is confined to four major real estate stocks in Hong Kong. It shows that a low dividend yield appears to be associated with a relatively high price-to-earning ratio. Variance of dividend yields tends to increase relative to the variance of earnings yield, with a rapid dividend adjustment at higher dividend payout ratios. Journal: Journal of Real Estate Portfolio Management Pages: 107-113 Issue: 2 Volume: 8 Year: 2002 Month: 1 X-DOI: 10.1080/10835547.2002.12089657 File-URL: http://hdl.handle.net/10.1080/10835547.2002.12089657 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:8:y:2002:i:2:p:107-113 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089658_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: John Corgel Author-X-Name-First: John Author-X-Name-Last: Corgel Title: Point of View Hotel Investment: In Recovery or Incapacitated? Journal: Journal of Real Estate Portfolio Management Pages: 175-181 Issue: 2 Volume: 8 Year: 2002 Month: 1 X-DOI: 10.1080/10835547.2002.12089658 File-URL: http://hdl.handle.net/10.1080/10835547.2002.12089658 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:8:y:2002:i:2:p:175-181 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089659_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Eddie Lam Author-X-Name-First: Eddie Author-X-Name-Last: Lam Title: A Primer for Investors in the Korean MBS Market Abstract: Executive Summary. The objective of this article is to serve as a primer for international investors who have an interest in the Korean Mortgage Backed Securities (MBS) market. Among all Asian countries except Japan, the Korean bond market has been the largest during the last few decades. Due to strict government control, the market was closed to foreigners prior to the 1990s. In recent years the government has relaxed these restrictions and made substantial progress in improving market efficiency. Some international investors have begun to realize the potential of the MBS market in Korea, and have invested in high quality MBS with attractive yields. This article will provide an introduction to the Korean MBS market and offer considerations for MBS investors, such as the mortgage market in Korea and the extent of government control. Journal: Journal of Real Estate Portfolio Management Pages: 127-140 Issue: 2 Volume: 8 Year: 2002 Month: 1 X-DOI: 10.1080/10835547.2002.12089659 File-URL: http://hdl.handle.net/10.1080/10835547.2002.12089659 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:8:y:2002:i:2:p:127-140 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089660_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Tim Dixon Author-X-Name-First: Tim Author-X-Name-Last: Dixon Author-Name: Andrew Marston Author-X-Name-First: Andrew Author-X-Name-Last: Marston Title: The Impact of E-commerce on Retail Real Estate in the U.K. Abstract: Executive Summary. This article summarizes the main research findings from the first of a series of annual surveys conducted for the British Council of Shopping Centres. The study examines the changing pattern of retailing in the United Kingdom and provides an overview of key research from previous studies in both the U.K. and the United States. The main findings are then presented, including an examination of the impact of e-commerce on sales and rental values and on the future space and ownership / leasing requirements of U.K. retailers for 2000-2005. The impact on a shopping center in a case study town in the U.K. is also considered. The difficulties of isolating the impact of e-commerce from other forces for change in retailing are highlighted. In contrast to other viewpoints, the results show that e-commerce will not mean the death of conventional store-based U.K. retailing, although further benchmark research is needed. Journal: Journal of Real Estate Portfolio Management Pages: 153-174 Issue: 2 Volume: 8 Year: 2002 Month: 1 X-DOI: 10.1080/10835547.2002.12089660 File-URL: http://hdl.handle.net/10.1080/10835547.2002.12089660 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:8:y:2002:i:2:p:153-174 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089661_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Jarrod Johnston Author-X-Name-First: Jarrod Author-X-Name-Last: Johnston Author-Name: Jeff Florida Author-X-Name-First: Jeff Author-X-Name-Last: Florida Title: The Relevance of a Real Estate Factor in Modeling Insurance Company Returns Abstract: Executive Summary. A popular topic in financial research has been the development and perfection of models for pricing stocks. Yet, generalized models are not necessarily applicable to financial intermediaries because of their unique characteristics that distinguish them from other types of firms. A three-factor pricing model that incorporates a real estate factor along with stock market and interest rate factors is developed. Results of the analysis lend support to the application of the three-factor model to insurance companies. Insurance company returns are positively and significantly related to real estate market movements. The results also indicate that the precise estimate of exposure to each form of systematic risk varies by type of insurance company. The exposure levels to interest rate risk vary significantly across types of insurance companies. Journal: Journal of Real Estate Portfolio Management Pages: 97-106 Issue: 2 Volume: 8 Year: 2002 Month: 1 X-DOI: 10.1080/10835547.2002.12089661 File-URL: http://hdl.handle.net/10.1080/10835547.2002.12089661 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:8:y:2002:i:2:p:97-106 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089662_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Glenn Mueller Author-X-Name-First: Glenn Author-X-Name-Last: Mueller Title: What Will the Next Real Estate Cycle Look Like? Abstract: Executive Summary. Commercial real estate markets recovered and hit a strong growth phase in the late 1990s providing investor's with strong income and appreciation growth. Following peak occupancy levels in 2000 and a decline in 2001 and the first half of 2002, many investors wonder what the new millennium will bring for the next real estate cycle. This research looks at the historic “physical” and “financial” real estate cycle of office markets and projects the potential future movements of both. The findings indicate that physical (demand / supply) cycles should be longer and less volatile than previous cycles, providing investors with moderate, but more stable, income returns than cycles of the last three decades. On the other hand, financial cycles (which affect prices) may be shorter and have more short-term volatility, due to real estate's new access to the public capital markets in the 1990s. The growth of the public real estate capital markets may also bring more discipline to the industry and help stabilize future physical cycles. Journal: Journal of Real Estate Portfolio Management Pages: 115-125 Issue: 2 Volume: 8 Year: 2002 Month: 1 X-DOI: 10.1080/10835547.2002.12089662 File-URL: http://hdl.handle.net/10.1080/10835547.2002.12089662 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:8:y:2002:i:2:p:115-125 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089663_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Waleed Muhanna Author-X-Name-First: Waleed Author-X-Name-Last: Muhanna Author-Name: James Wolf Author-X-Name-First: James Author-X-Name-Last: Wolf Title: The Impact of E-commerce on the Real Estate Industry: Baen and Guttery Revisited Abstract: Executive Summary. One widely reported prediction is that the emergence of the web as an open medium for commerce threatens the role of the real estate agent as a market intermediary. In their 1997 article, for example, Baen and Guttery predicted that the increased use of the Internet and information technology would lead to a downsizing of the entire industry. However, recent Bureau of Labor Statistics data show that the real estate industry, like most of the economy in the United States, experienced steady growth during the last few years. This article revisits the issue of disintermediation in the context of the real estate industry. It discusses—from a theoretical and conceptual perspective—several reasons why the predicted downsizing did not occur. The analysis suggests that the Internet, though clearly a very powerful tool with strategic implications, may not be as disruptive a technology as originally predicted. Journal: Journal of Real Estate Portfolio Management Pages: 141-152 Issue: 2 Volume: 8 Year: 2002 Month: 1 X-DOI: 10.1080/10835547.2002.12089663 File-URL: http://hdl.handle.net/10.1080/10835547.2002.12089663 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:8:y:2002:i:2:p:141-152 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089664_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Robert Hess Author-X-Name-First: Robert Author-X-Name-Last: Hess Author-Name: Youguo Liang Author-X-Name-First: Youguo Author-X-Name-Last: Liang Title: Point of View A Sector View of Public Market Ownership of Commercial Real Estate in the United States Journal: Journal of Real Estate Portfolio Management Pages: 271-284 Issue: 3 Volume: 8 Year: 2002 Month: 1 X-DOI: 10.1080/10835547.2002.12089664 File-URL: http://hdl.handle.net/10.1080/10835547.2002.12089664 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:8:y:2002:i:3:p:271-284 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089665_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Peter Byrne Author-X-Name-First: Peter Author-X-Name-Last: Byrne Author-Name: Colin Lizieri Author-X-Name-First: Colin Author-X-Name-Last: Lizieri Author-Name: Elaine Worzala Author-X-Name-First: Elaine Author-X-Name-Last: Worzala Title: The Location of Executive Suites and Business Centers in the United States Abstract: Executive Summary. In the 1990s, the executive suites market grew rapidly, responding to changing occupational requirements. Business centers provide tenants with fully serviced space and short leases. This provides flexibility but at a considerable premium to conventional rents. This study focuses on the distribution of executive suites and business centers in the United States. The number of centers in a metropolitan statistical area is found to be positively associated with the size of financial and business services employment. However, over a threshold, negative effects set in, dampening the number of centers found. There is an association between economic structure, economic dynamism and the concentration of business centers. Journal: Journal of Real Estate Portfolio Management Pages: 255-270 Issue: 3 Volume: 8 Year: 2002 Month: 1 X-DOI: 10.1080/10835547.2002.12089665 File-URL: http://hdl.handle.net/10.1080/10835547.2002.12089665 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:8:y:2002:i:3:p:255-270 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089666_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Muhammad Ibrahim Author-X-Name-First: Muhammad Author-X-Name-Last: Ibrahim Author-Name: Ng Wee Author-X-Name-First: Ng Author-X-Name-Last: Wee Title: The Importance of Entertainment in the Shopping Center Experience: Evidence from Singapore Abstract: Executive Summary. The existence of entertaining shopping experiences has been previously investigated, nevertheless few studies have thoroughly examined the factors that induce these experiences. Using a sequential mixed method design, involving a qualitative and quantitative sequence, this study provides insights into the factors that influence entertaining shopping experiences. In addition to retailer and customer factors, transport mode / travel factors also play an important role in enhancing a shopper's experience. Retailer factors include shopping center features, atmosphere and value-added features. Customer factors are hedonic oriented and utilitarian oriented while transport mode / travel factors incorporate effort, protection, comfort, enjoyment and tension. Journal: Journal of Real Estate Portfolio Management Pages: 239-254 Issue: 3 Volume: 8 Year: 2002 Month: 1 X-DOI: 10.1080/10835547.2002.12089666 File-URL: http://hdl.handle.net/10.1080/10835547.2002.12089666 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:8:y:2002:i:3:p:239-254 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089667_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Philip Booth Author-X-Name-First: Philip Author-X-Name-Last: Booth Title: Real Estate Investment in an Asset/Liability Modeling Context Abstract: Executive Summary. The role of real estate in a pension plan is examined using an asset/liability modeling framework. The study developed a representative liability model of a pension fund to find the impact of different liability structures on asset allocation. Efficient real estate allocations in the pension-plan context are found to be very different from those that are efficient in an assetonly framework and the liability structure has a significant impact on the composition of efficient portfolios, including allocations to real estate. Journal: Journal of Real Estate Portfolio Management Pages: 183-198 Issue: 3 Volume: 8 Year: 2002 Month: 1 X-DOI: 10.1080/10835547.2002.12089667 File-URL: http://hdl.handle.net/10.1080/10835547.2002.12089667 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:8:y:2002:i:3:p:183-198 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089668_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Tien Sing Author-X-Name-First: Tien Author-X-Name-Last: Sing Author-Name: K. Ho Author-X-Name-First: K. Author-X-Name-Last: Ho Author-Name: Mei Mak Author-X-Name-First: Mei Author-X-Name-Last: Mak Title: Real Estate Market Reaction to Public Listings and Acquisition News of Malaysian REITs Abstract: Executive Summary. This study examines the market reactions of Malaysia's real estate investments trusts (REITs) and property stocks to corporate restructuring activities. Tests of price behavior of fifty-eight listed property stocks and three property trusts in Malaysia towards the new listing of Mayban Property Trust Fund One in 1997 show that REIT and property stock prices react significantly with a negative abnormal return of 2.3% and 4.9% respectively during the [−10, 0] event interval. In the tests of the acquisition announcement, the results show a significantly negative 1.9% price adjustment during the [−1, 0] event interval in the REIT market, but no significant excess returns in the listed property stock market around the event interval. Journal: Journal of Real Estate Portfolio Management Pages: 209-227 Issue: 3 Volume: 8 Year: 2002 Month: 1 X-DOI: 10.1080/10835547.2002.12089668 File-URL: http://hdl.handle.net/10.1080/10835547.2002.12089668 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:8:y:2002:i:3:p:209-227 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089669_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Simon Stevenson Author-X-Name-First: Simon Author-X-Name-Last: Stevenson Title: Ex-Ante and Ex-Post Performance of Optimal REIT Portfolios Abstract: Executive Summary. This study examines the out-of-sample performance of equity real estate investment trust portfolios based on the NAREIT sector indices. The article examines the use of alternative techniques to reduce estimation error and this improves out-of-sample performance. The findings reveal that unlike previous studies of the capital markets, the tangency portfolios tend to out-perform out-of-sample, despite the instability in the weights and the presence of corner solutions. The minimum-variance portfolio continues to under-perform despite the reduction in estimation error. Journal: Journal of Real Estate Portfolio Management Pages: 199-207 Issue: 3 Volume: 8 Year: 2002 Month: 1 X-DOI: 10.1080/10835547.2002.12089669 File-URL: http://hdl.handle.net/10.1080/10835547.2002.12089669 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:8:y:2002:i:3:p:199-207 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089670_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Simon Stevenson Author-X-Name-First: Simon Author-X-Name-Last: Stevenson Title: An Examination of Volatility Spillovers in REIT Returns Abstract: Executive Summary. This study examines whether volatility in a variety of equity and fixed income sectors based in the United States influence the monthly volatility of real estate investment trusts (REITs). The analysis is based on two alternative GARCH and EGARCH specifications and reveals a number of issues in relation to volatility spillovers. As with existing evidence with regard to returns, a causal relationship is revealed from Equity REITs to the other REIT sectors. In addition, the main influencing asset classes with regard to REITs are small cap stocks and value stocks, which given the characteristics of REITs, is in line with expectations. Finally, Mortgage REITs are not generally influenced by volatility in the fixed income sector. Journal: Journal of Real Estate Portfolio Management Pages: 229-238 Issue: 3 Volume: 8 Year: 2002 Month: 1 X-DOI: 10.1080/10835547.2002.12089670 File-URL: http://hdl.handle.net/10.1080/10835547.2002.12089670 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:8:y:2002:i:3:p:229-238 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089671_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Stephen Lee Author-X-Name-First: Stephen Author-X-Name-Last: Lee Title: Correlation Shifts and Real Estate Portfolio Management Abstract: Executive Summary. The success of any diversification strategy depends on the quality of the estimated correlation between assets. It is well known, however, that there is a tendency for the average correlation among assets to increase when the market falls and vice-versa. This suggests that correlation shifts can be modeled as a function of the market return. This is the idea behind the model Spurgin, Martin and Schneeweis (2000), which models the systematic risk, of an asset as a function of the returns in the market. In this paper the Spurgin et al. model is applied to monthly data in the United Kingdom over the period 1987:1 to 2000:12. The results show that a number of market segments display significant negative correlation shifts, while others show significantly positive correlation shifts. Journal: Journal of Real Estate Portfolio Management Pages: 45-57 Issue: 1 Volume: 9 Year: 2003 Month: 1 X-DOI: 10.1080/10835547.2003.12089671 File-URL: http://hdl.handle.net/10.1080/10835547.2003.12089671 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:9:y:2003:i:1:p:45-57 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089672_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Randy Anderson Author-X-Name-First: Randy Author-X-Name-Last: Anderson Author-Name: Thomas Springer Author-X-Name-First: Thomas Author-X-Name-Last: Springer Title: REIT Selection and Portfolio Construction: Using Operating Efficiency as an Indicator of Performance Abstract: Executive Summary. A Real Estate Investment Trust (REIT) selection and portfolio construction criteria is developed based on REIT operating efficiency and pricing multiples (price-to-net asset value). Portfolios of REITs are constructed of REITs that have relatively high operating efficiency but are trading at a relatively low price. The results show that these portfolios, constructed with the use of filtering criteria, have superior first year performance in all cases, with an average excess return of 600 basis points compared to the NAREIT Equity Index. In most cases, the REITs also had superior second and third year performance, suggesting performance persistence. Further research is needed to examine if the filter works better with more frequent portfolio rebalancing and if the criteria can be used to effectively execute a short sale strategy. Journal: Journal of Real Estate Portfolio Management Pages: 17-28 Issue: 1 Volume: 9 Year: 2003 Month: 1 X-DOI: 10.1080/10835547.2003.12089672 File-URL: http://hdl.handle.net/10.1080/10835547.2003.12089672 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:9:y:2003:i:1:p:17-28 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089673_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Theron Nelson Author-X-Name-First: Theron Author-X-Name-Last: Nelson Author-Name: Susan Nelson Author-X-Name-First: Susan Author-X-Name-Last: Nelson Title: Regional Models for Portfolio Diversification Abstract: Executive Summary. This research is an extension of earlier efforts to develop geographic diversification strategies based upon economic factors, particularly employment-related measures. A much broader set of measures is used to search for broad macroeconomic cycles. Seven groups of states, labeled “Capacity Clusters” due to the emphasis on economic and development capacity, are identified. Although there are clear signs of geographic influence, the clusters are not at all synonymous with “pure” geographic regions of contiguous states. Utilizing NCREIF property returns data, the ability to develop well diversified portfolios based upon the capacity clusters is tested. The results suggest that superior diversification benefits may be found with the Capacity Cluster approach. Journal: Journal of Real Estate Portfolio Management Pages: 71-88 Issue: 1 Volume: 9 Year: 2003 Month: 1 X-DOI: 10.1080/10835547.2003.12089673 File-URL: http://hdl.handle.net/10.1080/10835547.2003.12089673 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:9:y:2003:i:1:p:71-88 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089674_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Stephen Pyhrr Author-X-Name-First: Stephen Author-X-Name-Last: Pyhrr Author-Name: Waldo Born Author-X-Name-First: Waldo Author-X-Name-Last: Born Author-Name: Christopher Manning Author-X-Name-First: Christopher Author-X-Name-Last: Manning Author-Name: Stephen Roulac Author-X-Name-First: Stephen Author-X-Name-Last: Roulac Title: Project and Portfolio Management Decisions: A Framework and Body of Knowledge Model for Cycle Research Abstract: Executive Summary. Investors and portfolio managers have recognized the critical importance of real estate cycles, their pervasive and dynamic impacts on investment returns and risks, and their strategic implications for project and portfolio decisions. Despite the extensive global interest in cycles that has developed over the past ten years, there is not a common body of knowledge that is recognized, nor is there a common terminology, theoretical framework and methodology for cycle research by academic and industry researchers. The purpose of this study is to provide a perspective on real estate cycles research; present a user-friendly research framework and classification model for this evolving literature, based on a grounded theory survey of cycle experts; classify existing real estate cycles literature according to this framework and model; provide a reference bibliography on cycles; and provide commentary on the gaps of knowledge on cycles, a proposed research agenda for the future, and a means of accessing better real estate cycle information and data throughout the world. Journal: Journal of Real Estate Portfolio Management Pages: 1-16 Issue: 1 Volume: 9 Year: 2003 Month: 1 X-DOI: 10.1080/10835547.2003.12089674 File-URL: http://hdl.handle.net/10.1080/10835547.2003.12089674 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:9:y:2003:i:1:p:1-16 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089675_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: K. Chau Author-X-Name-First: K. Author-X-Name-Last: Chau Author-Name: S. Wong Author-X-Name-First: S. Author-X-Name-Last: Wong Author-Name: Graeme Newell Author-X-Name-First: Graeme Author-X-Name-Last: Newell Title: Performance of Property Companies in Hong Kong: A Style Analysis Approach Abstract: Executive Summary. This study analyzes the returns of publicly traded property companies using the style analysis approach. Our results show that the proportion of direct real estate has increased over time. This suggests that indirect and direct real estate are becoming closer substitutes for each other. Furthermore, the findings indicate that the performance of most property companies is not significantly different from the performance of the underlying implied portfolio before transaction costs are taken into account. This implies that the performance of a property company is mainly attributable to its investment style characterized by the implied portfolio rather than management skills. Journal: Journal of Real Estate Portfolio Management Pages: 29-44 Issue: 1 Volume: 9 Year: 2003 Month: 1 X-DOI: 10.1080/10835547.2003.12089675 File-URL: http://hdl.handle.net/10.1080/10835547.2003.12089675 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:9:y:2003:i:1:p:29-44 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089676_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Robert Hess Author-X-Name-First: Robert Author-X-Name-Last: Hess Author-Name: Youguo Liang Author-X-Name-First: Youguo Author-X-Name-Last: Liang Title: Some Structural Attributes of Institutional Office Investments Abstract: Executive Summary. This study explores some of the less cyclical characteristics of the office investment market. Offices comprise more than one-third of investable commercial real estate by value among the major property types. Private institutional investors allocate about this proportion of offices to their real estate portfolios, but REITs own a somewhat lower proportion by value. The findings indicate that institutional investors have a strong preference for large and/or rapidly growing markets, some preference for newer properties and no discernible investment preferences between CBD and suburban offices. The findings also indicate that office tenancy varies widely across industries, leases run five to ten years and that the average tenant is small. Journal: Journal of Real Estate Portfolio Management Pages: 59-69 Issue: 1 Volume: 9 Year: 2003 Month: 1 X-DOI: 10.1080/10835547.2003.12089676 File-URL: http://hdl.handle.net/10.1080/10835547.2003.12089676 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:9:y:2003:i:1:p:59-69 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089677_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Hessam Nadji Author-X-Name-First: Hessam Author-X-Name-Last: Nadji Title: Point of View How Long Can Real Estate Investments Defy Weak Supply/Demand Conditions? Journal: Journal of Real Estate Portfolio Management Pages: 89-92 Issue: 1 Volume: 9 Year: 2003 Month: 1 X-DOI: 10.1080/10835547.2003.12089677 File-URL: http://hdl.handle.net/10.1080/10835547.2003.12089677 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:9:y:2003:i:1:p:89-92 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089678_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Jack Goodman Author-X-Name-First: Jack Author-X-Name-Last: Goodman Title: Homeownership and Investment in Real Estate Stocks Abstract: Executive Summary. One viewpoint is that because homeowners already own real estate, they should diversify their investment portfolios by not making additional real estate investments. This paper provides an interpretation of owner-occupied housing as an investment and presents empirical results on the financial performances of houses and financial assets, including REITs, as individual investments and within a portfolio. The analysis shows that portfolios with 10% to 20% allocations to REITs historically have generally been able to achieve higher average annual returns, with no increase in volatility, compared to portfolios without REITs. This holds not only for renters, but also for homeowners with one-third or two-thirds of their wealth invested in their house. These findings are attributable to the low correlation between changes in house prices and the returns to real estate stocks, together with the historically competitive returns on real estate stocks relative to other financial assets. Journal: Journal of Real Estate Portfolio Management Pages: 93-105 Issue: 2 Volume: 9 Year: 2003 Month: 1 X-DOI: 10.1080/10835547.2003.12089678 File-URL: http://hdl.handle.net/10.1080/10835547.2003.12089678 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:9:y:2003:i:2:p:93-105 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089679_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Emily Zietz Author-X-Name-First: Emily Author-X-Name-Last: Zietz Author-Name: Stacy Sirmans Author-X-Name-First: Stacy Author-X-Name-Last: Sirmans Author-Name: Swint Friday Author-X-Name-First: Swint Author-X-Name-Last: Friday Title: The Environment and Performance of Real Estate Investment Trusts Abstract: Executive Summary. Researchers have been interested in investigating the role of Real Estate Investment Trusts (REITs) in institutional portfolios since their debut in the financial market over four decades ago. The cyclical popularity and performance of various types of REITs as well as the availability of daily returns data for REITs have provided researchers a fruitful and unique area of examination. This study explores the recent financial economics literature on the environment and performance of REITs by extending the 1995 work of Corgel, McIntosh and Ott. Journal: Journal of Real Estate Portfolio Management Pages: 127-165 Issue: 2 Volume: 9 Year: 2003 Month: 1 X-DOI: 10.1080/10835547.2003.12089679 File-URL: http://hdl.handle.net/10.1080/10835547.2003.12089679 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:9:y:2003:i:2:p:127-165 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089680_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Norman Miller Author-X-Name-First: Norman Author-X-Name-Last: Miller Author-Name: Sergey Markosyan Author-X-Name-First: Sergey Author-X-Name-Last: Markosyan Author-Name: Andrew Florance Author-X-Name-First: Andrew Author-X-Name-Last: Florance Author-Name: Brad Stevenson Author-X-Name-First: Brad Author-X-Name-Last: Stevenson Author-Name: Hans Veld Author-X-Name-First: Hans Author-X-Name-Last: Veld Title: The 9/11/2001 Impact on Trophy and Tall Office Property Abstract: Executive Summary: This study focuses on the possible impact of the events of September 11, 2001 on tall and trophy office buildings for market behavior that could influence value. The findings indicated that there is little evidence of any significant departure from general market trends for tall buildings or most “trophy” property, yet for a small subset of truly famous buildings in both New York City and Chicago, such as the Empire State Building and the Sears Tower, there are significant rental and value losses. Sublease activity appears to work well as an indicator of future occupancy trends. Using an additional survey aimed at property managers, there is little evidence of tenant flight away from tall buildings, or dense urban areas, yet property managers do expect significant design changes in the future as a result of September 11 and most have tightened security procedures. Journal: Journal of Real Estate Portfolio Management Pages: 107-125 Issue: 2 Volume: 9 Year: 2003 Month: 1 X-DOI: 10.1080/10835547.2003.12089680 File-URL: http://hdl.handle.net/10.1080/10835547.2003.12089680 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:9:y:2003:i:2:p:107-125 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089681_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Stephen Roulac Author-X-Name-First: Stephen Author-X-Name-Last: Roulac Title: Corporate-Owned Real Estate Represents a Substantial Investment Universe Abstract: Executive Summary. Corporate-owned real estate is a much more significant component of the real estate investment universe than is broadly recognized. In this article the results of recent research concerning the magnitude of the investment universe represented by corporate-owned real estate is presented, and the implications of the significance of corporate real estate for institutional investors are explored. Corporate-owned real estate incorporates significant types of properties that are not generally perceived as part of the mainstream real estate sector. While some 50% of corporate-owned real estate is specialized and therefore not appropriate for third-party investment by institutional investors, nearly 40% of the aggregate of corporate-owned real estate is core business real estate appropriate for institutional investors. The investable universe of $3.7 trillion of corporate-owned real estate represents a major source of property investments for institutional investors seeking involvement in the real estate market. Journal: Journal of Real Estate Portfolio Management Pages: 167-178 Issue: 2 Volume: 9 Year: 2003 Month: 1 X-DOI: 10.1080/10835547.2003.12089681 File-URL: http://hdl.handle.net/10.1080/10835547.2003.12089681 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:9:y:2003:i:2:p:167-178 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089682_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Leonard Zumpano Author-X-Name-First: Leonard Author-X-Name-Last: Zumpano Author-Name: Suzanna Hartley Author-X-Name-First: Suzanna Author-X-Name-Last: Hartley Author-Name: Ken Johnson Author-X-Name-First: Ken Author-X-Name-Last: Johnson Title: Point of View The Problem of Indoor Mold for Portfolio and Property Managers Journal: Journal of Real Estate Portfolio Management Pages: 187-192 Issue: 2 Volume: 9 Year: 2003 Month: 1 X-DOI: 10.1080/10835547.2003.12089682 File-URL: http://hdl.handle.net/10.1080/10835547.2003.12089682 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:9:y:2003:i:2:p:187-192 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089682_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Mueller Andrew Author-X-Name-First: Mueller Author-X-Name-Last: Andrew Author-Name: Mueller Glenn Author-X-Name-First: Mueller Author-X-Name-Last: Glenn Title: Public and Private Real Estate in a Mixed-Asset Portfolio Abstract: Executive Summary. Recent stock market volatility and low interest rates have renewed interest in income / dividend producing investments. Previous research has studied the inclusion of public real estate or private real estate in a mixed-asset portfolio, but only one study has included both (with constraints). This study analyzes the inclusion of both public and private real estate in a mixed-asset portfolio using the mean / variance Markowitz efficient frontier methodology unconstrained. The 5-, 10-, 15- and 25-year results show that both public and private real estate can improve efficient frontiers substantially and may command a larger allocation than currently used. Journal: Journal of Real Estate Portfolio Management Pages: 193-203 Issue: 3 Volume: 9 Year: 2003 Month: 1 X-DOI: 10.1080/10835547.2003.12089682 File-URL: http://hdl.handle.net/10.1080/10835547.2003.12089682 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:9:y:2003:i:3:p:193-203 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089683_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Lee Nai Author-X-Name-First: Lee Author-X-Name-Last: Nai Author-Name: Ong Seow Author-X-Name-First: Ong Author-X-Name-Last: Seow Title: Prepayment Risk of Public Housing Mortgages Abstract: Executive Summary. This paper examines the determinants of prepayment risk of mortgages for Singapore public housing, which are adjustable rate mortgages. An understanding of the prepayment risk of mortgages is important because prepayments affect investor return from investing in mortgage-backed securities. The findings show that prepayment is positively related to market sentiments and the interest rate of public mortgages. Conversely, it is negatively related to income growth and the relative difference between private and public housing prices. The findings further imply that the prepayment rate of public mortgages is directly affected by any policies that enhance the affordability of residents of public housing to move to private housing. Journal: Journal of Real Estate Portfolio Management Pages: 251-264 Issue: 3 Volume: 9 Year: 2003 Month: 1 X-DOI: 10.1080/10835547.2003.12089683 File-URL: http://hdl.handle.net/10.1080/10835547.2003.12089683 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:9:y:2003:i:3:p:251-264 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089684_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Mueller Andrew Author-X-Name-First: Mueller Author-X-Name-Last: Andrew Author-Name: Mueller Glenn Author-X-Name-First: Mueller Author-X-Name-Last: Glenn Title: Public and Private Real Estate in a Mixed-Asset Portfolio Abstract: Executive Summary. Recent stock market volatility and low interest rates have renewed interest in income / dividend producing investments. Previous research has studied the inclusion of public real estate or private real estate in a mixed-asset portfolio, but only one study has included both (with constraints). This study analyzes the inclusion of both public and private real estate in a mixed-asset portfolio using the mean / variance Markowitz efficient frontier methodology unconstrained. The 5-, 10-, 15- and 25-year results show that both public and private real estate can improve efficient frontiers substantially and may command a larger allocation than currently used. Journal: Journal of Real Estate Portfolio Management Pages: 193-203 Issue: 3 Volume: 9 Year: 2003 Month: 1 X-DOI: 10.1080/10835547.2003.12089684 File-URL: http://hdl.handle.net/10.1080/10835547.2003.12089684 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:9:y:2003:i:3:p:193-203 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089685_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Daniel Rivetti Author-X-Name-First: Daniel Author-X-Name-Last: Rivetti Author-Name: Elaine Worzala Author-X-Name-First: Elaine Author-X-Name-Last: Worzala Title: An Investigation into the Credit Tenant Characteristics of Department of Defense Contractors Abstract: In the next few years, it is anticipated that the Department of Defense (DoD) and other government agencies will begin to outsource their civilian workforce to private contractors. The real estate and facility management sectors are prime areas for this privatization strategy. Current regulations favor DoD contractors that are tenants rather than owners. This will create a high credit lease opportunity for real estate investors. This study explores the impact of the privatization trend toward creating high quality office and industrial investments for the real estate marketplace. Given the government contract bias toward renting, a new group of credit tenants may appear. A hypothetical DoD tenant is used to explore the implications of the new regulations on the real estate market. This study posits that large office and industrial park complexes will be positively affected and properties in the right location to attract the new credit tenants that have been awarded privatization contracts will become more valuable, especially to the institutional investor. Journal: Journal of Real Estate Portfolio Management Pages: 179-185 Issue: 3 Volume: 9 Year: 2003 Month: 1 X-DOI: 10.1080/10835547.2003.12089685 File-URL: http://hdl.handle.net/10.1080/10835547.2003.12089685 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:9:y:2003:i:3:p:179-185 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089686_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Sing Tien Author-X-Name-First: Sing Author-X-Name-Last: Tien Author-Name: Ling Sze Author-X-Name-First: Ling Author-X-Name-Last: Sze Title: The Role of Singapore REITs in a Downside Risk Asset Allocation Framework Abstract: Executive Summary. Based on the historical relationships between the returns of stocks, bonds and a sample of twenty-two Listed Property Trusts (LPTs) in Australia, this study simulates ex-post returns for Hypothetical Property Trusts (HPTs) over a sample period from March 1995 to March 2002. By substituting the inputs with Singapore stock and bond returns, three sector-specific HPTs and one diversified HPT were constructed. The results show that all four HPTs have outperformed local stocks and bonds over the sample periods. The low correlations of office HPTs and industrial HPTs with stocks suggest that these HPTs could diversify the idiosyncratic risks of a mixed-asset portfolio consisting of stocks and government bonds and push the efficient frontier outward. Journal: Journal of Real Estate Portfolio Management Pages: 219-235 Issue: 3 Volume: 9 Year: 2003 Month: 1 X-DOI: 10.1080/10835547.2003.12089686 File-URL: http://hdl.handle.net/10.1080/10835547.2003.12089686 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:9:y:2003:i:3:p:219-235 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089687_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Weeks Shelton Author-X-Name-First: Weeks Author-X-Name-Last: Shelton Title: Point of View The Devaluation of Capital Budgeting in Real Estate Development Firms Journal: Journal of Real Estate Portfolio Management Pages: 265-268 Issue: 3 Volume: 9 Year: 2003 Month: 1 X-DOI: 10.1080/10835547.2003.12089687 File-URL: http://hdl.handle.net/10.1080/10835547.2003.12089687 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:9:y:2003:i:3:p:265-268 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089688_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Wilson Patrick Author-X-Name-First: Wilson Author-X-Name-Last: Patrick Author-Name: Zurbruegg Ralf Author-X-Name-First: Zurbruegg Author-X-Name-Last: Ralf Title: Isolating Important Driving Forces in Indirect Real Estate Markets Abstract: Executive Summary. Isolating the important driving factors in property markets is of continuing interest to both property analysts and fund managers. Ascertaining permanent driving factors may be of interest to strategic asset allocation while transitory factors may be of interest in the development of tactical asset allocation models. This study uses established methodologies to decompose driving factors affecting indirect property markets in Australia into their permanent and transitory components, paying attention to the impact of structural breaks. Various restrictions on the long-run cointegration matrix are also applied to identify those variables that may be considered drivers of property markets. Journal: Journal of Real Estate Portfolio Management Pages: 205-218 Issue: 3 Volume: 9 Year: 2003 Month: 1 X-DOI: 10.1080/10835547.2003.12089688 File-URL: http://hdl.handle.net/10.1080/10835547.2003.12089688 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:9:y:2003:i:3:p:205-218 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089689_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Jayne Michael Author-X-Name-First: Jayne Author-X-Name-Last: Michael Author-Name: Syms Paul Author-X-Name-First: Syms Author-X-Name-Last: Paul Title: Potential Environmental Liabilities with Industrial Properties in the United Kingdom Abstract: Executive Summary. Part IIA of the Environmental Protection Act 1990, implemented April 1, 2000, introduced a new ‘contaminated land’ regime in England, imposing ‘strict liability’ and raising issues for everyone involved in leasing and managing industrial properties, having potentially adverse effects on both income and value. The Royal Institution of Chartered Surveyors (RICS) provides guidance on the valuation of properties affected by contamination (RICS, 1995), as well as the role and responsibilities of the surveyor when undertaking property inspections (RICS, 2000). This advice is broadly based and does not identify the many ‘pitfalls’ that may confront a surveyor. This study examines practices in the United Kingdom and identifies areas where changes may be needed in order to arrive at ‘best practice.’ Journal: Journal of Real Estate Portfolio Management Pages: 237-249 Issue: 3 Volume: 9 Year: 2003 Month: 1 X-DOI: 10.1080/10835547.2003.12089689 File-URL: http://hdl.handle.net/10.1080/10835547.2003.12089689 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:9:y:2003:i:3:p:237-249 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089690_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Ronald Stunda Author-X-Name-First: Ronald Author-X-Name-Last: Stunda Author-Name: Eric Typpo Author-X-Name-First: Eric Author-X-Name-Last: Typpo Title: The Relevance of Earnings and Funds Flow from Operations in the Presence of Transitory Earnings Abstract: Executive Summary. The real estate investment trust (REIT) industry relies heavily on a cash flow-based measure of performance called funds flow from operation (FFO). FFO is the most widely used measure of performance for REITs, unlike other industries where earnings are used as a benchmark. This paper examines the role that earnings transitivity has on the value-relevance of FFO relative to earnings. The findings indicate that as earnings become more transitive, FFO gains value-relevance, while earnings lose value-relevance. Additionally, both FFO and earnings provide incremental information in the presence of the other. Journal: Journal of Real Estate Portfolio Management Pages: 37-45 Issue: 1 Volume: 10 Year: 2004 Month: 1 X-DOI: 10.1080/10835547.2004.12089690 File-URL: http://hdl.handle.net/10.1080/10835547.2004.12089690 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:10:y:2004:i:1:p:37-45 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089691_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a 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: Steffen Sebastian Author-X-Name-First: Steffen Author-X-Name-Last: Sebastian Title: Characteristics of German Real Estate Return Distributions: Evidence from Germany and Comparison to the U.S. and U.K. Abstract: Executive Summary. In contrast to the United States and the United Kingdom, little empirical work exists about the distributional characteristics of appraisal-based real estate returns outside these countries. The purpose of this study is to fill this gap by focusing on Germany. In line with other studies, this paper offers an extensive investigation into the distribution of German real estate returns and compares them with and U.S. and U.K. data in the same period. Furthermore, the co-movements with bonds and stocks are also examined. In the core, the distributional characteristics for German real estate are comparable to that for the U.S. and U.K. Journal: Journal of Real Estate Portfolio Management Pages: 59-76 Issue: 1 Volume: 10 Year: 2004 Month: 1 X-DOI: 10.1080/10835547.2004.12089691 File-URL: http://hdl.handle.net/10.1080/10835547.2004.12089691 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:10:y:2004:i:1:p:59-76 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089692_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Jun Chen Author-X-Name-First: Jun Author-X-Name-Last: Chen Author-Name: Susan Hudson-Wilson Author-X-Name-First: Susan Author-X-Name-Last: Hudson-Wilson Author-Name: Hans Nordby Author-X-Name-First: Hans Author-X-Name-Last: Nordby Title: Real Estate Pricing: Spreads & Sensibilities: Why Real Estate Pricing is Rational Abstract: Executive Summary. Some investors believe real estate has become overpriced because cap rates seem numerically low when compared with historical rates. Cap rates do not, by themselves, signal an over- or under-priced market, or a cyclical or secular trend. One needs to look at the connections between the capital markets and the real estate markets, and to look at the relative investment environment as captured by cap rate spreads—a good measure of the real estate risk premium. This paper presents an analysis of the interactions between the capital markets and property market fundamentals that drive asset pricing. The findings indicate that real estate in most property types still looks reasonably priced. Journal: Journal of Real Estate Portfolio Management Pages: 1-21 Issue: 1 Volume: 10 Year: 2004 Month: 1 X-DOI: 10.1080/10835547.2004.12089692 File-URL: http://hdl.handle.net/10.1080/10835547.2004.12089692 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:10:y:2004:i:1:p:1-21 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089693_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Robert Hess Author-X-Name-First: Robert Author-X-Name-Last: Hess Author-Name: Youguo Liang Author-X-Name-First: Youguo Author-X-Name-Last: Liang Title: Point of View REIT Joint Venture Use is on the Rise Abstract: Executive Summary. In this report, we examine the joint ownership of properties held by public real estate investment trusts (REITs). We used a detailed property database of real estate firms maintained by SNL Securities, which included more than 18,600 properties owned or partly owned by 171 firms. The findings indicate that rather than reducing the use of joint-venture partners, REITs have increased their use at the property level in recent years. The portion of properties held under joint-venture structures has grown from 11.7% at yearend 1998 to 13.7% at year-end 2002, representing a 30% increase in the number of properties held jointly. Journal: Journal of Real Estate Portfolio Management Pages: 77-84 Issue: 1 Volume: 10 Year: 2004 Month: 1 X-DOI: 10.1080/10835547.2004.12089693 File-URL: http://hdl.handle.net/10.1080/10835547.2004.12089693 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:10:y:2004:i:1:p:77-84 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089694_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Ronald Kaiser Author-X-Name-First: Ronald Author-X-Name-Last: Kaiser Title: Real Estate as a Surrogate for Bonds: A Dynamic Asset Allocation View Abstract: Executive Summary. Twenty-five years of experience with high bond yields, combined with appreciation resulting from gradually declining interest rates, has produced an investor mind-set that bonds should occupy a major portion of a mixed-asset portfolio. However, that historical experience is not the norm. The long-term average bond return since 1926 is only 5.7%. With current Treasury bonds yielding only 4% to 5%, perhaps the allocation to bonds should be reconsidered. Instead of bonds, private market real estate is found to comparably fill the need for high and stable income yields, combined with a long-term return that is potentially superior to bonds. The study reveals that the typical stock / bond—with a little real estate—portfolio should probably be balanced between substantial portions of stocks and real estate, with only a very small allocation to bonds in only very risk averse portfolios. Journal: Journal of Real Estate Portfolio Management Pages: 23-35 Issue: 1 Volume: 10 Year: 2004 Month: 1 X-DOI: 10.1080/10835547.2004.12089694 File-URL: http://hdl.handle.net/10.1080/10835547.2004.12089694 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:10:y:2004:i:1:p:23-35 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089695_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Kim Liow Author-X-Name-First: Kim Author-X-Name-Last: Liow Title: Time-Varying Macroeconomic Risk and Commercial Real Estate: An Asset Pricing Perspective Abstract: Executive Summary. This paper empirically investigates the behavior over time of excess returns (risk premium) on commercial real estate in Singapore, one of the major Asian tiger economies. Specifically, the first and second conditional moments on office and retail real estate excess returns are related to the conditional variances and covariances of five specified macroeconomic factors: growth rate in gross domestic product, growth rate in industrial production output, unexpected inflation, short-term interest rates and market portfolio. The conditional variances of the five macroeconomic factors are time-varying. In addition, significant results are obtained from the macroeconomic volatilities as useful predictors for the expected risk premiums. This evidence can be very useful to international investors and portfolio managers interested in Asian property markets. Journal: Journal of Real Estate Portfolio Management Pages: 47-57 Issue: 1 Volume: 10 Year: 2004 Month: 1 X-DOI: 10.1080/10835547.2004.12089695 File-URL: http://hdl.handle.net/10.1080/10835547.2004.12089695 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:10:y:2004:i:1:p:47-57 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089696_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Doug Waggle Author-X-Name-First: Doug Author-X-Name-Last: Waggle Author-Name: Don Johnson Author-X-Name-First: Don Author-X-Name-Last: Johnson Title: Home Ownership and the Decision to Invest in REITs Abstract: Executive Summary. The purpose of this study is to determine whether or not real estate investment trusts (REITs) are appropriate investment vehicles for individual investors given that the family home is considered an investment asset. Mean-variance analysis is employed to find optimal portfolio allocations to stocks, bonds and equity REITs (EREITs) given varying valuations of the home and mortgage loan relative to the overall investment portfolio. The findings reveal that the addition of EREITs to the portfolio improves efficiency at most levels of home ownership and that optimal portfolios were often heavily weighted with EREITs. However, most of the portfolio allocation to EREITs comes at the expense of bonds. The increases in annual portfolio returns due to including EREITs in the portfolio ranged from 0.1% to 0.4% without adding any additional risk to the portfolio. Journal: Journal of Real Estate Portfolio Management Pages: 129-144 Issue: 2 Volume: 10 Year: 2004 Month: 1 X-DOI: 10.1080/10835547.2004.12089696 File-URL: http://hdl.handle.net/10.1080/10835547.2004.12089696 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:10:y:2004:i:2:p:129-144 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089697_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Yongqiang Chu Author-X-Name-First: Yongqiang Author-X-Name-Last: Chu Author-Name: Tien Sing Author-X-Name-First: Tien Author-X-Name-Last: Sing Title: Inflation Hedging Characteristics of the Chinese Real Estate Market Abstract: Executive Summary. The Chinese real estate market has been experiencing rapid growth and transformation over the last few years. This paper tested the short-term inflation hedging characteristics of real estate markets in four major cities in China: Beijing, Chengdu, Shanghai and Shenzhen, using Autoregressive Integrated Moving Average models. The model restriction was relaxed by adding two macroeconomic factors: real GDP growth and real stock market return. The long-term relationship and causality between the real estate returns and inflation were also tested using country-level aggregate data. The results show no evidence of long-term hedging ability. However, the causality test shows that there is a significant unidirectional causality from the inflation to the real estate return. Journal: Journal of Real Estate Portfolio Management Pages: 145-154 Issue: 2 Volume: 10 Year: 2004 Month: 1 X-DOI: 10.1080/10835547.2004.12089697 File-URL: http://hdl.handle.net/10.1080/10835547.2004.12089697 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:10:y:2004:i:2:p:145-154 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089698_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Roger Brown Author-X-Name-First: Roger Author-X-Name-Last: Brown Title: Risk and Private Real Estate Investments Abstract: Executive Summary. The reason investors purchase individual properties is not well understood. The purchase of a parcel of real property comes with burdens peculiar to real estate. A close look at the activities of private investors discloses that they take advantage of the combination of ownership and control in ways that can affect the investment outcome. A similar influence, absent a controlling interest, is not available in securities markets. This study presents a theoretical model for why some investors self-select into a market in which they can combine entrepreneurial labor with their capital, resulting in a unique mix of determinism and probability. Journal: Journal of Real Estate Portfolio Management Pages: 113-127 Issue: 2 Volume: 10 Year: 2004 Month: 1 X-DOI: 10.1080/10835547.2004.12089698 File-URL: http://hdl.handle.net/10.1080/10835547.2004.12089698 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:10:y:2004:i:2:p:113-127 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089699_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Paul Jones Author-X-Name-First: Paul Author-X-Name-Last: Jones Title: Point of View Conduit Paper is Not a Panacea: The Lasting Effects of Conduit Mortgages: A Predictive Example Journal: Journal of Real Estate Portfolio Management Pages: 155-159 Issue: 2 Volume: 10 Year: 2004 Month: 1 X-DOI: 10.1080/10835547.2004.12089699 File-URL: http://hdl.handle.net/10.1080/10835547.2004.12089699 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:10:y:2004:i:2:p:155-159 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089700_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a 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 Berry Author-X-Name-First: James Author-X-Name-Last: Berry Author-Name: James Webb Author-X-Name-First: James Author-X-Name-Last: Webb Title: Institutional Real Estate Investment in Ireland and Great Britain: Returns, Risks and Opportunities Abstract: Executive Summary. This study examines the returns and risks of private real estate investment in the major regional centers of Ireland and Great Britain for the 1981 through 2000 period. Returns for office and retail properties are analyzed at the disaggregate level (income returns and appreciation returns separately), as well as the aggregate level (total returns). Real estate returns are also compared with common stocks, gilts, T-bills and inflation. The results show that real estate in several U.K. regions, but especially in Ireland, offer very competitive returns with compelling risk / return ratios. The analysis indicates that real estate investments in several regions could supply significant diversification in a mixed-asset portfolio context as well as real estate only portfolios. Journal: Journal of Real Estate Portfolio Management Pages: 85-96 Issue: 2 Volume: 10 Year: 2004 Month: 1 X-DOI: 10.1080/10835547.2004.12089700 File-URL: http://hdl.handle.net/10.1080/10835547.2004.12089700 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:10:y:2004:i:2:p:85-96 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089701_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Bahram Adrangi Author-X-Name-First: Bahram Author-X-Name-Last: Adrangi Author-Name: Arjun Chatrath Author-X-Name-First: Arjun Author-X-Name-Last: Chatrath Author-Name: Kambiz Raffiee Author-X-Name-First: Kambiz Author-X-Name-Last: Raffiee Title: REIT Investments and Hedging Against Inflation Abstract: Executive Summary. This paper investigates the relationship between equity and mortgage real estate investment trust (REIT) returns and inflation. The objective is to establish whether securitized real estate investments provide a reliable inflation hedge. Regression results show that real REIT returns are negatively correlated with the unexpected component of inflation. Therefore, equity and mortgage REIT investments may not offer a safe haven during inflationary periods. Chow tests confirm that there is evidence of a decoupling of REITs from the general stock market for more recent intervals. Fama's proxy hypothesis is also tested: the negative relationship between REITs and inflation is symptomatic of a positive relationship between REITs and real economic activity. However, no support is found for this hypothesis. Journal: Journal of Real Estate Portfolio Management Pages: 97-112 Issue: 2 Volume: 10 Year: 2004 Month: 1 X-DOI: 10.1080/10835547.2004.12089701 File-URL: http://hdl.handle.net/10.1080/10835547.2004.12089701 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:10:y:2004:i:2:p:97-112 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089702_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Frank Handforth Author-X-Name-First: Frank Author-X-Name-Last: Handforth Title: Duration and Convexity of Mortgages in the Context of Real Estate Investment Analysis Abstract: Executive Summary. A property sale is typically recorded using the contract mortgage loan amount, rather than the estimated market value of the mortgage. This can distort the economic sale price. Modified duration is approached as a measure of the sensitivity of the value of a mortgage to changes in yield. The relationships between modified duration and Macaulay duration and between modified duration and convexity measure are examined. These concepts are extended to mortgage portfolios. Practical examples of duration and convexity calculations and applications are also explored. Journal: Journal of Real Estate Portfolio Management Pages: 187-202 Issue: 3 Volume: 10 Year: 2004 Month: 1 X-DOI: 10.1080/10835547.2004.12089702 File-URL: http://hdl.handle.net/10.1080/10835547.2004.12089702 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:10:y:2004:i:3:p:187-202 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089703_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Graeme Newell Author-X-Name-First: Graeme Author-X-Name-Last: Newell Author-Name: Elaine Worzala Author-X-Name-First: Elaine Author-X-Name-Last: Worzala Author-Name: Patrick McAllister Author-X-Name-First: Patrick Author-X-Name-Last: McAllister Author-Name: Karl-Werner Schulte Author-X-Name-First: Karl-Werner Author-X-Name-Last: Schulte Title: An International Perspective on Real Estate Research Priorities Abstract: Executive Summary. Surveys of real estate research priorities for real estate fund managers in the United States, United Kingdom, Australia and Germany over 2000-03 are examined. Thirty-nine real estate research priorities are assessed, with much closer alignment for real estate research priorities in the U.K., Germany and Australia than seen for the U.S. The role of real estate in a mixed-asset portfolio and real estate and portfolio risk management figure prominently amongst the general real estate research priorities. The top specific real estate research priorities were the impact of capital flows, real estate cycles and real estate portfolio diversification. The underlying general real estate research priorities “dimensions” highlight the strategic issues involved in real estate research, particularly the changing real estate environment, strategic real estate issues and the role of real estate in the portfolio. Journal: Journal of Real Estate Portfolio Management Pages: 161-170 Issue: 3 Volume: 10 Year: 2004 Month: 1 X-DOI: 10.1080/10835547.2004.12089703 File-URL: http://hdl.handle.net/10.1080/10835547.2004.12089703 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:10:y:2004:i:3:p:161-170 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089704_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Aart Hordijk Author-X-Name-First: Aart Author-X-Name-Last: Hordijk Author-Name: Harry de Kroon Author-X-Name-First: Harry Author-X-Name-Last: de Kroon Author-Name: Marcel Theebe Author-X-Name-First: Marcel Author-X-Name-Last: Theebe Title: Long-run Return Series for the European Continent: 25 Years of Dutch Commercial Real Estate Abstract: Executive Summary. The vast majority of studies of the performance of real estate or the role of real estate in a mixed-asset portfolio are based on U.S. or U.K. return indices. For investors in Europe, these conclusions must be taken as representative for their home markets, since no return series will be long enough to perform such studies. In this study, three 25-year series were constructed for Dutch offices, retail and residential real estate in an attempt to fill this gap in data availability. Repeated-measures regression provided indices exhibiting fairly to very agreeable patterns, as visual comparisons with major economic indicators revealed. Journal: Journal of Real Estate Portfolio Management Pages: 217-230 Issue: 3 Volume: 10 Year: 2004 Month: 1 X-DOI: 10.1080/10835547.2004.12089704 File-URL: http://hdl.handle.net/10.1080/10835547.2004.12089704 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:10:y:2004:i:3:p:217-230 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089705_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Alan Teo Author-X-Name-First: Alan Author-X-Name-Last: Teo Title: Delinquency Risk in Residential ARMs: A Hazard Function Approach Abstract: Executive Summary. Delinquency risk is a major area of concern to mortgage lenders and underwriters of Mortgage-backed Securities (MBS). Utilizing the hazard function approach, this paper provides an analysis of the characteristics and duration of delinquency risk of residential adjustable-rate mortgages (ARMs). Results show that mortgages with average ages of around ten and twelve years have the greatest likelihood of going into delinquency. Results also show that lenders' emphasis on borrower characteristics has been misplaced. Instead, uncontrollable mortgage-specific and macroeconomic characteristics are more significant in affecting delinquency incidence. This critically impairs lenders' ability to mitigate delinquency risk in their mortgage portfolio and hinders MBS underwriters' attempts to package good quality mortgages for securitization. Journal: Journal of Real Estate Portfolio Management Pages: 243-258 Issue: 3 Volume: 10 Year: 2004 Month: 1 X-DOI: 10.1080/10835547.2004.12089705 File-URL: http://hdl.handle.net/10.1080/10835547.2004.12089705 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:10:y:2004:i:3:p:243-258 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089706_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Martin Wernecke Author-X-Name-First: Martin Author-X-Name-Last: Wernecke Author-Name: Nico Rottke Author-X-Name-First: Nico Author-X-Name-Last: Rottke Author-Name: Christoph Holzmann Author-X-Name-First: Christoph Author-X-Name-Last: Holzmann Title: Incorporating the Real Estate Cycle into Management Decisions—Evidence from Germany Abstract: Executive Summary. As in many industrialized countries, German real estate markets have been subject to cyclical fluctuations. Rottke and Wernecke (2002) made an attempt to estimate the extent to which cycle knowledge might be implemented in practice. This paper presents the results of a survey of German real estate practitioners. It identifies rent and price fluctuations as the two most important cycle variables. In addition, the general business cycle is perceived as the most important influence on the real estate cycle. Still, German market participants think of the real estate cycle more in terms of opportunities than of risks. Finally, the study finds that cycle strategy is important especially in project development, portfolio management and real estate finance. Journal: Journal of Real Estate Portfolio Management Pages: 171-186 Issue: 3 Volume: 10 Year: 2004 Month: 1 X-DOI: 10.1080/10835547.2004.12089706 File-URL: http://hdl.handle.net/10.1080/10835547.2004.12089706 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:10:y:2004:i:3:p:171-186 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089707_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Gianluca Marcato Author-X-Name-First: Gianluca Author-X-Name-Last: Marcato Title: Style Analysis in Real Estate Markets and the Construction of Value and Growth Indexes Abstract: Executive Summary. Style analysis in equity markets is becoming more appealing to real estate investors. However, the literature in this sector generally uses either equity indexes (United States), or regional and sector ones (United Kingdom) to explain performances of real estate vehicles. This is a problem, mostly due to the lack of “proper” real estate style indexes. This paper suggests a quantitative model to decide the best criterion to breakdown a sample in order to create style indexes in real estate markets. The empirical analysis uses the Jones Lang LaSalle valuation database (4,004 properties) and ranks properties by their own equivalent yield. The findings indicate “median” as the most appropriate method to split the sample. Journal: Journal of Real Estate Portfolio Management Pages: 203-215 Issue: 3 Volume: 10 Year: 2004 Month: 1 X-DOI: 10.1080/10835547.2004.12089707 File-URL: http://hdl.handle.net/10.1080/10835547.2004.12089707 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:10:y:2004:i:3:p:203-215 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089708_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Dirk Brounen Author-X-Name-First: Dirk Author-X-Name-Last: Brounen Author-Name: Piet Eichholtz Author-X-Name-First: Piet Author-X-Name-Last: Eichholtz Title: Demographics and the Global Office Market—Consequences for Property Portfolios Abstract: Executive Summary. This study examines the effects of demographic changes on the global office markets. Growth in the labor force, the ultimate driver of office demand, is slowing down in some countries and is contracting in others. Based on demographic forecasts, expectations are formulated about the future shape of the office markets. The results suggest that office supply generally reacts accurately to changes in demand, but that this will be much harder if demand contracts harder than the write-off rate for offices. If office developers fail to incorporate these ongoing demographic shifts adequately, office portfolios might soon be confronted with structurally high vacancies, decreasing rents and falling values. Journal: Journal of Real Estate Portfolio Management Pages: 231-242 Issue: 3 Volume: 10 Year: 2004 Month: 1 X-DOI: 10.1080/10835547.2004.12089708 File-URL: http://hdl.handle.net/10.1080/10835547.2004.12089708 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:10:y:2004:i:3:p:231-242 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089709_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Barry Ziering Author-X-Name-First: Barry Author-X-Name-Last: Ziering Author-Name: William Hughes Author-X-Name-First: William Author-X-Name-Last: Hughes Title: Point of View Real Estate Pricing—It's All Relative Journal: Journal of Real Estate Portfolio Management Pages: 259-265 Issue: 3 Volume: 10 Year: 2004 Month: 1 X-DOI: 10.1080/10835547.2004.12089709 File-URL: http://hdl.handle.net/10.1080/10835547.2004.12089709 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:10:y:2004:i:3:p:259-265 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089710_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Timothy Craft Author-X-Name-First: Timothy Author-X-Name-Last: Craft Title: How Funding Ratios Affect Pension Plan Portfolio Allocations Abstract: Executive Summary. This article examines how a pension plan's funding ratio can affect the portfolio allocation decision. Specifically, an asset / liability model of pension plan decision-making is developed. Typical mean-variance models estimate allocations to both public and private real estate as high as 50%. In the asset / liability model, predicted allocations to both private and public real estate are much lower and closer to what is actually observed. In addition, the results show that as a pension plan becomes more underfunded, the allocation to private real estate falls while the allocation to public real estate stays about the same. As a plan becomes more overfunded, allocations to both private and public real estate increase but still by less than what is predicted in mean-variance models. Journal: Journal of Real Estate Portfolio Management Pages: 29-35 Issue: 1 Volume: 11 Year: 2005 Month: 1 X-DOI: 10.1080/10835547.2005.12089710 File-URL: http://hdl.handle.net/10.1080/10835547.2005.12089710 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:11:y:2005:i:1:p:29-35 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089711_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a 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: The Case for REITs in the Mixed-Asset Portfolio in the Short and Long Run Abstract: Executive Summary. The poor performance of the Stock Market in the United States up to the middle of 2003 has meant that real estate investment trusts (REITs) are increasingly been seen as an attractive addition to the mixed-asset portfolio. However, there is little evidence to indicate the consistency of the role REITs should play in the mixed-asset portfolio over different investment horizons. This study's results highlight that REITs do play a significant role over both different time horizons and holding periods. The findings show that REITs attractiveness as a diversification asset increase as the holding period increases. In addition, their diversification qualities span the entire efficient frontier, providing return enhancement properties at the lower end of the frontier, switching to risk reduction qualities at the top end of the frontier. Journal: Journal of Real Estate Portfolio Management Pages: 55-80 Issue: 1 Volume: 11 Year: 2005 Month: 1 X-DOI: 10.1080/10835547.2005.12089711 File-URL: http://hdl.handle.net/10.1080/10835547.2005.12089711 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:11:y:2005:i:1:p:55-80 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089712_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Ronald Kaiser Author-X-Name-First: Ronald Author-X-Name-Last: Kaiser Title: Investment Styles and Style Boxes in Equity Real Estate: Can the Emerging Model Succeed in Classifying Real Estate Alternatives? Abstract: Executive Summary. The real estate industry is working to develop a system of “style boxes,” with the recent NCREIF white paper seeking to define “core,” “valueadded” and “opportunistic” styles of investing in private market real estate. This stems from the desire for: (1) a framework to facilitate the investment process; (2) a common language; (3) targeted portfolio strategy and balance; and (4) a simpler search and selection process for advisors. However, where style box use in the public securities industry is based on defining the attributes of a benchmark universe, the institutional real estate investment industry seeks to define boxes based on expected risk / return ranges, and then attempts to define the asset attributes and management activities appropriate to that style. The process varies widely, and likely requires further analysis and systematization before it can be widely useful. Even then, sophisticated consultants will be required as on-going referees. Journal: Journal of Real Estate Portfolio Management Pages: 5-18 Issue: 1 Volume: 11 Year: 2005 Month: 1 X-DOI: 10.1080/10835547.2005.12089712 File-URL: http://hdl.handle.net/10.1080/10835547.2005.12089712 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:11:y:2005:i:1:p:5-18 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089713_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Stephen Lee Author-X-Name-First: Stephen Author-X-Name-Last: Lee Title: The Return Due to Diversification of Real Estate to the U.S. Mixed-Asset Portfolio Abstract: Executive Summary. Booth and Fama (1992) observe that the compound return of a portfolio is greater than the weighted average of the compound returns of the individual investments, a difference referred to as the return due to diversification (RDD). Thus, assets that offer high RDD to a portfolio should be particularly attractive investments for long-term investors. This paper shows that U.S. direct real estate is just such an asset; however, the results are dependent on the percentage allocation to direct real estate and the asset class replaced. Journal: Journal of Real Estate Portfolio Management Pages: 19-28 Issue: 1 Volume: 11 Year: 2005 Month: 1 X-DOI: 10.1080/10835547.2005.12089713 File-URL: http://hdl.handle.net/10.1080/10835547.2005.12089713 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:11:y:2005:i:1:p:19-28 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089714_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Mark Coleman Author-X-Name-First: Mark Author-X-Name-Last: Coleman Author-Name: Asieh Mansour Author-X-Name-First: Asieh Author-X-Name-Last: Mansour Title: Real Estate in the Real World: Dealing with Non-Normality and Risk in an Asset Allocation Model Abstract: Executive Summary. Quantitative models of asset allocation are increasingly used by institutional commercial real estate investors as a guide for investment strategy. Real estate as an asset class, however, does not conform well to many of the assumptions underlying standard mean-variance optimization. This paper outlines a model of allocation that addresses two important “real world” violations of these assumptions. First, the assumption that returns are normally distributed is relaxed; instead, returns are modeled using a distribution that allows for both the “fat-tailed” behavior and skewness seen in asset returns. Second, an alternative to the traditional MPT optimizer is employed—the so called “downside deviation” model—that better reflects the observed behavior of investors. Journal: Journal of Real Estate Portfolio Management Pages: 37-53 Issue: 1 Volume: 11 Year: 2005 Month: 1 X-DOI: 10.1080/10835547.2005.12089714 File-URL: http://hdl.handle.net/10.1080/10835547.2005.12089714 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:11:y:2005:i:1:p:37-53 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089715_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Glenn Mueller Author-X-Name-First: Glenn Author-X-Name-Last: Mueller Title: Brownfields Capital—Unlocking Value in Environmental Redevelopment Abstract: Executive Summary. Brownfields Capital has an investment process that uses special purpose vehicles to contain environmental liabilities for any site and to distribute redevelopment profits to the investors, developers, remediators and site owner. The process can help owners of polluted sites address their legal liabilities of cleanup without undue financial burden. This unique process overcomes many hurdles of today's environmental laws and investment practices—hurdles that make brownfield properties unmarketable. The process uses a financial instrument and transactional structure to transfer (or “securitize”) risks and create a liability shield acceptable to institutional investors and attractive investment economics. Journal: Journal of Real Estate Portfolio Management Pages: 81-92 Issue: 1 Volume: 11 Year: 2005 Month: 1 X-DOI: 10.1080/10835547.2005.12089715 File-URL: http://hdl.handle.net/10.1080/10835547.2005.12089715 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:11:y:2005:i:1:p:81-92 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089716_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Roger Brown Author-X-Name-First: Roger Author-X-Name-Last: Brown Author-Name: Tom Geurts Author-X-Name-First: Tom Author-X-Name-Last: Geurts Title: Private Investor Holding Period Abstract: Executive Summary. This study analyzes the tenure choice of investors dealing with small residential investment properties. Employing a unique dataset drawn from sales of apartment buildings of between 5 and 20 units over a 21-year period from 1970 to 1990 in the city of San Diego, it is found that the average holding period is just under five years. Also, it appears that few, if any, property characteristics influence the holding period but that frequency of turnover of specific properties is a function of these characteristics. Finally, the data leads to the interesting conclusion that investors hold property shorter when its value is rising faster than its rent. Journal: Journal of Real Estate Portfolio Management Pages: 93-104 Issue: 2 Volume: 11 Year: 2005 Month: 1 X-DOI: 10.1080/10835547.2005.12089716 File-URL: http://hdl.handle.net/10.1080/10835547.2005.12089716 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:11:y:2005:i:2:p:93-104 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089717_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Kim Liow Author-X-Name-First: Kim Author-X-Name-Last: Liow Author-Name: Haihong Zhu Author-X-Name-First: Haihong Author-X-Name-Last: Zhu Author-Name: David Ho Author-X-Name-First: David Author-X-Name-Last: Ho Author-Name: Kwame Addae-Dapaah Author-X-Name-First: Kwame Author-X-Name-Last: Addae-Dapaah Title: Regime Changes in International Securitized Property Markets Abstract: Executive Summary. This study investigates the existence and nature of return and volatility shifts in international securitized property market returns over the period 1987-2003. The findings indicate that securitized property markets have strong switching behavior in volatility. They are either in a low return-high volatility state or in a high return-low volatility state. In addition, the two regimes are persistent with differences observed in the expected duration and frequency of shifts between the states among markets. The findings have important implications for optimal asset allocation and portfolio performance in international real estate markets. Journal: Journal of Real Estate Portfolio Management Pages: 147-165 Issue: 2 Volume: 11 Year: 2005 Month: 1 X-DOI: 10.1080/10835547.2005.12089717 File-URL: http://hdl.handle.net/10.1080/10835547.2005.12089717 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:11:y:2005:i:2:p:147-165 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089718_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: William Hardin Author-X-Name-First: William Author-X-Name-Last: Hardin Author-Name: Ping Cheng Author-X-Name-First: Ping Author-X-Name-Last: Cheng Title: Farmland in a Mixed-Asset Portfolio: A Mean-Semivariance Approach Abstract: Executive Summary. This study uses the downside risk or mean-semivariance (M-S) methodology to evaluate farmland as a component of a mixed-asset portfolio. Results confirm that while a minimal investment in farmland may be warranted, farmland investment does not need to be a substantial part of the core allocations of an optimized mixed-asset portfolio. Although investment in farmland cannot be shown to statistically improve mixed-asset portfolios, which already include allocations to real estate, investment in farmland can be part of the real estate allocation of an optimal mixed-asset portfolio when investors or their advisors have farmland investment expertise. More studies using additional farmland data are required to fully assess direct investment in agricultural land. Journal: Journal of Real Estate Portfolio Management Pages: 187-195 Issue: 2 Volume: 11 Year: 2005 Month: 1 X-DOI: 10.1080/10835547.2005.12089718 File-URL: http://hdl.handle.net/10.1080/10835547.2005.12089718 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:11:y:2005:i:2:p:187-195 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089719_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Allen Smith Author-X-Name-First: Allen Author-X-Name-Last: Smith Author-Name: Robert Hess Author-X-Name-First: Robert Author-X-Name-Last: Hess Author-Name: Youguo Liang Author-X-Name-First: Youguo Author-X-Name-Last: Liang Title: Point of View Clustering the U.S. Real Estate Markets Abstract: Executive Summary. Articulating a regional investment strategy poses challenges for real estate portfolio managers. This paper offers a way of collapsing the many US metros into eight clusters, taking into account the dominance of a few large metros, economic similarities and geographic proximity. Through cluster analysis, we used the relative similarities of metros to group them. Our approach involved identifying many socio-economic indexes for each market; concentrating the information in the indexes into a few blended indexes by using principal component analysis; and generating clusters based on correspondence to the reduced set of indexes. The results are simple, intuitive and effective for diversification, market targeting and benchmark exercises. Journal: Journal of Real Estate Portfolio Management Pages: 197-209 Issue: 2 Volume: 11 Year: 2005 Month: 1 X-DOI: 10.1080/10835547.2005.12089719 File-URL: http://hdl.handle.net/10.1080/10835547.2005.12089719 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:11:y:2005:i:2:p:197-209 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089720_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Benjamas Jirasakuldech Author-X-Name-First: Benjamas Author-X-Name-Last: Jirasakuldech Author-Name: John Knight Author-X-Name-First: John Author-X-Name-Last: Knight Title: Efficiency in the Market for REITs: Further Evidence Abstract: Executive Summary. This paper tests the efficiency of the market for Real Estate Investment Trusts (REITs) from 1972 to the present. The data is segmented chronologically to take into account the effect of the Tax Reform Act of 1986 and the effect of the explosive growth in market capitalization that began in the early 1990s. The findings indicate that efficiency increases over time for Equity REITs and the Russell 2000 Index of small capitalization stocks. Some predictability, but not necessarily inefficiency, persists for Mortgage REITs and Hybrid REITs. Journal: Journal of Real Estate Portfolio Management Pages: 123-132 Issue: 2 Volume: 11 Year: 2005 Month: 1 X-DOI: 10.1080/10835547.2005.12089720 File-URL: http://hdl.handle.net/10.1080/10835547.2005.12089720 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:11:y:2005:i:2:p:123-132 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089721_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Craig Ellis Author-X-Name-First: Craig Author-X-Name-Last: Ellis Author-Name: Patrick Wilson Author-X-Name-First: Patrick Author-X-Name-Last: Wilson Title: Can a Neural Network Property Portfolio Selection Process Outperform the Property Market? Abstract: Executive Summary. Evidence of the superior performance of portfolios comprised of ‘value’ stocks over ‘growth’ stocks is wide and varied. Despite this burgeoning literature, relatively little is known about the comparative performance of property sector value stocks and the performance of neural network techniques in relation to this market sector. This study addresses both of these issues by applying neural network modeling techniques to the Australian property sector stocks to construct a variety of value portfolios. Risk-adjusted performance measures show that the value portfolios outperform the market by as much as 7.14%. Journal: Journal of Real Estate Portfolio Management Pages: 105-121 Issue: 2 Volume: 11 Year: 2005 Month: 1 X-DOI: 10.1080/10835547.2005.12089721 File-URL: http://hdl.handle.net/10.1080/10835547.2005.12089721 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:11:y:2005:i:2:p:105-121 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089722_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a 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: The Impact of Real Estate on the Terminal Wealth of U.K. Mixed-Asset Portfolios: 1972-2001 Abstract: Executive Summary. This paper uses United Kingdom annual data for the period 1972-2001 to test whether including real estate in the mixed-asset portfolio not only reduces ex-post portfolio risk but also enhances portfolio terminal wealth (TW) and/or reduces the variability of TW. The conventional allocation problem can therefore be recast: Does real estate enhance the TW of the mixed-asset portfolio and/or reduce the variability of the TW? The results show that including real estate has a variety of impacts depending on the asset replaced and the percentage replaced. Replacing bonds leads to an increase in TW. Replacing equities considerably reduces TW. Replacement of both bonds and equities gives intermediate results, influenced chiefly by the performance of equities. Including real estate appears in most cases to offer an improvement in TW and a reduction in TWSD compared with the base portfolio (without real estate). Journal: Journal of Real Estate Portfolio Management Pages: 133-145 Issue: 2 Volume: 11 Year: 2005 Month: 1 X-DOI: 10.1080/10835547.2005.12089722 File-URL: http://hdl.handle.net/10.1080/10835547.2005.12089722 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:11:y:2005:i:2:p:133-145 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089723_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Michael McGowan Author-X-Name-First: Michael Author-X-Name-Last: McGowan Title: The Impact of Shifting Container Cargo Flows on Regional Demand for U.S. Warehouse Space Abstract: Executive Summary. Freight movements are an increasingly important determinant of warehouse/distribution space demand. In particular, the rising use of marine container terminals in the global movement of goods is a major contributor to demand in the United States. This paper examines the factors that will influence which ports will likely gain market share, including port facilities and transit times. Trends in ship size, use of the Suez and Panama Canals, “land-bridging,” “transloading” and intermodal rail use are also examined. It concludes with a determination of which warehouse markets should benefit from the changing flows of containerized goods through the nation's largest ports. Journal: Journal of Real Estate Portfolio Management Pages: 167-185 Issue: 2 Volume: 11 Year: 2005 Month: 1 X-DOI: 10.1080/10835547.2005.12089723 File-URL: http://hdl.handle.net/10.1080/10835547.2005.12089723 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:11:y:2005:i:2:p:167-185 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089724_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Michael Young Author-X-Name-First: Michael Author-X-Name-Last: Young Title: Making Sense of the NCREIF Property Index: A New Formulation Revisited Abstract: Executive Summary. Since its inception, the NCREIF Property Index (NPI) has achieved preeminence as an indicator of the investment performance of institution-ally-held commercial property in the United States. The NPI is widely-reported and used by real estate investment owners, investors, managers, consultants and academics. This paper examines several modifications to the current formulas that have been proposed to correct problems in the NPI, which can be used to expand our understanding of the behavior of equity real estate as an investable asset class. Journal: Journal of Real Estate Portfolio Management Pages: 211-223 Issue: 3 Volume: 11 Year: 2005 Month: 1 X-DOI: 10.1080/10835547.2005.12089724 File-URL: http://hdl.handle.net/10.1080/10835547.2005.12089724 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:11:y:2005:i:3:p:211-223 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089725_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Michael Crean Author-X-Name-First: Michael Author-X-Name-Last: Crean Title: Point of View Revealing the True Meaning of the IRR via Profiling the IRR and Defining the ERR Journal: Journal of Real Estate Portfolio Management Pages: 323-330 Issue: 3 Volume: 11 Year: 2005 Month: 1 X-DOI: 10.1080/10835547.2005.12089725 File-URL: http://hdl.handle.net/10.1080/10835547.2005.12089725 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:11:y:2005:i:3:p:323-330 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089726_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Dirk Brounen Author-X-Name-First: Dirk Author-X-Name-Last: Brounen Author-Name: Martijn Laak Author-X-Name-First: Martijn Author-X-Name-Last: Laak Title: Understanding the Discount: Evidence from European Property Shares Abstract: Executive Summary. This paper investigates why a set of seventy-two European property shares were traded below their net asset values in the year 2002. The findings indicate an average discount to asset value of 36%, which turns out to be highest among the U.K. companies in the sample. When these discounts are related to a wide set of variables, a significantly negative relation can be seen between property share discounts and firm size, liquidity, the level of focus on property types, and index-membership. The latter two parameters have not been considered before in previous literature and allow the model to explain over half of the observed cross-sectional variation in closed-end discounts. Journal: Journal of Real Estate Portfolio Management Pages: 241-251 Issue: 3 Volume: 11 Year: 2005 Month: 1 X-DOI: 10.1080/10835547.2005.12089726 File-URL: http://hdl.handle.net/10.1080/10835547.2005.12089726 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:11:y:2005:i:3:p:241-251 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089727_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Graeme Newell Author-X-Name-First: Graeme Author-X-Name-Last: Newell Author-Name: K. Chau Author-X-Name-First: K. Author-X-Name-Last: Chau Author-Name: S. Wong Author-X-Name-First: S. Author-X-Name-Last: Wong Author-Name: Keith McKinnell Author-X-Name-First: Keith Author-X-Name-Last: McKinnell Title: Dynamics of the Direct and Indirect Real Estate Markets in China Abstract: Executive Summary. This study examines the risk-adjusted performance of the direct real estate markets in China (Beijing, Shanghai, Guangzhou, Shenzhen) and the indirect real estate markets in China (real estate companies on the Shanghai and Shenzhen stock markets) over 1995-2002, as well as assessing the dynamics between these two important real estate markets in China. Journal: Journal of Real Estate Portfolio Management Pages: 263-279 Issue: 3 Volume: 11 Year: 2005 Month: 1 X-DOI: 10.1080/10835547.2005.12089727 File-URL: http://hdl.handle.net/10.1080/10835547.2005.12089727 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:11:y:2005:i:3:p:263-279 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089728_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Roger Brown Author-X-Name-First: Roger Author-X-Name-Last: Brown Title: The Labor Component of Private Investor Real Estate Returns Abstract: Executive Summary. This paper offers theoretical foundation as to how the addition of human capital enters into the return calculation for privately owned real estate investments. A two-part model of investor behavior discloses that real estate investment decisions are a labor trade-off rather than a portfolio trade-off. Using differential equations that do not admit a closed form solution, the paper provides simulations to illustrate the working model. One conclusion is a natural point in time where real estate investing is supplanted by investing in financial assets. Journal: Journal of Real Estate Portfolio Management Pages: 295-306 Issue: 3 Volume: 11 Year: 2005 Month: 1 X-DOI: 10.1080/10835547.2005.12089728 File-URL: http://hdl.handle.net/10.1080/10835547.2005.12089728 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:11:y:2005:i:3:p:295-306 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089729_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Kwame Addae-Dapaah Author-X-Name-First: Kwame Author-X-Name-Last: Addae-Dapaah Author-Name: Hwee Loh Author-X-Name-First: Hwee Author-X-Name-Last: Loh Title: Exchange Rate Volatility and International Real Estate Diversification: A Comparison of Emerging and Developed Economies Abstract: Executive Summary. This study utilizes direct real estate investment data over ten years (1990-1999 inclusive) for five emerging economies (Thailand, Indonesia, Malaysia, China and the Philippines) and seven developed economies (Singapore, Japan, Hong Kong, France, Britain, Ireland and New Zealand) to examine the performance of emerging real estate markets against those of developed markets with due cognizance of currency risk. The results show that the long-, medium- and short-term performances of a portfolio consisting of emerging economies' real estate is superior to a portfolio of developed economies' real estate and, more significantly, that the emerging economies portfolio's risk (as measured by the coefficient of variation) is lower than that of the developed economies. Journal: Journal of Real Estate Portfolio Management Pages: 225-240 Issue: 3 Volume: 11 Year: 2005 Month: 1 X-DOI: 10.1080/10835547.2005.12089729 File-URL: http://hdl.handle.net/10.1080/10835547.2005.12089729 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:11:y:2005:i:3:p:225-240 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089730_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: C. Y. Yiu Author-X-Name-First: C. Y. Author-X-Name-Last: Yiu Author-Name: E. C. M. Hui Author-X-Name-First: E. C. M. Author-X-Name-Last: Hui Author-Name: S. K. Wong Author-X-Name-First: S. K. Author-X-Name-Last: Wong Title: Lead-Lag Relationship between the Real Estate Spot and Forward Contracts Markets Abstract: Executive Summary. This study analyzes the lead-lag relationship between the spot and forward returns on direct real estate investments. Based on the forward price index (for which the term to maturity is zero) and the ex-post spot price index of residential property in Hong Kong, changes in information flow between the spot and forward markets are tested to see how they affect the lead-lag relationship. The findings suggest that (1) during periods of low-volume ratios (i.e., the forward market is relatively less active than the spot market), the spot return Granger causes the returns of forward contracts; and (2) during periods of higher-volume ratios, there are feedback relationships between the two markets. Journal: Journal of Real Estate Portfolio Management Pages: 253-262 Issue: 3 Volume: 11 Year: 2005 Month: 1 X-DOI: 10.1080/10835547.2005.12089730 File-URL: http://hdl.handle.net/10.1080/10835547.2005.12089730 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:11:y:2005:i:3:p:253-262 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089731_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Zhilan Feng Author-X-Name-First: Zhilan Author-X-Name-Last: Feng Author-Name: Chinmoy Ghosh Author-X-Name-First: Chinmoy Author-X-Name-Last: Ghosh Author-Name: C. F. Sirmans Author-X-Name-First: C. F. Author-X-Name-Last: Sirmans Title: How Important is the Board of Directors to REIT Performance? Abstract: Executive Summary. With the emergence of the “new” real estate investment trusts (REITs) over the last decade, the question of corporate governance is of particular interest to investors and managers of REIT portfolios. This paper analyzes the structure of the board of directors for a sample of REITs and examines the relationship between board structure and REIT performance. A board index is constructed that assigns higher scores to boards with good governance—small size, majority outside directors, and not chaired by the CEO. The findings indicate that while good boards are associated with superior average performance, the effect is significant only for the best and worst boards. For firms where the management appears to have traded off positive board attributes against their power and influence on the board, the net effect on performance is insignificant. Journal: Journal of Real Estate Portfolio Management Pages: 281-293 Issue: 3 Volume: 11 Year: 2005 Month: 1 X-DOI: 10.1080/10835547.2005.12089731 File-URL: http://hdl.handle.net/10.1080/10835547.2005.12089731 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:11:y:2005:i:3:p:281-293 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089732_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Cath Jackson Author-X-Name-First: Cath Author-X-Name-Last: Jackson Author-Name: Michael White Author-X-Name-First: Michael Author-X-Name-Last: White Title: Challenging Traditional Real Estate Market Classifications for Investment Diversification Abstract: Executive Summary. Many real estate market classifications for portfolio diversification fail to reflect market fundamentals. Research has attempted to rectify this anomaly—no easy task given property's heterogeneity—but investment strategy and research continue to be dominated by traditional property classes. Two such classifications in the United Kingdom are examined in this paper. Responding to appeals in the literature, local markets are grouped using cluster analysis and rental changes, a key dimension of and underlying influence on total returns. The resulting distribution of markets is compared to the traditional U.K. regional classification and a broader super-regional classification. In the retail sector, neither grouping is appropriate and attention must be focused on alternative market characteristics. In the office sector, the super-regional grouping is appropriate, reflecting user-group locational strategies. Journal: Journal of Real Estate Portfolio Management Pages: 307-321 Issue: 3 Volume: 11 Year: 2005 Month: 1 X-DOI: 10.1080/10835547.2005.12089732 File-URL: http://hdl.handle.net/10.1080/10835547.2005.12089732 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:11:y:2005:i:3:p:307-321 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089733_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Zhilan Feng Author-X-Name-First: Zhilan Author-X-Name-Last: Feng Author-Name: Chinmoy Ghosh Author-X-Name-First: Chinmoy Author-X-Name-Last: Ghosh Author-Name: C. Sirmans Author-X-Name-First: C. Author-X-Name-Last: Sirmans Title: Changes in REIT Stock Prices, Trading Volume and Institutional Ownership Resulting from S&P REIT Index Changes Abstract: Executive Summary. This study investigates the announcement effects of additions and deletions of individual stocks in the S&P REIT Index. The findings indicate a small but significant stock price reaction to additions. However, an addition or deletion has no impact on trading volume and institutional ownership. Overall, there is but limited opportunity for institutional investors to earn abnormal returns around changes in the REIT Index because of trading costs and other incidental expenses. However, individual investors may be able to exploit the arbitrage opportunity if their trading costs are lower. Finally, significant long-term valuation gains following deletions are found—apparently, deletions serve to discipline managers to improve performance. Journal: Journal of Real Estate Portfolio Management Pages: 59-71 Issue: 1 Volume: 12 Year: 2006 Month: 1 X-DOI: 10.1080/10835547.2006.12089733 File-URL: http://hdl.handle.net/10.1080/10835547.2006.12089733 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:12:y:2006:i:1:p:59-71 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089734_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: G. Donald Author-X-Name-First: G. Author-X-Name-Last: Donald Author-Name: Tony Wingler Author-X-Name-First: Tony Author-X-Name-Last: Wingler Author-Name: Daniel Winkler Author-X-Name-First: Daniel Author-X-Name-Last: Winkler Title: Single-Family Housing and Wealth Portfolios Abstract: Executive Summary. This paper explores the risk and return of a portfolio of single-family housing during 1978:1-2001:4 in the context of a portfolio of financial assets. Homeownership offers higher returns to those who have higher tax brackets, longer investment horizons and use more financial leverage. Housing returns are positively correlated with large-stock returns and negatively correlated with returns on small stocks and debt securities. Portfolio allocation to housing is large in a minimum variance portfolio, and it increases with longer holding periods and higher tax brackets. Homeownership risk and return vary widely among the forty-two MSAs studied, and within an MSA, housing returns exhibit substantial variation. Journal: Journal of Real Estate Portfolio Management Pages: 13-22 Issue: 1 Volume: 12 Year: 2006 Month: 1 X-DOI: 10.1080/10835547.2006.12089734 File-URL: http://hdl.handle.net/10.1080/10835547.2006.12089734 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:12:y:2006:i:1:p:13-22 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089735_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Eric Holsapple Author-X-Name-First: Eric Author-X-Name-Last: Holsapple Author-Name: Terutomo Ozawa Author-X-Name-First: Terutomo Author-X-Name-Last: Ozawa Author-Name: John Olienyk Author-X-Name-First: John Author-X-Name-Last: Olienyk Title: Foreign “Direct” and “Portfolio” Investment in Real Estate: An Eclectic Paradigm Abstract: Executive Summary. Foreign direct investment (FDI) and foreign portfolio investment (FPI) are traditionally treated as mutually exclusive, and researchers generally focus on only one or the other. While this approach may be appropriate for some types of investments, real estate investments are often hybrids that possess characteristics of both FDI and FPI. This research synthesizes existing theories of FDI and FPI into one methodological approach in the case of investment in real estate. The authors extend John Dunning's “Eclectic Paradigm” (1977) to allow for independent and aggregate evaluation of both FDI and FPI characteristics to enhance decision making regarding foreign real estate investments. This approach is illustrated by applying it to Japanese investment in U.S. real estate. This research should prove valuable to practitioners evaluating the various influences on foreign investment in real estate. Journal: Journal of Real Estate Portfolio Management Pages: 37-47 Issue: 1 Volume: 12 Year: 2006 Month: 1 X-DOI: 10.1080/10835547.2006.12089735 File-URL: http://hdl.handle.net/10.1080/10835547.2006.12089735 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:12:y:2006:i:1:p:37-47 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089736_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Stanley McGreal Author-X-Name-First: Stanley Author-X-Name-Last: McGreal Author-Name: James Webb Author-X-Name-First: James Author-X-Name-Last: Webb 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 Title: Risk and Diversification for Regeneration/Urban Renewal Properties: Evidence from the U.K. Abstract: Executive Summary. This study addresses the issue of investment returns and risk within urban renewal locations in major metropolitan areas in the United Kingdom. The research indicates that investment performance in regeneration areas has matched, and in the retail sector, exceeded national and local city benchmarks. Returns for regeneration property are analyzed at aggregate and disaggregated levels over a 22-year time period. Separation of the returns highlights the highly risky nature of the appreciating capital return and the low risk bond-like income returns. Optimal mean-variance portfolios are also constructed and analyzed. The results indicate that properties within urban renewal areas can potentially increase portfolio diversification in all but one instance. Journal: Journal of Real Estate Portfolio Management Pages: 1-12 Issue: 1 Volume: 12 Year: 2006 Month: 1 X-DOI: 10.1080/10835547.2006.12089736 File-URL: http://hdl.handle.net/10.1080/10835547.2006.12089736 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:12:y:2006:i:1:p:1-12 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089737_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Ming-Chi Chen Author-X-Name-First: Ming-Chi Author-X-Name-Last: Chen Author-Name: Tien Foo Author-X-Name-First: Tien Author-X-Name-Last: Foo Title: Common Structural Time Series Components in Inflation and Residential Property Prices Abstract: Executive Summary. This paper uses the multivariate common components model to investigate the inflation-hedging characteristics of residential property in five markets: Hong Kong, Tokyo, Singapore, Taipei and London. The results show that Singapore residential property offers perfect hedges against both short-term and permanent inflations, whereas Taipei residential property is the most effective in hedging long-term inflation. For investors who invest in residential properties in Asia and the United Kingdom, with the expectation that their investment portfolio will provide natural hedges against inflation, the results imply that they will have to adopt different timing strategies to minimize their exposure to different inflation risks in individual markets. Journal: Journal of Real Estate Portfolio Management Pages: 23-36 Issue: 1 Volume: 12 Year: 2006 Month: 1 X-DOI: 10.1080/10835547.2006.12089737 File-URL: http://hdl.handle.net/10.1080/10835547.2006.12089737 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:12:y:2006:i:1:p:23-36 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089738_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Wei Chin Author-X-Name-First: Wei Author-X-Name-Last: Chin Author-Name: Peter Dent Author-X-Name-First: Peter Author-X-Name-Last: Dent Author-Name: Claire Roberts Author-X-Name-First: Claire Author-X-Name-Last: Roberts Title: An Exploratory Analysis of Barriers to Investment and Market Maturity in Southeast Asian Cities Abstract: Executive Summary. With increasing globalization of investments in recent years, it is becoming increasingly important for investors to develop a better understanding of Southeast Asian property markets. This paper aims to explore perceptions of market maturity and issues of importance for investment in these property markets. Maturity is a key concept in investors' decision making as it takes into account the nature and evolution of the markets, as well as their economic, social and institutional condition. This initial analysis will provide a basis for further research and act to stimulate research activity and information flows both within and without these markets. Journal: Journal of Real Estate Portfolio Management Pages: 49-57 Issue: 1 Volume: 12 Year: 2006 Month: 1 X-DOI: 10.1080/10835547.2006.12089738 File-URL: http://hdl.handle.net/10.1080/10835547.2006.12089738 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:12:y:2006:i:1:p:49-57 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089739_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: David Watkins Author-X-Name-First: David Author-X-Name-Last: Watkins Title: Point of View Avoiding Yogi Berra Journal: Journal of Real Estate Portfolio Management Pages: 81-83 Issue: 1 Volume: 12 Year: 2006 Month: 1 X-DOI: 10.1080/10835547.2006.12089739 File-URL: http://hdl.handle.net/10.1080/10835547.2006.12089739 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:12:y:2006:i:1:p:81-83 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089740_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Manuel Breidenbach Author-X-Name-First: Manuel Author-X-Name-Last: Breidenbach Author-Name: Glenn Mueller Author-X-Name-First: Glenn Author-X-Name-Last: Mueller Author-Name: Karl-Werner Schulte Author-X-Name-First: Karl-Werner Author-X-Name-Last: Schulte Title: Determining Real Estate Betas for Markets and Property Types to Set Better Investment Hurdle Rates Abstract: Executive Summary. Corporate theory states that investment decisions are best made with a hurdle rate that is adjusted for each investment's risks. Although determining a real estate risk premium has been employed by many investors, calculating differential risk premiums within real estate are rare and usually proprietary. Many real estate investors, in fact, may not be aware of the actual risk associated with different property types or markets. Some investors have attempted to apply the Capital Asset Pricing Model (CAPM) for a private real estate investment using real estate investment trust (REIT) returns to develop betas for private investments. This paper compares property and market betas for both private real estate (using the NCREIF Index) and public real estate (using the NAREIT Index) so that investors can have a more accurate risk premium beta or benchmark for their decisions. Journal: Journal of Real Estate Portfolio Management Pages: 73-80 Issue: 1 Volume: 12 Year: 2006 Month: 1 X-DOI: 10.1080/10835547.2006.12089740 File-URL: http://hdl.handle.net/10.1080/10835547.2006.12089740 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:12:y:2006:i:1:p:73-80 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089750_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Philip Conner Author-X-Name-First: Philip Author-X-Name-Last: Conner Author-Name: Youguo Liang Author-X-Name-First: Youguo Author-X-Name-Last: Liang Title: Point of View Ask Not Why International, Ask Why Not International Journal: Journal of Real Estate Portfolio Management Pages: 187-194 Issue: 2 Volume: 12 Year: 2006 Month: 1 X-DOI: 10.1080/10835547.2006.12089750 File-URL: http://hdl.handle.net/10.1080/10835547.2006.12089750 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:12:y:2006:i:2:p:187-194 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089751_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Robert Johnson Author-X-Name-First: Robert Author-X-Name-Last: Johnson Author-Name: Colin Lizieri Author-X-Name-First: Colin Author-X-Name-Last: Lizieri Author-Name: Luc Soenen Author-X-Name-First: Luc Author-X-Name-Last: Soenen Author-Name: Elaine Worzala Author-X-Name-First: Elaine Author-X-Name-Last: Worzala Title: Simulating Currency Risk on Private Investments in Real Estate Abstract: Executive Summary.International real estate investment performance is highly sensitive to currency fluctuations. While large professional investors hedge currency at the portfolio level, not by asset class or asset, smaller, specialist investors hedge at the individual asset level, facing considerable specific risk. Hedging products are ill suited to international real estate. This paper uses a Monte Carlo framework to examine hedging using combinations of currency swaps for the rental income and expected terminal value of an office investment. The study suggests that the currency swap strategy results in considerable reduction of the downside risk associated with currency fluctuations and produces superior risk-adjusted returns. Journal: Journal of Real Estate Portfolio Management Pages: 91-102 Issue: 2 Volume: 12 Year: 2006 Month: 1 X-DOI: 10.1080/10835547.2006.12089751 File-URL: http://hdl.handle.net/10.1080/10835547.2006.12089751 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:12:y:2006:i:2:p:91-102 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089752_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Patrick Lecomte Author-X-Name-First: Patrick Author-X-Name-Last: Lecomte Author-Name: Will McIntosh Author-X-Name-First: Will Author-X-Name-Last: McIntosh Title: Designing Property Futures Contracts and Options Based on NCREIF Property Indices Abstract: Executive Summary.Due to the heterogeneous nature of real estate assets, as well as the difficulty in selecting a reliable and representative underlying index, real estate markets are the last of the major asset classes not to have a liquid futures market. The design presented here for property futures contracts is based on a selection of NCREIF Property Indices (NPIs). Seventy-five potential underlying indexes/sub indexes in the NCREIF database are examined. The findings indicate that provided an innovative combination of contract specifications is selected, establishing NPI-based property futures and options is conceptually feasible. They would represent a notable improvement to the current situation where risk management tools are notoriously scarce for real estate investors. Journal: Journal of Real Estate Portfolio Management Pages: 119-154 Issue: 2 Volume: 12 Year: 2006 Month: 1 X-DOI: 10.1080/10835547.2006.12089752 File-URL: http://hdl.handle.net/10.1080/10835547.2006.12089752 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:12:y:2006:i:2:p:119-154 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089753_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Mohammad Najand Author-X-Name-First: Mohammad Author-X-Name-Last: Najand Author-Name: Crystal Yan Author-X-Name-First: Crystal Author-X-Name-Last: Yan Author-Name: Elizabeth Fitzgerald Author-X-Name-First: Elizabeth Author-X-Name-Last: Fitzgerald Title: The Conditional CAPM and Time Varying Risk Premium for Equity REITs Abstract: Executive Summary.Given the recent interest in Real Estate Investment Trusts (REITs), this study investigates whether REITs provide investors with a superior risk-return trade off. Utilizing a conditional CAPM, the findings reveal that equity REITs have outperformed the stock market with an average abnormal annual return of 2.25% with a low time-varying beta of around .24 during the June 1995 to December 2003 period. Utilizing time-varying risk premium models for equity REITs with GARCH specifications, the findings reveal that both the ARCH and GARCH effects are significant in the estimated models. In addition, the volatility shocks are quite persistent. The results show that the market returns and the first-order autocorrelation help explain the excess returns of equity REITs. However, the movement of interest rates contributes to equity REIT returns only when the market return is not present in the models. Journal: Journal of Real Estate Portfolio Management Pages: 167-176 Issue: 2 Volume: 12 Year: 2006 Month: 1 X-DOI: 10.1080/10835547.2006.12089753 File-URL: http://hdl.handle.net/10.1080/10835547.2006.12089753 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:12:y:2006:i:2:p:167-176 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089754_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Roger Brown Author-X-Name-First: Roger Author-X-Name-Last: Brown Title: Point of View Sins of the IRR Abstract: Executive Summary.While a useful tool, the internal rate of return (IRR) has limitations that require under-standing. This Point of View reflects on the usual list of these with brief explanations but then delves more deeply into one overlooked in the literature. Jensen's (1906) Inequality has been known for some time but few realize how it introduces a mathematical inconsistency into the simulation of the IRR. The computation of the bias that results from passing a linear operator through a curved function is explored. Journal: Journal of Real Estate Portfolio Management Pages: 195-200 Issue: 2 Volume: 12 Year: 2006 Month: 1 X-DOI: 10.1080/10835547.2006.12089754 File-URL: http://hdl.handle.net/10.1080/10835547.2006.12089754 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:12:y:2006:i:2:p:195-200 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089755_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Amidu Abdul-Rasheed Author-X-Name-First: Amidu Author-X-Name-Last: Abdul-Rasheed Author-Name: Aluko Tajudeen Author-X-Name-First: Aluko Author-X-Name-Last: Tajudeen Title: Performance Analysis of Listed Construction and Real Estate Companies in Nigeria Abstract: Executive Summary.The acquisition of shares in investment companies specializing in real estate have become a popular form of indirect property investment. However, the publicly listed real estate and construction companies are only a minute portion of the total commercial real estate market, and the speed of securitization has been very slow in Nigeria. This paper examines the investment performance of listed property and construction companies from 1998 to 2005 with a view to developing their competitive and comparative advantage in attracting investment. The risk-adjustment performance of the companies, assessed through Sharpe ratios, show that both property and construction companies do not perform better than stocks, but, nevertheless, do offer diversification possibilities due to their low correlation with the stock market. Journal: Journal of Real Estate Portfolio Management Pages: 177-186 Issue: 2 Volume: 12 Year: 2006 Month: 1 X-DOI: 10.1080/10835547.2006.12089755 File-URL: http://hdl.handle.net/10.1080/10835547.2006.12089755 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:12:y:2006:i:2:p:177-186 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089756_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a 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: James Webb Author-X-Name-First: James Author-X-Name-Last: Webb Title: Diversification Effects of Direct versus Indirect Real Estate Investments in the U.K. Abstract: Executive Summary.This study uses annual data from 1975 through 2003 to construct mean-variance optimal portfolios for the United Kingdom. Real estate return data for all U.K properties from the Investment Property Databank (IPD), for U.K. pooled property funds, and for U.K. property shares are used, in addition to U.K. common stocks (equities) and gilts (government bonds). The different mixed-asset portfolio allocations using the different real estate return series are compared/contrasted. Finally, the return series are unbundled for U.K. IPD real estate, U.K. common stocks, and U.K. gilts into income and appreciation returns and additional optimal mean-variance portfolios, which are constructed for income returns, appreciation returns, and total returns (income and appreciation returns). Journal: Journal of Real Estate Portfolio Management Pages: 85-90 Issue: 2 Volume: 12 Year: 2006 Month: 1 X-DOI: 10.1080/10835547.2006.12089756 File-URL: http://hdl.handle.net/10.1080/10835547.2006.12089756 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:12:y:2006:i:2:p:85-90 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089757_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Karen Lahey Author-X-Name-First: Karen Author-X-Name-Last: Lahey Author-Name: Melinda Newman Author-X-Name-First: Melinda Author-X-Name-Last: Newman Author-Name: Doseong Kim Author-X-Name-First: Doseong Author-X-Name-Last: Kim Title: Housing Choices and Mortgage Financing Options for Seniors Abstract: Executive Summary.Why would an individual or couple who are age 55 or older have a mortgage on their primary residence or second home? Life-cycle financial patterns of behavior suggest that mortgages should be paid-off by this age. The purpose of this study is to examine the option of seniors to finance their primary residence and/or second home and the resulting difference(s), if any, in their asset allocations. Results indicate that the majority of seniors do have a mortgage. Based on probit and regression analyses, respondents are more likely to have a mortgage if they have a higher market value for their primary residence, a home equity line of credit, a second home, are not retired, and/or have a lower level of liquid assets. Journal: Journal of Real Estate Portfolio Management Pages: 103-118 Issue: 2 Volume: 12 Year: 2006 Month: 1 X-DOI: 10.1080/10835547.2006.12089757 File-URL: http://hdl.handle.net/10.1080/10835547.2006.12089757 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:12:y:2006:i:2:p:103-118 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089758_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Graeme Newell Author-X-Name-First: Graeme Author-X-Name-Last: Newell Author-Name: Hsu Wen Author-X-Name-First: Hsu Author-X-Name-Last: Wen Title: The Role of Non-Traditional Real Estate Sectors in REIT Portfolios Abstract: Executive Summary.Recent years have seen increased attention given to the real estate investment opportunities available from the non-traditional real estate sectors such as self-storage, healthcare, and other specialty real estate sectors. In particular, these non-traditional real estate sectors in equity REITs currently account for over $43 billion in 23 REITs, representing 14.5% of the equity REIT sector market capitalization. This paper will assess the performance of these non-traditional real estate sector REITs compared to traditional sector REITs from 1994:Q1 through 2005:Q3. In particular, their risk-adjusted performance and portfolio diversification benefits will be compared to the more traditional REIT sectors (office, retail, industrial, residential, etc.) and to real estate, stocks, and bonds. Sub-period analyses will also be performed to assess whether the investment dynamics and portfolio diversification benefits for these non-traditional real estate sector REITs have been enhanced in recent years. Journal: Journal of Real Estate Portfolio Management Pages: 155-166 Issue: 2 Volume: 12 Year: 2006 Month: 1 X-DOI: 10.1080/10835547.2006.12089758 File-URL: http://hdl.handle.net/10.1080/10835547.2006.12089758 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:12:y:2006:i:2:p:155-166 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089741_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Hwahsin Cheng Author-X-Name-First: Hwahsin Author-X-Name-Last: Cheng Author-Name: Luis Mejia Author-X-Name-First: Luis Author-X-Name-Last: Mejia Author-Name: Charles Tu Author-X-Name-First: Charles Author-X-Name-Last: Tu Title: The Stock Return Difference between Industrial REITs and Manufacturing Firms: Space Supply and Demand Effects Abstract: Executive Summary.This paper compares and studies the stock performance of industrial real estate investment trusts (REITs) and other industrial companies. The return difference between industrial REITs and manufacturing firms is modeled as a function of industrial space supply and demand. A graphical analysis illustrates the connection between the manufacturing goods and the industrial space markets, showing that performance differences between the two markets can be explained by changes in space supply and demand. An empirical analysis using aggregate industry data confirms this premise. Journal: Journal of Real Estate Portfolio Management Pages: 249-260 Issue: 3 Volume: 12 Year: 2006 Month: 1 X-DOI: 10.1080/10835547.2006.12089741 File-URL: http://hdl.handle.net/10.1080/10835547.2006.12089741 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:12:y:2006:i:3:p:249-260 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089742_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Matthias Thomas Author-X-Name-First: Matthias Author-X-Name-Last: Thomas Author-Name: Stephen Lee Author-X-Name-First: Stephen Author-X-Name-Last: Lee Title: The Impact of Exchanges Rates on International Real Estate Portfolio Allocation Abstract: Executive Summary.This paper examines whether the asset holdings and weights of an international real estate portfolio using exchange rate adjusted returns are essentially the same or radically different from those based on unadjusted returns. The results indicate that the portfolio compositions produced by exchange rate adjusted returns are markedly different from those based on unadjusted returns. However, following the introduction of the single currency, the differences in portfolio composition are much less pronounced. The findings have a practical consequence for the investor because they suggest that following the introduction of the single currency international investors can concentrate on real estate fundamentals when making their portfolio choices, rather than worry about the implications of exchange rate risk.This paper is the winner of the best paper on International Real Estate Investment/Portfolio Management (sponsored by Jones Lang LaSalle) award presented at the 2006 American Real Estate Society Annual Meeting in Key West, Florida. Journal: Journal of Real Estate Portfolio Management Pages: 277-292 Issue: 3 Volume: 12 Year: 2006 Month: 1 X-DOI: 10.1080/10835547.2006.12089742 File-URL: http://hdl.handle.net/10.1080/10835547.2006.12089742 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:12:y:2006:i:3:p:277-292 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089743_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Lay Cheng Author-X-Name-First: Lay Author-X-Name-Last: Cheng Author-Name: Stanley McGreal Author-X-Name-First: Stanley Author-X-Name-Last: McGreal Author-Name: James Webb Author-X-Name-First: James Author-X-Name-Last: Webb Title: Perception of Real Estate Investment Opportunities in Central/South America and Africa Abstract: Executive Summary.This study examines the attitudes and perceptions of institutional real estate investors towards real estate investment opportunities in Central/ South America and Africa. This research included a survey sent to 1,068 institutional investors (250 investment managers, 601 pension funds, and 217 REITs) who were asked about the characteristics of investors in these markets and the factors influencing their decisionmaking process. The results indicate that these investors are sensitive to higher returns and political stability and that exposure to real estate in Central/South America and Africa is currently extremely limited, although there are some interested investors. It is surprising how little attention has been given to real estate in these areas, despite the relatively high levels of funds flowing into real estate around the world. Journal: Journal of Real Estate Portfolio Management Pages: 261-276 Issue: 3 Volume: 12 Year: 2006 Month: 1 X-DOI: 10.1080/10835547.2006.12089743 File-URL: http://hdl.handle.net/10.1080/10835547.2006.12089743 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:12:y:2006:i:3:p:261-276 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089744_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Sean Salter Author-X-Name-First: Sean Author-X-Name-Last: Salter Title: NASDAQ REITs and Optimal Investment Policy: Evidence from 1995 to 2005 Abstract: Executive Summary.Naive and scientific strategies for portfolio management are presented and are tested empirically using NASDAQ-listed real estate investment trusts. Using standard portfolio techniques, scientific strategies such as Markowitz optimization and stochastic dominance are shown to produce better results on a risk-adjusted basis than naive strategies do. Stochastic dominance is shown to produce the greatest growth in capital on a non-risk-adjusted basis. Journal: Journal of Real Estate Portfolio Management Pages: 201-207 Issue: 3 Volume: 12 Year: 2006 Month: 1 X-DOI: 10.1080/10835547.2006.12089744 File-URL: http://hdl.handle.net/10.1080/10835547.2006.12089744 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:12:y:2006:i:3:p:201-207 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089745_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Lee Redding Author-X-Name-First: Lee Author-X-Name-Last: Redding Title: Persistent Mispricing in Mutual Funds: The Case of Real Estate Abstract: Executive Summary.When mutual funds and related investment companies are unable to compute an accurate net asset value, unintended wealth transfers will occur among fund investors. Previous research has found this effect with international stock funds. Real estate fund managers face an even bigger challenge due to the lack of current price data. By focusing on an investment account involved with direct real estate ownership, the effects of inaccurate fund pricing can bee seen at monthly frequencies. The magnitudes of the asset mispricing and resulting wealth transfers can be estimated, thus pointing the way to a solution. Journal: Journal of Real Estate Portfolio Management Pages: 223-232 Issue: 3 Volume: 12 Year: 2006 Month: 1 X-DOI: 10.1080/10835547.2006.12089745 File-URL: http://hdl.handle.net/10.1080/10835547.2006.12089745 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:12:y:2006:i:3:p:223-232 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089746_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Paige Mueller Author-X-Name-First: Paige Author-X-Name-Last: Mueller Author-Name: Asli Ball Author-X-Name-First: Asli Author-X-Name-Last: Ball Title: Point of View International Investing: A Global Demographic Primer Journal: Journal of Real Estate Portfolio Management Pages: 299-308 Issue: 3 Volume: 12 Year: 2006 Month: 1 X-DOI: 10.1080/10835547.2006.12089746 File-URL: http://hdl.handle.net/10.1080/10835547.2006.12089746 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:12:y:2006:i:3:p:299-308 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089747_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Doug Waggle Author-X-Name-First: Doug Author-X-Name-Last: Waggle Author-Name: Pankaj Agrrawal Author-X-Name-First: Pankaj Author-X-Name-Last: Agrrawal Title: The Stock-REIT Relationship and Optimal Asset Allocations Abstract: Executive Summary.In this paper, the marginal effects of changes (due to non-stationarity or estimation errors) in the REIT-stock risk premium and the REIT-stock correlation on the optimal portfolio asset mix of REITs, stocks, and bonds are determined. Employing a mean-variance utility function and considering different levels of investor risk aversion, the findings reveal that the expected return of REITs, relative to that of stocks, is a much more important factor than the REIT-stock correlation in making portfolio decisions. A 1% change in the forecast return for REITs dramatically impacts optimal portfolio allocations for investors of all risk levels. A significant change of 0.1 in the REIT-stock correlation, on the other hand, has only minimal impact on optimal portfolio weights. Journal: Journal of Real Estate Portfolio Management Pages: 209-221 Issue: 3 Volume: 12 Year: 2006 Month: 1 X-DOI: 10.1080/10835547.2006.12089747 File-URL: http://hdl.handle.net/10.1080/10835547.2006.12089747 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:12:y:2006:i:3:p:209-221 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089748_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Hany Guirguis Author-X-Name-First: Hany Author-X-Name-Last: Guirguis Author-Name: Richard Vogel Author-X-Name-First: Richard Author-X-Name-Last: Vogel Title: Asymmetry in Regional Real House Prices Abstract: Executive Summary.This paper investigates the stochastic behavior of regional real house prices while allowing for asymmetric responses of the current prices to positive and negative changes in the lagged prices. The analysis is carried out using the dynamic conditional correlation multivariate GARCH model. The findings indicate that lagged positive changes have played a far more important role in shaping the current changes in the real house prices. This paper appears to be among the very few empirical studies to document such asym-metry, which suggests that previous studies might en-counter a model misspecification. Journal: Journal of Real Estate Portfolio Management Pages: 293-298 Issue: 3 Volume: 12 Year: 2006 Month: 1 X-DOI: 10.1080/10835547.2006.12089748 File-URL: http://hdl.handle.net/10.1080/10835547.2006.12089748 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:12:y:2006:i:3:p:293-298 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089749_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Richard Graff Author-X-Name-First: Richard Author-X-Name-Last: Graff Title: Securitization Demystified Abstract: Executive Summary.The concept of securitization can be standardized by focusing on its effect on investment characteristics rather than its effect on assets. The effect on investment characteristics impacts asset value. Although recent advances in securitization technology apply to the securitization of fixedincome assets, securitization has long been the primary investment banking function. Wide variation in securitization methodology reflects wide variation in asset investment characteristics. Journal: Journal of Real Estate Portfolio Management Pages: 233-248 Issue: 3 Volume: 12 Year: 2006 Month: 1 X-DOI: 10.1080/10835547.2006.12089749 File-URL: http://hdl.handle.net/10.1080/10835547.2006.12089749 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:12:y:2006:i:3:p:233-248 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089759_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Sofia Dermisi Author-X-Name-First: Sofia Author-X-Name-Last: Dermisi Title: The Impact of Terrorism Fears on Downtown Real Estate Chicago Office Market Cycles Abstract: Executive Summary. This paper identifies the cyclical patterns of an office market under potential terrorism threat by comparing vacancy rates and rent per square foot trends before and after September 11, 2001. This study goes beyond identifying general market trends and focuses specifically on office trends among trophy, Class A, and Class B buildings in Chicago. The findings indicate that trophy buildings were severely impacted by 9/11 and did not recover until the end of 2005. Class A buildings were also significantly impacted, although less than the trophy buildings, while Class B experienced even less of an impact. In general, the Chicago office market cycles were estimated to be between 6.4 (sublease vacancy of Class B buildings) and 13 years (total vacancy of Class A buildings). Journal: Journal of Real Estate Portfolio Management Pages: 57-73 Issue: 1 Volume: 13 Year: 2007 Month: 1 X-DOI: 10.1080/10835547.2007.12089759 File-URL: http://hdl.handle.net/10.1080/10835547.2007.12089759 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:13:y:2007:i:1:p:57-73 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089760_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Kevin Chiang Author-X-Name-First: Kevin Author-X-Name-Last: Chiang Author-Name: Ming-Long National Author-X-Name-First: Ming-Long Author-X-Name-Last: National Title: Spanning Tests on Public and Private Real Estate Abstract: Executive Summary. This study uses mean-variance spanning tests to examine the roles of public and private real estate in mixed-asset portfolios. The results suggest that the usefulness of including equity real estate investment trusts (REITs) in improving investment opportunity sets is sensitive to the specification of benchmark assets. In contrast, private real estate yields diversification benefits in various specifications of benchmark assets. The results imply that, when private real estate is already in a mixed-asset portfolio, there is limited room for equity REITs. Equity REITs are substitutes for private real estate in a mixed-asset portfolio when direct investing in private real estate is not feasible because of liquidity, transaction costs, and economies of scale. This result explains why large fund sponsors tend to allocate more to private real estate than to public real estate. Journal: Journal of Real Estate Portfolio Management Pages: 7-15 Issue: 1 Volume: 13 Year: 2007 Month: 1 X-DOI: 10.1080/10835547.2007.12089760 File-URL: http://hdl.handle.net/10.1080/10835547.2007.12089760 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:13:y:2007:i:1:p:7-15 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089761_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Ping Florida Author-X-Name-First: Ping Author-X-Name-Last: Florida Author-Name: Stephen Roulac Author-X-Name-First: Stephen Author-X-Name-Last: Roulac Title: Measuring the Effectiveness of Geographical Diversification Abstract: Executive Summary. How many markets does it take to form a geographically well-diversified portfolio? Using a simulated approach, this study investigates the effectiveness of geographic diversification across the metropolitan areas in the United States. Four diversification schemes, the “Mixed MSA,” “Large MSA Only,” “Simultaneous,” and “Large MSA by Property Type,” are analyzed. The effectiveness of diversification is measured by the proportional portfolio risk reduction from the risk of single market. The findings suggest that: (1) it takes a large number of markets to eliminate most of nonsystematic risk in portfolios; (2) diversifying across large MSAs only is much less effective than across all MSAs; and (3) different types of properties exhibit very different risk reduction capability. The study raises the question as to how well-diversified are current institutional portfolios. Journal: Journal of Real Estate Portfolio Management Pages: 29-44 Issue: 1 Volume: 13 Year: 2007 Month: 1 X-DOI: 10.1080/10835547.2007.12089761 File-URL: http://hdl.handle.net/10.1080/10835547.2007.12089761 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:13:y:2007:i:1:p:29-44 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089762_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Graeme Newell Author-X-Name-First: Graeme Author-X-Name-Last: Newell Author-Name: Chau Wing Author-X-Name-First: Chau Author-X-Name-Last: Wing Author-Name: Wong Kei Author-X-Name-First: Wong Author-X-Name-Last: Kei Author-Name: Keith McKinnell Author-X-Name-First: Keith Author-X-Name-Last: McKinnell Title: Factors Influencing the Performance of Hong Kong Real Estate Companies Abstract: Executive Summary. Hong Kong real estate companies make a significant contribution to the Hong Kong stock market and general economy. Using a variance decomposition procedure, the proportion of Hong Kong real estate company volatility that is attributable to stock, bond, and real estate factors over 1984-2004 is assessed. Over this period, real estate accounted for 7% of real estate company volatility. Importantly, this level has increased from only 2% over the 1984-1997 period to 11% over the 1997-2004 period, with the contribution by stocks decreasing from 78% to 58%. Overall, this reflects an increased contribution by real estate to Hong Kong real estate company volatility in recent years since the Asian Financial Crisis and the establishment of the Hong Kong Special Administrative Region. These results have significant implications for international real estate securities funds and highlight the need for establishing an active real estate investment trust market in Hong Kong. Journal: Journal of Real Estate Portfolio Management Pages: 75-86 Issue: 1 Volume: 13 Year: 2007 Month: 1 X-DOI: 10.1080/10835547.2007.12089762 File-URL: http://hdl.handle.net/10.1080/10835547.2007.12089762 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:13:y:2007:i:1:p:75-86 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089763_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Glenn Mueller Author-X-Name-First: Glenn Author-X-Name-Last: Mueller Author-Name: Andrew Mueller Author-X-Name-First: Andrew Author-X-Name-Last: Mueller Title: Warehouse Demand and the Path of Goods Movement Abstract: Executive Summary. In 1994, Mueller and Laposa published “The Path of Goods Movement” that identified a new paradigm in the analysis of warehouse space demand and location. The evolution of the freight transportation industry was underway and the transportation logistics business was in its infancy. Over the past fifteen years the “Path of Goods Movement” (POGM) concept has been embraced by the real estate industry and many large real estate investors have based their warehouse acquisition and management strategies on the POGM concept. Even Prologis, the largest industrial REIT in the United States is concentrated in warehouse markets that lay on the POGM. This paper looks at the changes that have occurred to the POGM over the past fifteen years and identifies new trends and relationships that have modified the POGM. Journal: Journal of Real Estate Portfolio Management Pages: 45-56 Issue: 1 Volume: 13 Year: 2007 Month: 1 X-DOI: 10.1080/10835547.2007.12089763 File-URL: http://hdl.handle.net/10.1080/10835547.2007.12089763 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:13:y:2007:i:1:p:45-56 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089764_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: David Lynn Author-X-Name-First: David Author-X-Name-Last: Lynn Title: Point of View Journal: Journal of Real Estate Portfolio Management Pages: 87-92 Issue: 1 Volume: 13 Year: 2007 Month: 1 X-DOI: 10.1080/10835547.2007.12089764 File-URL: http://hdl.handle.net/10.1080/10835547.2007.12089764 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:13:y:2007:i:1:p:87-92 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089765_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: John McDonald Author-X-Name-First: John Author-X-Name-Last: McDonald Title: Optimal Leverage in Real Estate Investment with Mezzanine Lending Abstract: Executive Summary. This paper presents a theoretical analysis of the optimal leverage for the purpose of investing in real estate under the condition that borrowing in excess of a standard amount such as 70% to 80% of the purchase price must be accomplished through a mezzanine loan with a high interest rate. The conditions under which a mezzanine loan is used are derived. The findings indicate that the larger mezzanine loan, the greater is the required expected after-tax rate of return to equity. Investors who choose greater risk require a higher expected after-tax return to equity and therefore borrow more and purchase more real estate with a given equity investment. Journal: Journal of Real Estate Portfolio Management Pages: 1-6 Issue: 1 Volume: 13 Year: 2007 Month: 1 X-DOI: 10.1080/10835547.2007.12089765 File-URL: http://hdl.handle.net/10.1080/10835547.2007.12089765 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:13:y:2007:i:1:p:1-6 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089766_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Nathan Berg Author-X-Name-First: Nathan Author-X-Name-Last: Berg Author-Name: Anthony Gu Author-X-Name-First: Anthony Author-X-Name-Last: Gu Author-Name: Donald Lien Author-X-Name-First: Donald Author-X-Name-Last: Lien Title: Dynamic Correlation: A Tool for Hedging House Price Risk? Abstract: Executive Summary. Dynamic correlation models demonstrate that the relationship between interest rates and housing prices is non-constant. Estimates reveal statistically significant time fluctuations in correlations between housing price indexes and Treasury bonds, the S&P 500 Index, and stock prices of mortgage-related companies. In some cases, hedging effectiveness can be improved by moving from constant to dynamic hedge ratios. Empirics reported here point to the possibility that incorrect assumptions of constant correlation could lead to mis-pricing in the mortgage industry and beyond. Journal: Journal of Real Estate Portfolio Management Pages: 17-28 Issue: 1 Volume: 13 Year: 2007 Month: 1 X-DOI: 10.1080/10835547.2007.12089766 File-URL: http://hdl.handle.net/10.1080/10835547.2007.12089766 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:13:y:2007:i:1:p:17-28 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089767_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Javier Rodriguez Author-X-Name-First: Javier Author-X-Name-Last: Rodriguez Title: A Critical Look at the Forecasting Ability of Real Estate Mutual Fund Managers Abstract: Executive Summary. The forecasting ability and value provided by real estate mutual fund managers is empirically examined during the 1999-2004 time period. Attribution returns are used to test for forecasting skill. An attribution return is defined as the difference between a fund's actual month t return and the return that would have been generated by the index strategy that best explains the fund return during the previous two-year period. In the aggregate, fund managers do not show abnormal forecasting skill. However, real estate mutual fund managers show more forecasting skill during periods when the stock market does better than the bond market. Finally, when the fund sample is partitioned between surviving and non-surviving funds, only the subgroup of non-surviving funds shows poor forecasting skill as evidenced by a negative and significant mean attribution return. Journal: Journal of Real Estate Portfolio Management Pages: 99-106 Issue: 2 Volume: 13 Year: 2007 Month: 1 X-DOI: 10.1080/10835547.2007.12089767 File-URL: http://hdl.handle.net/10.1080/10835547.2007.12089767 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:13:y:2007:i:2:p:99-106 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089768_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Barbara Leung Author-X-Name-First: Barbara Author-X-Name-Last: Leung Author-Name: Eddie Hui Author-X-Name-First: Eddie Author-X-Name-Last: Hui Author-Name: Bill Seabrooke Author-X-Name-First: Bill Author-X-Name-Last: Seabrooke Title: Pricing of Presale Properties with Asymmetric Information Problems Abstract: Executive Summary. Property developers have increasingly used forward contracts to pre-sell uncompleted properties to enhance their financial viability. However, there are limited researchers exploring the hidden forward risks arising from asymmetric information issues embedded in forward property markets. This study sets up a Forward-Spot Property Index-Tracking (FSIT) model, which is able to capture not only the risks arising from market uncertainty during the construction timelag and the discount required to compensate for the missing rents within the forward contract period, but also the risk premium imposed on a purchase of a presale property arising from asymmetric information issues. Journal: Journal of Real Estate Portfolio Management Pages: 139-152 Issue: 2 Volume: 13 Year: 2007 Month: 1 X-DOI: 10.1080/10835547.2007.12089768 File-URL: http://hdl.handle.net/10.1080/10835547.2007.12089768 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:13:y:2007:i:2:p:139-152 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089769_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Graeme Newell Author-X-Name-First: Graeme Author-X-Name-Last: Newell Author-Name: Rajeev Kamineni Author-X-Name-First: Rajeev Author-X-Name-Last: Kamineni Title: The Significance and Performance of Real Estate Markets in India Abstract: Executive Summary. This paper reviews the real estate markets in India and assesses the risk-adjusted performance and portfolio diversification benefits for the real estate markets (office, retail and residential) of New Delhi and Mumbai (two largest cities in India) over the 1998: Q2-2005:Q4 period. The real estate markets were found to under-perform the stock market in India over 1998- 2005, with most markets improving their performance in more recent years, although there was some loss of portfolio diversification benefits for office and residential real estate with stocks. Deregulation of the capital markets and international investment in India is also likely to have a significant impact on future FDI levels and the growth of real estate funds for real estate investment in India. Journal: Journal of Real Estate Portfolio Management Pages: 161-172 Issue: 2 Volume: 13 Year: 2007 Month: 1 X-DOI: 10.1080/10835547.2007.12089769 File-URL: http://hdl.handle.net/10.1080/10835547.2007.12089769 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:13:y:2007:i:2:p:161-172 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089770_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: John Cotter Author-X-Name-First: John Author-X-Name-Last: Cotter Author-Name: Simon Stevenson Author-X-Name-First: Simon Author-X-Name-Last: Stevenson Title: Uncovering Volatility Dynamics in Daily REIT Returns Abstract: Executive Summary. Using a time-varying approach, this paper examines the dynamics of volatility in the real estate investment trust (REIT) sector. The results highlight the attractiveness and suitability of using GARCH-based approaches in the modeling of daily REIT volatility The paper examines the factors that influence REIT volatility, documenting the return and volatility linkages between REIT sub-sectors. It also examines the influence of other U.S. equity series. The results contrast with previous studies of monthly REIT volatility. Linkages within the REIT sector and with related sectors such as value stocks are diminished, while the general influence of market sentiment, coming through the large cap indices, is enhanced. This indicates that on a daily basis general market sentiment plays a more fundamental role than more intuitive relationships within the capital markets. Journal: Journal of Real Estate Portfolio Management Pages: 119-128 Issue: 2 Volume: 13 Year: 2007 Month: 1 X-DOI: 10.1080/10835547.2007.12089770 File-URL: http://hdl.handle.net/10.1080/10835547.2007.12089770 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:13:y:2007:i:2:p:119-128 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089771_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Dirk RSM Author-X-Name-First: Dirk Author-X-Name-Last: RSM Author-Name: Hans ‘t Author-X-Name-First: Hans Author-X-Name-Last: ‘t Author-Name: Ville INREV Author-X-Name-First: Ville Author-X-Name-Last: INREV Title: Transparency in the European Non-listed Real Estate Funds Market Abstract: Executive Summary. This paper describes the development of the European universe of non-listed real estate funds. Non-listed funds are typically associated with a lack of transparency, limited size and tradability, and complicated structures. Over the last fifteen years more and more of these funds have been launched across Europe. Using IPD and the European Association for Investors in Non-Listed Real Estate Vehicles (INREV) data, this paper reviews the rise of the market both in values and numbers, discusses the current state and composition of the supply of European vehicles, and presents an overview of the most dominant styles and structures in this market. The paper continues with performance measurement in the non-listed sector and ends with an outlook of the development of this market by discussing the fund terminations that lie ahead and the continuation alternatives that are at hand. Journal: Journal of Real Estate Portfolio Management Pages: 107-117 Issue: 2 Volume: 13 Year: 2007 Month: 1 X-DOI: 10.1080/10835547.2007.12089771 File-URL: http://hdl.handle.net/10.1080/10835547.2007.12089771 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:13:y:2007:i:2:p:107-117 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089772_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Sean Middle Author-X-Name-First: Sean Author-X-Name-Last: Middle Author-Name: Ken Johnson Author-X-Name-First: Ken Author-X-Name-Last: Johnson Author-Name: James Webb Author-X-Name-First: James Author-X-Name-Last: Webb Title: Theory of the Real Estate Brokerage Firm: A Portfolio Approach Abstract: Executive Summary. A framework is established in which an investor (the real estate broker) must form a portfolio of two assets (two types of agents), each represented by their returns to the broker. The very risky asset (corresponding to the agent type that has negotiated a split commission contract with the broker) is shown in contrast to the less risky asset (corresponding to the agent type that has negotiated for 100% of the earned commissions in exchange for a periodic fee paid to the broker). Within this framework, the optimal makeup of the real estate brokerage firm is established, thereby providing a comprehensive theory for the existence of real estate brokerage firms based on agent compensation arrangements. Journal: Journal of Real Estate Portfolio Management Pages: 129-138 Issue: 2 Volume: 13 Year: 2007 Month: 1 X-DOI: 10.1080/10835547.2007.12089772 File-URL: http://hdl.handle.net/10.1080/10835547.2007.12089772 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:13:y:2007:i:2:p:129-138 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089773_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Steven Laposa Author-X-Name-First: Steven Author-X-Name-Last: Laposa Title: Point of View Bridging Gaps, Building Portfolios Journal: Journal of Real Estate Portfolio Management Pages: 173-178 Issue: 2 Volume: 13 Year: 2007 Month: 1 X-DOI: 10.1080/10835547.2007.12089773 File-URL: http://hdl.handle.net/10.1080/10835547.2007.12089773 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:13:y:2007:i:2:p:173-178 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089774_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Simon Stevenson Author-X-Name-First: Simon Author-X-Name-Last: Stevenson Title: Exploring the Intra-Metropolitan Dynamics of the London Office Market Abstract: Executive Summary. This paper explores the relationships between key sub-markets in the Central London office market. The paper models the intra-metropolitan dynamics and examines how sub-markets influence and impact upon one another. Set within a rent adjustment framework, the modeling approach highlights the key linkages and allows a broader examination of the overall dynamics of the London office market. The results highlight the position of the West End as the prime submarket within Central London and also the impact of the development of the Docklands submarket on the Central London office market. Journal: Journal of Real Estate Portfolio Management Pages: 93-98 Issue: 2 Volume: 13 Year: 2007 Month: 1 X-DOI: 10.1080/10835547.2007.12089774 File-URL: http://hdl.handle.net/10.1080/10835547.2007.12089774 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:13:y:2007:i:2:p:93-98 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089775_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Jeffrey Stokes Author-X-Name-First: Jeffrey Author-X-Name-Last: Stokes Author-Name: Brent Gloy Author-X-Name-First: Brent Author-X-Name-Last: Gloy Title: Mortgage Delinquency Migration:An Application of Maximum Entropy Econometrics Abstract: Executive Summary. Defaulting on a mortgage represents the ultimate consequence of past decisions to delay payment. As such, a better understanding of the probability of default is obtainable from better understanding the probability of delinquency that is induced by the sequence of decisions to delay payment. Even so, bankspecific, account-level mortgage data are required to analyze delinquency using conventional statistical methods and these data are rarely available to researchers. This paper introduces a maximum entropy econometric approach that uses publicly available aggregated data to estimate both the probability of delinquency and the probability of default. The results suggest the approach has merit for monitoring bank performance, as well as usefulness for bank’s risk management efforts and Basel Accord compliance. Journal: Journal of Real Estate Portfolio Management Pages: 153-160 Issue: 2 Volume: 13 Year: 2007 Month: 1 X-DOI: 10.1080/10835547.2007.12089775 File-URL: http://hdl.handle.net/10.1080/10835547.2007.12089775 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:13:y:2007:i:2:p:153-160 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089776_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Changha Georgia Author-X-Name-First: Changha Author-X-Name-Last: Georgia Author-Name: Terry Grissom Author-X-Name-First: Terry Author-X-Name-Last: Grissom Author-Name: Alan Ziobrowski Author-X-Name-First: Alan Author-X-Name-Last: Ziobrowski Title: The Mixed Asset Portfolio for Asia-Pacific Markets Abstract: Executive Summary.In this study, mixed-asset portfolios were constructed containing real estate, common stock, and bond investments from various Asian-Pacific countries. The countries of particular interest include six economically developing countries: China, Indonesia, Malaysia, the Philippines, South Korea, and Thailand, and five developed countries: Singapore, Japan, Hong Kong, Australia, and New Zealand. The time period is 1998-2005. Upon close examination of these portfolios, it becomes clear that currency risk is a larger concern when investing in countries with emerging markets in comparison to countries with already developed markets. Despite the currency risk, the results of this study show that mixed-asset portfolios from countries with emerging economies have outperformed the assets of developed countries for moderate and aggressive investors targeting Asian-Pacific countries. Journal: Journal of Real Estate Portfolio Management Pages: 249-256 Issue: 3 Volume: 13 Year: 2007 Month: 1 X-DOI: 10.1080/10835547.2007.12089776 File-URL: http://hdl.handle.net/10.1080/10835547.2007.12089776 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:13:y:2007:i:3:p:249-256 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089777_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Edward Graham Author-X-Name-First: Edward Author-X-Name-Last: Graham Author-Name: William Hall Author-X-Name-First: William Author-X-Name-Last: Hall Author-Name: Peter Schuhmann Author-X-Name-First: Peter Author-X-Name-Last: Schuhmann Title: Hurricanes, Catastrophic Risk, and Real Estate Market Recovery Abstract: Executive Summary.This paper examines data from the Cape Fear region of North Carolina, an area at elevated exposure to hurricanes and catastrophic risk. The findings support an earlier documented pattern of price declinations with successive hurricane landfalls. The findings also reveal a tempering of this trend in the years after the last major strike in 1999. A test statistic is constructed for the timing and intensity of the real estate market reaction to perceptions of catastrophic risk. A Chow test is used to frame market responses to repeated hurricane landfalls in the study area. The test reveals a structural shift in the housing market in the periods following the last two in a series of four hurricanes. Home prices recover and market stability returns in the years following the last storm. The findings are important to varied stakeholders in the coastal real estate market. Journal: Journal of Real Estate Portfolio Management Pages: 179-190 Issue: 3 Volume: 13 Year: 2007 Month: 1 X-DOI: 10.1080/10835547.2007.12089777 File-URL: http://hdl.handle.net/10.1080/10835547.2007.12089777 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:13:y:2007:i:3:p:179-190 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089778_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Mark Gschwind Author-X-Name-First: Mark Author-X-Name-Last: Gschwind Title: Predicting Late Payments: A Study in Tenant Behavior Using Data Mining Techniques Abstract: Executive Summary.Today, mining customer data is commonplace for banks, credit card companies, and insurance companies, to name a few. This study discusses using data mining techniques at a commercial real estate manager to predict a behavior of its customers—its tenants. Specifically, the probability that a commercial tenant will make a late payment in the near future is estimated. The study introduces the reader to the data mining process and uses some of the more prevalent techniques for this type of issue. The result is a model with a predictive ability that is considerably better than a dartboard approach, suggesting that data mining techniques can be used by other commercial real estate managers to better understand and predict this part of tenant behavior. Journal: Journal of Real Estate Portfolio Management Pages: 269-288 Issue: 3 Volume: 13 Year: 2007 Month: 1 X-DOI: 10.1080/10835547.2007.12089778 File-URL: http://hdl.handle.net/10.1080/10835547.2007.12089778 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:13:y:2007:i:3:p:269-288 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089779_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Tony Hernandez Author-X-Name-First: Tony Author-X-Name-Last: Hernandez Author-Name: Grant Thrall Author-X-Name-First: Grant Author-X-Name-Last: Thrall Title: Point of View Integrating GIS Technology within Portfolio Management Journal: Journal of Real Estate Portfolio Management Pages: 289-292 Issue: 3 Volume: 13 Year: 2007 Month: 1 X-DOI: 10.1080/10835547.2007.12089779 File-URL: http://hdl.handle.net/10.1080/10835547.2007.12089779 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:13:y:2007:i:3:p:289-292 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089780_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Kurt Psilander Author-X-Name-First: Kurt Author-X-Name-Last: Psilander Title: Why are Small Developers More Efficient than Large Developers? Abstract: Executive Summary.The efficiency of 16 small-scale developers is compared with large-scale developers in Sweden. For a given level of quality, the small-scale developer came out as more cost efficient. The reasons appear to be strong leadership, day-to-day operational involvement, and greater flexibility in the management through out the process. Small developers, however, face difficult entry issues. Journal: Journal of Real Estate Portfolio Management Pages: 257-267 Issue: 3 Volume: 13 Year: 2007 Month: 1 X-DOI: 10.1080/10835547.2007.12089780 File-URL: http://hdl.handle.net/10.1080/10835547.2007.12089780 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:13:y:2007:i:3:p:257-267 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089781_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Justin Benefield Author-X-Name-First: Justin Author-X-Name-Last: Benefield Author-Name: Randy Anderson Author-X-Name-First: Randy Author-X-Name-Last: Anderson Author-Name: Leonard Zumpano Author-X-Name-First: Leonard Author-X-Name-Last: Zumpano Title: Does the Composition of the Market Portfolio Matter for Performance Rankings of Post-1986 Equity REITs? Abstract: Executive Summary.Real estate investment trust (REIT) research indicates that performance rankings do not differ between market proxies containing real estate and the Standard and Poor’s 500, while mutual fund research shows that the proxy chosen significantly impacts performance rankings. Previous REIT performance ranking studies used rather obscure market indices, and only included time periods prior to the Tax Reform Act of 1986. Common market proxies are used to address whether the proxy chosen matters in REIT performance studies. Performance rankings utilize standard singlefactor methodologies and, where possible, their multifactor equivalents. Across all comparisons, results indicate that performance rankings of post-1986 equity REITs are insensitive to the market proxy chosen. Journal: Journal of Real Estate Portfolio Management Pages: 191-204 Issue: 3 Volume: 13 Year: 2007 Month: 1 X-DOI: 10.1080/10835547.2007.12089781 File-URL: http://hdl.handle.net/10.1080/10835547.2007.12089781 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:13:y:2007:i:3:p:191-204 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089782_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Piet Eichholtz Author-X-Name-First: Piet Author-X-Name-Last: Eichholtz Author-Name: Nils Kok Author-X-Name-First: Nils Author-X-Name-Last: Kok Author-Name: Bartosch Wolnicki Author-X-Name-First: Bartosch Author-X-Name-Last: Wolnicki Title: Who Should Own Senior Housing? Abstract: Executive Summary.The senior housing industry provides housing and care services to elderly people who are in need of social support and medical assistance. For the financing and ownership of rented senior residential property, the two structures most used are integrated healthcare companies and healthcare real estate investment trusts (REITs). This study compares the accounting performance of housing property owned by integrated companies and healthcare REITs. The results of the analysis show that the real estate returns of healthcare REITs are superior when housing is separated from care, as it is in the independent living segment. However, when care is more intense and housing services more intertwined with it, integrated healthcare companies obtain superior returns on real estate. Journal: Journal of Real Estate Portfolio Management Pages: 205-217 Issue: 3 Volume: 13 Year: 2007 Month: 1 X-DOI: 10.1080/10835547.2007.12089782 File-URL: http://hdl.handle.net/10.1080/10835547.2007.12089782 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:13:y:2007:i:3:p:205-217 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089783_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Jingbo Sun Author-X-Name-First: Jingbo Author-X-Name-Last: Sun Author-Name: Loo Sim Author-X-Name-First: Loo Author-X-Name-Last: Sim Author-Name: Kim Ho Author-X-Name-First: Kim Author-X-Name-Last: Ho Title: The Cyclical Association of Residential Housing Price and Consumption Abstract: Executive Summary.This paper develops a theoretical framework to investigate private consumption changes that are brought about by the residential housing price effect, which in turn is envisaged to comprise the income effect, substitution effect, and expectation effect along with the residential price cycle. A frequency domainbased model that employs cross-spectra analysis is consistent with such a theoretical framework, and helps to validate it, as its model-free characteristics avoid the problems of model misspecification and parameter estimation error. In the Singapore context, the results show that residential price affects consumption significantly, depending on the time scale and frequency without a consistent sign. The expectation effect, operating through the capital gain effect, is important in explaining the residential price-consumption relationship and contributes more during the expansion period than the recession period. Journal: Journal of Real Estate Portfolio Management Pages: 219-248 Issue: 3 Volume: 13 Year: 2007 Month: 1 X-DOI: 10.1080/10835547.2007.12089783 File-URL: http://hdl.handle.net/10.1080/10835547.2007.12089783 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:13:y:2007:i:3:p:219-248 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089784_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Camilo Serrano Author-X-Name-First: Camilo Author-X-Name-Last: Serrano Author-Name: Martin Hoesli Author-X-Name-First: Martin Author-X-Name-Last: Hoesli Title: Forecasting EREIT Returns Abstract: Executive Summary. This paper analyzes the role played by financial assets, direct real estate, and the Fama and French (1993) factors in explaining equity real estate investment trust (EREIT) returns and examines the usefulness of these variables in forecasting returns. Four models are analyzed and their predictive potential is assessed by comparing three forecasting methods: time varying coefficient (TVC) regressions, vector autoregres-sive (VAR) systems, and neural networks models. Trading strategies on these forecasts are compared to a passive buy-and-hold strategy. The results show that EREIT returns are better explained by models including the Fama and French factors. The VAR forecasts are better than the TVC forecasts, but the best predictions are ob-tained with neural networks and especially when they are applied to the model using stock, bond, real estate, size, and book-to-market factors. Journal: Journal of Real Estate Portfolio Management Pages: 293-310 Issue: 4 Volume: 13 Year: 2007 Month: 1 X-DOI: 10.1080/10835547.2007.12089784 File-URL: http://hdl.handle.net/10.1080/10835547.2007.12089784 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:13:y:2007:i:4:p:293-310 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089785_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Hany Guirguis Author-X-Name-First: Hany Author-X-Name-Last: Guirguis Author-Name: Christos Giannikos Author-X-Name-First: Christos Author-X-Name-Last: Giannikos Author-Name: Laura Garcia Author-X-Name-First: Laura Author-X-Name-Last: Garcia Title: Price and Volatility Spillovers between Large and Small Cities: A Study of the Spanish Market Abstract: Executive Summary. This study examines the transmission mechanism of prices and volatility spillovers be-tween the housing markets in Coslada (small city) and Madrid (large city) in Spain. Such analysis provides some insights into the processes house prices follow in small and large cities. A bivariate Generalized Autoregressive Conditionally Heteroskedastic model is utilized. The findings reveal strong evidence of a positive unidi-rectional price spillover from the housing market in Madrid to the housing market in Coslada. However, there are no volatility spillovers between the two markets. Overall, the results support the conventional expectation that prices spill over from the larger cities to the smaller cities. Journal: Journal of Real Estate Portfolio Management Pages: 311-316 Issue: 4 Volume: 13 Year: 2007 Month: 1 X-DOI: 10.1080/10835547.2007.12089785 File-URL: http://hdl.handle.net/10.1080/10835547.2007.12089785 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:13:y:2007:i:4:p:311-316 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089786_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Graeme Newell Author-X-Name-First: Graeme Author-X-Name-Last: Newell Author-Name: Chris Lincoln Author-X-Name-First: Chris Author-X-Name-Last: Lincoln Title: The Role of U.S. Farml and in Real Estate Portfolios Abstract: Executive Summary. Farmland is seen as a longterm investment that receives investor attention in many countries and potentially provides added value in a mixed-asset portfolio. Using the National Council of Real Estate Investment Fiduciaries (NCREIF) farmland series, this paper analyses the risk-adjusted performance and port-folio diversification benefits of farmland in the United States over the 1984-2006 period. Recent years have seen significantly enhanced returns for U.S. farmland, with a slight reduction in risk; however, there has been some loss of portfolio diversification benefits for farmland with stocks and real estate. Journal: Journal of Real Estate Portfolio Management Pages: 317-328 Issue: 4 Volume: 13 Year: 2007 Month: 1 X-DOI: 10.1080/10835547.2007.12089786 File-URL: http://hdl.handle.net/10.1080/10835547.2007.12089786 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:13:y:2007:i:4:p:317-328 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089787_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Bartley Danielsen Author-X-Name-First: Bartley Author-X-Name-Last: Danielsen Author-Name: David Harrison Author-X-Name-First: David Author-X-Name-Last: Harrison Title: The Impact of Property Type Diversification on REIT Liquidity Abstract: Executive Summary. This paper examines the degree to which property type diversification affects the liquidity of the market for real estate investment trusts. The findings reveal that investments in financial assets are correlated with higher spreads, effective spreads, and trading volumes. The findings also reveal that underlying property types affect liquidity measures. Generally, more volatile underlying property types are reflected in larger spreads, effective spreads, and adverse selection measures. Diversification across either the mortgage equity or property type spectrum is accompanied by reduced liquidity, a result at odds with diversification studies that examine diversification across SIC codes. The evidence suggests that withinindustry diversification may denote the existence of hard-to-value managerial redeployment options, which are difficult to value and are penalized by the market in the form of reduced market liquidity. Journal: Journal of Real Estate Portfolio Management Pages: 329-344 Issue: 4 Volume: 13 Year: 2007 Month: 1 X-DOI: 10.1080/10835547.2007.12089787 File-URL: http://hdl.handle.net/10.1080/10835547.2007.12089787 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:13:y:2007:i:4:p:329-344 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089788_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Ken Johnson Author-X-Name-First: Ken Author-X-Name-Last: Johnson Author-Name: Jonathan Wiley Author-X-Name-First: Jonathan Author-X-Name-Last: Wiley Author-Name: Zhonghua Florida Author-X-Name-First: Zhonghua Author-X-Name-Last: Florida Title: On the Relationship between Commercial Property Price and Its Selling Time Abstract: Executive Summary. This study documents the relationship between commercial property price and its marketing time. Findings indicate that extended marketing times induce lower transaction prices and that higher priced properties sell in relatively shorter marketing spans. These results are suggestive of a “shopworn” pricing effect and the existence of liquidity premiums in varying pricing segments of the market. Additionally, these results provide guidance to portfolio managers in the acquisition and disposition of commercial properties. Journal: Journal of Real Estate Portfolio Management Pages: 379-388 Issue: 4 Volume: 13 Year: 2007 Month: 1 X-DOI: 10.1080/10835547.2007.12089788 File-URL: http://hdl.handle.net/10.1080/10835547.2007.12089788 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:13:y:2007:i:4:p:379-388 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089789_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Dalia Louisiana Author-X-Name-First: Dalia Author-X-Name-Last: Louisiana Author-Name: Eric Higgins Author-X-Name-First: Eric Author-X-Name-Last: Higgins Author-Name: H. Friday Author-X-Name-First: H. Author-X-Name-Last: Friday Author-Name: Joseph Mason Author-X-Name-First: Joseph Author-X-Name-Last: Mason Title: Positive Performance and Private Equity Placements: Outside Monitoring or Inside Expertise? Abstract: Executive Summary. This paper examines the performance of real estate investment trusts (REITs) making equity private placements. Since REITs are frequent issuers of equity, we can control for the market’s reaction to underinvestment versus monitoring. Like previous studies of REIT public offerings, we find a significant negative abnormal return associated with the announcement of an equity private placement, positive long-run abnormal returns, and improved operating performance. The long-run abnormal returns are not associated with the presence of an external monitor. It does appear, however, that REIT managers are able to time equity issues to correspond with stock market performance and investment opportunities in the real estate market. Journal: Journal of Real Estate Portfolio Management Pages: 389-400 Issue: 4 Volume: 13 Year: 2007 Month: 1 X-DOI: 10.1080/10835547.2007.12089789 File-URL: http://hdl.handle.net/10.1080/10835547.2007.12089789 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:13:y:2007:i:4:p:389-400 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089790_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Marc Louargand Author-X-Name-First: Marc Author-X-Name-Last: Louargand Title: Point of View The Serpent in the Garden Journal: Journal of Real Estate Portfolio Management Pages: 401-404 Issue: 4 Volume: 13 Year: 2007 Month: 1 X-DOI: 10.1080/10835547.2007.12089790 File-URL: http://hdl.handle.net/10.1080/10835547.2007.12089790 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:13:y:2007:i:4:p:401-404 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089791_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Patrick Lecomte Author-X-Name-First: Patrick Author-X-Name-Last: Lecomte Title: Beyond Index-Based Hedging: Can Real Estate Trigger a New Breed of Derivatives Market? Abstract: Executive Summary. As index-based real estate deriv-atives are being introduced in the United States, this pa-per questions the validity of these instruments for hedging risks involved in commercial real estate markets. It first shows that the concept of index-based derivatives may not be appropriate for intrinsically heterogeneous assets such as real estate. Based on an innovative frame-work drawn from the field of biomedical sciences, it then proposes the establishment of a radically new breed of derivatives market that would enable effective hedging of commercial real estate assets. It concludes by outlining a framework for modeling real estate risk based on ge-netics that could be used with the proposed derivatives market.This paper is the winner of the best paper on Innovative Thinking “Thinking Out of the Box” (sponsored by the Homer Hoyt Advanced Studies Institute) award pre-sented at the 2007 American Real Estate Society Annual Meeting in San Francisco, California. Journal: Journal of Real Estate Portfolio Management Pages: 345-378 Issue: 4 Volume: 13 Year: 2007 Month: 1 X-DOI: 10.1080/10835547.2007.12089791 File-URL: http://hdl.handle.net/10.1080/10835547.2007.12089791 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:13:y:2007:i:4:p:345-378 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089792_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Vivek Sah Author-X-Name-First: Vivek Author-X-Name-Last: Sah Author-Name: Alan Ziobrowski Author-X-Name-First: Alan Author-X-Name-Last: Ziobrowski Author-Name: Brigitte Ziobrowski Author-X-Name-First: Brigitte Author-X-Name-Last: Ziobrowski Title: REIT Performance during Hurricanes Abstract: Executive Summary. This paper examines the impact of hurricanes on the pricing of real estate investment trusts (REITs) listed on the New York Stock Exchange, American Stock Exchange, and NASDAQ using an event study methodology. The findings reveal that the REIT markets are generally efficient with respect to hurricanes. There is no evidence of abnormal returns assosiated with REITs concentrated along the southeastern coast during the time of the hurricanes. Furthermore, when REITs were analyzed corresponding to the hurricanes that made landfall in the state in which they had the maximum exposure, the results did not change. Journal: Journal of Real Estate Portfolio Management Pages: 41-48 Issue: 1 Volume: 14 Year: 2008 Month: 1 X-DOI: 10.1080/10835547.2008.12089792 File-URL: http://hdl.handle.net/10.1080/10835547.2008.12089792 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:14:y:2008:i:1:p:41-48 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089793_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Marv Painter Author-X-Name-First: Marv Author-X-Name-Last: Painter Author-Name: Chris Eves Author-X-Name-First: Chris Author-X-Name-Last: Eves Title: The Financial Gains from Adding Farmland to an International Investment Portfolio Abstract: Executive Summary. In the past twenty years there has been a significant shift in personal investment as baby boomers start preparing for retirement. Mutual funds have become the choice investment vehicles because they are very easy for individuals to manage. Diversification allows investors to achieve broad-based exposure through various types of investment vehicles. Asset allocation has become very important as a means of achieving good financial performance in an investment portfolio. Choosing the right mix of geographic, industry and sector, and asset types is of key importance in achieving the targeted financial performance over an investment horizon, Real estate represents a significant percentage of world asset value and has been an important component of investment portfolios. This paper examines whether investors can improve their portfolios by adding farmland to the mix. Journal: Journal of Real Estate Portfolio Management Pages: 63-74 Issue: 1 Volume: 14 Year: 2008 Month: 1 X-DOI: 10.1080/10835547.2008.12089793 File-URL: http://hdl.handle.net/10.1080/10835547.2008.12089793 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:14:y:2008:i:1:p:63-74 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089794_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Robert Campbell Author-X-Name-First: Robert Author-X-Name-Last: Campbell Author-Name: Erik Devos Author-X-Name-First: Erik Author-X-Name-Last: Devos Author-Name: Andrew Spieler Author-X-Name-First: Andrew Author-X-Name-Last: Spieler Title: The Information Content of Equity REIT Bank Credit Facility Announcements Abstract: Executive Summary. This study examines the wealth effects surrounding announcement of flexible bank credit facilities arranged by Equity Real Estate Investment Trusts (EREITs) during the modern REIT era, 1994-2004. The findings reveal significantly positive shareholder wealth effects in a sample of 83 announcements of new credit lines. Announcements of increases in existing credit lines have no shareholder wealth implications. Wealth creation is greater when the amount of the credit facility is larger than average, measured as a percentage of the firm’s total assets. Consistent with the relationship banking literature, this wealth creation is attributed here to a signal of positive asymmetric information regarding the firm’s investment opportunity set. Journal: Journal of Real Estate Portfolio Management Pages: 1-6 Issue: 1 Volume: 14 Year: 2008 Month: 1 X-DOI: 10.1080/10835547.2008.12089794 File-URL: http://hdl.handle.net/10.1080/10835547.2008.12089794 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:14:y:2008:i:1:p:1-6 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089795_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Graeme Newell Author-X-Name-First: Graeme Author-X-Name-Last: Newell Author-Name: Hsu Peng Author-X-Name-First: Hsu Author-X-Name-Last: Peng Title: The Role of U.S. Infrastructure in Investment Portfolios Abstract: Executive Summary. Recent attention has been given to “real estate-related” assets to provide potential enhanced returns and diversification benefits in an investment portfolio. As such, infrastructure has taken on increased investment importance in recent years with the growth in listed and unlisted infrastructure funds, and increased interest in infrastructure as a separate asset class. This paper analyses the risk-adjusted performance and portfolio diversification benefits of infrastructure in the United States over 2000-2006. Recent years have seen significantly enhanced returns for U.S. infrastructure, with significantly reduced risk and enhanced portfolio diversification benefits with all major asset classes. Journal: Journal of Real Estate Portfolio Management Pages: 21-34 Issue: 1 Volume: 14 Year: 2008 Month: 1 X-DOI: 10.1080/10835547.2008.12089795 File-URL: http://hdl.handle.net/10.1080/10835547.2008.12089795 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:14:y:2008:i:1:p:21-34 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089796_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: James Valente Author-X-Name-First: James Author-X-Name-Last: Valente Title: Point of View Real Estate Derivatives: It's Our "dot-com" Time Journal: Journal of Real Estate Portfolio Management Pages: 75-78 Issue: 1 Volume: 14 Year: 2008 Month: 1 X-DOI: 10.1080/10835547.2008.12089796 File-URL: http://hdl.handle.net/10.1080/10835547.2008.12089796 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:14:y:2008:i:1:p:75-78 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089797_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Chyi Lee Author-X-Name-First: Chyi Author-X-Name-Last: Lee Author-Name: Jon Robinson Author-X-Name-First: Jon Author-X-Name-Last: Robinson Author-Name: Richard Reed Author-X-Name-First: Richard Author-X-Name-Last: Reed Title: Downside Beta and the Cross-sectional Determinants of Listed Property Trust Returns Abstract: Executive Summary. This study examines the importance of downside beta when seeking to explain variations in listed property trust (LPT) returns in Australia between 1993 and 2005. The results reveal that downside beta outperforms conventional beta and provides higher explanatory power to the cross-sectional LPT return variations. The results also indicate that investors only require a premium for downside risk. However, the explanatory power of downside beta has diminished once the co-kurtosis of LPTs is controlled. Interestingly, the results also reveal that by itself downside beta is unable to fully explain returns in line with strong evidence for momentum and book-to-market ratio. The findings provide additional insights for investors and real estate analysts into the pricing of LPTs. Journal: Journal of Real Estate Portfolio Management Pages: 49-62 Issue: 1 Volume: 14 Year: 2008 Month: 1 X-DOI: 10.1080/10835547.2008.12089797 File-URL: http://hdl.handle.net/10.1080/10835547.2008.12089797 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:14:y:2008:i:1:p:49-62 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089798_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Ping Cheng Author-X-Name-First: Ping Author-X-Name-Last: Cheng Author-Name: Marcus Allen Author-X-Name-First: Marcus Author-X-Name-Last: Allen Title: Home Builder Stocks in Mixed-Asset Portfolios Abstract: Executive Summary. The purpose of this study is to examine the long-run performance of homebuilder stocks and the potential role of the sector in institutional mixed-asset portfolios. Considering a 30-year history of returns of common stocks, corporate bonds, REITs, T-bills, and homebuilder stocks, homebuilder stocks dramatically outperform all other asset classes, although superior performance is not significant on a risk-adjusted basis. However, the relatively low correlations between home-builder stocks and stocks and bonds make it beneficial to include homebuilder stocks in a mixed-asset portfolio. The study employs a bootstrap procedure to investigate the diversification benefits under the condition of certainty as well as uncertainty. The findings reveal that including homebuilder stocks can improve the mean-variance efficiency of portfolios that contain only traditional financial assets such as common stocks, bonds, and T-bills. Journal: Journal of Real Estate Portfolio Management Pages: 7-20 Issue: 1 Volume: 14 Year: 2008 Month: 1 X-DOI: 10.1080/10835547.2008.12089798 File-URL: http://hdl.handle.net/10.1080/10835547.2008.12089798 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:14:y:2008:i:1:p:7-20 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089799_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Charles Delaney Author-X-Name-First: Charles Author-X-Name-Last: Delaney Author-Name: Steven Rich Author-X-Name-First: Steven Author-X-Name-Last: Rich Author-Name: John Rose Author-X-Name-First: John Author-X-Name-Last: Rose Title: Financing Costs and NPV Analysis in Finance and Real Estate Abstract: Executive Summary. Business students majoring in real estate encounter seemingly contradictory treatment of financing costs in net present value (NPV) analysis between the finance and real estate disciplines. This study examines the difference in the treatment of financing costs between finance and real estate textbooks, reconciles the difference, and recommends that real estate textbooks explicitly address this issue to minimize students’ confusion and to give them a better understanding of NPV analysis. Journal: Journal of Real Estate Portfolio Management Pages: 35-40 Issue: 1 Volume: 14 Year: 2008 Month: 1 X-DOI: 10.1080/10835547.2008.12089799 File-URL: http://hdl.handle.net/10.1080/10835547.2008.12089799 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:14:y:2008:i:1:p:35-40 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089800_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Cath Jackson Author-X-Name-First: Cath Author-X-Name-Last: Jackson Author-Name: Simon Stevenson Author-X-Name-First: Simon Author-X-Name-Last: Stevenson Author-Name: Craig Watkins Author-X-Name-First: Craig Author-X-Name-Last: Watkins Title: NY-LON: Does a Single Cross-Continental Office Market Exist? Abstract: Executive Summary.The links across and comovements between the New York City and London office markets are examined in the context of similarities in both the underlying economic specialization of the two cities and their positions as two of the most liquid international office markets. The results reveal strong linkages in the total returns between the two markets. While there is a lack of significant cointegration and causality results with regard to the rental markets, there are similarities in the underlying driving forces. The results indicate that investment behavior contributes more to their commonality than do underlying economic forces. Further, the role of the stock market in the performance of both real estate markets is highlighted. The paper draws on the findings to highlight the potential trade-off that investors face between diversification and liquidity in international office markets. Journal: Journal of Real Estate Portfolio Management Pages: 79-92 Issue: 2 Volume: 14 Year: 2008 Month: 1 X-DOI: 10.1080/10835547.2008.12089800 File-URL: http://hdl.handle.net/10.1080/10835547.2008.12089800 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:14:y:2008:i:2:p:79-92 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089801_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Elaine Hutson Author-X-Name-First: Elaine Author-X-Name-Last: Hutson Author-Name: Simon Stevenson Author-X-Name-First: Simon Author-X-Name-Last: Stevenson Title: Asymmetry in REIT Returns Abstract: Executive Summary.This study examines asymmetries in real estate investment trust (REIT) returns using a variety of metrics, and compares them to several stock indexes and the U.S. long-term government bond index. The findings reveal that skewness is inversely related to the index’s relative performance; the equity indexes exhibit negative skewness during the boom period of the late 1990s and become positively skewed after the technology stock crash in 2000, while for the REIT index, superior post-crash performance is accompanied by increasingly negative skewness. The results with respect to individual REITs are in contrast to many previous studies in that in the majority of cases the individual REITs display the same sign of skewness as the index data. Journal: Journal of Real Estate Portfolio Management Pages: 105-124 Issue: 2 Volume: 14 Year: 2008 Month: 1 X-DOI: 10.1080/10835547.2008.12089801 File-URL: http://hdl.handle.net/10.1080/10835547.2008.12089801 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:14:y:2008:i:2:p:105-124 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089802_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Cécile Le Moigne Author-X-Name-First: Cécile Author-X-Name-Last: Le Moigne Author-Name: Éric Viveiros Author-X-Name-First: Éric Author-X-Name-Last: Viveiros Title: The Inflation-Hedging Ability of Canadian Direct Real Estate Return and its Components, Income, and Appreciation Abstract: Executive Summary.This paper examines the inflation hedging characteristics of Canadian private real estate between 1973 and 2007. In the short term, total and appreciation returns are a complete hedge against inflation, expected and unexpected inflation, and remain a complete hedge after the introduction of macroeconomic variables increasing materially the explanatory power of regression models. Cointegration tests show a positive long-term relationship between inflation and total return, as well as appreciation return. Appreciation return is thus identified as the true inflation-hedging source for Canadian real estate. Granger causality tests reveal causality from total and appreciation returns to inflation. Therefore, total and appreciation returns may help forecast future inflation rates. Journal: Journal of Real Estate Portfolio Management Pages: 141-154 Issue: 2 Volume: 14 Year: 2008 Month: 1 X-DOI: 10.1080/10835547.2008.12089802 File-URL: http://hdl.handle.net/10.1080/10835547.2008.12089802 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:14:y:2008:i:2:p:141-154 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089803_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Stephen Roulac Author-X-Name-First: Stephen Author-X-Name-Last: Roulac Title: Point of View Is Kindergarten Knowledge Sufficient For Alpha Real Estate Investment Results? Journal: Journal of Real Estate Portfolio Management Pages: 179-184 Issue: 2 Volume: 14 Year: 2008 Month: 1 X-DOI: 10.1080/10835547.2008.12089803 File-URL: http://hdl.handle.net/10.1080/10835547.2008.12089803 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:14:y:2008:i:2:p:179-184 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089804_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Lay Lim Author-X-Name-First: Lay Author-X-Name-Last: Lim Author-Name: Stanley McGreal Author-X-Name-First: Stanley Author-X-Name-Last: McGreal Author-Name: James Webb Author-X-Name-First: James Author-X-Name-Last: Webb Title: Institutional Benchmarks for International Real Estate Investment Abstract: Executive Summary.Before institutional real estate investors will consider investing in a country other than the domestic economy, they usually require information about expected risks and returns. In recent years the Investment Property Databank (IPD) has begun assembling return data for over twenty countries. This study discusses the data for each country, by property type, and summarizes the returns, risks (standard deviation), and coefficient of variation (risk per unit of return). The results indicate that there are significant diversification benefits from combining real estate investments from certain countries. However, other combinations provide no significant benefits. Journal: Journal of Real Estate Portfolio Management Pages: 93-104 Issue: 2 Volume: 14 Year: 2008 Month: 1 X-DOI: 10.1080/10835547.2008.12089804 File-URL: http://hdl.handle.net/10.1080/10835547.2008.12089804 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:14:y:2008:i:2:p:93-104 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089805_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Sofia Dermisi Author-X-Name-First: Sofia Author-X-Name-Last: Dermisi Title: Challenges in Adopting New Life and Safety Ordinances in Existing Office Buildings Abstract: Abstract. The effect of high-rise fires on building code changes is illustrated through three cases studies: one in Philadelphia and two more recent in Chicago. An indepth statistical analysis in the case of the two Chicago office building fires indicates that both fires register a statistically significant impact on vacancy levels of the non-sprinkled buildings as a result of the retrofitting process and tenant hesitation to lease non-sprinkled space. This effect is more evident in Class B buildings, which have commenced their retrofitting efforts, compared to Class C buildings, where the retrofitting process stalled because of the overwhelming cost in comparison to the more marginal property returns. Journal: Journal of Real Estate Portfolio Management Pages: 155-178 Issue: 2 Volume: 14 Year: 2008 Month: 1 X-DOI: 10.1080/10835547.2008.12089805 File-URL: http://hdl.handle.net/10.1080/10835547.2008.12089805 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:14:y:2008:i:2:p:155-178 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089806_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Ashish Patel Author-X-Name-First: Ashish Author-X-Name-Last: Patel Author-Name: Timothy Fik Author-X-Name-First: Timothy Author-X-Name-Last: Fik Author-Name: Grant Thrall Author-X-Name-First: Grant Author-X-Name-Last: Thrall Title: Direction Sensitive Wedge-Casting for Trade Area Delineation Abstract: Executive Summary.Real estate market analysis begins with the correct spatial delineation of the geographic market trade area. The less accurate the spatial delineation, the greater the error introduced into subsequent analysis such as calculation of competitive supply, demand, and absorption. Advancements in geospatial technology provide for greater ease of execution of traditional methods of calculation of market areas; however, trade area estimation methods have not changed along with advancements in geospatial technology. This paper discusses the gap between geospatial technological advances and analysts’ needs for improved accuracy in spatially delineating trade areas. The solution requires a software interface that integrates complex statistical analysis with geospatial manipulation and visualization of geographic data. The algorithm is a composite of traditional methods and in that manner remains intuitive to decision makers. Journal: Journal of Real Estate Portfolio Management Pages: 125-140 Issue: 2 Volume: 14 Year: 2008 Month: 1 X-DOI: 10.1080/10835547.2008.12089806 File-URL: http://hdl.handle.net/10.1080/10835547.2008.12089806 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:14:y:2008:i:2:p:125-140 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089807_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Paul Jones Author-X-Name-First: Paul Author-X-Name-Last: Jones Author-Name: Andrew Goldberg Author-X-Name-First: Andrew Author-X-Name-Last: Goldberg Author-Name: Jose Bello Author-X-Name-First: Jose Author-X-Name-Last: Bello Title: Point of View CMSA Professionals Speak: 2008 Will Be A Transitional Year When Property Markets Normalize Journal: Journal of Real Estate Portfolio Management Pages: 233-236 Issue: 3 Volume: 14 Year: 2008 Month: 1 X-DOI: 10.1080/10835547.2008.12089807 File-URL: http://hdl.handle.net/10.1080/10835547.2008.12089807 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:14:y:2008:i:3:p:233-236 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089808_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Robert Campbell Author-X-Name-First: Robert Author-X-Name-Last: Campbell Author-Name: Erik Devos Author-X-Name-First: Erik Author-X-Name-Last: Devos Author-Name: Clark Maxam Author-X-Name-First: Clark Author-X-Name-Last: Maxam Author-Name: Andrew Spieler Author-X-Name-First: Andrew Author-X-Name-Last: Spieler Title: Investment, Liquidity, and Private Debt: The Case of REIT Credit Facilities Abstract: Executive Summary. This study examines Real Estate Investment Trusts (REITs) credit facilities with banks. Credit facilities allow flexibility, but may create agency problems due to the potential for misuse. The findings suggest that REITs enter credit facilities when expecting large investments. The net investments to total assets ratio is significantly higher when credit facilities are arranged. Combined with lower year-end liquidity, this suggests that REITs use credit facilities to correct shortfalls caused by large investment needs. The findings do not reveal that REITs are more cash constrained when credit facilities are announced. Rather, the results suggest REITs are constrained in years when no credit facility is formed. Journal: Journal of Real Estate Portfolio Management Pages: 195-202 Issue: 3 Volume: 14 Year: 2008 Month: 1 X-DOI: 10.1080/10835547.2008.12089808 File-URL: http://hdl.handle.net/10.1080/10835547.2008.12089808 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:14:y:2008:i:3:p:195-202 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089809_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Ken Johnson Author-X-Name-First: Ken Author-X-Name-Last: Johnson Author-Name: Jonathan Wiley Author-X-Name-First: Jonathan Author-X-Name-Last: Wiley Title: 1031 Exchanges and the Sale of Commercial Office Properties Abstract: Executive Summary. This paper examines the impact of 1031 exchanges in the commercial office market using transaction level data from a national sample of recent sales. Properties that are bought or sold under the conditions of a 1031 exchange are found to price at significant premiums relative to comparables. Additionally, although current regulation requires sellers to locate an exchange property within 45 days, this study finds no evidence to indicate any difference in marketing times for these properties. Journal: Journal of Real Estate Portfolio Management Pages: 203-210 Issue: 3 Volume: 14 Year: 2008 Month: 1 X-DOI: 10.1080/10835547.2008.12089809 File-URL: http://hdl.handle.net/10.1080/10835547.2008.12089809 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:14:y:2008:i:3:p:203-210 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089810_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Greg MacKinnon Author-X-Name-First: Greg Author-X-Name-Last: MacKinnon Title: Housing in a Strategic Asset Allocation: Should Institutional Investors Be Interested in Housing Futures? Abstract: Executive Summary. Derivatives based on housing allow investors to make synthetic allocations to housing in their portfolios. Investors’ incentive to create these positions will, in part, determine the long-term viability of the housing futures market. This study explores the investment characteristics of housing and shows it is a low risk, low return investment. Within a portfolio, an allocation to housing only provides benefits to conservative investors, and no benefits if considered in an assetliability framework. The risk premium required to make housing futures attractive to a wide range of investors may make them expensive hedging tools, impeding the growth of the market. Journal: Journal of Real Estate Portfolio Management Pages: 211-222 Issue: 3 Volume: 14 Year: 2008 Month: 1 X-DOI: 10.1080/10835547.2008.12089810 File-URL: http://hdl.handle.net/10.1080/10835547.2008.12089810 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:14:y:2008:i:3:p:211-222 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089811_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Martin Haran Author-X-Name-First: Martin Author-X-Name-Last: Haran 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 Webb Author-X-Name-First: James Author-X-Name-Last: Webb Title: Unlisted Property Fund Investment in Urban Renewal/Regeneration Property in the U.K.: The Impact of Investment Style on Decision Making Abstract: Executive Summary. This study explores the investment style characteristics of unlisted property funds investing in urban renewal/regeneration property in the United Kingdom. The unlisted property funds sector has experienced significant growth and is increasingly utilized by major financial institutions as their preferred route into the real estate market, allowing them to overcome the lack of liquidity and management costs associated with direct investment. Since institutional investors have traditionally considered urban renewal/ regeneration property a high-risk investment option, it was hypothesized that funds investing in regeneration were likely to pursue either value added (top end) or opportunistic investment styles. The findings emphasize inconsistencies in investment style classification and identify how investment style designation impacts on decision making with respect to investment in regeneration property. Journal: Journal of Real Estate Portfolio Management Pages: 185-194 Issue: 3 Volume: 14 Year: 2008 Month: 1 X-DOI: 10.1080/10835547.2008.12089811 File-URL: http://hdl.handle.net/10.1080/10835547.2008.12089811 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:14:y:2008:i:3:p:185-194 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089812_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Abel Olaleye Author-X-Name-First: Abel Author-X-Name-Last: Olaleye Author-Name: Bioye Aluko Author-X-Name-First: Bioye Author-X-Name-Last: Aluko Author-Name: Samuel Oloyede Author-X-Name-First: Samuel Author-X-Name-Last: Oloyede Title: Evaluating Diversification Strategies for Direct Property Investment Portfolios Abstract: Executive Summary. This paper evaluates diversification strategies adopted for direct property investments in the Nigerian property market. Annual holding period returns were calculated from the data on rental transactions and capital values for the 1998-2003 period. Under the assumption that investments are held long and that constant correlation model or excess return to standard deviation represents the covariance structure of assets’ returns, the findings revealed that property type and geographic naïve diversification strategies underperformed most of the efficient portfolios constructed using constant correlation model. Most of the performance results were found to be statistically significant at the 0.05 level. The results suggest that an efficient portfolio may not be more efficient than a naïvely diversified portfolio in all cases. Journal: Journal of Real Estate Portfolio Management Pages: 223-232 Issue: 3 Volume: 14 Year: 2008 Month: 1 X-DOI: 10.1080/10835547.2008.12089812 File-URL: http://hdl.handle.net/10.1080/10835547.2008.12089812 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:14:y:2008:i:3:p:223-232 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089813_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Kathy Hung Author-X-Name-First: Kathy Author-X-Name-Last: Hung Author-Name: Zhan Onayev Author-X-Name-First: Zhan Author-X-Name-Last: Onayev Author-Name: Charles Tu Author-X-Name-First: Charles Author-X-Name-Last: Tu Title: Time-Varying Diversification Effect of Real Estate in Institutional Portfolios: When Alternative Assets Are Considered Abstract: Executive Summary.This study examines the role of direct and indirect real estate in a multiasset portfolio and the benefit of a dynamic asset allocation strategy for institutional investors. The diversification benefits of real estate are well documented in the literature. Nevertheless, as institutional investors increase their allocations to other assets, the growing competition from alternative investments motivates the reexamination of the role of real estate in institutional portfolios. The analyses reveal that: (1) after including a wide range of alternative investments, REITs add value to portfolios only in bull markets; (2) mortgage and hybrid REITs provide diversification benefits, whereas equity REITs do not; and (3) direct real estate investments enhance portfolio performance, and the effect is not time-varying. Journal: Journal of Real Estate Portfolio Management Pages: 241-262 Issue: 4 Volume: 14 Year: 2008 Month: 1 X-DOI: 10.1080/10835547.2008.12089813 File-URL: http://hdl.handle.net/10.1080/10835547.2008.12089813 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:14:y:2008:i:4:p:241-262 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089814_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Ronald Kaiser Author-X-Name-First: Ronald Author-X-Name-Last: Kaiser Author-Name: Jim Clayton Author-X-Name-First: Jim Author-X-Name-Last: Clayton Title: Assessing and Managing Risk in Institutional Real Estate Investing Abstract: Executive Summary.In the current environment, investors are increasingly asking: does real estate offer enough return to warrant the risk? In particular, do investors really understand the increased risk they are taking on in the trend of recent years toward ever higher risk strategies in closed-end funds? To better inform institutional investors in making this decision, this paper offers some new views. First, it classifies and evaluates risk by its impact on the various components of portfolio returns. Second, these risks are considered in the strategic contexts of core, value-added, and opportunistic investing. Examining the interplay of risks reveals a particularly high concentration of risks in the opportunity fund arena. Finally, to control risk, this paper offers some management choices available to institutional investors: time horizon, diversification methodologies, hedging approaches, and strategic choices to limit risks. Journal: Journal of Real Estate Portfolio Management Pages: 287-306 Issue: 4 Volume: 14 Year: 2008 Month: 1 X-DOI: 10.1080/10835547.2008.12089814 File-URL: http://hdl.handle.net/10.1080/10835547.2008.12089814 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:14:y:2008:i:4:p:287-306 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089815_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Martha Peyton Author-X-Name-First: Martha Author-X-Name-Last: Peyton Title: Real Estate Investment Style and Style Purity Abstract: Executive Summary.In this paper, target returns for real estate investment styles are defined using the distribution of NCREIF Property Index (NPI) total returns. The findings show that the target returns defined by these measurements differentiate across styles in a statistically significant fashion wherein style is what style does. As a practical application of the methodology, the findings show that real estate fund managers can demonstrate the style purity of their funds by comparing property-by-property unlevered total returns with the NPI total return distribution. Journal: Journal of Real Estate Portfolio Management Pages: 325-334 Issue: 4 Volume: 14 Year: 2008 Month: 1 X-DOI: 10.1080/10835547.2008.12089815 File-URL: http://hdl.handle.net/10.1080/10835547.2008.12089815 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:14:y:2008:i:4:p:325-334 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089816_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Nick Tyrrell Author-X-Name-First: Nick Author-X-Name-Last: Tyrrell Author-Name: Tim Jowett Author-X-Name-First: Tim Author-X-Name-Last: Jowett Title: Risks, Returns, and Correlations for Global Private Real Estate Markets Abstract: Executive Summary.This paper attempts to provide estimates of the main inputs for constructing a global private real estate portfolio. Existing market sizes are examined in terms of both total and invested stock of real estate, the latter being a measure of the “market” portfolio. Estimates are derived of the risks, returns, and correlations for global real estate across around fifty markets, based on analysis of movements in nominal GDP. Though there are large margins of error in any such exercise, the results are sufficiently robust—on technical and intuitive grounds—to use as an input to real-world investment strategy. Journal: Journal of Real Estate Portfolio Management Pages: 335-350 Issue: 4 Volume: 14 Year: 2008 Month: 1 X-DOI: 10.1080/10835547.2008.12089816 File-URL: http://hdl.handle.net/10.1080/10835547.2008.12089816 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:14:y:2008:i:4:p:335-350 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089817_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: William Hardin Author-X-Name-First: William Author-X-Name-Last: Hardin Author-Name: Zhonghua Wu Author-X-Name-First: Zhonghua Author-X-Name-Last: Wu Title: Clientele Effects, REITs, and Acquisition Premiums Abstract: Executive Summary.Existing empirical studies indicate that transaction participants, or clienteles, can impact real estate prices. This study extends current research on the impact of transaction participants on asset pricing to one type of institutional real estate investor, REITs, and highlights that clienteles can affect real asset prices. The clientele effect is temporal and is based on clientele expectations and capital sources. REITs have paid acquisition premiums at times, but the REIT form of property ownership and management is not systematically associated with an acquisition premium. This implies that REITs do not have the ability to consistently outbid other investors simply due to their ownership, management, and capital structures. Institutional investors must recognize that changes in the composition of market participants can affect real estate values and investment strategy. Journal: Journal of Real Estate Portfolio Management Pages: 375-384 Issue: 4 Volume: 14 Year: 2008 Month: 1 X-DOI: 10.1080/10835547.2008.12089817 File-URL: http://hdl.handle.net/10.1080/10835547.2008.12089817 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:14:y:2008:i:4:p:375-384 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089818_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a 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: Integration of International Office Markets and Signal Extraction Abstract: Executive Summary.The paper examines whether three international office markets—London City, New York City, and Tokyo CBD—are linked by a long-run relationship. The greater economic and financial market linkages and cross-border capital flows have increased the possibility that the markets are integrated. Johansen tests establish cointegration between total return indices. Hence, London City, New York City, and Tokyo form an equilibrium relationship, deviations from which can prompt portfolio reallocations to exploit opportunities or reduce risk. The findings show that London City adjusts more strongly to the deviations from the long-run path than the other two markets. At the end of 2007, prices in both London City and Tokyo were above equilibrium with Tokyo particularly so, whereas New York City was below equilibrium. The analysis suggests that New York City will benefit from this disequilibrium situation among the three cities. Journal: Journal of Real Estate Portfolio Management Pages: 351-362 Issue: 4 Volume: 14 Year: 2008 Month: 1 X-DOI: 10.1080/10835547.2008.12089818 File-URL: http://hdl.handle.net/10.1080/10835547.2008.12089818 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:14:y:2008:i:4:p:351-362 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089819_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Muhammad Faishal Author-X-Name-First: Muhammad Author-X-Name-Last: Faishal Author-Name: Seow Eng Author-X-Name-First: Seow Author-X-Name-Last: Eng Title: Shariah Compliance in Real Estate Investment Abstract: Executive Summary. This paper examines the cost of Shariah compliance in real estate investments by comparing synthetic Shariah compliant (SC) real estate investment (REIT) portfolios with unconstrained U.S. REIT portfolios, indexes, and real estate mutual funds (REMF). The performance of the synthetic portfolios are compared with various benchmarks in both univariate and multi factor framework. Shariah compliance seems to create a return trade-off and less restrictive compliance requirements appear to provide better historical returns when SC portfolios are compared to broader indexes or REMFs in general. However, Shariah compliance does not mean that SC REIT portfolios necessarily under-perform relevant indexes when relevant risk factors are considered and when differing sensitivities are applied to benchmark returns. The simulation shows that the market-weighted SC simulated REMFs dominate the conventional REMF and the average simulated annualized mean portfolio return for SC and SCLR REMFs are higher than the historical REMF annualized mean return. Journal: Journal of Real Estate Portfolio Management Pages: 401-414 Issue: 4 Volume: 14 Year: 2008 Month: 1 X-DOI: 10.1080/10835547.2008.12089819 File-URL: http://hdl.handle.net/10.1080/10835547.2008.12089819 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:14:y:2008:i:4:p:401-414 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089820_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Cécile Le Moigne Author-X-Name-First: Cécile Author-X-Name-Last: Le Moigne Author-Name: Éric La Author-X-Name-First: Éric Author-X-Name-Last: La Title: Private Real Estate as an Inflation Hedge: An Updated Look with a Global Perspective Abstract: Executive Summary.This study uses correlations and time-series regressions to revisit the inflation-hedging ability of Canadian direct real estate over the 1973-2007 period. Full-period results show that real estate hedges against inflation, and both expected and unexpected inflation. However, these results are strongly driven by the 1973-1984 sub-period, a high inflation environment. From 1985 to 2007 in a low inflation environment, no province or property type hedges against inflation and unexpected inflation, while exclusively British Columbia’s and Quebec’s real estate hedge against expected inflation. Additional tests suggest that the introduction of an “inflation targeting” policy by the Bank of Canada in 1991 might explain the vanishing of the inflationhedging ability of direct real estate in Canada. Journal: Journal of Real Estate Portfolio Management Pages: 263-286 Issue: 4 Volume: 14 Year: 2008 Month: 1 X-DOI: 10.1080/10835547.2008.12089820 File-URL: http://hdl.handle.net/10.1080/10835547.2008.12089820 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:14:y:2008:i:4:p:263-286 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089821_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: John McDonald Author-X-Name-First: John Author-X-Name-Last: McDonald Author-Name: Sofia Dermisi Author-X-Name-First: Sofia Author-X-Name-Last: Dermisi Title: Capitalization Rates, Discount Rates, and Net Operating Income: The Case of Downtown Chicago Office Buildings Abstract: Executive Summary.The value of commercial real estate is its net operating income divided by the capitalization rate set by the buyer. This study examines both components of value. It also examines the close relationship between capitalization rates and risk-adjusted discount rates used in commercial real estate investment. The paper includes an empirical study of the capitalization rates for 132 office building sales in downtown Chicago from 1996 to 2007. The capitalization rate is hypothesized to be a function of the classic capital asset pricing model variables and variables intended to capture the expectation that the real market value of the building will change. The empirical results are then used to provide estimates of the real risk-adjusted discount rates that were used by the investors in these properties. The paper also includes estimates of a model of net operating income for these buildings. Journal: Journal of Real Estate Portfolio Management Pages: 363-374 Issue: 4 Volume: 14 Year: 2008 Month: 1 X-DOI: 10.1080/10835547.2008.12089821 File-URL: http://hdl.handle.net/10.1080/10835547.2008.12089821 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:14:y:2008:i:4:p:363-374 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089822_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Norm Miller Author-X-Name-First: Norm Author-X-Name-Last: Miller Author-Name: Jay Spivey Author-X-Name-First: Jay Author-X-Name-Last: Spivey Author-Name: Andrew Florance Author-X-Name-First: Andrew Author-X-Name-Last: Florance Title: Does Green Pay Off? Abstract: Executive Summary.This study provides some comparison data on Energy Star and Leadership in Energy and Environmental Design (LEED)-certified buildings versus non-Energy Star or non-LEED-certified office property in the United States using the CoStar database. These results are promising for the benefits of investment in sustainable real estate, energy savings, and for the green movement now sweeping our society. The payoff from wise green investment is easy to justify even if it is based on purely profit motivations. Journal: Journal of Real Estate Portfolio Management Pages: 385-400 Issue: 4 Volume: 14 Year: 2008 Month: 1 X-DOI: 10.1080/10835547.2008.12089822 File-URL: http://hdl.handle.net/10.1080/10835547.2008.12089822 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:14:y:2008:i:4:p:385-400 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089823_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Colin Ward Author-X-Name-First: Colin Author-X-Name-Last: Ward Title: Bayesian REIT Volatility Estimation and Institutional Portfolio Allocation Abstract: Executive Summary.Volatility estimation is an integral part of institutional finance with applications in risk management and portfolio allocation. Real estate investment trust volatility is examined using a Bayesian asymmetric GARCH model and is found to better estimate the true volatility series than does the traditional maximum likelihood approach. This paper discusses the shortfalls of maximum likelihood (ML) estimation and the advantages of the Bayesian estimation, particularly to real estate. Conditional variance estimation uncertainty is found to increase with volatility. A portfolio allocation problem highlights that the Bayesian approach performed better than the ML method in preserving capital. Journal: Journal of Real Estate Portfolio Management Pages: 425-442 Issue: 4 Volume: 14 Year: 2008 Month: 1 X-DOI: 10.1080/10835547.2008.12089823 File-URL: http://hdl.handle.net/10.1080/10835547.2008.12089823 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:14:y:2008:i:4:p:425-442 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089824_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Introduction Journal: Journal of Real Estate Portfolio Management Pages: 237-240 Issue: 4 Volume: 14 Year: 2008 Month: 1 X-DOI: 10.1080/10835547.2008.12089824 File-URL: http://hdl.handle.net/10.1080/10835547.2008.12089824 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:14:y:2008:i:4:p:237-240 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089825_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Brian Buckles Author-X-Name-First: Brian Author-X-Name-Last: Buckles Title: Liquidity Dynamics in Commercial Real Estate Abstract: Executive Summary.This paper examines private real estate market liquidity dynamics using the recently introduced family of Transactions-Based Indices (TBIs) calculated from the NCREIF database. The paper derives a Liquidity Index from a combination of the TBI Price Index and the TBI Supply Index. Liquidity in the private real estate market is shown to comprise more than the traditional bid-ask spread; it includes a term for the probability that eligible buyers and sellers meet. An econometric model calibrates the joint behavior of price and liquidity, and the price adjustment process is shown to be less smooth than the liquidity adjustment process. Journal: Journal of Real Estate Portfolio Management Pages: 307-324 Issue: 4 Volume: 14 Year: 2008 Month: 1 X-DOI: 10.1080/10835547.2008.12089825 File-URL: http://hdl.handle.net/10.1080/10835547.2008.12089825 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:14:y:2008:i:4:p:307-324 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089826_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Glenn Mueller Author-X-Name-First: Glenn Author-X-Name-Last: Mueller Author-Name: Vaneesha Boney Author-X-Name-First: Vaneesha Author-X-Name-Last: Boney Author-Name: Andrew Mueller Author-X-Name-First: Andrew Author-X-Name-Last: Mueller Title: International Real Estate Volatility: A Tactical Investment Strategy Abstract: Executive Summary.In the last few years public real estate vehicles and the REIT concept have expanded into many countries including the United Kingdom in January 2007 and Germany in March 2007. With more investment opportunities, many new international real estate investment funds have sprung up around the world. Therefore new investment strategies to help international real estate investors are needed. Much new research on international real estate returns and country correlations have been performed, but few if any new investment strategies have been developed. This paper looks at a long-term real estate return series collected by Global Property Research (GPR) and finds that the long-term correlations between the three continental regions— North America, Asia, and Europe—are relatively low, thus providing valuable return and diversification benefits. An active allocation strategy is developed for high, medium, and low volatility periods in each region. The findings indicate that investors could have received excess returns by adjusting their regional portfolio allocation weights during different volatility periods in each region. Journal: Journal of Real Estate Portfolio Management Pages: 415-424 Issue: 4 Volume: 14 Year: 2008 Month: 1 X-DOI: 10.1080/10835547.2008.12089826 File-URL: http://hdl.handle.net/10.1080/10835547.2008.12089826 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:14:y:2008:i:4:p:415-424 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089827_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: 2008 AMERICAN REAL ESTATE SOCIETY MANUSCRIPT PRIZES Journal: Journal of Real Estate Portfolio Management Pages: bmi-bmxix Issue: 1 Volume: 15 Year: 2009 Month: 1 X-DOI: 10.1080/10835547.2009.12089827 File-URL: http://hdl.handle.net/10.1080/10835547.2009.12089827 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:15:y:2009:i:1:p:bmi-bmxix Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089828_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Journal of Real Estate Portfolio Management Journal: Journal of Real Estate Portfolio Management Pages: fmi-fmx Issue: 1 Volume: 15 Year: 2009 Month: 1 X-DOI: 10.1080/10835547.2009.12089828 File-URL: http://hdl.handle.net/10.1080/10835547.2009.12089828 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:15:y:2009:i:1:p:fmi-fmx Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089829_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Lee Chun-Chang Author-X-Name-First: Lee Author-X-Name-Last: Chun-Chang Author-Name: Liang Chih-Min Author-X-Name-First: Liang Author-X-Name-Last: Chih-Min Author-Name: Chou Hsing-Jung Author-X-Name-First: Chou Author-X-Name-Last: Hsing-Jung Title: Identifying Turning Points of Real Estate Cycles in Taiwan Abstract: Executive Summary. This paper applies the bivariate Markov-switching autoregressive model (MS-ARX) to identify the turning points of real estate cycles. The model with the best fit is L (1)-MSIH (2)-AR (8), of which, there 8 lags and both the intercepts and variances are subject to the influence of unobservable variables. This model confirms that the Composite Leading Index is ahead of the reference cycles by one quarter. Generally speaking, the Composite Leading Index has been producing rather accurate identifications of the four troughs and three peaks announced by the Taiwan Real Estate Research Center. Journal: Journal of Real Estate Portfolio Management Pages: 75-85 Issue: 1 Volume: 15 Year: 2009 Month: 1 X-DOI: 10.1080/10835547.2009.12089829 File-URL: http://hdl.handle.net/10.1080/10835547.2009.12089829 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:15:y:2009:i:1:p:75-85 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089830_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Jim Clayton Author-X-Name-First: Jim Author-X-Name-Last: Clayton Title: Point of View: Debt Matters: Leverage, Liquidity, and Property Valuation Journal: Journal of Real Estate Portfolio Management Pages: 107-113 Issue: 1 Volume: 15 Year: 2009 Month: 1 X-DOI: 10.1080/10835547.2009.12089830 File-URL: http://hdl.handle.net/10.1080/10835547.2009.12089830 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:15:y:2009:i:1:p:107-113 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089831_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a 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 Webb Author-X-Name-First: James Author-X-Name-Last: Webb Title: Optimal Diversification in U.S./U.K. Private Real Estate Only Portfolios: The Good, the Bad, and the Uncertain Abstract: Executive Summary. This study constructs sixteen mean-variance optimal portfolios of private real estate using returns from the United States and the United Kingdom. First, the analysis uses total returns by property type (retail, office, and industrial). Second, the returns are separated into their two components: returns from income and returns from appreciation. Third, optimal portfolios are constructed by type of return and again by property type. Finally, all returns are considered together. Several non-obvious and non-trivial results emerge. For example, the high risk portfolios using total returns are 100% U.K. for all three property types and when the three property types are combined, offices, generally regarded as the most popular type of institutional real estate investment, never enter the optimal portfolio for either the U.S. or the U.K. Journal: Journal of Real Estate Portfolio Management Pages: 87-93 Issue: 1 Volume: 15 Year: 2009 Month: 1 X-DOI: 10.1080/10835547.2009.12089831 File-URL: http://hdl.handle.net/10.1080/10835547.2009.12089831 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:15:y:2009:i:1:p:87-93 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089832_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Michael Seiler Author-X-Name-First: Michael Author-X-Name-Last: Seiler Author-Name: Vicky Seiler Author-X-Name-First: Vicky Author-X-Name-Last: Seiler Title: ETF Short Shares: The Next Stage in the Evolution of REIT Ownership Abstract: Executive Summary. This study introduces a new publicly traded real estate security known as an Exchange Traded Fund (ETF) Real Estate Investment Trust (REIT) short share. In addition to examining the return, correlation, autocorrelation, partial-order autocorrelation, stationarity, and Granger Causality characteristics of this new investment vehicle, we demonstrate that REITs warrant inclusion in mixed asset portfolios to varying degrees regardless of which direction the investor feels the REIT market is headed. Journal: Journal of Real Estate Portfolio Management Pages: 21-31 Issue: 1 Volume: 15 Year: 2009 Month: 1 X-DOI: 10.1080/10835547.2009.12089832 File-URL: http://hdl.handle.net/10.1080/10835547.2009.12089832 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:15:y:2009:i:1:p:21-31 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089833_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Russell Price Author-X-Name-First: Russell Author-X-Name-Last: Price Title: REIT Holdings and Performance Abstract: Executive Summary. This paper examines the information effects of REIT holdings: properties acquired, properties disposed, and dividends distributed to shareholders. Real estate investment trust (REIT) property acquisitions, dispositions, and dividend announcements from 1994 to 2005 are used to determine if there are any opportunities for abnormal returns immediately surrounding the day of the respective announcements. Investors could earn a return of 0.09% above the expected return on REITs on the day of their respective property announcements. There is a more pronounced return of 0.25% above the expected return on REITs over the three day announcement window (one day before, the day of, and one day after) of property dispositions. When a REIT announces their dividend before they announce earnings, there is a return of 0.16% above the expected return. Journal: Journal of Real Estate Portfolio Management Pages: 33-44 Issue: 1 Volume: 15 Year: 2009 Month: 1 X-DOI: 10.1080/10835547.2009.12089833 File-URL: http://hdl.handle.net/10.1080/10835547.2009.12089833 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:15:y:2009:i:1:p:33-44 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089834_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Camilo Serrano Author-X-Name-First: Camilo Author-X-Name-Last: Serrano Author-Name: Martin Hoesli Author-X-Name-First: Martin Author-X-Name-Last: Hoesli Title: Global Securitized Real Estate Benchmarks and Performance Abstract: Executive Summary. Choosing an appropriate benchmark is not unproblematic for academics or practitioners. Index construction methodologies vary from index to index as tradeoffs are made between the breadth of market coverage and the investability of the securities in the index. This paper examines the nuances between the most commonly used global securitized real estate benchmarks. A comparison of their construction methodologies, returns, and risk is performed, and the correlations between the various benchmarks are assessed. The composition of global securitized real estate markets is also analyzed. We conclude that the GPR General Property Share Index and the S&P/Citigroup World Property Index are more appropriate to examine the performance of the market as a whole, while the GPR 250 Property Share Index and the FTSE EPRA/NAREIT Global Real Estate Index are better suited to evaluate portfolio performance. Journal: Journal of Real Estate Portfolio Management Pages: 1-19 Issue: 1 Volume: 15 Year: 2009 Month: 1 X-DOI: 10.1080/10835547.2009.12089834 File-URL: http://hdl.handle.net/10.1080/10835547.2009.12089834 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:15:y:2009:i:1:p:1-19 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089835_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Qian (Susan) Sun Author-X-Name-First: Qian (Susan) Author-X-Name-Last: Sun Author-Name: Kenneth Yung Author-X-Name-First: Kenneth Author-X-Name-Last: Yung Title: Idiosyncratic Risk and Expected Returns of Equity Real Estate Investment Trusts Abstract: Executive Summary. Researchers have extensively debated the relevance of idiosyncratic risk in determining asset returns. Merton (1987) suggests that investors would consider idiosyncratic risk relevant when there is incomplete information for fully diversifying their portfolios. REITs possess characteristics of information opacity and represent a unique case for testing Merton's hypothesis. Using firm-level data of equity real estate investment trusts (EREITs), we find a significant positive relation between idiosyncratic volatility and expected EREIT returns. The positive relation persists even after controlling for firm characteristics and variables that are typically related to idiosyncratic volatility. The result supports the hypothesis of Merton and implies that some segments of the REIT industry might be informationally inefficient. When we exclude small, low-priced, and illiquid EREITs from the sample, the relation between idiosyncratic volatility and expected EREIT returns becomes insignificant. The findings may have significant implications for investing in REITs. Journal: Journal of Real Estate Portfolio Management Pages: 45-57 Issue: 1 Volume: 15 Year: 2009 Month: 1 X-DOI: 10.1080/10835547.2009.12089835 File-URL: http://hdl.handle.net/10.1080/10835547.2009.12089835 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:15:y:2009:i:1:p:45-57 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089836_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Björn-Martin Kurzrock Author-X-Name-First: Björn-Martin Author-X-Name-Last: Kurzrock Author-Name: Nico Rottke Author-X-Name-First: Nico Author-X-Name-Last: Rottke Author-Name: Dirk Schiereck Author-X-Name-First: Dirk Author-X-Name-Last: Schiereck Title: Factors that Influence the Performance of Office Properties Abstract: Executive Summary. This study investigates the factors that influence the performance of office properties using single-property data from Germany. The objective is to identify market and property related influence factors explaining relative performance differences. The empirical analysis of 662 properties is grounded on IPD data, supplemented with socio-economic and GIS-based location data. The cross-sectional regressions comprise a market dimension and a property dimension with total return, income return, and capital growth as dependent variables. Market components are extracted through principal component analyses. The study offers evidence for the assessment of office markets and properties within the framework of real estate investment management. Journal: Journal of Real Estate Portfolio Management Pages: 59-73 Issue: 1 Volume: 15 Year: 2009 Month: 1 X-DOI: 10.1080/10835547.2009.12089836 File-URL: http://hdl.handle.net/10.1080/10835547.2009.12089836 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:15:y:2009:i:1:p:59-73 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089837_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Graeme Newell Author-X-Name-First: Graeme Author-X-Name-Last: Newell Author-Name: Chris Eves Author-X-Name-First: Chris Author-X-Name-Last: Eves Title: The Role of U.S. Timberland in Real Estate Portfolios Abstract: Executive Summary. Timberland is seen as a long-term investment that has recently received increased institutional investor attention in many countries and potentially provides added value in a mixed-asset portfolio. Using the National Council of Real Estate Investment Fiduciaries (NCREIF) timberland series, this paper analyses the risk-adjusted performance and portfolio diversification benefits of timberland in the United States over the period of 1987–2007. Timberland in the U.S. is seen to have been a strongly performed asset class with significant portfolio diversification benefits over this period, with a significant portfolio role separate to that of real estate. However, recent years have seen reduced risk-adjusted returns, with some loss of portfolio diversification benefits of timberland with stocks and real estate. Global drivers are likely to see increased future demand for timberland investment. Journal: Journal of Real Estate Portfolio Management Pages: 95-106 Issue: 1 Volume: 15 Year: 2009 Month: 1 X-DOI: 10.1080/10835547.2009.12089837 File-URL: http://hdl.handle.net/10.1080/10835547.2009.12089837 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:15:y:2009:i:1:p:95-106 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089838_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Sanjay Ramchander Author-X-Name-First: Sanjay Author-X-Name-Last: Ramchander Author-Name: Marc Simpson Author-X-Name-First: Marc Author-X-Name-Last: Simpson Author-Name: James Webb Author-X-Name-First: James Author-X-Name-Last: Webb Title: Political Cycles, Partisan Orientation, Gridlock, and REIT Returns Abstract: Executive Summary. This study examines several aspects of the relationship between the presidential election cycle in the United States, political party in power, government gridlock, and real estate investment trust (REIT) excess returns. The study covers the period February 1972 through January 2007. The results indicate that REITs are significantly influenced by the political environment, and the nature of the association is more complex than often perceived. REITs provide higher excess returns: (a) under the joint condition that the Fed pursues an expansionary monetary policy and the Republican Party controls the White House, (b) during the last two years of the president's term, especially during Republican administrations, and (c) when there is political unity in the executive and legislative branches of the government. Journal: Journal of Real Estate Portfolio Management Pages: 115-128 Issue: 2 Volume: 15 Year: 2009 Month: 1 X-DOI: 10.1080/10835547.2009.12089838 File-URL: http://hdl.handle.net/10.1080/10835547.2009.12089838 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:15:y:2009:i:2:p:115-128 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089839_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Elaine Worzala Author-X-Name-First: Elaine Author-X-Name-Last: Worzala Author-Name: Judith Karofsky Author-X-Name-First: Judith Author-X-Name-Last: Karofsky Author-Name: Jeffrey Davis Author-X-Name-First: Jeffrey Author-X-Name-Last: Davis Title: The Senior Living Property Sector: How is it Perceived by the Institutional Investor? Abstract: Executive Summary. The senior living and long-term care property sector has expanded in response to changing demographics and the increased needs of an overall aging population. As the population of baby boomers reaches retirement age and moves into the "sunshine" years, the demand for real estate products designed with elderly end users in mind is growing, and the risk/return profiles of these investments are shifting. The aim of this research is to shed light on the perceived risks and returns associated with the specific types of investments available in the seniors housing real estate sector. We queried members of the Pension Real Estate Association to determine how they view this property sector compared with alternative real estate investments, as well as more traditional institutional investments, such as stocks and bonds. We found that they do not appear to be investing in most of the seniors housing product available, as they perceive it to have relatively high risk, and they do not perceive the returns to be high compared to more traditional real estate investments or alternative investments like international real estate. Journal: Journal of Real Estate Portfolio Management Pages: 141-156 Issue: 2 Volume: 15 Year: 2009 Month: 1 X-DOI: 10.1080/10835547.2009.12089839 File-URL: http://hdl.handle.net/10.1080/10835547.2009.12089839 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:15:y:2009:i:2:p:141-156 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089840_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: James Chong Author-X-Name-First: James Author-X-Name-Last: Chong Author-Name: Joëlle Miffre Author-X-Name-First: Joëlle Author-X-Name-Last: Miffre Author-Name: Simon Stevenson Author-X-Name-First: Simon Author-X-Name-Last: Stevenson Title: Conditional Correlations and Real Estate Investment Trusts Abstract: Executive Summary. The paper studies the temporal variations in the conditional correlations between real estate investment trust (REIT) returns and equity, bond, and commodity returns. The findings reveal that the correlations between REITs and equity returns rose over the period analyzed, while the correlations with bonds and commodities fell. The findings also reveal that the correlations with REITs rose especially in periods of above average volatility in equity and bond markets; however, for U.S. government securities and the Goldman Sachs Commodity Index, the conditional correlations with REITs fell in periods of high volatility in these markets. This indicates that to reduce the total risk of their portfolio, investors in U.S. government securities and commodities should tilt their asset allocation more towards real estate when they anticipate changes in monetary policy or abnormal fluctuations in commodity prices. Journal: Journal of Real Estate Portfolio Management Pages: 173-184 Issue: 2 Volume: 15 Year: 2009 Month: 1 X-DOI: 10.1080/10835547.2009.12089840 File-URL: http://hdl.handle.net/10.1080/10835547.2009.12089840 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:15:y:2009:i:2:p:173-184 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089841_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Edwin Anderson Author-X-Name-First: Edwin Author-X-Name-Last: Anderson Author-Name: Kyle Cascioli Author-X-Name-First: Kyle Author-X-Name-Last: Cascioli Author-Name: David Chasnow Author-X-Name-First: David Author-X-Name-Last: Chasnow Author-Name: Glenn Mueller Author-X-Name-First: Glenn Author-X-Name-Last: Mueller Title: Point of View: Commercial Real Estate Debt Maturities: Shortfall & Implications Abstract: Executive Summary. Global capital markets in 2008 experienced historic illiquidity, with nearly every major country's central banking system having to infuse capital directly into their member banks. These dramatic steps were taken to help keep banks solvent while they continued to absorb massive losses related to business, insurance, and real estate debt. This paper estimates the size of the commercial real estate debt financing needed in 2009 and beyond. The paper also seeks to further expand and update evolving investment possibilities, given the status of the capital markets in the United States in 2009 and the increasing and unprecedented high demand and low supply of debt available for the financing and refinancing of commercial real estate properties. By looking at the ten-year historic trends of existing commercial debt demand and supply, a forecast of future debt demand and supply shortfall through 2018 is developed. Then the potential impact on commercial mortgage pricing is discussed. Journal: Journal of Real Estate Portfolio Management Pages: 197-210 Issue: 2 Volume: 15 Year: 2009 Month: 1 X-DOI: 10.1080/10835547.2009.12089841 File-URL: http://hdl.handle.net/10.1080/10835547.2009.12089841 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:15:y:2009:i:2:p:197-210 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089842_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: 2008 AMERICAN REAL ESTATE SOCIETY MANUSCRIPT PRIZES Journal: Journal of Real Estate Portfolio Management Pages: bmi-bmxix Issue: 2 Volume: 15 Year: 2009 Month: 1 X-DOI: 10.1080/10835547.2009.12089842 File-URL: http://hdl.handle.net/10.1080/10835547.2009.12089842 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:15:y:2009:i:2:p:bmi-bmxix Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089843_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Graeme Newell Author-X-Name-First: Graeme Author-X-Name-Last: Newell Author-Name: Franz Fischer Author-X-Name-First: Franz Author-X-Name-Last: Fischer Title: The Role of Residential REITs in REIT Portfolios Abstract: Executive Summary. Residential real estate investment trusts (REITs) make a significant contribution to the overall REIT market, accounting for 13.5% of the equity REIT market capitalization at December 2007. The current housing crisis in the United States has seen an increased focus on residential REITs. This paper assesses the significance of residential REITs in a REIT portfolio over Q1:1994–Q4:2007. In particular, their risk-adjusted performance and portfolio diversification benefits are compared with the other REIT sub-sectors and to stocks, bonds, and real estate. The ongoing effect of the current U.S. housing downturn on the future outlook for residential REITs is also assessed. Journal: Journal of Real Estate Portfolio Management Pages: 129-139 Issue: 2 Volume: 15 Year: 2009 Month: 1 X-DOI: 10.1080/10835547.2009.12089843 File-URL: http://hdl.handle.net/10.1080/10835547.2009.12089843 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:15:y:2009:i:2:p:129-139 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089844_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Wensheng Kang Author-X-Name-First: Wensheng Author-X-Name-Last: Kang Title: Housing Portfolio Risk Reduction through High-Tech Industry Diversification Abstract: Executive Summary. This paper examines the gain of housing portfolio efficiency obtainable through a mixed portfolio by combining geographic characteristics and high-tech industry activities across 40 metropolitan areas. A Bayesian stochastic search is conducted for model restriction selection to compute the efficient covariance matrix of the high-dimensional panel-data model. Quadratic programming of Fortran/IMSL subroutines is applied to simulate the risk-return efficient frontier of various diversification strategies. The evidence shows that the mixed diversification strategy outperforms the geography-based strategy. The gain is superior and can reach as high as 50% in relative risk reduction during high-tech cycle growth periods. Journal: Journal of Real Estate Portfolio Management Pages: 157-171 Issue: 2 Volume: 15 Year: 2009 Month: 1 X-DOI: 10.1080/10835547.2009.12089844 File-URL: http://hdl.handle.net/10.1080/10835547.2009.12089844 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:15:y:2009:i:2:p:157-171 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089845_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Journal of Real Estate Portfolio Management Journal: Journal of Real Estate Portfolio Management Pages: fmi-fmx Issue: 2 Volume: 15 Year: 2009 Month: 1 X-DOI: 10.1080/10835547.2009.12089845 File-URL: http://hdl.handle.net/10.1080/10835547.2009.12089845 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:15:y:2009:i:2:p:fmi-fmx Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089846_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Chih-Yuan Yang Author-X-Name-First: Chih-Yuan Author-X-Name-Last: Yang Author-Name: Ming-Chi Chen Author-X-Name-First: Ming-Chi Author-X-Name-Last: Chen Title: The Role of Co-Kurtosis in the Pricing of Real Estate Abstract: Executive Summary. Most prior studies in real estate ignore the existence of systematic kurtosis risk. Using a four-moment capital asset pricing model, this paper examines the impact of co-kurtosis on real estate pricing. It shows that, in the presence of kurtosis, the expected excess rate of return is related not only to the systematic variance and systematic skewness, but also to systematic kurtosis. Investors should request more compensation in terms of expected excess rate of return because they bearing higher co-kurtosis risk. The results point out that real estate systematic kurtosis displays significant risk-return characteristic, and that systematic variance and co-kurtosis are more important than co-skewness in pricing real estate securities. The findings offer additional insights into the measurement of real estate risk. The lack of consideration of systematic kurtosis may lead to an insufficient and irrational premium for the investment risk. Journal: Journal of Real Estate Portfolio Management Pages: 185-195 Issue: 2 Volume: 15 Year: 2009 Month: 1 X-DOI: 10.1080/10835547.2009.12089846 File-URL: http://hdl.handle.net/10.1080/10835547.2009.12089846 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:15:y:2009:i:2:p:185-195 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089847_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: 2009 American Real Estate Society Manuscript Prizes Journal: Journal of Real Estate Portfolio Management Pages: bmi-bmxix Issue: 3 Volume: 15 Year: 2009 Month: 1 X-DOI: 10.1080/10835547.2009.12089847 File-URL: http://hdl.handle.net/10.1080/10835547.2009.12089847 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:15:y:2009:i:3:p:bmi-bmxix Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089848_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Steven Simon Author-X-Name-First: Steven Author-X-Name-Last: Simon Author-Name: Wing Lon Ng Author-X-Name-First: Wing Lon Author-X-Name-Last: Ng Title: The Effect of the Real Estate Downturn on the Link between REITs and the Stock Market Abstract: Executive Summary. We analyze the impact of the real estate/mortgage crisis on the dependence between the market for common stocks and returns on Real Estate Investment Trusts (REITs) using a flexible mixed-copula approach. We find that both before and after the outbreak of the recent financial crisis investing in REITs provides better protection against severe downturns of the stock market in the United States than a foreign common stock index. Moreover, the outbreak of the current crisis seems to (a) have little impact on the potential of REITs to provide protection against severe stock market losses, and, (b) have driven a wedge between the different types of REITs. Journal: Journal of Real Estate Portfolio Management Pages: 211-219 Issue: 3 Volume: 15 Year: 2009 Month: 1 X-DOI: 10.1080/10835547.2009.12089848 File-URL: http://hdl.handle.net/10.1080/10835547.2009.12089848 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:15:y:2009:i:3:p:211-219 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089849_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Chien-Ming Huang Author-X-Name-First: Chien-Ming Author-X-Name-Last: Huang Author-Name: Hsin-Mei Su Author-X-Name-First: Hsin-Mei Author-X-Name-Last: Su Author-Name: Chien-Liang Chiu Author-X-Name-First: Chien-Liang Author-X-Name-Last: Chiu Title: REIT Market Efficiency Before and After Inclusion in the S&P 500 Abstract: Executive Summary. This paper examines whether the degree of market efficiency of real estate investment trusts (REITs) was influenced when a number of them were included in the S&P 500 index. The analysis is based on the traditional variance ratio test, the non-parametric-based variance ratio test, and the multiple variance ratio test. The results confirm that the REIT market is inefficient for the sample as a whole, but exhibits a significantly strong improvement after 2001. This indicates that the market efficiency of REITs is propelled by the equity market, and an important change in time in the REIT market is observed. Journal: Journal of Real Estate Portfolio Management Pages: 239-250 Issue: 3 Volume: 15 Year: 2009 Month: 1 X-DOI: 10.1080/10835547.2009.12089849 File-URL: http://hdl.handle.net/10.1080/10835547.2009.12089849 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:15:y:2009:i:3:p:239-250 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089850_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Stephanie Rauterkus Author-X-Name-First: Stephanie Author-X-Name-Last: Rauterkus Author-Name: George Munchus Author-X-Name-First: George Author-X-Name-Last: Munchus Author-Name: V.Carlos Slawson Jr. Author-X-Name-First: V.Carlos Author-X-Name-Last: Slawson Jr. Title: The Home Equity Conversion Mortgage: A Study of Attitudes and Awareness Abstract: Executive Summary. This study surveys senior homeowners to assess their attitudes and awareness regarding the Department of Housing and Urban Development's (HUD) Home Equity Conversion Mortgage (HECM) program. The results of this study indicate that program interest declines with age and varies by geographic region. Also, certain program attributes such as the irrelevance of borrower credit history are particularly attractive while others such as payment options and borrower protections appear to be confusing and misinterpreted. Adjusting the HECM program in accordance with these finding should help HUD to meet its goal of promoting housing stability and self-sufficiency for the elderly. Journal: Journal of Real Estate Portfolio Management Pages: 267-280 Issue: 3 Volume: 15 Year: 2009 Month: 1 X-DOI: 10.1080/10835547.2009.12089850 File-URL: http://hdl.handle.net/10.1080/10835547.2009.12089850 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:15:y:2009:i:3:p:267-280 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089851_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Marc Simpson Author-X-Name-First: Marc Author-X-Name-Last: Simpson Author-Name: John Emery Author-X-Name-First: John Author-X-Name-Last: Emery Author-Name: Jose Moreno Author-X-Name-First: Jose Author-X-Name-Last: Moreno Title: Overreaction and Underreaction to REIT Dividend Announcements and the Role of Monetary Policy Abstract: Executive Summary. This paper examines the reactions of investors in Real Estate Investment Trusts (REITs) to 11,650 REIT dividend announcements that occurred between January 1, 1970 and March 31, 2007. Depending on the situation, there is evidence consistent with the overreaction hypothesis, the uncertain information hypothesis, overoptimism, and with market efficiency. The market reaction to a given dividend announcement by a REIT depends not only on the direction of change in the dividend, but also on the prevailing monetary environment in which the announcement is made, and on whether the announcement is seen as good news, or whether the market views the announcement as concomitant with bad news. Journal: Journal of Real Estate Portfolio Management Pages: 289-298 Issue: 3 Volume: 15 Year: 2009 Month: 1 X-DOI: 10.1080/10835547.2009.12089851 File-URL: http://hdl.handle.net/10.1080/10835547.2009.12089851 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:15:y:2009:i:3:p:289-298 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089852_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Chyi Lin Lee Author-X-Name-First: Chyi Lin Author-X-Name-Last: Lee Title: Volatility Transmission in Australian REIT Futures Abstract: Executive Summary. This study aims to examine the volatility spillover in Australian REIT futures over the study period of 2004–2008. An Exponential-Generalized Autoregressive Conditional Heteroscedasticity (EGARCH) model is employed to analyze the volatility series of REIT futures. The results show that REIT futures are heavily influenced by REITs and stocks, suggesting that the news originated from these markets will affect REITs futures. The results also illustrates that the equity market is more influential than REITs in affecting the volatility of REIT futures. It is also shown that REIT futures are more sensitive to negative news than positive news. These findings have provided additional insights into the volatility patterns of property futures. Journal: Journal of Real Estate Portfolio Management Pages: 221-238 Issue: 3 Volume: 15 Year: 2009 Month: 1 X-DOI: 10.1080/10835547.2009.12089852 File-URL: http://hdl.handle.net/10.1080/10835547.2009.12089852 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:15:y:2009:i:3:p:221-238 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089853_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Filipe Vasques Author-X-Name-First: Filipe Author-X-Name-Last: Vasques Author-Name: José Cardoso Teixeira Author-X-Name-First: José Cardoso Author-X-Name-Last: Teixeira Author-Name: Elísio Brandão Author-X-Name-First: Elísio Author-X-Name-Last: Brandão Title: Persistence of Portuguese Real Estate Investment Funds Performance Abstract: Executive Summary. Real Estate Investment Funds (REIFs) in Portugal are a recent and fast growing industry. Despite the scarcity of research addressing this type of investment vehicle, there are strong arguments leading to the assumption that the present fund regulatory framework conditions the determination of their returns, influencing distribution features and inducing predictability. This study develops a detailed persistence analysis using contingency tables to investigate the issue of predictability. Relevant and robust evidence of both short- and long-term performance persistence within the overall property fund industry and for the restricted universe of open-ended funds is found. Journal: Journal of Real Estate Portfolio Management Pages: 251-266 Issue: 3 Volume: 15 Year: 2009 Month: 1 X-DOI: 10.1080/10835547.2009.12089853 File-URL: http://hdl.handle.net/10.1080/10835547.2009.12089853 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:15:y:2009:i:3:p:251-266 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089854_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Xiaorong Zhou Author-X-Name-First: Xiaorong Author-X-Name-Last: Zhou Author-Name: Vivek Sah Author-X-Name-First: Vivek Author-X-Name-Last: Sah Title: Does Home Expertise Exist in Equity REITs? Abstract: Executive Summary. Using a sample of 58 Equity Real Estate Investment Trusts (EREITs) with geographic area specialization from 1994 to 2006, this study examines if EREITs concentrating their investment geographically could be able to generate abnormal returns due to home expertise. Based on the risk adjustment by Carhart's (1997) four-factor model, only REITs with geographical concentration in the Mideast and Northeast generate abnormal returns during the sample time period. However, with the robustness check, the abnormal return disappears. This paper therefore cautions the biased findings due to model misspecification problem and suggests that the REIT sector is generally functioning in an efficient fashion. Journal: Journal of Real Estate Portfolio Management Pages: 281-288 Issue: 3 Volume: 15 Year: 2009 Month: 1 X-DOI: 10.1080/10835547.2009.12089854 File-URL: http://hdl.handle.net/10.1080/10835547.2009.12089854 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:15:y:2009:i:3:p:281-288 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089855_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Paul Fiorilla Author-X-Name-First: Paul Author-X-Name-Last: Fiorilla Author-Name: Robert Hess Author-X-Name-First: Robert Author-X-Name-Last: Hess Author-Name: Youguo Liang Author-X-Name-First: Youguo Author-X-Name-Last: Liang Title: Point of View: Deleveraging the Commercial Real Estate Market Journal: Journal of Real Estate Portfolio Management Pages: 299-306 Issue: 3 Volume: 15 Year: 2009 Month: 1 X-DOI: 10.1080/10835547.2009.12089855 File-URL: http://hdl.handle.net/10.1080/10835547.2009.12089855 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:15:y:2009:i:3:p:299-306 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089856_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Journal of Real Estate Portfolio Management Journal: Journal of Real Estate Portfolio Management Pages: fmi-fmx Issue: 3 Volume: 15 Year: 2009 Month: 1 X-DOI: 10.1080/10835547.2009.12089856 File-URL: http://hdl.handle.net/10.1080/10835547.2009.12089856 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:15:y:2009:i:3:p:fmi-fmx Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089857_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Randy Anderson Author-X-Name-First: Randy Author-X-Name-Last: Anderson Author-Name: Glenn Mueller Author-X-Name-First: Glenn Author-X-Name-Last: Mueller Author-Name: Xuejing Xing Author-X-Name-First: Xuejing Author-X-Name-Last: Xing Author-Name: Mathew Hurst Author-X-Name-First: Mathew Author-X-Name-Last: Hurst Title: International Real Estate Portfolio Construction: Conditional and Unconditional Methods Abstract: Executive Summary. In recent years, investors have become increasingly interested in the potential benefits of international real estate investments. However, very little empirical evidence exists that quantifies these benefits. Perhaps more importantly, there are no studies that examine the numerous available techniques to construct international real estate portfolios. In this paper, we employ the traditional, unconditional portfolio construction methods and more sophisticated conditional methods to construct portfolios of international real estate securities. The results indicate that the new conditional portfolio construction methods produce stronger absolute and risk-adjusted returns. The results provide information for real estate portfolio managers and have implications for market efficiency. Journal: Journal of Real Estate Portfolio Management Pages: 1-8 Issue: 1 Volume: 16 Year: 2010 Month: 1 X-DOI: 10.1080/10835547.2010.12089857 File-URL: http://hdl.handle.net/10.1080/10835547.2010.12089857 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:16:y:2010:i:1:p:1-8 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089858_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Yen-Hsien Lee Author-X-Name-First: Yen-Hsien Author-X-Name-Last: Lee Author-Name: Hung-Luen Ou Author-X-Name-First: Hung-Luen Author-X-Name-Last: Ou Title: The Day-of-the-Week Effect and Value-at-Risk in Real Estate Investment Trusts Abstract: Executive Summary. This study examines the day-of-the-week effect on the prices of mortgage real estate investment trusts (MREITs). The day-of-the-week effect (hereafter, GARCH-DWE) was also further analyzed by controlling for interest rate level effect with GARCHDWE (hereafter, GARCH-DWE-Level) models. The empirical results show that the day-of-the-week effect and the interest rate level effect have a significant effect and that the goodness-of-fit for the GARCH-DWE-Level model performs better than OLS and the GARCH-DWE model based on the LR test, implying that adding the day-of-the-week effect and the interest rate level effect to the model are useful practical applications for investors. Moreover, we find that MREITs have abnormal positive returns on Tuesday and Friday and abnormal negative returns on Wednesday. Finally, the examination of the Value-at-Risk model shows that the GARCH-DWE-Level model is more accurate than either of the GARCH-DWE and GARCH models, implying that the GARCH-DWE-Level model is still the optimal model for practical purposes. Journal: Journal of Real Estate Portfolio Management Pages: 21-28 Issue: 1 Volume: 16 Year: 2010 Month: 1 X-DOI: 10.1080/10835547.2010.12089858 File-URL: http://hdl.handle.net/10.1080/10835547.2010.12089858 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:16:y:2010:i:1:p:21-28 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089859_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Bwembya Chikolwa Author-X-Name-First: Bwembya Author-X-Name-Last: Chikolwa Title: Point of View: Dislodgement of Commercial Real Estate Public Debt Markets: The Case of U.S. and Australia Abstract: Executive Summary. This paper investigates whether there are any discernible trends in the U.S. and Australian commercial real estate public debt markets with the onset of the global financial crisis and the impact of subdued activity in these financing instruments on the commercial real estate market. An interpretive historical approach is used to review commercial mortgage-backed securities and unsecured bonds issued by real estate investment trusts for the period 2000 to 2009:Q3. Journal: Journal of Real Estate Portfolio Management Pages: 87-100 Issue: 1 Volume: 16 Year: 2010 Month: 1 X-DOI: 10.1080/10835547.2010.12089859 File-URL: http://hdl.handle.net/10.1080/10835547.2010.12089859 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:16:y:2010:i:1:p:87-100 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089860_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Journal of Real Estate Portfolio Management Journal: Journal of Real Estate Portfolio Management Pages: fmi-fmx Issue: 1 Volume: 16 Year: 2010 Month: 1 X-DOI: 10.1080/10835547.2010.12089860 File-URL: http://hdl.handle.net/10.1080/10835547.2010.12089860 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:16:y:2010:i:1:p:fmi-fmx Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089861_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a 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: The Operating Performance of REITs Conducting Open-Market Repurchases Abstract: Executive Summary. This study examines whether the operating performance improves following real estate investment trust (REIT) open-market stock repurchase announcements. Based on REIT repurchases announced over the 1991–2001 period, we do not find any evidence that the operating performance of REITs improves in the four years following the repurchase announcement. Furthermore, we do not find any evidence that the size of a repurchase program is positively related to future operating performance. Consequently, the announcement of open-market stock repurchases by REITs does not contain any positive information about the long-term future prospect of REITs. Journal: Journal of Real Estate Portfolio Management Pages: 59-69 Issue: 1 Volume: 16 Year: 2010 Month: 1 X-DOI: 10.1080/10835547.2010.12089861 File-URL: http://hdl.handle.net/10.1080/10835547.2010.12089861 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:16:y:2010:i:1:p:59-69 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089862_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: K. Chau Author-X-Name-First: K. Author-X-Name-Last: Chau Author-Name: K. McKinnell Author-X-Name-First: K. Author-X-Name-Last: McKinnell Author-Name: S. Wong Author-X-Name-First: S. Author-X-Name-Last: Wong Author-Name: Q. Wei Author-X-Name-First: Q. Author-X-Name-Last: Wei Author-Name: Graeme Newell Author-X-Name-First: Graeme Author-X-Name-Last: Newell Title: Impact of Corporate Governance Structures on the Relationship between Direct and Indirect Real Estate in China Abstract: Executive Summary. While the indirect real estate market has been growing in Mainland China, the issue of corporate governance has emerged as a key concern for investors, as a number of cases involving stock manipulation have been revealed in recent years. This study investigates the degree to which corporate governance structures might be affecting the link between direct and indirect real estate in Mainland China. Based on data from 1994 to 2008, it was found that Mainland-listed property companies had a weaker linkage between direct and indirect real estate than Hong Kong-listed property companies. Regulatory reforms in the Mainland stock markets have, however, tended to improve the linkage, as well as selection returns for Mainland-listed companies. These findings suggest that corporate governance structure is in fact priced, and that it should be an important factor when considering between direct and indirect real estate investment in the PRC. Journal: Journal of Real Estate Portfolio Management Pages: 9-19 Issue: 1 Volume: 16 Year: 2010 Month: 1 X-DOI: 10.1080/10835547.2010.12089862 File-URL: http://hdl.handle.net/10.1080/10835547.2010.12089862 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:16:y:2010:i:1:p:9-19 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089863_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Dean Diavatopoulos Author-X-Name-First: Dean Author-X-Name-Last: Diavatopoulos Author-Name: Andy Fodor Author-X-Name-First: Andy Author-X-Name-Last: Fodor Author-Name: Shawn Howton Author-X-Name-First: Shawn Author-X-Name-Last: Howton Author-Name: Shelly Howton Author-X-Name-First: Shelly Author-X-Name-Last: Howton Title: The Predictive Power of REIT Implied Volatility and Implied Idiosyncratic Volatility Abstract: Executive Summary. This paper examines the characteristics of real estate investment trust (REIT) equity options and the predictive power of ex ante risk measures obtained using option prices. In 1996, only 5% of REITs had traded options while that number increased to 35% by 2006. The average volume and open interest for REIT options has increased tenfold since the beginning of this decade. There has been no prior empirical work on the nature and predictive power of REIT-implied volatility. We find that REIT-implied volatility and implied idiosyncratic volatility distributions are similar to those of other listed equities. We also find that both realized and implied total volatility are related to future realized volatility for REITs. Realized and implied idiosyncratic volatility are also significantly related to future realized idiosyncratic volatility. These results establish the important predictive power of these volatility measures for REITs. Journal: Journal of Real Estate Portfolio Management Pages: 29-38 Issue: 1 Volume: 16 Year: 2010 Month: 1 X-DOI: 10.1080/10835547.2010.12089863 File-URL: http://hdl.handle.net/10.1080/10835547.2010.12089863 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:16:y:2010:i:1:p:29-38 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089864_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Florian Heydenreich Author-X-Name-First: Florian Author-X-Name-Last: Heydenreich Title: Economic Diversification: Evidence for the United Kingdom Abstract: Executive Summary. In the past, real estate investment was mainly done following a best deal strategy. Empirical research in the United States on geographic diversification, however, indicates that economic diversification based on economic variables can lead to risk-return efficient frontiers that are superior to those obtained by traditional geographic diversification based on historically evolved administrative regions. For the first time, this study analyzes whether this is true for the most important real estate market, as measured by real estate investment volume, in Europe, namely the United Kingdom. Results indicate that economic strategies based on economic diversification show superior risk-adjusted returns. Journal: Journal of Real Estate Portfolio Management Pages: 71-85 Issue: 1 Volume: 16 Year: 2010 Month: 1 X-DOI: 10.1080/10835547.2010.12089864 File-URL: http://hdl.handle.net/10.1080/10835547.2010.12089864 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:16:y:2010:i:1:p:71-85 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089865_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: 2009 AMERICAN REAL ESTATE SOCIETY JOURNAL MANUSCRIPT PRIZE WINNERS Journal: Journal of Real Estate Portfolio Management Pages: bmi-bmxxi Issue: 1 Volume: 16 Year: 2010 Month: 1 X-DOI: 10.1080/10835547.2010.12089865 File-URL: http://hdl.handle.net/10.1080/10835547.2010.12089865 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:16:y:2010:i:1:p:bmi-bmxxi Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089866_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Crystal Yan Lin Author-X-Name-First: Crystal Yan Author-X-Name-Last: Lin Author-Name: Hamid Rahman Author-X-Name-First: Hamid Author-X-Name-Last: Rahman Author-Name: Kenneth Yung Author-X-Name-First: Kenneth Author-X-Name-Last: Yung Title: Investor Overconfidence in REIT Stock Trading Abstract: Executive Summary. Extant research has increasingly focused on investor psychology to understand market behavior. One area of interest has been investor overconfidence. The overconfidence paradigm provides several testable hypotheses. These propositions have been empirically validated for stocks but after specifically excluding real estate investment trusts (REITs). Extant literature suggests portfolio managers consider REITs to be an "asset-class" distinct from stocks. This study examines the applicability of the overconfidence paradigm to REITs. The results show that realized returns do lead trading volume in REITs, a finding consistent with investor confidence. Overconfident trading varies with REIT size. The study finds that the REIT market has a dynamism that is distinct from the general stock market. Only weak evidence is found indicating that overconfident investors tend to trade in stocks with high levels of firm-specific risk following market gain. Journal: Journal of Real Estate Portfolio Management Pages: 39-57 Issue: 1 Volume: 16 Year: 2010 Month: 1 X-DOI: 10.1080/10835547.2010.12089866 File-URL: http://hdl.handle.net/10.1080/10835547.2010.12089866 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:16:y:2010:i:1:p:39-57 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089867_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Felix Schindler Author-X-Name-First: Felix Author-X-Name-Last: Schindler Author-Name: Nico Rottke Author-X-Name-First: Nico Author-X-Name-Last: Rottke Author-Name: Roland Füss Author-X-Name-First: Roland Author-X-Name-Last: Füss Title: Testing the Predictability and Efficiency of Securitized Real Estate Markets Abstract: Executive Summary. This study conducts tests of the random walk hypothesis and market efficiency on fourteen national public real estate markets. The random walk properties of equity prices influence return dynamics and determine investor trading strategies. To examine the stochastic properties of local real estate index returns and test the hypothesis that public real estate stock prices follow a random walk, we use the single static and dynamic variance ratio tests of Lo and MacKinlay (1988), as well as the multiple variance ratio test of Chow and Denning (1993). Weak-form market efficiency is tested for directly by using non-parametric runs tests. Empirical evidence shows that weekly stock prices in major securitized real estate markets do not follow a random walk. The findings suggest that investors may be able to develop trading strategies that allow them to earn excess returns compared to a buy-and-hold strategy. Journal: Journal of Real Estate Portfolio Management Pages: 171-191 Issue: 2 Volume: 16 Year: 2010 Month: 1 X-DOI: 10.1080/10835547.2010.12089867 File-URL: http://hdl.handle.net/10.1080/10835547.2010.12089867 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:16:y:2010:i:2:p:171-191 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089868_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Guoxu Xing Author-X-Name-First: Guoxu Author-X-Name-Last: Xing Author-Name: David Geltner Author-X-Name-First: David Author-X-Name-Last: Geltner Author-Name: Jani Venter Author-X-Name-First: Jani Author-X-Name-Last: Venter Title: An Analysis of U.K. Property Funds Classified According to U.S. Styles: Core, Value-added, and Opportunistic Abstract: Executive Summary. This analysis sorts U.K. funds into the three categories that are widely used in the United States—core, value-added, and opportunistic— and then compares the performance of these styles between the U.K. and U.S. The findings reveal two major differences between the U.K. and U.S. funds. First, the core approach represents a smaller portion of the U.K. funds than the U.S. funds and the opposite is true for the value-added approach. One way to improve the feasibility of researchers comparing funds within these two countries is introducing a fourth style, core-plus. Second, the U.S. opportunistic funds are better performing with similar leverage than their U.K. counterparts, while future studies would help draw more precise conclusions about the performance comparisons. Journal: Journal of Real Estate Portfolio Management Pages: 119-130 Issue: 2 Volume: 16 Year: 2010 Month: 1 X-DOI: 10.1080/10835547.2010.12089868 File-URL: http://hdl.handle.net/10.1080/10835547.2010.12089868 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:16:y:2010:i:2:p:119-130 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089869_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Qian Sun Author-X-Name-First: Qian Author-X-Name-Last: Sun Author-Name: Kenneth Yung Author-X-Name-First: Kenneth Author-X-Name-Last: Yung Author-Name: Hamid Rahman Author-X-Name-First: Hamid Author-X-Name-Last: Rahman Title: Investor Recognition and Expected Returns of EREITs Abstract: Executive Summary. The Merton (1987) model suggests that investors demand a higher return when required to trade on the basis of incomplete information. This research tests if the prediction of the Merton model can be validated for EREITs. The results are broadly consistent with the predictions of the Merton model. Returns increase monotonically with shadow cost. However, an analysis of portfolios sorted by shadow cost and size evidences some nonlinearity in the return-shadow cost relationship. The Fama-Macbeth regression analysis illustrates that shadow cost of incomplete information is a priced factor in the REIT return-generating process even in the presence of other control variables. The shadow cost is shown to be time varying, becoming increasingly significant as a return-generating factor in the post 1991 period of REIT industry ownership and control restructuring. Finally, the simulation of zero-cost trading strategies shows that a long position in high shadow cost REITs and a short position in low shadow cost REITs results in positive net benefits on the average. Journal: Journal of Real Estate Portfolio Management Pages: 153-169 Issue: 2 Volume: 16 Year: 2010 Month: 1 X-DOI: 10.1080/10835547.2010.12089869 File-URL: http://hdl.handle.net/10.1080/10835547.2010.12089869 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:16:y:2010:i:2:p:153-169 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089870_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: 2010 AMERICAN REAL ESTATE SOCIETY JOURNAL MANUSCRIPT PRIZE WINNERS Journal: Journal of Real Estate Portfolio Management Pages: bmi-bmxvii Issue: 2 Volume: 16 Year: 2010 Month: 1 X-DOI: 10.1080/10835547.2010.12089870 File-URL: http://hdl.handle.net/10.1080/10835547.2010.12089870 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:16:y:2010:i:2:p:bmi-bmxvii Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089871_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Greg MacKinnon Author-X-Name-First: Greg Author-X-Name-Last: MacKinnon Title: Point of View: The Game is Changing: How Integration with the Capital Markets is Altering How We Should Think About Real Estate Journal: Journal of Real Estate Portfolio Management Pages: 193-199 Issue: 2 Volume: 16 Year: 2010 Month: 1 X-DOI: 10.1080/10835547.2010.12089871 File-URL: http://hdl.handle.net/10.1080/10835547.2010.12089871 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:16:y:2010:i:2:p:193-199 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089872_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Dean Diavatopoulos Author-X-Name-First: Dean Author-X-Name-Last: Diavatopoulos Author-Name: Andy Fodor Author-X-Name-First: Andy Author-X-Name-Last: Fodor Author-Name: Shawn Howton Author-X-Name-First: Shawn Author-X-Name-Last: Howton Author-Name: Shelly Howton Author-X-Name-First: Shelly Author-X-Name-Last: Howton Title: Do REIT Announcements of Open Market Repurchase Programs Signal Value Changes in Rivals? Abstract: Executive Summary. This paper examines the short- and long-run equity returns for REITs that do not announce open market repurchases when a rival real estate investment trust (REIT) announces a repurchase. Prior research finds evidence of significant positive returns to the announcing REITs, on average, but does not examine the effect of the announcement on rival REITs. We find evidence of a significant negative reaction for nonannouncing rival REITs over the event window. The returns are directly related to the previous four week return for non-announcing REITs and inversely related to the firm's market-to-book ratio and volatility of returns. Both the announcing firms and their non-announcing rivals significantly outperform the broader equity market on a risk-adjusted basis in the two years following the repurchase announcement. Journal: Journal of Real Estate Portfolio Management Pages: 131-140 Issue: 2 Volume: 16 Year: 2010 Month: 1 X-DOI: 10.1080/10835547.2010.12089872 File-URL: http://hdl.handle.net/10.1080/10835547.2010.12089872 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:16:y:2010:i:2:p:131-140 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089873_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Xiaorong Zhou Author-X-Name-First: Xiaorong Author-X-Name-Last: Zhou Author-Name: Vivek Sah Author-X-Name-First: Vivek Author-X-Name-Last: Sah Title: Year-End Trading Motives of REIT Investors: Further Evidence Based on Price and Trading Volume Relationship Abstract: Executive Summary. This study looks at the relationship between past returns and trading volume, specifically at year-end and tries to explain the trading motive underlying it. To be specific, we examine the relationship between the direction of past price changes and abnormal turnover. Results indicate that winners tend to have higher abnormal turnover rate than losers in a regular month (February to November). However, in December, as predicted by the tax-motivated trading hypothesis, the difference of trading turnovers between winners and losers generally is not statistically significant. Based on sub-periods, we find that before 1994, winners generally are significantly traded more in January than the losers. These findings indicate that overall for REITs, past price changes affect trading through both tax and non-tax motives. Journal: Journal of Real Estate Portfolio Management Pages: 141-151 Issue: 2 Volume: 16 Year: 2010 Month: 1 X-DOI: 10.1080/10835547.2010.12089873 File-URL: http://hdl.handle.net/10.1080/10835547.2010.12089873 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:16:y:2010:i:2:p:141-151 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089874_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Journal of Real Estate Portfolio Management Journal: Journal of Real Estate Portfolio Management Pages: fmi-fmx Issue: 2 Volume: 16 Year: 2010 Month: 1 X-DOI: 10.1080/10835547.2010.12089874 File-URL: http://hdl.handle.net/10.1080/10835547.2010.12089874 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:16:y:2010:i:2:p:fmi-fmx Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089875_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Andrew Florance Author-X-Name-First: Andrew Author-X-Name-Last: Florance Author-Name: Norm Miller Author-X-Name-First: Norm Author-X-Name-Last: Miller Author-Name: Ruijue Peng Author-X-Name-First: Ruijue Author-X-Name-Last: Peng Author-Name: Jay Spivey Author-X-Name-First: Jay Author-X-Name-Last: Spivey Title: Slicing, Dicing, and Scoping the Size of the U.S. Commercial Real Estate Market Abstract: Executive Summary. We use a Census approach to calculate the size of the built commercial real estate market in the United States. We provide estimates of values at the summary level as of mid and late 2009 and relate these to the concentrations observed by state. This likely corresponds to the bottom of the current cycle providing a reference point for future comparisons. At least $4 trillion has been lost on commercial real estate from 2006 to early 2010. As of the end of 2009, the total value of commercial real estate, excluding parking lots, is about $11 trillion including owner-occupied property. If we eliminate the specialty property or simply use the mid-point in 2009, it is closer to $9 trillion. What is truly amazing is that for some property types, these values are about half of replacement cost. Journal: Journal of Real Estate Portfolio Management Pages: 101-118 Issue: 2 Volume: 16 Year: 2010 Month: 1 X-DOI: 10.1080/10835547.2010.12089875 File-URL: http://hdl.handle.net/10.1080/10835547.2010.12089875 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:16:y:2010:i:2:p:101-118 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089876_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Stephen Lee Author-X-Name-First: Stephen Author-X-Name-Last: Lee Title: The Changing Benefit of REITs to the Mixed-Asset Portfolio Abstract: Executive Summary. A number of studies have examined the allocation of public real estate securities (REITs) in the mixed-asset portfolio. Yet no study has explicitly examined what benefits REITs offer to the traditional capital market mixed-asset portfolio (i.e., whether REITs are a return enhancer, diversifier, or both). This paper examines this issue using the method suggested by Liang and McIntosh (1999), which decomposes the overall risk-adjusted benefits of an investment to an existing portfolio into its diversification benefits and return benefits. The results show that REITs offer different benefits to different asset classes and the mixedasset portfolio and that these benefits have changed over time. Thus, whether REITs can have a place in any future mixed-asset portfolio largely depends on the relative return performance of REITs versus the alternative asset classes within the mixed-asset portfolio. Journal: Journal of Real Estate Portfolio Management Pages: 201-215 Issue: 3 Volume: 16 Year: 2010 Month: 1 X-DOI: 10.1080/10835547.2010.12089876 File-URL: http://hdl.handle.net/10.1080/10835547.2010.12089876 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:16:y:2010:i:3:p:201-215 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089877_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Jaakko Niskanen Author-X-Name-First: Jaakko Author-X-Name-Last: Niskanen Author-Name: Heidi Falkenbach Author-X-Name-First: Heidi Author-X-Name-Last: Falkenbach Title: REITs and Correlations with Other Asset Classes: A European Perspective Abstract: Executive Summary. Long present in the United States, real estate investment trusts (REITs) are a fairly new phenomenon in Europe. This paper examines the sensitivity of European REIT returns to returns in other asset classes, including equities, bonds, and commodities. Consistent with previous studies, the results suggest that a significant positive correlation is observed between REITs and equities, especially small cap- and value stocks; REIT correlation to fixed income securities is found negative. Temporal variations in asset volatilities and their effect on correlations are assessed: The motivation is for investors and portfolio managers alike to incorporate the time-varying nature of the relationship in their decision making. Whereas the diversification benefits for equities decrease with increasing volatility, fixed income assets provide an increased hedge. The case of commodities in this sense remains to a large extent blurred. Journal: Journal of Real Estate Portfolio Management Pages: 227-239 Issue: 3 Volume: 16 Year: 2010 Month: 1 X-DOI: 10.1080/10835547.2010.12089877 File-URL: http://hdl.handle.net/10.1080/10835547.2010.12089877 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:16:y:2010:i:3:p:227-239 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089878_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Kim Hiang Liow Author-X-Name-First: Kim Hiang Author-X-Name-Last: Liow Title: Integration between Securitized Real Estate and Stock Markets: A Global Perspective Abstract: Executive Summary. This study uses a dataset comprised of 13 developed securitized real estate markets to measure a real estate securities market's integration with global stock, global real estate, and local stock markets of the respective regions. The time-varying integration score results indicate these developed markets are more integrated with their local stock market while weakly integrated with the global stock and global real estate markets. Additionally, these real estate markets have shown some tendency toward global stock or global real estate market integration, while at the same time have displayed some interdependence with local stock markets. These findings will help investors better understand real estate securities market integration in the context of globalization. Journal: Journal of Real Estate Portfolio Management Pages: 249-265 Issue: 3 Volume: 16 Year: 2010 Month: 1 X-DOI: 10.1080/10835547.2010.12089878 File-URL: http://hdl.handle.net/10.1080/10835547.2010.12089878 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:16:y:2010:i:3:p:249-265 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089879_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Vivek Bhargava Author-X-Name-First: Vivek Author-X-Name-Last: Bhargava Author-Name: Akash Dania Author-X-Name-First: Akash Author-X-Name-Last: Dania Author-Name: Randy Anderson Author-X-Name-First: Randy Author-X-Name-Last: Anderson Title: The Impact of REOCs and Public Mortgage Finance Companies on the Performance and Volatility of U.S. REITs Abstract: Executive Summary. This paper extends the evidence on the financial performance of real estate investment trusts (REITs) by analyzing whether U.S. REIT index returns are impacted by other domestic firms that primarily engage in real estate activities but are not structured as REITs such as real estate operating companies (REOCs) and mortgage finance companies (MFCs). There is strong evidence that U.S. REITs are impacted by these other firms engaged in mortgage financing activities; thus underscoring the linkages between the overall capital markets and real estate performance. These results can be attributed to the changing dynamics of the real estate sector and its significant interrelationships. The findings have strong implications for constructing mixed-asset investment portfolios. Journal: Journal of Real Estate Portfolio Management Pages: 279-288 Issue: 3 Volume: 16 Year: 2010 Month: 1 X-DOI: 10.1080/10835547.2010.12089879 File-URL: http://hdl.handle.net/10.1080/10835547.2010.12089879 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:16:y:2010:i:3:p:279-288 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089880_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: 2010 AMERICAN REAL ESTATE SOCIETY JOURNAL MANUSCRIPT PRIZE WINNERS Journal: Journal of Real Estate Portfolio Management Pages: bmi-bmxix Issue: 3 Volume: 16 Year: 2010 Month: 1 X-DOI: 10.1080/10835547.2010.12089880 File-URL: http://hdl.handle.net/10.1080/10835547.2010.12089880 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:16:y:2010:i:3:p:bmi-bmxix Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089881_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Journal of Real Estate Portfolio Management Journal: Journal of Real Estate Portfolio Management Pages: fmi-fmx Issue: 3 Volume: 16 Year: 2010 Month: 1 X-DOI: 10.1080/10835547.2010.12089881 File-URL: http://hdl.handle.net/10.1080/10835547.2010.12089881 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:16:y:2010:i:3:p:fmi-fmx Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089882_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Mukesh Chaudhry Author-X-Name-First: Mukesh Author-X-Name-Last: Chaudhry Author-Name: Rohan Christie-David Author-X-Name-First: Rohan Author-X-Name-Last: Christie-David Author-Name: James Webb Author-X-Name-First: James Author-X-Name-Last: Webb Title: REITs: Hedging and Diversification Possibilities Abstract: Executive Summary. Linkages between real estate investment trusts (REITs) and other assets are empirically analyzed. Using methodologies that account for idiosyncrasies in the data, evidence of linkages between REITs and several of these assets is found. For instance, at least two cointegrating vectors are found between equity REITs and energy-related assets. The findings have implications for hedging strategies, particularly in the long run. For example, the presence of cointegration between REITs and these assets provide investors with crosshedging opportunities, especially if markets differ in liquidity. Furthermore, it creates diversification possibilities for the assets that do not have linkage with REITs. Journal: Journal of Real Estate Portfolio Management Pages: 217-226 Issue: 3 Volume: 16 Year: 2010 Month: 1 X-DOI: 10.1080/10835547.2010.12089882 File-URL: http://hdl.handle.net/10.1080/10835547.2010.12089882 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:16:y:2010:i:3:p:217-226 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089883_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: William Miles Author-X-Name-First: William Author-X-Name-Last: Miles Title: Volatility Transmission in U.K. Housing: A Multivariate GARCH Approach Abstract: Executive Summary. Despite its importance for gauging the probability of large losses and portfolio management, there has not been an investigation of how GARCH conditional volatility is transmitted between regions in the United Kingdom. This is an omission, as assets exhibiting GARCH have a much higher probability of large losses during high volatility periods than standard mean-variance analysis indicates. The findings indicate that there is a high conditional covariance between shocks of adjoining regions, and that the conditional covariance declines markedly as distance between regions increases. This suggests some scope for diversification benefits by holding a geographically varied set of housing assets. Journal: Journal of Real Estate Portfolio Management Pages: 241-248 Issue: 3 Volume: 16 Year: 2010 Month: 1 X-DOI: 10.1080/10835547.2010.12089883 File-URL: http://hdl.handle.net/10.1080/10835547.2010.12089883 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:16:y:2010:i:3:p:241-248 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089884_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Stephen Dempsey Author-X-Name-First: Stephen Author-X-Name-Last: Dempsey Author-Name: David Harrison Author-X-Name-First: David Author-X-Name-Last: Harrison Author-Name: Kimberly Luchtenberg Author-X-Name-First: Kimberly Author-X-Name-Last: Luchtenberg Author-Name: Michael Seiler Author-X-Name-First: Michael Author-X-Name-Last: Seiler Title: Point of View: Contingent Choice Behavioral Models in the Presence of Information Uncertainty Abstract: Executive Summary. Recent literature suggests that enhancing the quantity and/or quality of corporate disclosures may influence the non-diversifiable component of information risk for the firm, and hence, have nontrivial valuation implications. We propose a framework that argues a firm's disclosure level balances the potential cost of capital benefits from selective revelation and the disutility of distress, which in turn is a function of the potential costs of obfuscation. The real estate investment trust (REIT) industry provides an experimentally appropriate backdrop for our position due to its generally heavy reliance on external financing and thus its heightened market exposure to priced information risk. Using three potential measures of the opacity of a REIT's annual report: the Flesch-Kincaid Grade Level, the Flesch Reading Ease Score, and the number of words contained in the report, we propose that capital-constrained firms, particularly those with growth ambitions, should be uniquely sensitive to the transparency of their corporate disclosures as opacity materially influences the firm's cost of capital. Journal: Journal of Real Estate Portfolio Management Pages: 289-299 Issue: 3 Volume: 16 Year: 2010 Month: 1 X-DOI: 10.1080/10835547.2010.12089884 File-URL: http://hdl.handle.net/10.1080/10835547.2010.12089884 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:16:y:2010:i:3:p:289-299 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089885_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Xiaorong Zhou Author-X-Name-First: Xiaorong Author-X-Name-Last: Zhou Author-Name: Sherwood Clements Author-X-Name-First: Sherwood Author-X-Name-Last: Clements Title: The Inflation Hedging Ability of Real Estate in China Abstract: Executive Summary. The investigation of the inflation hedging ability of real estate is very timely in view of the current widespread rising inflation expectations in the People's Republic of China. An autoregressive distributive lag (ARDL) cointegration technique is used to examine the long-run relationship between inflation and Chinese real estate prices. The study covers the time period from 2000 to 2008, which is after the privatization of real estate in China. Overall, no long-run equilibrium relationship between real estate price changes and inflation rate is found. Thus, Chinese real estate is not an effective inflation hedging asset. Journal: Journal of Real Estate Portfolio Management Pages: 267-277 Issue: 3 Volume: 16 Year: 2010 Month: 1 X-DOI: 10.1080/10835547.2010.12089885 File-URL: http://hdl.handle.net/10.1080/10835547.2010.12089885 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:16:y:2010:i:3:p:267-277 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089886_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: 2010 AMERICAN REAL ESTATE SOCIETY JOURNAL MANUSCRIPT PRIZE WINNERS Journal: Journal of Real Estate Portfolio Management Pages: bmi-bmxvii Issue: 1 Volume: 17 Year: 2011 Month: 1 X-DOI: 10.1080/10835547.2011.12089886 File-URL: http://hdl.handle.net/10.1080/10835547.2011.12089886 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:17:y:2011:i:1:p:bmi-bmxvii Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089887_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: David Harrison Author-X-Name-First: David Author-X-Name-Last: Harrison Author-Name: Kimberly Luchtenberg Author-X-Name-First: Kimberly Author-X-Name-Last: Luchtenberg Author-Name: Michael Seiler Author-X-Name-First: Michael Author-X-Name-Last: Seiler Title: REIT Performance and Lines of Credit Abstract: Executive Summary. Using a sample of equity real estate investment trusts (REITs) traded on major exchanges in the United States between 1990 and 2009, this study examines the relationship between REIT line of credit usage and subsequent firm profitability. The results, which are robust across multiple accounting measures of firm operating performance, indicate enhanced liquidity is strongly associated with better firm performance. Furthermore, the benefits of enhanced liquidity appear to be strongest for those firms identified as being capital constrained. These results also provide insight into, and a rational economic justification for, the previously documented positive borrower wealth effects associated with bank loan announcements. Journal: Journal of Real Estate Portfolio Management Pages: 1-14 Issue: 1 Volume: 17 Year: 2011 Month: 1 X-DOI: 10.1080/10835547.2011.12089887 File-URL: http://hdl.handle.net/10.1080/10835547.2011.12089887 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:17:y:2011:i:1:p:1-14 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089888_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Journal of Real Estate Portfolio Management Journal: Journal of Real Estate Portfolio Management Pages: fmi-fmx Issue: 1 Volume: 17 Year: 2011 Month: 1 X-DOI: 10.1080/10835547.2011.12089888 File-URL: http://hdl.handle.net/10.1080/10835547.2011.12089888 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:17:y:2011:i:1:p:fmi-fmx Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089889_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Greg MacKinnon Author-X-Name-First: Greg Author-X-Name-Last: MacKinnon Title: Do REITs Have an Advantage When Credit is Tight? Abstract: Executive Summary. Real estate investment trusts (REITs) have access to capital sources that other real estate investors do not: public markets for equity and debt. Access to capital may give REITs an advantage over other commercial real estate investors when credit is tight. This paper examines whether markets perceive this to be true and show that REITs' premia to net asset value (NAV) increase when credit is tight. Thus, it appears that the markets do see REITs as having an advantage when credit is tight, although there is a lag between credit tightening and markets reacting. In Japan, where J-REITs are far more passive than in the United States, the relationship between credit conditions and REIT premia to NAV is exactly the opposite. Journal: Journal of Real Estate Portfolio Management Pages: 15-25 Issue: 1 Volume: 17 Year: 2011 Month: 1 X-DOI: 10.1080/10835547.2011.12089889 File-URL: http://hdl.handle.net/10.1080/10835547.2011.12089889 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:17:y:2011:i:1:p:15-25 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089890_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Song Shi Author-X-Name-First: Song Author-X-Name-Last: Shi Title: Mortgage Interest Rates, Rents, and Local House Price Movements in New Zealand Abstract: Executive Summary. Using monthly data from New Zealand housing markets, this paper examined the long-run relationship between mortgage interest rates, rents and local house price movements in an error correction model. It was found that house prices, rents, and interest rates were cointegrated and local house prices mean revert to the fundamentals, as indicated by the present value model. During this dynamic price adjusting process, the effect of interest rates on housing prices differed significantly across local markets. In general, interest rates had a smaller impact than rents on house price movements and the speed of adjustment of house prices to their long-run equilibrium was slow. Finally, the paper demonstrates how analysts can use a short time series to compare fundamental value to market price in a way that may lead to some predictability of local house price movements. Journal: Journal of Real Estate Portfolio Management Pages: 53-68 Issue: 1 Volume: 17 Year: 2011 Month: 1 X-DOI: 10.1080/10835547.2011.12089890 File-URL: http://hdl.handle.net/10.1080/10835547.2011.12089890 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:17:y:2011:i:1:p:53-68 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089891_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Larry Wofford Author-X-Name-First: Larry Author-X-Name-Last: Wofford Author-Name: Michael Troilo Author-X-Name-First: Michael Author-X-Name-Last: Troilo Author-Name: Andrew Dorchester Author-X-Name-First: Andrew Author-X-Name-Last: Dorchester Title: Point of View: Cognitive Risk and Real Estate Portfolio Management Journal: Journal of Real Estate Portfolio Management Pages: 69-73 Issue: 1 Volume: 17 Year: 2011 Month: 1 X-DOI: 10.1080/10835547.2011.12089891 File-URL: http://hdl.handle.net/10.1080/10835547.2011.12089891 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:17:y:2011:i:1:p:69-73 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089892_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Marcel Marekwica Author-X-Name-First: Marcel Author-X-Name-Last: Marekwica Author-Name: Raimond Maurer Author-X-Name-First: Raimond Author-X-Name-Last: Maurer Author-Name: Steffen Sebastian Author-X-Name-First: Steffen Author-X-Name-Last: Sebastian Title: Asset Meltdown—Fact or Fiction? Abstract: Executive Summary. This paper analyzes the relation between demographic structure and real asset returns on Treasury bills, bonds, and stocks for the G7 countries (United States, Canada, Japan, Italy, France, the United Kingdom, and Germany). A macroeconomic multifactor model is used to examine a variety of different demographic factors from 1951 to 2002. There was no robust relationship found between shocks in demographic variables and asset returns in the framework of these models, which suggests that asset meltdown is rather fiction than fact. Journal: Journal of Real Estate Portfolio Management Pages: 27-38 Issue: 1 Volume: 17 Year: 2011 Month: 1 X-DOI: 10.1080/10835547.2011.12089892 File-URL: http://hdl.handle.net/10.1080/10835547.2011.12089892 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:17:y:2011:i:1:p:27-38 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089893_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Sofia Dermisi Author-X-Name-First: Sofia Author-X-Name-Last: Dermisi Author-Name: John McDonald Author-X-Name-First: John Author-X-Name-Last: McDonald Title: Effect of "Green" (LEED and ENERGY STAR) Designation on Prices/sf and Transaction Frequency: The Chicago Office Market Abstract: Executive Summary. This is an empirical study of the economics of green (LEED and ENERGY STAR) designation among all downtown Chicago office transactions spanning 12 years. Green properties achieve on-average higher occupancies and prices / sf compared to non-green properties. The hedonic, repeat-sale, and transaction frequency models applied provide evidence of the price "bubble" in 2006–07 and the importance of green designation. LEED properties sold for a 23% price / sf premium, while an ENERGY STAR designation had no effect. Also, LEED Class A properties transacted 68% less than non-LEED, while ENERGY STAR Class B properties transacted 23% more than non-ENERGY STAR. These findings are consistent with the hypothesis that significant capital expenditures for achieving a greener property require longer cost recovery holding periods. Journal: Journal of Real Estate Portfolio Management Pages: 39-52 Issue: 1 Volume: 17 Year: 2011 Month: 1 X-DOI: 10.1080/10835547.2011.12089893 File-URL: http://hdl.handle.net/10.1080/10835547.2011.12089893 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:17:y:2011:i:1:p:39-52 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089894_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Syahzan Sani Kudus Author-X-Name-First: Syahzan Sani Author-X-Name-Last: Kudus Author-Name: Tien Foo Sing Author-X-Name-First: Tien Foo Author-X-Name-Last: Sing Title: Interest Alignment and Insider Shareholdings in the Emerging Asian REIT Markets Abstract: Executive Summary. The Asian real estate investment trust (REIT) markets have recently experienced an explosive growth. However, studies on their corporate governance have been limited. This paper aims to fill the gap by testing the effects of board independence and shareownership structure on the performance of sample Asian REITs. Using dynamic panel regressions with instrumental variables on sample REITs in five Asian markets, the relationship between insider shareholdings and board independence is found to be non-linear. Insiders with large shareholding interests do not entrench their controls by selecting fewer and friendly independent directors onto the boards. Consistent with the hypothesis of Morck, Shleifer, and Vishny (1989), large shareholdings by insiders (sponsors) are viewed as a signal of interest alignment with small shareholders. Asian REITs with large controlling insiders outperform other REITs that are not backed by strong insiders' shareholdings. Journal: Journal of Real Estate Portfolio Management Pages: 127-138 Issue: 2 Volume: 17 Year: 2011 Month: 1 X-DOI: 10.1080/10835547.2011.12089894 File-URL: http://hdl.handle.net/10.1080/10835547.2011.12089894 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:17:y:2011:i:2:p:127-138 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089895_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Journal of Real Estate Portfolio Management Journal: Journal of Real Estate Portfolio Management Pages: fmi-fmx Issue: 2 Volume: 17 Year: 2011 Month: 1 X-DOI: 10.1080/10835547.2011.12089895 File-URL: http://hdl.handle.net/10.1080/10835547.2011.12089895 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:17:y:2011:i:2:p:fmi-fmx Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089896_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: 2011 AMERICAN REAL ESTATE SOCIETY JOURNAL MANUSCRIPT PRIZE WINNERS Journal: Journal of Real Estate Portfolio Management Pages: bmi-bmxvii Issue: 2 Volume: 17 Year: 2011 Month: 1 X-DOI: 10.1080/10835547.2011.12089896 File-URL: http://hdl.handle.net/10.1080/10835547.2011.12089896 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:17:y:2011:i:2:p:bmi-bmxvii Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089897_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Dean Altshuler Author-X-Name-First: Dean Author-X-Name-Last: Altshuler Author-Name: Roy Schneiderman Author-X-Name-First: Roy Author-X-Name-Last: Schneiderman Title: Point of View: Overpayment of Manager Incentive Fees— When Preferred Returns and IRR Hurdles Differ Abstract: Executive Summary. An evolution has taken place in terms of manager incentive fee documentation. Originally, incentive fees were based on a "preferred return" methodology whereas, today, most contracts use an IRR hurdle methodology. Although this change generally has been treated as a non-event, the change has generated unanticipated consequences that can be quite significant.In instances where additional equity capital is called after an earlier split of profits, the equivalence of these two formulations fails. Further, even when such is not the case, if the investment is a portfolio and the contract allows for interim incentive fee payments based on only assets sold to date, the same problem can occur. For large portfolios, millions of dollars of fees can hang in the balance, amounts that will accrue to the investor or the manager based solely on the calculation methodology utilized. We believe that this phenomenon has been inadvertently embedded in many institutional real estate portfolio fee arrangements.With the recent sharp downturn in the real estate market, rates of return have been so low as to temporarily render this issue moot. With the market beginning to recover, this is an opportune time to 'daylight' this issue. Journal: Journal of Real Estate Portfolio Management Pages: 181-189 Issue: 2 Volume: 17 Year: 2011 Month: 1 X-DOI: 10.1080/10835547.2011.12089897 File-URL: http://hdl.handle.net/10.1080/10835547.2011.12089897 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:17:y:2011:i:2:p:181-189 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089898_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Maarten van der Spek Author-X-Name-First: Maarten Author-X-Name-Last: van der Spek Author-Name: Chris Hoorenman Author-X-Name-First: Chris Author-X-Name-Last: Hoorenman Title: Leverage: Please Use Responsibly Abstract: Executive Summary. During the recent economic downturn, investors have been confronted with the negative impact of leverage. Consequently, investors now question loan-to-value (LTV) levels in their funds. Until recently, percentages around 50%–65% were common but never based on in-depth research or optimization. This paper examines the benefit of leverage using a simulation model to account for a multitude of scenarios and shows that portfolios with up to 40% LTV are still efficient. More leverage is likely to decrease return expectations. The reasons behind this conclusion are threefold: the disproportionately high cost of distress, asymmetric performance fees, and the impact of incremental interest rates. Journal: Journal of Real Estate Portfolio Management Pages: 75-88 Issue: 2 Volume: 17 Year: 2011 Month: 1 X-DOI: 10.1080/10835547.2011.12089898 File-URL: http://hdl.handle.net/10.1080/10835547.2011.12089898 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:17:y:2011:i:2:p:75-88 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089899_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Christopher Anderson Author-X-Name-First: Christopher Author-X-Name-Last: Anderson Author-Name: Eli Beracha Author-X-Name-First: Eli Author-X-Name-Last: Beracha Title: Local Comovement in REIT Returns: Implications for Portfolio Performance Abstract: Executive Summary. This study investigates the comovement of monthly returns for securities of real estate investment trusts (REITs) headquartered in the same state. The empirical analysis suggests that securities for REITs headquartered in the same state experience comovement among their market returns, similar to comovement among returns of common stocks of firms headquartered in the same city. However, despite the return comovement among geographically clustered REITs, locally-biased REIT portfolios do not appear to be less efficient than geographically diversified REIT portfolios. Journal: Journal of Real Estate Portfolio Management Pages: 113-125 Issue: 2 Volume: 17 Year: 2011 Month: 1 X-DOI: 10.1080/10835547.2011.12089899 File-URL: http://hdl.handle.net/10.1080/10835547.2011.12089899 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:17:y:2011:i:2:p:113-125 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089900_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Johannes Richter Author-X-Name-First: Johannes Author-X-Name-Last: Richter Author-Name: Matthias Thomas Author-X-Name-First: Matthias Author-X-Name-Last: Thomas Author-Name: Roland Füss Author-X-Name-First: Roland Author-X-Name-Last: Füss Title: German Real Estate Return Distributions: Is There Anything Normal? Abstract: Executive Summary. This paper uses a sample of German commercial and residential property returns to estimate parameters for stable distribution functions. A quantile-based estimation methodology is used to examine distributions of income, capital growth, and total returns. There are controls for the effects of property characteristics and for possible differences between appraisal-based and transaction-based return distribution parameters. The findings reveal that the assumption of normality in return distributions can be rejected for virtually all subsamples of all property types, and for all years from 2000 to 2009. However, income return distributions are found to be less leptokurtic than those of capital growth. Building characteristics do not have a strong influence on distribution parameters, while transaction-based returns do differ from appraisal-based returns for retail and residential properties. Journal: Journal of Real Estate Portfolio Management Pages: 161-179 Issue: 2 Volume: 17 Year: 2011 Month: 1 X-DOI: 10.1080/10835547.2011.12089900 File-URL: http://hdl.handle.net/10.1080/10835547.2011.12089900 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:17:y:2011:i:2:p:161-179 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089901_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Charlotta Mankert Author-X-Name-First: Charlotta Author-X-Name-Last: Mankert Author-Name: Michael Seiler Author-X-Name-First: Michael Author-X-Name-Last: Seiler Title: Mathematical Derivations and Practical Implications for the Use of the Black-Litterman Model Abstract: Executive Summary. In this article, the financial portfolio model often referred to as the Black-Litterman model is described, and then mathematically derived, using a sampling theoretical approach. This approach generates a new interpretation of the model and gives an interpretable formula for the mystical parameter, τ, the weight-on-views. The practical implications of the model are discussed, along with how portfolio fund managers should arrive at model input values and what consideration must be weighted beforehand. Journal: Journal of Real Estate Portfolio Management Pages: 139-159 Issue: 2 Volume: 17 Year: 2011 Month: 1 X-DOI: 10.1080/10835547.2011.12089901 File-URL: http://hdl.handle.net/10.1080/10835547.2011.12089901 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:17:y:2011:i:2:p:139-159 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089902_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Zhixin Kang Author-X-Name-First: Zhixin Author-X-Name-Last: Kang Author-Name: Dongseok Choi Author-X-Name-First: Dongseok Author-X-Name-Last: Choi Title: How is the Equity REIT Sector Related to Other Major Equity Sectors in the Presence of Abnormal Returns and Volatilities? A Tail Effect Study Abstract: Executive Summary. Using the quantile regression method, this paper investigates the dynamic relationships of the equity real estate investment trust (REIT) sector to S&P 500, S&P 400 Mid Cap, S&P 600 Small Cap, NASDAQ, U.S. Small Cap Pure Value, and U.S. Small Cap Pure Growth sectors in the presence of abnormal return and volatility, respectively. The findings consistently show that the tail effects on the dynamic relationships between the equity REIT sector and other major equity sectors are remarkable when its return and volatility are extremely high or low. Moreover, the impacts of the major equity sectors on the equity REITs are asymmetric in the presence of extremely high and low return and volatility. Journal: Journal of Real Estate Portfolio Management Pages: 89-111 Issue: 2 Volume: 17 Year: 2011 Month: 1 X-DOI: 10.1080/10835547.2011.12089902 File-URL: http://hdl.handle.net/10.1080/10835547.2011.12089902 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:17:y:2011:i:2:p:89-111 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089903_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Dean Diavatopoulos Author-X-Name-First: Dean Author-X-Name-Last: Diavatopoulos Author-Name: Andy Fodor Author-X-Name-First: Andy Author-X-Name-Last: Fodor Author-Name: Shawn Howton Author-X-Name-First: Shawn Author-X-Name-Last: Howton Author-Name: Shelly Howton Author-X-Name-First: Shelly Author-X-Name-Last: Howton Title: The Impact of Option Introduction on Real Estate Investment Trusts Abstract: Executive Summary. This paper examines the impact of option introduction on the returns, volatility, and volume of shares traded of real estate investment trusts (REITs) that underlie the options. The paper explores the initial and long-term impact on these variables and compares this to the impact at introduction for non-REIT equities. The findings reveal an initial decline in price at announcement and significant negative returns over a longer post-announcement period. There is not a significant change in volatility at option introduction, but there is a significant increase in trading volume. In most areas examined, REITs and non-REIT equities react similarly to option introduction. Journal: Journal of Real Estate Portfolio Management Pages: 213-226 Issue: 3 Volume: 17 Year: 2011 Month: 1 X-DOI: 10.1080/10835547.2011.12089903 File-URL: http://hdl.handle.net/10.1080/10835547.2011.12089903 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:17:y:2011:i:3:p:213-226 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089904_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Ping Cheng Author-X-Name-First: Ping Author-X-Name-Last: Cheng Author-Name: Zhenguo Lin Author-X-Name-First: Zhenguo Author-X-Name-Last: Lin Author-Name: Yingchun Liu Author-X-Name-First: Yingchun Author-X-Name-Last: Liu Author-Name: Yongmin Zhang Author-X-Name-First: Yongmin Author-X-Name-Last: Zhang Title: Has Real Estate Come of Age? Abstract: Executive Summary. This paper reveals the limitations of the classic Modern Portfolio Theory (MPT) and the fallacy of applying this theory to a mixed-asset portfolio that includes real estate. The findings suggest that the validity of the single-period MPT to multi-period investment is critically conditional on the assumption that asset returns over time are independent and identically distributed (i.i.d.) and that the real estate returns are far from this assumption. Furthermore, the analysis shows that the unique characteristics of real estate greatly complicate the mixed-asset portfolio decisions, and the long standing "real estate allocation puzzle" may be caused by the direct application of MPT to the mixed-asset portfolio. Journal: Journal of Real Estate Portfolio Management Pages: 243-254 Issue: 3 Volume: 17 Year: 2011 Month: 1 X-DOI: 10.1080/10835547.2011.12089904 File-URL: http://hdl.handle.net/10.1080/10835547.2011.12089904 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:17:y:2011:i:3:p:243-254 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089905_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Karsten Lieser Author-X-Name-First: Karsten Author-X-Name-Last: Lieser Author-Name: Alexander Peter Groh Author-X-Name-First: Alexander Author-X-Name-Last: Peter Groh Title: The Attractiveness of 66 Countries for Institutional Real Estate Investments Abstract: Executive Summary. This paper uses a composite index to examine the attractiveness of 66 countries worldwide for institutional real estate investments. The index construction is based on the parameters found in prior research that determine real estate investment activity on an aggregated country level. The index reveals a country ranking that correlates reasonably with commercial real estate investments, as proven by back-tests over six years. The findings increase the transparency of market variables for decision-making in global real estate asset allocation and provide the key determinants that shape real estate markets within countries. The results also highlight the strengths and weaknesses of developed, emerging, and challenged economies. Journal: Journal of Real Estate Portfolio Management Pages: 191-211 Issue: 3 Volume: 17 Year: 2011 Month: 1 X-DOI: 10.1080/10835547.2011.12089905 File-URL: http://hdl.handle.net/10.1080/10835547.2011.12089905 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:17:y:2011:i:3:p:191-211 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089906_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Keith Anderson Author-X-Name-First: Keith Author-X-Name-Last: Anderson 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: Testing for Periodically Collapsing Rational Speculative Bubbles in U.S. REITs Abstract: Executive Summary. This paper is the first to utilize a direct test for periodic, partially collapsing speculative bubbles in real estate investment trust (REIT) prices in the United States. A long history of data is employed for the All, Mortgage, Hybrid, and Equity REIT categories. This approach is more powerful than existing tests and some support is found for the presence of speculative bubbles. Time-varying probabilities are computed for being in the surviving and collapsing regimes. The paper shows how this information could be used in developing a signal to inform investors' decisions on timing a market exit, thereby shielding their portfolios from the effects of periodically bursting bubbles or indeed taking advantage of such bubbles to both increase returns and reduce risk. Journal: Journal of Real Estate Portfolio Management Pages: 227-241 Issue: 3 Volume: 17 Year: 2011 Month: 1 X-DOI: 10.1080/10835547.2011.12089906 File-URL: http://hdl.handle.net/10.1080/10835547.2011.12089906 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:17:y:2011:i:3:p:227-241 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089907_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Jian Zhou Author-X-Name-First: Jian Author-X-Name-Last: Zhou Title: Downside Risk Spillover among Global Real Estate Securities Markets Abstract: Executive Summary. This paper examines the spillover of extreme downside risks among global real estate securities markets. The newly developed conditional autoregressive value at risk (CAViaR) model (Engle and Manganelli, 2004) is used to estimate Value-at-Risk (VaR). The VaR estimates are used to study two forms of spillover: simultaneous spillover and conditional spillover. The findings show that a majority of market pairs under consideration display significant intensity for both forms of spillover. This suggests strong comovement of extreme downside risks among the markets, as well as strong risk flow from one to another. Further analyses using regression show that intensities of both simultaneous and conditional spillovers are significantly higher between markets from the same region than between markets from different regions. Moreover, sample correlations of returns and the relative size of markets are found to have no significant impacts on spillover intensities. Journal: Journal of Real Estate Portfolio Management Pages: 255-270 Issue: 3 Volume: 17 Year: 2011 Month: 1 X-DOI: 10.1080/10835547.2011.12089907 File-URL: http://hdl.handle.net/10.1080/10835547.2011.12089907 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:17:y:2011:i:3:p:255-270 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089908_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: 2011 AMERICAN REAL ESTATE SOCIETY JOURNAL MANUSCRIPT PRIZE WINNERS Journal: Journal of Real Estate Portfolio Management Pages: bmi-bmxvii Issue: 3 Volume: 17 Year: 2011 Month: 1 X-DOI: 10.1080/10835547.2011.12089908 File-URL: http://hdl.handle.net/10.1080/10835547.2011.12089908 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:17:y:2011:i:3:p:bmi-bmxvii Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089909_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Journal of Real Estate Portfolio Management Journal: Journal of Real Estate Portfolio Management Pages: fmi-fmx Issue: 3 Volume: 17 Year: 2011 Month: 1 X-DOI: 10.1080/10835547.2011.12089909 File-URL: http://hdl.handle.net/10.1080/10835547.2011.12089909 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:17:y:2011:i:3:p:fmi-fmx Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089910_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Raymond Placid Author-X-Name-First: Raymond Author-X-Name-Last: Placid Author-Name: H. Shelton Weeks Author-X-Name-First: H. Shelton Author-X-Name-Last: Weeks Title: Point of View: Distressed Commercial Real Estate: Cost Segregation a "Pandora's Box" Journal: Journal of Real Estate Portfolio Management Pages: 271-280 Issue: 3 Volume: 17 Year: 2011 Month: 1 X-DOI: 10.1080/10835547.2011.12089910 File-URL: http://hdl.handle.net/10.1080/10835547.2011.12089910 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:17:y:2011:i:3:p:271-280 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089911_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Charlotta Mankert Author-X-Name-First: Charlotta Author-X-Name-Last: Mankert Author-Name: Michael Seiler Author-X-Name-First: Michael Author-X-Name-Last: Seiler Title: Behavioral Finance and its Implication in the use of the Black-Litterman Model Abstract: This article discusses the behavioral implications of the Black-Litterman model. In behavioral finance, the utility function of the investor is reference-based, and investors estimate losses and gains in relation to this benchmark. Implications drawn from past research within the field indicate and explain why the portfolio output given by the Black-Litterman model appears more intuitive to fund managers than portfolios generated by the Markowitz model. Another feature of the Black-Litterman model is that the user assigns levels of confidence associated with each asset view in the form of confidence intervals. People are overconfident in financial decision-making, particularly when stating confidence intervals, which is particularly problematic for this model. Hence implications from research regarding overconfidence do not favor the use of confidence levels when weighting portfolios. Journal: Journal of Real Estate Portfolio Management Pages: 99-121 Issue: 1 Volume: 18 Year: 2012 Month: 1 X-DOI: 10.1080/10835547.2012.12089911 File-URL: http://hdl.handle.net/10.1080/10835547.2012.12089911 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:18:y:2012:i:1:p:99-121 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089912_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Xiaolong Liu Author-X-Name-First: Xiaolong Author-X-Name-Last: Liu Author-Name: Peng Liu Author-X-Name-First: Peng Author-X-Name-Last: Liu Title: The Composition of Market Proxy in REITs Risk Premium Estimation Abstract: A market portfolio is constructed in this paper that is in the spirit of Roll (1977). It consists of equity assets, fixed-income securities, and real estate, and tests whether the real estate investment trust (REIT) risk premium that is estimated using an equity index alone is robust to the misspecification of the market portfolio. The results show that REIT betas increase significantly relative to a more complete market proxy. Moreover, adding real estate to the market portfolio accounts for a significant portion of the bias in the estimated REIT market risk premium. Journal: Journal of Real Estate Portfolio Management Pages: 79-98 Issue: 1 Volume: 18 Year: 2012 Month: 1 X-DOI: 10.1080/10835547.2012.12089912 File-URL: http://hdl.handle.net/10.1080/10835547.2012.12089912 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:18:y:2012:i:1:p:79-98 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089913_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Back Matter Journal: Journal of Real Estate Portfolio Management Pages: bmi-bmxxi Issue: 1 Volume: 18 Year: 2012 Month: 1 X-DOI: 10.1080/10835547.2012.12089913 File-URL: http://hdl.handle.net/10.1080/10835547.2012.12089913 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:18:y:2012:i:1:p:bmi-bmxxi Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089914_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Michael Young Author-X-Name-First: Michael Author-X-Name-Last: Young Author-Name: Roger Brown Author-X-Name-First: Roger Author-X-Name-Last: Brown Title: Real Estate Return Distributions Using Maximum Likelihood Estimation: New Technology, New Results Abstract: The estimation of parameters of real estate return distributions is affected by the tools used to do the work. Consistent with previous studies, investment risk models with infinite variance describe distributions of individual property returns in the National Council of Real Estate Investment Fiduciaries (NCREIF) database over the period 1980 to 2010. Applying Maximum Likelihood Estimation (MLE) to the historic data shows real estate investment risk to be heteroscedastic, but the characteristic exponent of the investment risk function varies more among property types than previously reported. Apartment properties introduced in this study evidence the same basic performance characteristics as office, retail, and industrial properties. Journal: Journal of Real Estate Portfolio Management Pages: 23-41 Issue: 1 Volume: 18 Year: 2012 Month: 1 X-DOI: 10.1080/10835547.2012.12089914 File-URL: http://hdl.handle.net/10.1080/10835547.2012.12089914 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:18:y:2012:i:1:p:23-41 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089915_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Benjamas Jirasakuldech Author-X-Name-First: Benjamas Author-X-Name-Last: Jirasakuldech Author-Name: Riza Emekter Author-X-Name-First: Riza Author-X-Name-Last: Emekter Title: Nonlinear Dynamics and Chaos Behaviors in the REIT Industry: A Pre- and Post-1993 Comparison Abstract: This study examines the nonlinear dynamic and chaos behavior of real estate investment trust (equity, mortgage, and hybrid) returns during the pre- and post-1993 REIT organizational and structural changes. There is substantial empirical evidence in favor of nonlinearity in the REIT industry and small stock markets for the whole sample periods and across two sub-periods. Asymmetric non-linear behavior that occurred in the real estate market is best described by a linear model with non Gaussian innovations; small stocks are nonlinear, but have Gaussian innovations. Similar patterns are reported for EREITs before and after 1993, suggesting that the return behavior of EREITs has not changed as the sizes and structures of REITs have changed over time. Journal: Journal of Real Estate Portfolio Management Pages: 57-77 Issue: 1 Volume: 18 Year: 2012 Month: 1 X-DOI: 10.1080/10835547.2012.12089915 File-URL: http://hdl.handle.net/10.1080/10835547.2012.12089915 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:18:y:2012:i:1:p:57-77 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089916_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Paul Fiorilla Author-X-Name-First: Paul Author-X-Name-Last: Fiorilla Author-Name: Manidipa Kapas Author-X-Name-First: Manidipa Author-X-Name-Last: Kapas Author-Name: Youguo Liang Author-X-Name-First: Youguo Author-X-Name-Last: Liang Title: Point of View: An Institutional View of Global Real Estate Markets Abstract: This report represents Prudential Real Estate Investors' study on the size of the global institutional-grade commercial real estate (CRE) market. We estimate the value of CRE markets, not only at the present time but over the next 10-year and 20-year periods. Our analysis is done by country, but we also sort the data into regions and blocs of developed and developing countries. The goal is to understand the relative size of markets and where growth is likely to come from in the future. We also group the countries into risk blocs based on region and developed/developing status as defined by the World Bank. The United States/Canada is developed, while all countries in Latin America and the Gulf Cooperation Council (GCC) are developing. Developed Europe encompasses Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Norway, Portugal, Spain, Sweden, Switzerland, and the United Kingdom, while the rest of Europe is developing. Developed Asia-Pacific encompasses Australia, Hong Kong, Japan, South Korea, New Zealand, Singapore, and Taiwan, while all other Asia-Pacific nations are developing. Journal: Journal of Real Estate Portfolio Management Pages: 123-133 Issue: 1 Volume: 18 Year: 2012 Month: 1 X-DOI: 10.1080/10835547.2012.12089916 File-URL: http://hdl.handle.net/10.1080/10835547.2012.12089916 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:18:y:2012:i:1:p:123-133 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089917_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Front Matter Journal: Journal of Real Estate Portfolio Management Pages: fmi-fmx Issue: 1 Volume: 18 Year: 2012 Month: 1 X-DOI: 10.1080/10835547.2012.12089917 File-URL: http://hdl.handle.net/10.1080/10835547.2012.12089917 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:18:y:2012:i:1:p:fmi-fmx Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089918_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Malte Raudszus Author-X-Name-First: Malte Author-X-Name-Last: Raudszus Author-Name: Jan-Willem Olliges Author-X-Name-First: Jan-Willem Author-X-Name-Last: Olliges Author-Name: Glenn Mueller Author-X-Name-First: Glenn Author-X-Name-Last: Mueller Title: Bank Failures and REIT Returns Abstract: This study reexamines whether real estate investment trusts (REITs) behave more like equities than direct real estate durint a crisis. Bredin, O'Reilly, and Stevenson (2007) analyze monetary rate increases as external shocks that increase the price of liquidity. This study investigates bank failures, which can be contagious as an internal shock that may decrease liquidity. The results show that equity REITs in general and especially retail, residential, and healthcare REITs experience positive abnormal returns relative to common equities. This return implies that market participants regard equity REITs more like direct real estate, which may qct as a “safe haven” during turbulent times. In contrast, indirect real estate investments like mortgage REITs devalue. Journal: Journal of Real Estate Portfolio Management Pages: 1-22 Issue: 1 Volume: 18 Year: 2012 Month: 1 X-DOI: 10.1080/10835547.2012.12089918 File-URL: http://hdl.handle.net/10.1080/10835547.2012.12089918 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:18:y:2012:i:1:p:1-22 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089919_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a 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: REIT Share Repurchase Decisions and Stock Market Liquidity Abstract: This study examines whether stock market liquidity affects a real estate investment trust's (REIT's) decision to initiate a share repurchase program. The results show that repurchasing REITs exhibit a higher liquidity than their peers that do not initiate a repurchase program. After controlling for other possible motivations for share repurchases, there is little evidence that liquidity affects repurchase initiations by REITs. REITs tend to initiate a share repurchase program when operating cash flows are sufficient, financial leverage is low, and market value is large. Also, liquidity does not influence a REIT's decision to substitute repurchases for extra dividends. Overall, the findings suggest that liquidity does not affect a REIT's decision to repurchase its shares. Journal: Journal of Real Estate Portfolio Management Pages: 43-56 Issue: 1 Volume: 18 Year: 2012 Month: 1 X-DOI: 10.1080/10835547.2012.12089919 File-URL: http://hdl.handle.net/10.1080/10835547.2012.12089919 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:18:y:2012:i:1:p:43-56 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089920_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Dean Altshuler Author-X-Name-First: Dean Author-X-Name-Last: Altshuler Author-Name: Carlo Alberto Magni Author-X-Name-First: Carlo Alberto Author-X-Name-Last: Magni Title: Why IRR is Not the Rate of Return for Your Investment: Introducing AIRR to the Real Estate Community Abstract: The internal rate of return (IRR) is used extensively in the real estate sector. Unfortunately, the IRR calculation itself assumes interim investment values that are mechanically generated by the IRR equation itself and will almost surely differ from the true interim values of the project under consideration. To the extent that these values differ, the IRR result will not be an accurate rate of return. Furthermore, from an ex post, i.e., performance reporting standpoint, such values implied by the IRR will almost certainly contradict any estimated project values being used for time-weighted rate of return (TWR) purposes. A new metric called Average IRR (AIRR) produces a correct money-weighted rate of return (MWR) for a project. Furthermore, AIRR has none of the other problems that the IRR has (e.g., it always exists and is unique), and it appropriately accounts for the amounts actually invested over the course of the investment. Journal: Journal of Real Estate Portfolio Management Pages: 219-230 Issue: 2 Volume: 18 Year: 2012 Month: 1 X-DOI: 10.1080/10835547.2012.12089920 File-URL: http://hdl.handle.net/10.1080/10835547.2012.12089920 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:18:y:2012:i:2:p:219-230 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089921_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Front Matter Journal: Journal of Real Estate Portfolio Management Pages: fmi-fmx Issue: 2 Volume: 18 Year: 2012 Month: 1 X-DOI: 10.1080/10835547.2012.12089921 File-URL: http://hdl.handle.net/10.1080/10835547.2012.12089921 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:18:y:2012:i:2:p:fmi-fmx Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089922_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Daniel Huerta-Sanchez Author-X-Name-First: Daniel Author-X-Name-Last: Huerta-Sanchez Author-Name: Changha Jin Author-X-Name-First: Changha Author-X-Name-Last: Jin Author-Name: Ying Zhang Author-X-Name-First: Ying Author-X-Name-Last: Zhang Title: The Impact of Debt Offerings on REIT Long-Run Performance Abstract: We evaluate real estate investment trust (REIT) long-run return performance after debt issuances. Our results suggest no abnormal returns for REITs following debt issues. Only REITs issuing debt in periods of increased debt issuing activity experience positive abnormal returns. Using a REIT-specific factor model, we observe that only value-weighted portfolios show positive abnormal returns, suggesting that larger REITs perform better after debt issues relative to other REITs. We provide support for the pecking-order and the market-timing theories of capital structure. REIT managers take fair advantage of favorable market conditions to raise capital and issue debt as the first choice of the pecking order. Journal: Journal of Real Estate Portfolio Management Pages: 155-167 Issue: 2 Volume: 18 Year: 2012 Month: 1 X-DOI: 10.1080/10835547.2012.12089922 File-URL: http://hdl.handle.net/10.1080/10835547.2012.12089922 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:18:y:2012:i:2:p:155-167 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089923_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Shawn Howton Author-X-Name-First: Shawn Author-X-Name-Last: Howton Author-Name: Shelly Howton Author-X-Name-First: Shelly Author-X-Name-Last: Howton Author-Name: Johnny Lee Author-X-Name-First: Johnny Author-X-Name-Last: Lee Author-Name: Mi Luo Author-X-Name-First: Mi Author-X-Name-Last: Luo Title: REIT Ownership and Property Performance: Evidence from the Lodging Industry Abstract: Prior research on the impact of real estate investment trust (REIT) ownership on property performance is very limited and provides inconclusive empirical evidence. Whether REITs add value at the micro-level remains a puzzle. Utilizing a dataset of detailed accounting information for individual hotels across five states in the United States, we re-examine the performance of REIT-owned properties. Unlike prior research that focuses on revenue-based performance measures, we examine both the top-line and bottom-line performance of hotel operations. We find that REIT ownership favorably impacts property performance in that REIT-owned hotels have higher profit margins than other lodging properties. The greater cost efficiency is likely attributable to savings in non-distributed operating expenses and fixed charges. We document no outperformance by REITs in revenue growth at the individual property level. Journal: Journal of Real Estate Portfolio Management Pages: 169-185 Issue: 2 Volume: 18 Year: 2012 Month: 1 X-DOI: 10.1080/10835547.2012.12089923 File-URL: http://hdl.handle.net/10.1080/10835547.2012.12089923 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:18:y:2012:i:2:p:169-185 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089924_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Back Matter Journal: Journal of Real Estate Portfolio Management Pages: bmi-bmxxi Issue: 2 Volume: 18 Year: 2012 Month: 1 X-DOI: 10.1080/10835547.2012.12089924 File-URL: http://hdl.handle.net/10.1080/10835547.2012.12089924 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:18:y:2012:i:2:p:bmi-bmxxi Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089925_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Paul Fiorilla Author-X-Name-First: Paul Author-X-Name-Last: Fiorilla Author-Name: Youguo Liang Author-X-Name-First: Youguo Author-X-Name-Last: Liang Author-Name: Frank Nitschke Author-X-Name-First: Frank Author-X-Name-Last: Nitschke Title: Point of View: From Bullish to Balanced: A Changing View of the U.S. Apartment Market Abstract: Demand for apartments should continue to be strong for several years due to the growing renter base, declining homeownership rates, and pent-up demand as the economy creates jobs.While the start of the apartment development cycle has been very well publicized and bears watching in select markets, there will be enough demand to fill new units that are in the pipeline under a normal economic scenario.Affordability is a risk to the apartment sector. High occupancies have enabled landlords to raise rents aggressively, making renting expensive relative to owning a home. Also, rents are rising faster than the growth in personal income, a situation that cannot be maintained long term.Apartments have outperformed other property types in recent years. Favorable capital markets conditions, the availability of cheap debt from government agencies, and robust investor demand for stable assets with solid income yields have driven up property values.The relative outperformance is not likely to continue more than another year or two. For a core investment platform, apartment sector allocations have shifted from a strong overweight to closer to par with the NCREIF Property Index.Core and value-add investors should focus on development opportunities in prime locations in which growth is high and/or supply is naturally limited due to space or zoning regulations. Prime locations are much more likely to retain demand in any economic environment. Journal: Journal of Real Estate Portfolio Management Pages: 239-246 Issue: 2 Volume: 18 Year: 2012 Month: 1 X-DOI: 10.1080/10835547.2012.12089925 File-URL: http://hdl.handle.net/10.1080/10835547.2012.12089925 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:18:y:2012:i:2:p:239-246 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089926_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: David Harrison Author-X-Name-First: David Author-X-Name-Last: Harrison Author-Name: Andrea Heuson Author-X-Name-First: Andrea Author-X-Name-Last: Heuson Author-Name: Michael Seiler Author-X-Name-First: Michael Author-X-Name-Last: Seiler Title: Decomposing Underwriting Spreads for GSEs and Frequent Issuer Financial Firms Abstract: This paper investigates the determinants of underwriting fees charged to active government-sponsored enterprises (GSEs) and financial industry borrowers on debt issuances, how such fees change over time, and how they vary with the characteristics of the debt, underwriting mechanism, and issuer. We pay particular attention to how risk factors generated by the actions of individual mortgage borrowers, and the financing strategies put in place by the GSEs, impact underwriting spreads. We find spreads paid by both GSEs and privately-held financial firms were significantly influenced by risk-related developments in the market for housing finance well before the advent of the housing crisis. Journal: Journal of Real Estate Portfolio Management Pages: 135-153 Issue: 2 Volume: 18 Year: 2012 Month: 1 X-DOI: 10.1080/10835547.2012.12089926 File-URL: http://hdl.handle.net/10.1080/10835547.2012.12089926 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:18:y:2012:i:2:p:135-153 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089927_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Cristian Voicu Author-X-Name-First: Cristian Author-X-Name-Last: Voicu Author-Name: Michael Seiler Author-X-Name-First: Michael Author-X-Name-Last: Seiler Title: Calibrating the Inputs of Optimal Portfolios using CME Housing Futures Abstract: The trading volume of Chicago Mercantile Exchange (CME) housing futures remains thin despite efforts to increase the prevalence of pricing models and the derivation of optimal portfolios for households. We apply actual CME data to the theoretical models of Voicu and Seiler (2012) to demonstrate exactly how CME housing futures can be used based on a number of homeowner characteristics and tenure scenarios. Journal: Journal of Real Estate Portfolio Management Pages: 231-238 Issue: 2 Volume: 18 Year: 2012 Month: 1 X-DOI: 10.1080/10835547.2012.12089927 File-URL: http://hdl.handle.net/10.1080/10835547.2012.12089927 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:18:y:2012:i:2:p:231-238 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089928_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Eliezer Prisman Author-X-Name-First: Eliezer Author-X-Name-Last: Prisman Title: A Dual Interpretation of the Case-Shiller Index and Its Implications to Home Appraisals Abstract: The S&P/Case-Shiller® Home Price Indices are designed to measure change in the total value of all existing single-family housing stocks. This paper utilizes duality in linear programming to explore a close connection between the methodology of the indices and the classic no-arbitrage (NA) condition in financial markets. In essence, the interpretation of the NA is the “dual” problem to the primal minimization problem by which a regression is used to estimate the indices. The variables of the duality of the NA maximization problem present a term structure of discount factors, the reciprocal of which are backward-looking indices. The insight induces a new methodology for appraising single-family housing and exposes its connection to the commonly-used appraisal method. It is well known that the pricing of derivative securities is based on arbitrage arguments. In view of the index family being the underlying asset of the recent home price derivatives, the intimate connection between its estimation methodology and the classical definition of the NA condition is a point of interest. Journal: Journal of Real Estate Portfolio Management Pages: 205-217 Issue: 2 Volume: 18 Year: 2012 Month: 1 X-DOI: 10.1080/10835547.2012.12089928 File-URL: http://hdl.handle.net/10.1080/10835547.2012.12089928 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:18:y:2012:i:2:p:205-217 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089929_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Yun Park Author-X-Name-First: Yun Author-X-Name-Last: Park Author-Name: Doo Won Bang Author-X-Name-First: Doo Won Author-X-Name-Last: Bang Title: Direct Commercial Real Estate as an Inflation Hedge: Korean Evidence Abstract: We examine whether direct commercial real estate (CRE) is an inflation hedge using the Korean market. We find that Korean CRE shows shor-trun positive co-movement with both expected and unexpected inflation, indicating that CRE serves as a short-run inflation hedge. We also find that inflation and CRE prices move in the same direction over the long run as well indicating that CRE serves as a long run positive inflation hedge. On the other hand, we find that listed equity is a short-run negative hedge and a long run positive hedge. Therefore, we conclude that CRE is an asset class that is different from listed stock. Finally, while GDP and inflation appear to be the common factors driving Korean CRE markets and listed equity capital markets (ECM), ECM returns lead CRE returns, suggesting that value-relevant information flows into the ECM, then into CRE. Journal: Journal of Real Estate Portfolio Management Pages: 187-203 Issue: 2 Volume: 18 Year: 2012 Month: 1 X-DOI: 10.1080/10835547.2012.12089929 File-URL: http://hdl.handle.net/10.1080/10835547.2012.12089929 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:18:y:2012:i:2:p:187-203 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089930_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Front Matter Journal: Journal of Real Estate Portfolio Management Pages: fmi-fmx Issue: 3 Volume: 18 Year: 2012 Month: 1 X-DOI: 10.1080/10835547.2012.12089930 File-URL: http://hdl.handle.net/10.1080/10835547.2012.12089930 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:18:y:2012:i:3:p:fmi-fmx Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089931_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: John McDonald Author-X-Name-First: John Author-X-Name-Last: McDonald Title: Equity Participation: A Theoretical Analysis Abstract: This is a theoretical examination of equity participation loans in commercial real estate. The model combines the standard capital asset pricing model (CAPM) with the method developed by Hamada (1969) to demonstrate the Modigliani-Miller (1958) propositions regarding financial leverage and firm value. The results include the following: equity participation has no effect on the borrower's reservation value of the investment, and the expected rate of return to the borrower's equity with equity participation equals the expected rate of return to equity with no equity participation minus the extent of equity participation times the risk premium attached to the investment with no equity participation. Journal: Journal of Real Estate Portfolio Management Pages: 247-255 Issue: 3 Volume: 18 Year: 2012 Month: 1 X-DOI: 10.1080/10835547.2012.12089931 File-URL: http://hdl.handle.net/10.1080/10835547.2012.12089931 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:18:y:2012:i:3:p:247-255 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089932_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Karen Eilers Lahey Author-X-Name-First: Karen Eilers Author-X-Name-Last: Lahey Author-Name: Aigbe Akhigbe Author-X-Name-First: Aigbe Author-X-Name-Last: Akhigbe Author-Name: Melinda Newman Author-X-Name-First: Melinda Author-X-Name-Last: Newman Author-Name: T. Leigh Anenson Author-X-Name-First: T. Leigh Author-X-Name-Last: Anenson Title: Real Estate and Alternative Asset Allocations of U.S. Firms' Defined Benefit Pension Plans Abstract: This study examines the role of real estate and alternative assets in the investment portfolio of defined benefit (DB) pension plans offered by U.S. firms for the period 2002 to 2010. These plans provide a unique reflection of the confluence of regulatory, accounting, and economic changes that have recently taken place. Results indicate less than a quarter of our sample plans invest in real estate while half invest in alternative assets. Plans that include the assets in their investment strategy tend to have larger market values, lower accumulated pension benefit obligations on a proportional basis, and higher returns. Journal: Journal of Real Estate Portfolio Management Pages: 273-287 Issue: 3 Volume: 18 Year: 2012 Month: 1 X-DOI: 10.1080/10835547.2012.12089932 File-URL: http://hdl.handle.net/10.1080/10835547.2012.12089932 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:18:y:2012:i:3:p:273-287 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089933_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a 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: Mass Appraisal of Residential Real Estate Portfolios with Stratified Sampling: A Case Study Abstract: We examine the possibilities and boundaries of the sample-based valuation of residential real estate portfolios using upstream principal component and cluster analysis. We seek to increase estimation accuracy without increasing the total sample size. We use a model portfolio of about 2,400 properties in Germany and discuss different stratification methods prior to drawing fairly small samples, extrapolating the portfolio value, and calculating bootstrap confidence intervals to estimate the associated precision. The models described in practice-oriented literature are thus refined using a theoretical statistical process. Journal: Journal of Real Estate Portfolio Management Pages: 305-321 Issue: 3 Volume: 18 Year: 2012 Month: 1 X-DOI: 10.1080/10835547.2012.12089933 File-URL: http://hdl.handle.net/10.1080/10835547.2012.12089933 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:18:y:2012:i:3:p:305-321 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089934_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Back Matter Journal: Journal of Real Estate Portfolio Management Pages: bmi-bmxix Issue: 3 Volume: 18 Year: 2012 Month: 1 X-DOI: 10.1080/10835547.2012.12089934 File-URL: http://hdl.handle.net/10.1080/10835547.2012.12089934 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:18:y:2012:i:3:p:bmi-bmxix Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089935_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Ming-Chu Chiang Author-X-Name-First: Ming-Chu Author-X-Name-Last: Chiang Author-Name: I-Chun Tsai Author-X-Name-First: I-Chun Author-X-Name-Last: Tsai Author-Name: Cheng-Feng Lee Author-X-Name-First: Cheng-Feng Author-X-Name-Last: Lee Title: The Downside Risk of U.S. and U.K. Housing Markets Abstract: This research employs a filtered and unfiltered value at risk (VaR) model to evaluate the downside risk in housing markets in the United States and the United Kingdom. Empirical results show that the filtered general Pareto distribution (GPD) can correctly capture the downside risks in both housing markets. As the actual return distribution in the U.S. housing market is non-normal, the model of normality assumption underestimates extreme risk in this market. Finally, the value at risk (VaR) of filtered models can mirror the dramatic change in downside risk in the housing market. Hence, VaR can be used by mortgage banks to monitor foreclosure risk to prevent the unfavorable impact of systematic risk. Journal: Journal of Real Estate Portfolio Management Pages: 257-272 Issue: 3 Volume: 18 Year: 2012 Month: 1 X-DOI: 10.1080/10835547.2012.12089935 File-URL: http://hdl.handle.net/10.1080/10835547.2012.12089935 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:18:y:2012:i:3:p:257-272 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089936_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Junjie Sun Author-X-Name-First: Junjie Author-X-Name-Last: Sun Author-Name: Xiaolong Yang Author-X-Name-First: Xiaolong Author-X-Name-Last: Yang Author-Name: Xinlei Zhao Author-X-Name-First: Xinlei Author-X-Name-Last: Zhao Title: Understanding Commercial Real Estate Indices Abstract: This paper examines five indices in the commercial real estate (CRE) markets: the National Association of Real Estate Investment Trusts (NAREIT) Index, the National Council of Real Estate Investment Fiduciaries (NCREIF) Property Index (NPI), the Transaction Based Index (TBI), Moody’s/Real Commercial Property Price Indices (CPPI), and CoStar Commercial Repeat-Sale Indices (CCRSI). We find much heterogeneity in the information content of these indices. NAREIT, NPI, and TBI may not be appropriate measures of current CRE market conditions in general, even though these indices, and especially the first two, are commonly used. We find substantial information differences between CPPI (an index driven by high-value CRE properties) and CCRSI (an index driven by low-value CRE properties) and the difference in information content is notable. This finding indicates that high- and low-value CRE markets are not closely linked. As most CRE indices are driven by high-value CRE markets, our findings suggest that most of these indices may not be very useful to non-institutional CRE investors, local banks who are the main lenders of such loans, or investors in CMBS where the underlying assets include low-value CREs. Finally, based on either CCRSI or CCPI, we conclude that CRE markets are local. Journal: Journal of Real Estate Portfolio Management Pages: 289-303 Issue: 3 Volume: 18 Year: 2012 Month: 1 X-DOI: 10.1080/10835547.2012.12089936 File-URL: http://hdl.handle.net/10.1080/10835547.2012.12089936 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:18:y:2012:i:3:p:289-303 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089937_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Eric Vu Anh Tuan Author-X-Name-First: Eric Author-X-Name-Last: Vu Anh Tuan Title: How Does the Ledoit and Wolf Shrinkage Estimator Improve a Real Estate Portfolio? Abstract: Portfolio theories are meant to provide a method for managing assets and constructing portfolios. Meanwhile, the mean-variance technique has been heavily criticized by some academics, and its application to real estate portfolio is questionable (Cheng and Liang, 2000). Indeed, the mean-variance analysis is quite sensitive to estimation errors, and traditional real estate databases can represent a huge pitfall to portfolio construction. Therefore, we look for a method to lessen the effect of inputs upon the optimization process; the shrinkage estimator appears to show some advantages in modeling real estate portfolios. This study employs the shrinkage estimator scheme of Ledoit and Wolf (2004) to examine the effect of a corner solution on the allocations. This process limits the impact of estimation errors on the optimization process, resulting in a distinctive investment strategy. Journal: Journal of Real Estate Portfolio Management Pages: 89-101 Issue: 1 Volume: 19 Year: 2013 Month: 1 X-DOI: 10.1080/10835547.2013.12089937 File-URL: http://hdl.handle.net/10.1080/10835547.2013.12089937 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:19:y:2013:i:1:p:89-101 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089938_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Changyou Sun Author-X-Name-First: Changyou Author-X-Name-Last: Sun Title: Extreme Risk of Public Timber REITs during the Global Financial Crisis Abstract: A conditional volatility model with extreme value statistics is employed to assess the time-varying risk inherent in three real estate investment trusts (REITs) that have specialized in owning or managing timberlands. Among the four alternative approaches, the conditional extreme value model provides the best risk estimates. The estimated risk of individual timber REITs varies with time. During the volatile period between 2008 and 2009, the absolute values of daily Value-at-Risk (VaR) estimates indicate that an investor could lose up to 13% of an investment over one day with a 99% confidence level. Journal: Journal of Real Estate Portfolio Management Pages: 73-88 Issue: 1 Volume: 19 Year: 2013 Month: 1 X-DOI: 10.1080/10835547.2013.12089938 File-URL: http://hdl.handle.net/10.1080/10835547.2013.12089938 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:19:y:2013:i:1:p:73-88 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089939_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Nicolai Striewe Author-X-Name-First: Nicolai Author-X-Name-Last: Striewe Author-Name: Nico Rottke Author-X-Name-First: Nico Author-X-Name-Last: Rottke Author-Name: Joachim Zietz Author-X-Name-First: Joachim Author-X-Name-Last: Zietz Title: The Impact of Institutional Ownership on REIT Performance Abstract: Executive Summary. We analyze whether or not changes in institutional ownership impact the alpha returns and operating performance of real estate investment trusts (REITs). We employ panel data for 155 U.S. REITs for the 1998:Q1 to 2010:Q4 period. The identification strategy uses Fama-MacBeth firm fixed-effects and two-stage least squares fixed-effects regressions to measure the performance impact of changes in institutional ownership. We find a significant and positive impact of increases in institutional ownership on alpha returns. An interaction term shows a diminishing marginal impact with higher levels of institutional ownership. An increase in institutional ownership also yields larger values for Tobin's Q within three quarters and a higher return on assets within five quarters following an institutional ownership increase. Journal: Journal of Real Estate Portfolio Management Pages: 17-30 Issue: 1 Volume: 19 Year: 2013 Month: 1 X-DOI: 10.1080/10835547.2013.12089939 File-URL: http://hdl.handle.net/10.1080/10835547.2013.12089939 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:19:y:2013:i:1:p:17-30 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089940_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a 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: A Tale of Two Chinese Cities: The Dynamics of Beijing and Shanghai Office Markets Abstract: Executive Summary. We analyze office rental pricing and adjustment processes in two Chinese cities: Beijing and Shanghai. The study period covers 17 years from 1993 to 2009. We find that rents in the two cities responds to demand and supply variables in the long-run model. In the short-run model, the error correction term is correctly signed and statistically significant in all model scenarios; however, adjustment is slower than other major office centers. In the short-run models, the rental adjustment process in Shanghai is affected by both supply and demand; in Beijing, only the vacancy rate has significant impact on rental adjustment. We further test the differences in vacancy rates in the two cities and find that individual city components are statistically significant and different from each other. Shanghai has a lower price elasticity and higher income elasticity than Beijing. Journal: Journal of Real Estate Portfolio Management Pages: 31-47 Issue: 1 Volume: 19 Year: 2013 Month: 1 X-DOI: 10.1080/10835547.2013.12089940 File-URL: http://hdl.handle.net/10.1080/10835547.2013.12089940 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:19:y:2013:i:1:p:31-47 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089941_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Patrick Lecomte Author-X-Name-First: Patrick Author-X-Name-Last: Lecomte Title: Tiptoe Past The Dragon: Replicating and Hedging Chinese Direct Real Estate Abstract: Executive Summary. Despite the large volume of foreign direct investments in Chinese commercial real estate markets, there has been little academic research done to analyze and characterize the risk structure of Chinese commercial properties. This paper examines the risk characteristics of direct property investments in Chinese first-tier cities. It applies macro variable models to analyze the risk structure of office properties in Beijing, Shanghai, and Guangzhou. It then tests a selection of instruments that could be used by investors to hedge the risk of investing in these three markets. It concludes with recommendations that could help investors deal with the risk of direct investments in China's property markets. Journal: Journal of Real Estate Portfolio Management Pages: 49-72 Issue: 1 Volume: 19 Year: 2013 Month: 1 X-DOI: 10.1080/10835547.2013.12089941 File-URL: http://hdl.handle.net/10.1080/10835547.2013.12089941 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:19:y:2013:i:1:p:49-72 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089942_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Vaneesha Boney-Dutra Author-X-Name-First: Vaneesha Author-X-Name-Last: Boney-Dutra Author-Name: Hany Guirguis Author-X-Name-First: Hany Author-X-Name-Last: Guirguis Author-Name: Glenn Mueller Author-X-Name-First: Glenn Author-X-Name-Last: Mueller Title: Did Intraday Trading by Leveraged and Inverse Leveraged ETFs Create Excess Price Volatility? A Look at REITs and the Broad Market Abstract: Executive Summary. Leveraged exchange traded funds (ETFs) and inverse leveraged ETFs offer investors a multiple of the daily return on a specific stock index. This study examines whether the daily rebalancing activity associated with leveraged and inverse leveraged ETFs impacted the price volatility of real estate investment trusts (REITs) and the Dow Jones Index. We find that the daily rebalancing increased the price volatility of their underlying REIT stocks 75% of the time and broad market securities 69% of the time between July 2007 and October 2010; it also decreased the price volatility 25% and 31% of the time respectively. These impacts were especially significant during periods of high overall market volatility. The highest volatility occurred between June 2008 and May 2009. This volatility occurred between 12:00 PM and market close. In general, the volatility of REIT prices was twice the volatility of the broad market index over the July 2007 through October 2010 period. Journal: Journal of Real Estate Portfolio Management Pages: 1-16 Issue: 1 Volume: 19 Year: 2013 Month: 1 X-DOI: 10.1080/10835547.2013.12089942 File-URL: http://hdl.handle.net/10.1080/10835547.2013.12089942 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:19:y:2013:i:1:p:1-16 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089943_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Back Matter Journal: Journal of Real Estate Portfolio Management Pages: bmi-bmxix Issue: 1 Volume: 19 Year: 2013 Month: 1 X-DOI: 10.1080/10835547.2013.12089943 File-URL: http://hdl.handle.net/10.1080/10835547.2013.12089943 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:19:y:2013:i:1:p:bmi-bmxix Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089944_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Front Matter Journal: Journal of Real Estate Portfolio Management Pages: fmi-fmx Issue: 1 Volume: 19 Year: 2013 Month: 1 X-DOI: 10.1080/10835547.2013.12089944 File-URL: http://hdl.handle.net/10.1080/10835547.2013.12089944 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:19:y:2013:i:1:p:fmi-fmx Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089945_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Front Matter Journal: Journal of Real Estate Portfolio Management Pages: i-x Issue: 2 Volume: 19 Year: 2013 Month: 1 X-DOI: 10.1080/10835547.2013.12089945 File-URL: http://hdl.handle.net/10.1080/10835547.2013.12089945 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:19:y:2013:i:2:p:i-x Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089946_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Hugh Kelly Author-X-Name-First: Hugh Author-X-Name-Last: Kelly 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: Stephen Roulac Author-X-Name-First: Stephen Author-X-Name-Last: Roulac Title: Twenty-four Hour Cities and Commercial Office Building Performance Abstract: Executive Summary. Since the mid-1990s real estate experts have posited that so-called 24-hour cities would provide investors with superior risk-adjusted returns compared to 9-to-5 cities. This hypothesis, reportedly implemented by institutional investors, has not been examined rigorously until now. Hypothesized groupings of 24-hour and 9-to-5 cities (drawn from industry literature) are studied, against the background of the remaining 25 largest metro areas of the United States, and those groupings subjected to evaluation. Superior commercial real estate performance is observed in inflation-adjusted office rents, occupancy, and risk-adjusted return on office investment for the period 1987-2009, at the 0.01 level of statistical significance. Journal: Journal of Real Estate Portfolio Management Pages: 103-120 Issue: 2 Volume: 19 Year: 2013 Month: 1 X-DOI: 10.1080/10835547.2013.12089946 File-URL: http://hdl.handle.net/10.1080/10835547.2013.12089946 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:19:y:2013:i:2:p:103-120 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089947_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Claudio Giannotti Author-X-Name-First: Claudio Author-X-Name-Last: Giannotti Author-Name: Gianluca Mattarocci Author-X-Name-First: Gianluca Author-X-Name-Last: Mattarocci Title: Risk Measurement Choice in Selecting REITs: Evidence from the U.S. Market Abstract: Executive Summary. The returns of real estate investments trusts (REITs) in the United States are not normally distributed and should therefore not be analyzed using the standard mean-variance approach. In this paper, we compare REIT performance rankings based on the Sharpe ratio with those using risk-adjusted performance (RAP) measures that do not assume the normality of the return distribution. The results demonstrate that the rankings obtained by different risk measures are significantly correlated with the Sharpe measure but some of them can show a high degree of time persistence with respect to the Sharpe index. We also study the usefulness of RAP rankings in selecting REITs by comparing the results of a naïve diversified portfolio with those of portfolios concentrating on only the top REITs identified using different RAP measures. The results demonstrate that past information is useful in improving REIT portfolio performance and the choice to consider a more complex RAP measure can increase the yearly performance of investment strategy by around 1%–2%, especially for value-weighted portfolios and/or multiple-year horizons. Journal: Journal of Real Estate Portfolio Management Pages: 137-153 Issue: 2 Volume: 19 Year: 2013 Month: 1 X-DOI: 10.1080/10835547.2013.12089947 File-URL: http://hdl.handle.net/10.1080/10835547.2013.12089947 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:19:y:2013:i:2:p:137-153 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089948_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Vivek Sah Author-X-Name-First: Vivek Author-X-Name-Last: Sah Author-Name: Norman Miller Author-X-Name-First: Norman Author-X-Name-Last: Miller Author-Name: Biplab Ghosh Author-X-Name-First: Biplab Author-X-Name-Last: Ghosh Title: Are Green REITs Valued More? Abstract: Executive Summary. The growing popularity of corporate social responsibility amongst firms has led to an increase in sustainable initiatives across all sectors. While there has been evidence of benefits to owners of green buildings, the impact at the firm level for such investments is not commonly known. The objective of this study is to provide evidence on the question of financial benefits from strategic initiatives aimed at increasing ownership of greener buildings. We use real estate investment trusts (REITs) as investors/owners of properties to test if management initiatives result in higher firm value. Using a proxy for green initiatives by REITs, we find evidence of positive impact on firm value as measured by Tobin's q. Further, our results show that green REITs have a higher return on assets than their less-green peers. As an additional analysis, we find evidence of superior stock performance by green REITs over their non-green peers using Jensen's alpha as a measure. Journal: Journal of Real Estate Portfolio Management Pages: 169-177 Issue: 2 Volume: 19 Year: 2013 Month: 1 X-DOI: 10.1080/10835547.2013.12089948 File-URL: http://hdl.handle.net/10.1080/10835547.2013.12089948 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:19:y:2013:i:2:p:169-177 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089949_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Elena Bernhardt Author-X-Name-First: Elena Author-X-Name-Last: Bernhardt Author-Name: Andreas Kolbe Author-X-Name-First: Andreas Author-X-Name-Last: Kolbe Author-Name: Rudi Zagst Author-X-Name-First: Rudi Author-X-Name-Last: Zagst Title: Optimal Portfolios with Mortgage-backed Securities Abstract: Executive Summary. In this paper we consider portfolio optimization problems based on simulated scenarios and extend their usual application by including prepayment-sensitive fixed-rate agency mortgage-backed securities (MBS) into the universe of available assets. This has become feasible due to recent closed-form approximation approaches for the pricing of MBS, which have long been neglected in modern portfolio optimization applications due to the computational burden. In an empirical case study we show that an optimal asset allocation strategy with MBS is indeed able to substantially outperform strategies based on stocks and regular bonds only. Journal: Journal of Real Estate Portfolio Management Pages: 121-136 Issue: 2 Volume: 19 Year: 2013 Month: 1 X-DOI: 10.1080/10835547.2013.12089949 File-URL: http://hdl.handle.net/10.1080/10835547.2013.12089949 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:19:y:2013:i:2:p:121-136 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089950_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a 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: Investors' Opinion Divergence and the REIT Post-Repurchase Announcement Price Drift Abstract: Executive Summary. This study examines whether the divergence of opinions among investors is a significant determinant of the real estate investment trust (REIT) post-repurchase announcement price drift. We find that change in trading turnover, a proxy for divergence of investors' opinions, is negatively related to the REIT post-repurchase announcement returns. Alternative measures of opinion divergence such as change in risk and earnings surprises are not associated with the REIT long-term return anomaly. We also find that the signaling-delayed reaction and overreaction hypotheses cannot explain the REIT post-repurchase return price drift. In short, our results suggest that divergence of opinions among investors can help explain the REIT postrepurchase announcement returns. Journal: Journal of Real Estate Portfolio Management Pages: 155-168 Issue: 2 Volume: 19 Year: 2013 Month: 1 X-DOI: 10.1080/10835547.2013.12089950 File-URL: http://hdl.handle.net/10.1080/10835547.2013.12089950 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:19:y:2013:i:2:p:155-168 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089951_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Back Matter Journal: Journal of Real Estate Portfolio Management Pages: 178-199 Issue: 2 Volume: 19 Year: 2013 Month: 1 X-DOI: 10.1080/10835547.2013.12089951 File-URL: http://hdl.handle.net/10.1080/10835547.2013.12089951 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:19:y:2013:i:2:p:178-199 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089952_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Michael Mueller Author-X-Name-First: Michael Author-X-Name-Last: Mueller Author-Name: Andreas Pfnuer Author-X-Name-First: Andreas Author-X-Name-Last: Pfnuer Title: A Review of the Noise Trader Model Concerning the NAV Spread in REIT Pricing: Evidence from the Pan EU REIT Market Abstract: Executive Summary. This study investigates whether divergences between share prices and the net asset values (i.e., ‘‘NAV spreads’’) of real estate investment trusts (REITs) may be explained by irrational noise trader sentiment. In order to gain a solid foundation to this approach, we review the according noise trader model (NTM) by De Long, Shleifer, Summers, and Waldmann (1990) and Lee, Shleifer, and Thaler (1991) and test its premises. Our methods are predominantly determined by the primal NTM and concentrate on panel regression methodology. The results confirm that the model's premises are given in the context of the NAV spreads of REITs. Thus, the prices of REIT shares may reflect noise trader sentiment aside from fundamentals. Journal: Journal of Real Estate Portfolio Management Pages: 189-205 Issue: 3 Volume: 19 Year: 2013 Month: 1 X-DOI: 10.1080/10835547.2013.12089952 File-URL: http://hdl.handle.net/10.1080/10835547.2013.12089952 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:19:y:2013:i:3:p:189-205 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089953_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Wen-Yao Grace Wang Author-X-Name-First: Wen-Yao Grace Author-X-Name-Last: Wang Author-Name: Kris Knox Author-X-Name-First: Kris Author-X-Name-Last: Knox Author-Name: Gerald Hite Author-X-Name-First: Gerald Author-X-Name-Last: Hite Title: The Impact of Historical Designation on Property Values Before and Following Hurricane Ike: The Case of Galveston Texas Abstract: Executive Summary. The desire to preserve architectural heritage ensures that the historic districts continue to contribute to Galveston's economy. After Hurricane Ike, it became more challenging for homeowners in historic districts on Galveston Island to renovate damaged properties. A study of property values in Galveston, Texas indicates that increases in property values in historic districts were generally comparable to those in nonhistoric regions. Property values in the historic districts are less sensitive to negative macroeconomic shocks. In addition, property values that are above 95th percentile and below 5th percentile respond differently to macroeconomic shocks than those with average values. Journal: Journal of Real Estate Portfolio Management Pages: 225-234 Issue: 3 Volume: 19 Year: 2013 Month: 1 X-DOI: 10.1080/10835547.2013.12089953 File-URL: http://hdl.handle.net/10.1080/10835547.2013.12089953 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:19:y:2013:i:3:p:225-234 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089954_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Frontmatter Journal: Journal of Real Estate Portfolio Management Pages: fmi-fmx Issue: 3 Volume: 19 Year: 2013 Month: 1 X-DOI: 10.1080/10835547.2013.12089954 File-URL: http://hdl.handle.net/10.1080/10835547.2013.12089954 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:19:y:2013:i:3:p:fmi-fmx Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089955_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Richard Evans Author-X-Name-First: Richard Author-X-Name-Last: Evans Author-Name: Glenn Mueller Author-X-Name-First: Glenn Author-X-Name-Last: Mueller Title: Retail Real Estate Cycles as Markov Chains Abstract: Executive Summary. Commercial real estate markets across cities evolve with considerable risk with respect to variables such as rent levels and growth, occupancy levels and trends, capital market developments, and construction conditions. The complex patterns are more understandable with the help of the real estate cycle models reviewed here. Describing the future with a set of alternative cycle points and their anticipated probabilities is an application of a well-developed area of probability theory, Markov chain analysis. Numerical examples show how descriptions of cycle conditions in an initial period can be used to generate risk formatted descriptions of cycle conditions. The results are plausible descriptions of future risks. Standard Markov chain calculations allow the real estate cycle analyst to anticipate the proportion of quarters that a market will reside in each cycle point. Journal: Journal of Real Estate Portfolio Management Pages: 179-188 Issue: 3 Volume: 19 Year: 2013 Month: 1 X-DOI: 10.1080/10835547.2013.12089955 File-URL: http://hdl.handle.net/10.1080/10835547.2013.12089955 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:19:y:2013:i:3:p:179-188 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089956_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Henry Koon Nam Lee Author-X-Name-First: Henry Koon Nam Author-X-Name-Last: Lee Title: A Cointegration Analysis of Inflation and Real Estate Returns Abstract: Executive Summary. This study investigates the causal relationship between inflation and property returns and the short- and long-term inflation hedging effectiveness of property assets in Hong Kong. The results show that residential property is the only property type providing an effective hedge against actual, expected, and unexpected inflation during the sample period. The autoregressive distributed lag (ARDL) bounds testing results indicate that inflation and property are cointegrated. The causality results support that inflation leads property returns, but not vice versa. The one-way causality between inflation and real estate returns can be better explained by the operation of the Hong Kong currency board system as investment funds flow to the risky real estate assets from banking deposits due to the prospect of lower or even negative interest rates caused by rising inflation in Hong Kong. Journal: Journal of Real Estate Portfolio Management Pages: 207-223 Issue: 3 Volume: 19 Year: 2013 Month: 1 X-DOI: 10.1080/10835547.2013.12089956 File-URL: http://hdl.handle.net/10.1080/10835547.2013.12089956 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:19:y:2013:i:3:p:207-223 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089957_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Jeffery Bredthauer Author-X-Name-First: Jeffery Author-X-Name-Last: Bredthauer Author-Name: John Geppert Author-X-Name-First: John Author-X-Name-Last: Geppert Title: A Variance Decomposition Analysis of the Housing Bubble Abstract: Executive Summary. This study uses a variance ratio procedure derived from the Campbell-Shiller return decomposition to test for evidence of a bubble in housing returns for the period 1997 to 2007. Within a common vector auto regression (VAR), we find strong shared behavior in the cash flow derived returns of housing and equities. We conclude that economic fundamentals explain the increases in housing (and stock). This paper contributes to the literature by providing evidence against the commonly-held perception of a bubble in housing returns due to speculation, but rather evidence of price appreciation due to fundamental factors shared with equity markets. Journal: Journal of Real Estate Portfolio Management Pages: 235-253 Issue: 3 Volume: 19 Year: 2013 Month: 1 X-DOI: 10.1080/10835547.2013.12089957 File-URL: http://hdl.handle.net/10.1080/10835547.2013.12089957 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:19:y:2013:i:3:p:235-253 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089958_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Glenn Mueller Author-X-Name-First: Glenn Author-X-Name-Last: Mueller Author-Name: Jeffery Fisher Author-X-Name-First: Jeffery Author-X-Name-Last: Fisher Author-Name: D. Richard Wincott Author-X-Name-First: D. Richard Author-X-Name-Last: Wincott Title: Point of View: Benchmarking and Attracting Institutional Capital to Seniors Housing Journal: Journal of Real Estate Portfolio Management Pages: 255-263 Issue: 3 Volume: 19 Year: 2013 Month: 1 X-DOI: 10.1080/10835547.2013.12089958 File-URL: http://hdl.handle.net/10.1080/10835547.2013.12089958 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:19:y:2013:i:3:p:255-263 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089959_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Backmatter Journal: Journal of Real Estate Portfolio Management Pages: bmi-bmxxi Issue: 3 Volume: 19 Year: 2013 Month: 1 X-DOI: 10.1080/10835547.2013.12089959 File-URL: http://hdl.handle.net/10.1080/10835547.2013.12089959 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:19:y:2013:i:3:p:bmi-bmxxi Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089960_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Kimberly Luchtenberg Author-X-Name-First: Kimberly Author-X-Name-Last: Luchtenberg Author-Name: Michael Seiler Author-X-Name-First: Michael Author-X-Name-Last: Seiler Title: Did the Recent Financial Crisis Impact Integration between the Real Estate and Stock Markets? Abstract: We examine linkages between the real estate market and the stock market before and after the delisting of Lehman Brothers to determine if the recent financial crisis had an effect on the degree of integration between them. Using Granger causality tests, vector autoregression (VAR) models, and state space models, we find that real estate returns subsequently influence stock market returns, a unique result when compared to past financial crises, but consistent with recent findings of increased systematic risk in real estate investment trusts (REITs). We also find that some estimated transaction-based geographic/property type indices were less integrated with the stock market, which indicates that pure property indices may provide better portfolio diversification in the event of a real estate-related stock market downturn. These tests were made possible through the employment of a new daily transaction-based commercial real estate return series. Journal: Journal of Real Estate Portfolio Management Pages: 1-20 Issue: 1 Volume: 20 Year: 2014 Month: 1 X-DOI: 10.1080/10835547.2014.12089960 File-URL: http://hdl.handle.net/10.1080/10835547.2014.12089960 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:20:y:2014:i:1:p:1-20 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089961_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Pin-te Lin Author-X-Name-First: Pin-te Author-X-Name-Last: Lin Author-Name: Franz Fuerst Author-X-Name-First: Franz Author-X-Name-Last: Fuerst Title: Volatility Clustering, Risk-Return Relationship, and Asymmetric Adjustment in the Canadian Housing Market Abstract: In this study, we apply a Lagrange multiplier (LM) test for the autoregressive conditional heteroscedasticity (ARCH) effects and an exponential generalized autoregressive conditional heteroscedasticity-in-mean (EGARCH-M) model to assess whether regional house prices in Canada exhibit financial characteristics similar to stock indices. Volatility clustering, positive risk-return relationships, and leverage effects are empirically shown to exist in the majority of provincial housing markets of Canada. These volatility behaviors, which reflect regional idiosyncrasies, are further found to differ across provinces. More densely populated provinces exhibit stronger volatility clustering of house prices. The existence of these volatility patterns similar to stock indices has important implications ranging from proper portfolio management to government policy. Journal: Journal of Real Estate Portfolio Management Pages: 37-46 Issue: 1 Volume: 20 Year: 2014 Month: 1 X-DOI: 10.1080/10835547.2014.12089961 File-URL: http://hdl.handle.net/10.1080/10835547.2014.12089961 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:20:y:2014:i:1:p:37-46 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089962_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Back Matter Journal: Journal of Real Estate Portfolio Management Pages: 85-106 Issue: 1 Volume: 20 Year: 2014 Month: 1 X-DOI: 10.1080/10835547.2014.12089962 File-URL: http://hdl.handle.net/10.1080/10835547.2014.12089962 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:20:y:2014:i:1:p:85-106 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089963_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Hyun Seok Lee Author-X-Name-First: Hyun Seok Author-X-Name-Last: Lee Author-Name: John Corgel Author-X-Name-First: John Author-X-Name-Last: Corgel Author-Name: Seungwoo Shin Author-X-Name-First: Seungwoo Author-X-Name-Last: Shin Title: Estimating Net Operating Income Growth for Modeling U.S. Apartment Property Capitalization Rates Abstract: The properties of income-to-price ratios in asset markets have potentially far reaching implications for understanding investor behavior. Prevailing levels of commercial real estate (CRE) capitalization rates, similar to price/earnings ratios for stocks and owner equivalent rent-to-price relatives for houses, may foretell future investment returns and income growth rates. In CRE capitalization rate models, rent growth rates often proxy for the net operating income (NOI) growth rates. Empirical studies of capitalization rate predictive powers produce inconsistent results that may be due either to the use of these rent growth proxies, model misspecification, or both. We use a novel approach for generating NOI growth rate estimates that involves combining survey rent and the expense growth rates for U.S. apartments. Our GARCH analysis of the capitalization rate spread process using the estimated NOI growth rate produces theoretically consistent results. Importantly, we demonstrate efficiency gains from using our NOI growth rate estimates relative to traditional rent growth rate. Journal: Journal of Real Estate Portfolio Management Pages: 67-78 Issue: 1 Volume: 20 Year: 2014 Month: 1 X-DOI: 10.1080/10835547.2014.12089963 File-URL: http://hdl.handle.net/10.1080/10835547.2014.12089963 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:20:y:2014:i:1:p:67-78 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089964_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Emil Malizia Author-X-Name-First: Emil Author-X-Name-Last: Malizia Title: Point of View: Office Property Performance in Live-Work-Play Places Abstract: This analysis of central business districts (CBDs) and their suburban areas was inspired by the analysis of 24-hour cities by Kelly, Adair, McGreal, and Roulac (2013). The 44 cities are drawn from the 50 largest U.S. metro areas and include 24 of the 26 markets in the Kelly, Adair, McGreal, and Roulac article. Downtowns like the seven 24-hour cities offer live-workplay (LWP) environments that appear to be attracting young talent and tech-oriented companies. LWP places are compact, dense, connected, mixed use, diverse, and walkable with destinations, public spaces, and critical mass. Research conducted for NAIOP defined places with these features as ‘‘vibrant centers.’’ Subsequent work produced an index with nine face-valid measures of vibrancy for 65 cities. This analysis determines the extent to which the vibrancy index values are associated with the area-specific performance of office properties in these 44 large markets. The results indicate that strong associations do exist between downtown vibrancy and office property performance. Journal: Journal of Real Estate Portfolio Management Pages: 79-84 Issue: 1 Volume: 20 Year: 2014 Month: 1 X-DOI: 10.1080/10835547.2014.12089964 File-URL: http://hdl.handle.net/10.1080/10835547.2014.12089964 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:20:y:2014:i:1:p:79-84 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089965_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Front Matter Journal: Journal of Real Estate Portfolio Management Pages: 1-10 Issue: 1 Volume: 20 Year: 2014 Month: 1 X-DOI: 10.1080/10835547.2014.12089965 File-URL: http://hdl.handle.net/10.1080/10835547.2014.12089965 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:20:y:2014:i:1:p:1-10 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089966_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Paul Brockman Author-X-Name-First: Paul Author-X-Name-Last: Brockman Author-Name: Dan French Author-X-Name-First: Dan Author-X-Name-Last: French Author-Name: Chris Tamm Author-X-Name-First: Chris Author-X-Name-Last: Tamm Title: REIT Organizational Structure, Institutional Ownership, and Stock Performance Abstract: Research has shown that externally-advised equity real estate investment trusts (REITs) underperformed internally-advised REITs prior to 1993. We contend that an increase in monitoring by institutional investors beginning in 1993 would drive externally-advised REITs to mitigate problems associated with the external advisor relationship and improve performance. We confirm that externally-advised REITs performed poorly before 1993 and show that this under- performance does not persist in 1993 and later years. This performance improvement coincides with increases in institutional ownership of REIT stocks. We present evidence that supports the notion that monitoring by institutional investors helped equalize the performance of externally- and internally-advised REITs after 1993. Journal: Journal of Real Estate Portfolio Management Pages: 21-36 Issue: 1 Volume: 20 Year: 2014 Month: 1 X-DOI: 10.1080/10835547.2014.12089966 File-URL: http://hdl.handle.net/10.1080/10835547.2014.12089966 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:20:y:2014:i:1:p:21-36 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089967_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Kim Hin Ho Author-X-Name-First: Kim Hin Author-X-Name-Last: Ho Author-Name: Jingbo Sun Author-X-Name-First: Jingbo Author-X-Name-Last: Sun Title: Explaining Housing Market Dynamics within a Dynamic Factor Approach: Economic Interpretation and Estimation Abstract: The economic interpretation and model estimation of housing market dynamics in this study provide meaningful insights by focusing on housing assets and housing market illiquidity. The resulting generalized dynamic factor model enables us to capture unobservable forces such as expectation, uncertainty, and transaction cost to estimate housing market dynamics and time series variations in private housing prices. The empirical results support the existence of two common factors underlying Singapore's private housing market dynamics between 1988 and 2007. The private housing market-wide series, which is highly related to financial conditions, exhibits a high degree of commonality, and the explanatory power of the time series variation is higher when private housing prices are more volatile. Journal: Journal of Real Estate Portfolio Management Pages: 47-66 Issue: 1 Volume: 20 Year: 2014 Month: 1 X-DOI: 10.1080/10835547.2014.12089967 File-URL: http://hdl.handle.net/10.1080/10835547.2014.12089967 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:20:y:2014:i:1:p:47-66 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089968_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Brad Case Author-X-Name-First: Brad Author-X-Name-Last: Case Title: What Have 25 Years of Performance Data Taught Us About Private Equity Real Estate? Abstract: NCREIF has published performance data covering a 25-year historical period for institutional investments following core, value-add, and opportunistic strategies in private equity real estate assets. In this paper, I summarize salient observations regarding capital appreciation, income, fees and expenses, the income share of total return, the effects of cash reserves and leverage, net total returns, systematic risk, and risk-adjusted performance during five informative market periods: two severe real estate market downturns, one complete real estate bull market, and two incomplete bull market periods. The available data challenge several points of conventional wisdom regarding private equity real estate returns. Journal: Journal of Real Estate Portfolio Management Pages: 1-20 Issue: 1 Volume: 21 Year: 2015 Month: 1 X-DOI: 10.1080/10835547.2015.12089968 File-URL: http://hdl.handle.net/10.1080/10835547.2015.12089968 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:21:y:2015:i:1:p:1-20 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089969_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Alex Moss Author-X-Name-First: Alex Author-X-Name-Last: Moss Author-Name: Andrew Clare Author-X-Name-First: Andrew Author-X-Name-Last: Clare Author-Name: Steve Thomas Author-X-Name-First: Steve Author-X-Name-Last: Thomas Author-Name: James Seaton Author-X-Name-First: James Author-X-Name-Last: Seaton Title: Trend Following and Momentum Strategies for Global REITs Abstract: In this study, we investigate whether the risk-adjusted returns of a global REIT portfolio would be enhanced by adopting a trend following global strategy (which is an absolute concept sometimes known as absolute momentum), a momentum-based strategy (which is a relative concept and requires individual country allocations), or indeed a combination of the two. We examine the results in terms of both a dedicated global REIT exposure, and the impact on a multi-asset portfolio. We find that the main improvements arise when the broad index is replaced with one of the four trend following strategies. The portfolios deliver similar returns but volatility is reduced by up to a quarter to the 8%–9% range, the Sharpe ratios increase by 0.1 to 0.5 with the main benefit being the reduction in the maximum drawdown to under 30% compared to 43% when the broad index was used. We thus find that a combined momentum and trend following a global REIT strategy can be beneficial for both a dedicated REIT portfolio and adding REITs to a multi-asset portfolio. Journal: Journal of Real Estate Portfolio Management Pages: 21-31 Issue: 1 Volume: 21 Year: 2015 Month: 1 X-DOI: 10.1080/10835547.2015.12089969 File-URL: http://hdl.handle.net/10.1080/10835547.2015.12089969 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:21:y:2015:i:1:p:21-31 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089970_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: William Miles Author-X-Name-First: William Author-X-Name-Last: Miles Title: Contagion versus Interdependence Across Regional U.S. Housing Markets and Implications for RMBS Geographic Diversification Strategy Abstract: Home prices in the United States often exhibit little (and sometimes even negative) correlation across different regions. This reflects segmentation in the national housing market and also provides an apparent opportunity for investors to diversify their exposure to regional downturns by creating residential mortgage-backed securities (RMBSs) out of geographically dispersed home loans. Unfortunately, in a crisis, correlations may rise, and the benefits from geographical diversification may disappear just when investors most desire them. Using a flexible generalized autoregressive conditional heteroscedasticity (GARCH) technique, I find that regional correlations indeed rose dramatically during the latest downturn, in some cases to unprecedented levels. Moreover, this increase in co-movement was clearly financial contagion, and not merely interdependence. Investors in mortgage-backed and other housing securities should thus not rely on house price correlations calculated during “normal” times. Journal: Journal of Real Estate Portfolio Management Pages: 33-52 Issue: 1 Volume: 21 Year: 2015 Month: 1 X-DOI: 10.1080/10835547.2015.12089970 File-URL: http://hdl.handle.net/10.1080/10835547.2015.12089970 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:21:y:2015:i:1:p:33-52 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089971_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Nikolaos Antonakakis Author-X-Name-First: Nikolaos Author-X-Name-Last: Antonakakis Author-Name: Rangan Gupta Author-X-Name-First: Rangan Author-X-Name-Last: Gupta Author-Name: Christophe André Author-X-Name-First: Christophe Author-X-Name-Last: André Title: Dynamic Co-movements between Economic Policy Uncertainty and Housing Market Returns Abstract: The financial crisis that followed the meltdown of the U.S. subprime mortgage market and the subsequent Great Recession were characterized by exceptionally large falls in house prices, as well as unprecedented levels of economic uncertainty. Against this background, we examine dynamic correlations between housing market returns and the economic policy uncertainty (EPU) index developed by Baker, Bloom, and Davis (2012), controlling for economic and financial fundamentals. We find negative correlations throughout the 1987–2014 period. More importantly, correlations are time-varying and tend to increase sharply in times of high economic uncertainty, notably around U.S. recessions. This implies that tail risks, or the probability of unusually large losses for investors in real estate and related securities following spikes in uncertainty, are significant. Journal: Journal of Real Estate Portfolio Management Pages: 53-60 Issue: 1 Volume: 21 Year: 2015 Month: 1 X-DOI: 10.1080/10835547.2015.12089971 File-URL: http://hdl.handle.net/10.1080/10835547.2015.12089971 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:21:y:2015:i:1:p:53-60 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089972_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Bin Mei Author-X-Name-First: Bin Author-X-Name-Last: Mei Title: A Pure-Play Timberland Return Index Based On Securitized Timber Firms Abstract: Based on asset values of different business segments, I derive a pure-play timberland return index using monthly data of public timber firms for the 2010–2014 period. Returns on public timber firms are first unleveraged and then regressed on the holding percentages of each firm' assets in timber and non-timberland business segments. The regression provides pure-play portfolios with specified long and short positions in those public timber firms, with a minimum idiosyncratic volatility, that have pure exposure to the timberland business segment and eliminate all exposure to non-timberland segments. Results reveal that this pure-play index better depicts returns on securitized timberland assets and differs significantly from various NCREIF timberland indices in mean and variance, and that returns of public-market vehicles of timberland investments tend to lead private ones for about one quarter. Journal: Journal of Real Estate Portfolio Management Pages: 61-75 Issue: 1 Volume: 21 Year: 2015 Month: 1 X-DOI: 10.1080/10835547.2015.12089972 File-URL: http://hdl.handle.net/10.1080/10835547.2015.12089972 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:21:y:2015:i:1:p:61-75 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089973_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Muhammad Najib Razali Author-X-Name-First: Muhammad Najib Author-X-Name-Last: Razali Author-Name: Tien Foo Sing Author-X-Name-First: Tien Foo Author-X-Name-Last: Sing Title: Systematic Risk of Islamic REITs and Conventional REITs in Malaysia Abstract: In this paper, we evaluate the systematic risks of Islamic real estate investment trusts (REITs) and conventional REITs in Malaysia for the period from August 3, 2005 to December 19, 2014. Our results show that IREITs have lower systematic risks than other conventional REITs. The results are consistent when stochastic betas are estimated using time-varying coefficient models. We also find that new IREIT entry creates significant risk reduction effects for the conventional REIT markets. When we test the effects of the conversion of Axis REIT from a conventional REIT to an IREIT, we find that the systematic risks of Axis REIT significant reduce between the periods “before” and “after” the conversion. The findings imply that the lower betas of IREITs could protect IREIT investors against stock market volatilities that could not be diversified away. Journal: Journal of Real Estate Portfolio Management Pages: 77-92 Issue: 1 Volume: 21 Year: 2015 Month: 1 X-DOI: 10.1080/10835547.2015.12089973 File-URL: http://hdl.handle.net/10.1080/10835547.2015.12089973 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:21:y:2015:i:1:p:77-92 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089974_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Back Matter Journal: Journal of Real Estate Portfolio Management Pages: bmi-bmxxv Issue: 1 Volume: 21 Year: 2015 Month: 1 X-DOI: 10.1080/10835547.2015.12089974 File-URL: http://hdl.handle.net/10.1080/10835547.2015.12089974 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:21:y:2015:i:1:p:bmi-bmxxv Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089975_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Front Matter Journal: Journal of Real Estate Portfolio Management Pages: i-viii Issue: 1 Volume: 21 Year: 2015 Month: 1 X-DOI: 10.1080/10835547.2015.12089975 File-URL: http://hdl.handle.net/10.1080/10835547.2015.12089975 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:21:y:2015:i:1:p:i-viii Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089976_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Alexey Akimov Author-X-Name-First: Alexey Author-X-Name-Last: Akimov Author-Name: Elaine Hutson Author-X-Name-First: Elaine Author-X-Name-Last: Hutson Author-Name: Simon Stevenson Author-X-Name-First: Simon Author-X-Name-Last: Stevenson Title: The Interaction of Volatility, Volume and Skewness: Empirical Evidence from REITs Abstract: In this paper, we consider how trading volume impacts the first three moments of real estate investment trust (REIT) returns. Consistent with previous studies of the broader stock market, we find that volume is a significant factor with respect to both returns and volatility. We also find evidence supportive of Hong and Stein's (2003) Investor Heterogeneity Theory with respect to the finding that skewness in REIT index returns is significantly related to volume. Journal: Journal of Real Estate Portfolio Management Pages: 1-17 Issue: 1 Volume: 22 Year: 2016 Month: 1 X-DOI: 10.1080/10835547.2016.12089976 File-URL: http://hdl.handle.net/10.1080/10835547.2016.12089976 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:22:y:2016:i:1:p:1-17 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089977_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Lucia Gibilaro Author-X-Name-First: Lucia Author-X-Name-Last: Gibilaro Author-Name: Gianluca Mattarocci Author-X-Name-First: Gianluca Author-X-Name-Last: Mattarocci Title: Are Home-biased REITs Worthwhile? Abstract: Due to the unique features of each real estate investment opportunity, real estate investment trust (REIT) asset managers generally prefer to focus on domestic investments, for which they have more available information. While there is evidence of this trend in the U.S. market, there is little evidence in the rest of the world. In this paper, we examine a sample of geographically diversified REITs, focusing on the degree of home bias in different countries and compare the extra performance achieved by home-biased and non-home-biased REITs. The results show that home bias is more significant for certain countries and geographical areas and that home country portfolio concentration does not always imply higher average returns or a higher probability of return persistence. Journal: Journal of Real Estate Portfolio Management Pages: 19-30 Issue: 1 Volume: 22 Year: 2016 Month: 1 X-DOI: 10.1080/10835547.2016.12089977 File-URL: http://hdl.handle.net/10.1080/10835547.2016.12089977 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:22:y:2016:i:1:p:19-30 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089978_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Timothy A. Jones Author-X-Name-First: Timothy A. Author-X-Name-Last: Jones Author-Name: Justin D. Benefield Author-X-Name-First: Justin D. Author-X-Name-Last: Benefield Author-Name: Jocelyn Evans Author-X-Name-First: Jocelyn Author-X-Name-Last: Evans Title: Investment Opportunities for Private REITs and RELPs Bankrupt Properties: An Empirical Examination Abstract: This paper provides the first large-sample evidence on privately-held real estate firm bankruptcy asset sales within Chapter 7 and 11. Section 363(f) of the Bankruptcy Code authorizes a sale of property free and clear of any interest in such property. Using a unique dataset, we find that 65.9% of private real estate investment trusts (REITs) and real estate limited partnerships (RELPs) sell assets within bankruptcy. The results reveal that RELPs are liquidated and sold more often than REITs and the REITs that survive and avoid asset sales are those that have captive relationships with a parent corporation. Journal: Journal of Real Estate Portfolio Management Pages: 31-46 Issue: 1 Volume: 22 Year: 2016 Month: 1 X-DOI: 10.1080/10835547.2016.12089978 File-URL: http://hdl.handle.net/10.1080/10835547.2016.12089978 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:22:y:2016:i:1:p:31-46 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089979_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Daniel Huerta Author-X-Name-First: Daniel Author-X-Name-Last: Huerta Author-Name: Peter V. Egly Author-X-Name-First: Peter V. Author-X-Name-Last: Egly Author-Name: Diego Escobari Author-X-Name-First: Diego Author-X-Name-Last: Escobari Title: The Liquidity Crisis, Investor Sentiment, and REIT Returns and Volatility Abstract: The real estate investment trust (REIT) industry experienced a liquidity crisis resulting from reduced access to credit commitments as banks were restoring their balance sheets during the 2007–2009 financial crisis. Employing generalized autoregressive conditional heteroscedasticity (GARCH) models, we examine the impact of the liquidity crisis and investor sentiment on REIT returns and volatility over the December 2001 to February 2013 period. We find that the liquidity crisis negatively impacts REIT returns and helps explain increases in volatility; this finding is robust to multiple specifications. We show that investor sentiment is a significant factor in the REIT return-generating process with institutional sentiment playing a dominating role over individual sentiment; furthermore, institutional sentiment was the only relevant sentiment variable during liquidity crisis. Journal: Journal of Real Estate Portfolio Management Pages: 47-62 Issue: 1 Volume: 22 Year: 2016 Month: 1 X-DOI: 10.1080/10835547.2016.12089979 File-URL: http://hdl.handle.net/10.1080/10835547.2016.12089979 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:22:y:2016:i:1:p:47-62 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089980_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Hong Zhang Author-X-Name-First: Hong Author-X-Name-Last: Zhang Author-Name: Shuai Gao Author-X-Name-First: Shuai Author-X-Name-Last: Gao Author-Name: Michael J. Seiler Author-X-Name-First: Michael J. Author-X-Name-Last: Seiler Author-Name: Chen Jiawei Author-X-Name-First: Chen Author-X-Name-Last: Jiawei Title: Ownership Structure, Diversification, and Corporate Performance Based on Structural Equation Modeling Abstract: Instead of disparately measuring relations between pairs of two measurements, in this study we use structural equation modeling to simultaneously measure the intricate inter-relationships amongst ownership structure, diversification, and corporate performance. We find that ownership concentration is positively related to corporate performance, the degree of diversification and corporate performance are negatively related, and that when examining the mediator effect of diversification between ownership structure and corporate performance, corporations decrease diversification to maintain corporate value. Journal: Journal of Real Estate Portfolio Management Pages: 63-73 Issue: 1 Volume: 22 Year: 2016 Month: 1 X-DOI: 10.1080/10835547.2016.12089980 File-URL: http://hdl.handle.net/10.1080/10835547.2016.12089980 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:22:y:2016:i:1:p:63-73 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089981_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Richard D. Evans Author-X-Name-First: Richard D. Author-X-Name-Last: Evans Author-Name: Andrew G. Mueller Author-X-Name-First: Andrew G. Author-X-Name-Last: Mueller Title: Industrial Real Estate Cycles: Markov Chain Applications Abstract: Adding a stochastic element to a well-understood real estate cycle model offers opportunities like those seen in earlier such syntheses of real estate analysis and statistics. The discrete real estate cycle points in the model require a discrete probability model, here a first order Markov chain. Many statistical applications flow from the combined model. Three Markov chain count variables have obvious real estate cycle appeal. Staying time, first recurrence time, and first passage time already exist in the Markov chain literature but only staying time is in the real estate cycle literature. The most fundamental innovation is in probabilistic forecasting. Being able to describe real estate cycle risk, cycle point by cycle point many quarters ahead, could improve evaluation of prospects for property disposal. It is also a simple spreadsheet application to describe real estate cycle risks that influence cash flows from operations across four-quarter spans. Journal: Journal of Real Estate Portfolio Management Pages: 75-90 Issue: 1 Volume: 22 Year: 2016 Month: 1 X-DOI: 10.1080/10835547.2016.12089981 File-URL: http://hdl.handle.net/10.1080/10835547.2016.12089981 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:22:y:2016:i:1:p:75-90 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089982_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Lingxiao Li Author-X-Name-First: Lingxiao Author-X-Name-Last: Li Author-Name: Norman G. Miller Author-X-Name-First: Norman G. Author-X-Name-Last: Miller Title: Fat Tails, Skewed Losses, and Potential Risk Mitigation: Evidence from the Residential Mortgage Market Abstract: Evidence from the recent financial crisis brings into question the stability of risk management correlation assumptions and the effect this has on possible extreme outcomes. In this paper, we present evidence of unstable correlations between mortgage asset returns in recent years inhibiting any practical mean variance approach to portfolio diversification and risk management. Our findings suggest that returns on residential mortgage investments exhibit unusual levels of skewness and asymmetric dependence (higher correlations in downside markets). Incorporating higher-order return distribution moments in portfolio selection and diversification decisions is important to all investors concerned with fat tail risks. Optimizing portfolios from the standpoint of loss mitigation seems easy to achieve with careful geographic diversification, but deep recession loss correlations defy the longer term trends. For this reason, higher capital reserves or new hedging instruments are required to truly mitigate downside risk. Journal: Journal of Real Estate Portfolio Management Pages: 91-101 Issue: 1 Volume: 22 Year: 2016 Month: 1 X-DOI: 10.1080/10835547.2016.12089982 File-URL: http://hdl.handle.net/10.1080/10835547.2016.12089982 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:22:y:2016:i:1:p:91-101 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089983_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Back Matter Journal: Journal of Real Estate Portfolio Management Pages: bmi-bmxxv Issue: 1 Volume: 22 Year: 2016 Month: 1 X-DOI: 10.1080/10835547.2016.12089983 File-URL: http://hdl.handle.net/10.1080/10835547.2016.12089983 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:22:y:2016:i:1:p:bmi-bmxxv Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089984_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Front Matter Journal: Journal of Real Estate Portfolio Management Pages: i-viii Issue: 1 Volume: 22 Year: 2016 Month: 1 X-DOI: 10.1080/10835547.2016.12089984 File-URL: http://hdl.handle.net/10.1080/10835547.2016.12089984 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:22:y:2016:i:1:p:i-viii Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089985_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Simon Stevenson Author-X-Name-First: Simon Author-X-Name-Last: Stevenson Title: Introduction Journal: Journal of Real Estate Portfolio Management Pages: 103-103 Issue: 2 Volume: 22 Year: 2016 Month: 1 X-DOI: 10.1080/10835547.2016.12089985 File-URL: http://hdl.handle.net/10.1080/10835547.2016.12089985 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:22:y:2016:i:2:p:103-103 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089986_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: George D. Cashman Author-X-Name-First: George D. Author-X-Name-Last: Cashman Author-Name: David M. Harrison Author-X-Name-First: David M. Author-X-Name-Last: Harrison Author-Name: Michael J. Seiler Author-X-Name-First: Michael J. Author-X-Name-Last: Seiler Author-Name: Hainan Sheng Author-X-Name-First: Hainan Author-X-Name-Last: Sheng Title: Cross-Border Investment and Firm Liquidity Abstract: Executive Summary. We investigate the influence of interjurisdictional, geographic-based information barriers on the financial transparency and liquidity of real estate organizations across the Asia-Pacific region. Given both the unique regulatory distribution requirements across this industry and the capital-intensive nature of most real estate investment activities, firms within this market sector face unique, substantive financing concerns. As a consequence, financial transparency and liquidity are of increased importance to firms within this industry. Consistent with this paradigm, we find strong evidence that Asia-Pacific real estate firms facing enhanced levels of political risk and uncertainty are characterized by higher information barriers, and exhibit reduced financial market liquidity as measured by wider bid-ask spreads. Journal: Journal of Real Estate Portfolio Management Pages: 105-127 Issue: 2 Volume: 22 Year: 2016 Month: 1 X-DOI: 10.1080/10835547.2016.12089986 File-URL: http://hdl.handle.net/10.1080/10835547.2016.12089986 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:22:y:2016:i:2:p:105-127 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089987_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Bing Zhu Author-X-Name-First: Bing Author-X-Name-Last: Zhu Author-Name: Stanimira Milcheva Author-X-Name-First: Stanimira Author-X-Name-Last: Milcheva Title: Spatial Linkages in Listed Property Returns in Tranquil and Distressed Periods Abstract: Executive Summary. In this study, we use a dynamic spatial panel model to assess the degree of cross-country co-movement of the returns of listed property companies caused by economic, financial, and geographic closeness. We find that the asset-side exposure of banks best captures the comovements in returns and presents a channel of credit risk transmission across countries. During the Global Financial Crisis, asset-side bank exposure and foreign direct investment linkages contribute to a significant increase in the comovement of the returns of listed property companies through which liquidity and credit risk shocks may have been transmitted to asset prices internationally. Journal: Journal of Real Estate Portfolio Management Pages: 129-146 Issue: 2 Volume: 22 Year: 2016 Month: 1 X-DOI: 10.1080/10835547.2016.12089987 File-URL: http://hdl.handle.net/10.1080/10835547.2016.12089987 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:22:y:2016:i:2:p:129-146 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089988_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Lucia Gibilaro Author-X-Name-First: Lucia Author-X-Name-Last: Gibilaro Author-Name: Gianluca Mattarocci Author-X-Name-First: Gianluca Author-X-Name-Last: Mattarocci Title: Real Estate Exposure and Bank Share Price Synchronicity Abstract: Executive Summary. Opaque assets can affect the stock price dynamics of banks due to the lower amount of information available in the market. Real estate is considered an opaque asset but there is no evidence of the impact of real estate exposure on stock price dynamics. In this paper, we evaluate the effect of real estate exposure on bank price synchronicity for lenders with different exposures in real estate lending. The results show that exposure in the real estate sector can negatively affect the degree of synchronicity, but the risk of losses is lower for real estate banks even if the exposure to crash risk is almost the same with respect to other banks. If we consider diversified portfolios, investors more interested in real estate banks reduce their risk exposure by investing only in big players. Journal: Journal of Real Estate Portfolio Management Pages: 147-157 Issue: 2 Volume: 22 Year: 2016 Month: 1 X-DOI: 10.1080/10835547.2016.12089988 File-URL: http://hdl.handle.net/10.1080/10835547.2016.12089988 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:22:y:2016:i:2:p:147-157 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089989_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Jocelyn D. Evans Author-X-Name-First: Jocelyn D. Author-X-Name-Last: Evans Author-Name: Timothy Jones Author-X-Name-First: Timothy Author-X-Name-Last: Jones Author-Name: Garrett Mitchener Author-X-Name-First: Garrett Author-X-Name-Last: Mitchener Title: An Ownership Framework for Managers' Accelerated Seo Decisions: The Importance of Connected Institutional Investors in the REIT Industry Abstract: Executive Summary. In this paper, we present a mathematical simulation of a secondary equity offer (SEO) decision that captures the payoffs for investors with either low (e.g., actively managed funds) or high (e.g., passive index investors) monitoring costs. The calibrated solutions are consistent with overvalued SEOs being issued when institutions with high monitoring costs are present. Institutions with low monitoring costs either incentivize management to issue fairly priced SEOs or lead to greater ex post discipline of the CEO for value decreasing issuances. The existence of institutions with business relationships creates uncertainty regarding the value of SEOs. Ownership network alliances are beneficial. Journal: Journal of Real Estate Portfolio Management Pages: 159-178 Issue: 2 Volume: 22 Year: 2016 Month: 1 X-DOI: 10.1080/10835547.2016.12089989 File-URL: http://hdl.handle.net/10.1080/10835547.2016.12089989 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:22:y:2016:i:2:p:159-178 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089990_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Martin Hoesli Author-X-Name-First: Martin Author-X-Name-Last: Hoesli Author-Name: Elias Oikarinen Author-X-Name-First: Elias Author-X-Name-Last: Oikarinen Title: Are Public and Private Asset Returns and Risks the Same? Evidence from Real Estate Data Abstract: Executive Summary. Real estate constitutes a good laboratory to investigate the similarity of public and private asset returns and risks. We find evidence of a one-to-one long-term relation between public and private real estate performance. Also, the return volatilities do not differ significantly between the public and private markets regardless of investment horizon. The findings have important implications for portfolio management: (1) public and private real estate are close substitutes in a portfolio with a several-year investment horizon and (2) public real estate-related ETFs and derivatives are useful to hedge risks associated with direct real estate holdings or lenders' mortgage inventory. Journal: Journal of Real Estate Portfolio Management Pages: 179-198 Issue: 2 Volume: 22 Year: 2016 Month: 1 X-DOI: 10.1080/10835547.2016.12089990 File-URL: http://hdl.handle.net/10.1080/10835547.2016.12089990 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:22:y:2016:i:2:p:179-198 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089991_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Richard D. Evans Author-X-Name-First: Richard D. Author-X-Name-Last: Evans Author-Name: Andrew Glenn Mueller Author-X-Name-First: Andrew Glenn Author-X-Name-Last: Mueller Title: Forecasting Real Estate Cycle Risks in Portfolios of Office Properties Across Cities Abstract: Executive Summary. Relatively low-level Markov chain methods and widely available information allow this extension of real estate cycle risk analysis to office portfolios across cities initially in different cycle conditions. Examples include evaluation of cycle conditions at the end of a holding period and for cash flows from operations across a span of quarters. Standard spreadsheet functions serve to provide examples of changes in real estate cycle prospects, including before/after changes in portfolio weights, applying mean-variance dominance, mean-semivariance dominance, and stochastic dominance analysis. Journal: Journal of Real Estate Portfolio Management Pages: 199-215 Issue: 2 Volume: 22 Year: 2016 Month: 1 X-DOI: 10.1080/10835547.2016.12089991 File-URL: http://hdl.handle.net/10.1080/10835547.2016.12089991 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:22:y:2016:i:2:p:199-215 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089992_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Back Matter Journal: Journal of Real Estate Portfolio Management Pages: bmi-bmxxiii Issue: 2 Volume: 22 Year: 2016 Month: 1 X-DOI: 10.1080/10835547.2016.12089992 File-URL: http://hdl.handle.net/10.1080/10835547.2016.12089992 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:22:y:2016:i:2:p:bmi-bmxxiii Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089993_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Front Matter Journal: Journal of Real Estate Portfolio Management Pages: fmi-fmviii Issue: 2 Volume: 22 Year: 2016 Month: 1 X-DOI: 10.1080/10835547.2016.12089993 File-URL: http://hdl.handle.net/10.1080/10835547.2016.12089993 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:22:y:2016:i:2:p:fmi-fmviii Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089994_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Stephen Lee Author-X-Name-First: Stephen Author-X-Name-Last: Lee Title: Mind the Gap in REITs Abstract: Executive Summary. Portfolio diversification is a fundamental tenet of modern portfolio theory. Statman and Scheid (2008), however, argue that while correlation is the common indicator of diversification, correlation coefficients alone do not provide an intuitive indicator of diversification benefits. The authors demonstrate that portfolio diversification also depends on the standard deviation of asset returns and introduce the idea of return gap. Return gap is basically a gap between the returns of two assets. Statman and Scheid (2008) conclude that “the relative ranks of assets by benefits of diversification are quite different when measured by correlation and by return gap.” I investigate this claim in the U.S. real estate investment trust (REIT) industry using monthly data from January 1994 to December 2014. I find that, while correlation coefficients suggest little diversification benefits within the REIT sector, return gaps indicate that there still is scope for diversification across REITs, even during down markets and periods of financial crisis. Journal: Journal of Real Estate Portfolio Management Pages: 1-5 Issue: 1 Volume: 23 Year: 2017 Month: 1 X-DOI: 10.1080/10835547.2017.12089994 File-URL: http://hdl.handle.net/10.1080/10835547.2017.12089994 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:23:y:2017:i:1:p:1-5 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089995_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Hong Zhang Author-X-Name-First: Hong Author-X-Name-Last: Zhang Author-Name: Shuai Gao Author-X-Name-First: Shuai Author-X-Name-Last: Gao Author-Name: Michael J. Seiler Author-X-Name-First: Michael J. Author-X-Name-Last: Seiler Title: Positioning of China's Real Estate Industry Based on Input-Output Analysis Abstract: Executive Summary. By way of input-output analysis, we express China's real estate industry position in terms of its industry linkage effect, industry spread effect, and industry clusters division. Using China's 42 sector input-output table, related economic indexes are quantitatively examined. From an industry linkage effect standpoint, the direct driving force from the real estate industry primarily acts on the tertiary industry and is the total driving force behind the secondary industry. Direct pulling power uniformly applies to both the secondary and tertiary industries, and total pulling power mainly acts on the secondary industry. As far as the industry spread effect is concerned, China's real estate industry shows a slight pulling effect and a promotional effect on the national economy. Based on an industry clusters divisional analysis, the real estate industry in China is a final demand and basic industry. Journal: Journal of Real Estate Portfolio Management Pages: 21-33 Issue: 1 Volume: 23 Year: 2017 Month: 1 X-DOI: 10.1080/10835547.2017.12089995 File-URL: http://hdl.handle.net/10.1080/10835547.2017.12089995 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:23:y:2017:i:1:p:21-33 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089996_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Yun W. Park Author-X-Name-First: Yun W. Author-X-Name-Last: Park Title: An Exploratory Study of Agency Costs of Sponsored REITs in Singapore, Hong Kong, and Japan Abstract: Executive Summary. Singapore, Hong Kong, and Japan, which are the three most active real estate investment trust (REIT) markets in Asia, follow the external REIT model, which is typically tied to a sponsor. In this study, I examine the agency costs in the sponsored REITs of the Asian Big 3 REIT markets in an effort to understand the conflicts of interest in the sponsored REITs of the Asian Big 3. The overall evidence indicates that the agency costs of the sponsored REITs in the Asian Big 3 are not severe compared to the REITs in more mature markets, REITs elsewhere in the world, as well as real estate operating companies (REOCs) in their own national markets, suggesting that sponsored REITs in the Asian Big 3 emulate the internally advised REITs in response to market pressure. Journal: Journal of Real Estate Portfolio Management Pages: 35-49 Issue: 1 Volume: 23 Year: 2017 Month: 1 X-DOI: 10.1080/10835547.2017.12089996 File-URL: http://hdl.handle.net/10.1080/10835547.2017.12089996 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:23:y:2017:i:1:p:35-49 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089997_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: William Miles Author-X-Name-First: William Author-X-Name-Last: Miles Title: Home Value and Equity Co-Movement: A Dynamic Approach for G-7 Countries Abstract: Executive Summary. Although both housing and stock values have been studied for their impacts on consumer spending, as well as their effects on financial institutions, capital spending, and the macroeconomy, there have been few studies on how the two assets co-move. In this study, I apply the dynamic conditional correlation (DCC) generalized autoregressive conditional heteroscedasticity (GARCH) model to housing and stock values in the G-7 countries (except Japan, where time series properties inhibit parameter convergence). I find that correlations increased sharply after the 2007 crisis, and that co-movement spiked during the recessions of the 1980s. This indicates that the financial turmoil of a contraction pushes returns on the two assets closer together (and down). Real estate investors and other financial institutions with exposure to both markets will want to prepare and set capital and liquidity standards with the potential for such a “double hit” in mind. Journal: Journal of Real Estate Portfolio Management Pages: 51-71 Issue: 1 Volume: 23 Year: 2017 Month: 1 X-DOI: 10.1080/10835547.2017.12089997 File-URL: http://hdl.handle.net/10.1080/10835547.2017.12089997 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:23:y:2017:i:1:p:51-71 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089998_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Michael Giliberto Author-X-Name-First: Michael Author-X-Name-Last: Giliberto Author-Name: David Shulman Author-X-Name-First: David Author-X-Name-Last: Shulman Title: On the Interest Rate Sensitivity of REITs: Evidence from Twenty Years of Daily Data Abstract: Executive Summary. In this study, we evaluate interest rate sensitivity for equity real estate investment trusts (REITs) using a multi-factor asset pricing model estimated with daily data. We utilize yield changes and, as an alternative, bond betas, to measure REITs' sensitivity to interest rate shifts.We find that the degree of interest rate sensitivity varies over time, has switched direction, and that any “pure” effect is often subsumed in equity REITs beta against stocks. Despite recent high sensitivity, we conclude that there is no long-run predictive rule that applies to how equity REIT returns respond to movements in interest rates. Journal: Journal of Real Estate Portfolio Management Pages: 7-20 Issue: 1 Volume: 23 Year: 2017 Month: 1 X-DOI: 10.1080/10835547.2017.12089998 File-URL: http://hdl.handle.net/10.1080/10835547.2017.12089998 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:23:y:2017:i:1:p:7-20 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12089999_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Mohsen Bahmani-Oskooee Author-X-Name-First: Mohsen Author-X-Name-Last: Bahmani-Oskooee Author-Name: Seyed Hesam Ghodsi Author-X-Name-First: Seyed Hesam Author-X-Name-Last: Ghodsi Title: Policy Uncertainty and House Prices in the United States Abstract: Executive Summary. Previous research has either relied on a time series model or a panel model to establish cointegration between house prices and their main determinants, such as a measure of household income and a measure of interest rates. The findings are mixed but mostly lean toward rejecting cointegration between house prices and economic fundamentals. None of the studies included a measure policy uncertainty in their models. We include a measure of policy uncertainty in our model and use the bounds testing approach for cointegration and error-correction modeling. We find that policy uncertainty has short-run and mostly negative effects on house prices in 24 states. The short-run effects last into the long run in 17 states. Furthermore, cointegration is established in 35 states. Journal: Journal of Real Estate Portfolio Management Pages: 73-85 Issue: 1 Volume: 23 Year: 2017 Month: 1 X-DOI: 10.1080/10835547.2017.12089999 File-URL: http://hdl.handle.net/10.1080/10835547.2017.12089999 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:23:y:2017:i:1:p:73-85 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12090000_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Hugh Kelly Author-X-Name-First: Hugh Author-X-Name-Last: Kelly Author-Name: Emil Malizia Author-X-Name-First: Emil Author-X-Name-Last: Malizia Title: Defining 24-Hour and 18-Hour Cities, Assessing Their Vibrancy, and Evaluating Their Property Performance Abstract: Executive Summary. Indicators originally used to define 24-hour cities are updated to redefine 24-hour cities in the United States. From the sample of 42 large cities, we identify six 24-hour cities and nine 18-hour cities. The six 24-hour cities (Tier I), nine 18-hour cities (Tier II), and 27 9-to-5 cities (Tier III) are compared. For office properties, investment performance indicators correspond in rank order to Tiers I–III. For apartments, however, the results are less consistent. Dislocations in housing markets over the past decade have prompted a notable investor preference for multifamily investment in Tier II and Tier III markets during the recovery from the Global Financial Crisis. Journal: Journal of Real Estate Portfolio Management Pages: 87-103 Issue: 1 Volume: 23 Year: 2017 Month: 1 X-DOI: 10.1080/10835547.2017.12090000 File-URL: http://hdl.handle.net/10.1080/10835547.2017.12090000 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:23:y:2017:i:1:p:87-103 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12090001_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Back Matter Journal: Journal of Real Estate Portfolio Management Pages: bmi-bmxxiii Issue: 1 Volume: 23 Year: 2017 Month: 1 X-DOI: 10.1080/10835547.2017.12090001 File-URL: http://hdl.handle.net/10.1080/10835547.2017.12090001 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:23:y:2017:i:1:p:bmi-bmxxiii Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12090002_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Front Matter Journal: Journal of Real Estate Portfolio Management Pages: fmi-fmviii Issue: 1 Volume: 23 Year: 2017 Month: 1 X-DOI: 10.1080/10835547.2017.12090002 File-URL: http://hdl.handle.net/10.1080/10835547.2017.12090002 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:23:y:2017:i:1:p:fmi-fmviii Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12090003_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Charles F. Beauchamp Author-X-Name-First: Charles F. Author-X-Name-Last: Beauchamp Author-Name: William G. Hardin Author-X-Name-First: William G. Author-X-Name-Last: Hardin Author-Name: Patrick A. Lach Author-X-Name-First: Patrick A. Author-X-Name-Last: Lach Title: Quiet Period Reit Returns Abstract: Excess returns around the expiration of the IPO quiet period documented for industrial IPOs are minimal for REITs, supporting the argument that REITs are more transparent than other firms. The existence of analyst coverage impacts quiet period returns for REITs only during the pre-bubble period when coverage is less comprehensive. The frequency of analyst recommendations issued immediately after the quiet period for REITs is lower than for industrial IPOs, which again suggests greater REIT transparency since there is an implied lower need for coverage. Recommendations in number and in simple buy or sell categorization have a slight impact on returns. With marginal statistical significance, the small number of firms followed by four or more analysts posts excess returns while the very small number of firms with no buy recommendations posts negative excess returns. Journal: Journal of Real Estate Portfolio Management Pages: 1-18 Issue: 1 Volume: 24 Year: 2018 Month: 1 X-DOI: 10.1080/10835547.2018.12090003 File-URL: http://hdl.handle.net/10.1080/10835547.2018.12090003 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:24:y:2018:i:1:p:1-18 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12090004_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Dustin C. Read Author-X-Name-First: Dustin C. Author-X-Name-Last: Read Author-Name: Andrew R. Sanderford Author-X-Name-First: Andrew R. Author-X-Name-Last: Sanderford Title: Sustaining Sustainability in Large Real Estate Investment Management Firms Abstract: In this exploratory paper, we examine real estate managerial decisions; specifically, who is responsible in large real estate investment management for sustaining sustainability at the firm and asset operational level. These decisions are distinct from the acquisition of sustainable buildings. We employ 93 semi-structured interviews conducted with professionals at direct lenders, executive search firms, life insurance companies, owner-operators, private equity funds, publicly-traded REITs, third-party real estate service firms, and tax credit syndicators. Results indicate five unique approaches to sustaining sustainability at the asset and firm level: corporate, property manager, asset manager, and consultant driven, as well as stand-alone strategies. Further, interviewees suggest that the value proposition of sustainability initiatives can be enhanced through management collaboration to leverage unique data streams. Journal: Journal of Real Estate Portfolio Management Pages: 19-33 Issue: 1 Volume: 24 Year: 2018 Month: 1 X-DOI: 10.1080/10835547.2018.12090004 File-URL: http://hdl.handle.net/10.1080/10835547.2018.12090004 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:24:y:2018:i:1:p:19-33 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12090005_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Pawan Jain Author-X-Name-First: Pawan Author-X-Name-Last: Jain Author-Name: Spenser J. Robinson Author-X-Name-First: Spenser J. Author-X-Name-Last: Robinson Title: Do Large-Scale Owners Enjoy Brand-Induced Premiums? Abstract: In this paper, we examine the impact of large-scale ownership on commercial real estate rent and selling price premiums. We also examine whether ENERGY STAR premiums found in the literature are a result of a signal for an ownership brand effect rather than the label itself. The results suggest that large-scale owners generate significant market rental premiums, indicating a potential brand effect. The effect of sales prices is mixed when buyers manage the property. We argue that large scale owners create a brand effect by reducing information asymmetry in the commercial real estate leasing market. The results show that the price and rental premiums associated with the ENERGY STAR designation might signal the brand effect to the market. Journal: Journal of Real Estate Portfolio Management Pages: 35-49 Issue: 1 Volume: 24 Year: 2018 Month: 1 X-DOI: 10.1080/10835547.2018.12090005 File-URL: http://hdl.handle.net/10.1080/10835547.2018.12090005 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:24:y:2018:i:1:p:35-49 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12090006_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Michael E. Drew Author-X-Name-First: Michael E. Author-X-Name-Last: Drew Author-Name: Adam N. Walk Author-X-Name-First: Adam N. Author-X-Name-Last: Walk Author-Name: Jason West Author-X-Name-First: Jason Author-X-Name-Last: West Title: Time Variation in the Allocation to Real Estate Assets through the Life Cycle Abstract: We investigate the performance of allocations to public and private real estate using dynamic retirement portfolio strategies. Our approach frames asset allocation decisions to real estate with the primary objective of maximizing retirement outcomes. The main innovation in this paper is that allocations to listed and unlisted real estate are formally incorporated into a dynamic framework that can be implemented by defined contribution (DC) retirement plans. We demonstrate that the time-variant characteristics of real estate as an asset class can be systematically exploited to improve the risk-return trade-offs in retirement portfolios through the lifecycle of a DC plan member. Journal: Journal of Real Estate Portfolio Management Pages: 51-64 Issue: 1 Volume: 24 Year: 2018 Month: 1 X-DOI: 10.1080/10835547.2018.12090006 File-URL: http://hdl.handle.net/10.1080/10835547.2018.12090006 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:24:y:2018:i:1:p:51-64 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12090007_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Omokolade Akinsomi Author-X-Name-First: Omokolade Author-X-Name-Last: Akinsomi Author-Name: Yener Coskun Author-X-Name-First: Yener Author-X-Name-Last: Coskun Author-Name: Rangan Gupta Author-X-Name-First: Rangan Author-X-Name-Last: Gupta Title: Analysis of Herding in Reits of an Emerging Market: The Case of Turkey Abstract: In this paper, we examine herding behavior in Turkish REITs (TREITs) by using daily closing prices over the period from 07/1/2007 to 05/30/2016. To the best of our knowledge, we are the first to examine the herding behavior in TREITs by utilizing Chang, Cheng, and Khorana's (2000) methodology. Our results indicate herding behavior, the presence of directional asymmetry, and a linear relation between volatility and herding. The evidence also suggests that herding is a persistent phenomenon and increases during market stress. We also find transition periods in both with/without asymmetry term models. Our findings suggest critical implications for portfolio managers and supervisors dealing with the behavioral aspects of irrationality arising from herding behaviors in emerging stock markets and TREITs. Journal: Journal of Real Estate Portfolio Management Pages: 65-81 Issue: 1 Volume: 24 Year: 2018 Month: 1 X-DOI: 10.1080/10835547.2018.12090007 File-URL: http://hdl.handle.net/10.1080/10835547.2018.12090007 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:24:y:2018:i:1:p:65-81 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12090008_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Steven P. Rich Author-X-Name-First: Steven P. Author-X-Name-Last: Rich Author-Name: John T. Rose Author-X-Name-First: John T. Author-X-Name-Last: Rose Author-Name: Charles J. Delaney Author-X-Name-First: Charles J. Author-X-Name-Last: Delaney Title: Net Present Value Analysis in Finance and Real Estate: A Clash of Methodologies Abstract: While the finance discipline focuses on the added value of a capital investment project to the firm's assets (NPVA), the real estate discipline typically looks at the impact on the firm's equity investors (NPVE). The two approaches will generate the same value provided that the project and the firm are equally leveraged. However, if the project's capital structure differs from that of the firm, NPVE will differ from NPVA. This study explores the effect of different capital structures for the project and the firm in three scenarios—a single-year project, a project generating a single cash flow multiple years into the future, and a project generating multi-year cash flows— and the resultant discrepancy between NPVE and NPVA. Using two adjustment routes, we show that NPVE can be recalculated to equal NPVA in each scenario, although the adjustment process is complicated, particularly in the more complex scenarios. Journal: Journal of Real Estate Portfolio Management Pages: 83-94 Issue: 1 Volume: 24 Year: 2018 Month: 1 X-DOI: 10.1080/10835547.2018.12090008 File-URL: http://hdl.handle.net/10.1080/10835547.2018.12090008 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:24:y:2018:i:1:p:83-94 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12090009_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Alain Coën Author-X-Name-First: Alain Author-X-Name-Last: Coën Author-Name: Patrick Lecomte Author-X-Name-First: Patrick Author-X-Name-Last: Lecomte Author-Name: Dorra Abdelmoula Author-X-Name-First: Dorra Author-X-Name-Last: Abdelmoula Title: The Financial Performance of Green Reits Revisited Abstract: The aim of this paper is to compare the financial performance of “green” and “non-green” U.S. REITs from January 2010 to February 2016 using risk-adjusted performance measures based on multi-factor models. First, we use performance measures (including the generalized Treynor ratio) able to capture the variety of systematic risk sources related to real estate. Second, we implement unbiased estimators to correct for the econometric bias induced by errors-in-variables (EIV) in asset pricing models. Third, to check the robustness of our results, we apply the methodology of Getmansky, Lo, and Makarov (2004) to deal with the problem of illiquidity. With these different adjustments, we analyze the relative performance of green U.S. REITs. Our results show that non-green U.S. REITs tend to perform better during this period than green REITs. Journal: Journal of Real Estate Portfolio Management Pages: 95-105 Issue: 1 Volume: 24 Year: 2018 Month: 1 X-DOI: 10.1080/10835547.2018.12090009 File-URL: http://hdl.handle.net/10.1080/10835547.2018.12090009 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:24:y:2018:i:1:p:95-105 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12090010_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Back Matter Journal: Journal of Real Estate Portfolio Management Pages: bmi-bmxxiii Issue: 1 Volume: 24 Year: 2018 Month: 1 X-DOI: 10.1080/10835547.2018.12090010 File-URL: http://hdl.handle.net/10.1080/10835547.2018.12090010 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:24:y:2018:i:1:p:bmi-bmxxiii Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12090011_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Front Matter Journal: Journal of Real Estate Portfolio Management Pages: fmi-fmviii Issue: 1 Volume: 24 Year: 2018 Month: 1 X-DOI: 10.1080/10835547.2018.12090011 File-URL: http://hdl.handle.net/10.1080/10835547.2018.12090011 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:24:y:2018:i:1:p:fmi-fmviii Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12090012_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a 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 Title: The Performance of REIT Acquirers in the Post-Merger Period Abstract: Mergers and acquisitions (M&As) are a feature of modern economies. However, research on conventional bidding firms in M&As has shown, on average, shareholders are worse off in the long-run (Alexandridis, Mavrovitis, and Travlos, 2012). We examine the long-term post-merger performance of U.S. equity real estate investment trusts (REITs) to see whether this underperformance extends to the largest REIT sector in the world. In contrast to the earlier REIT data samples used by Campbell, Giambona, and Sirmans (2009), we find, prior to the macroeconomic event of the financial crisis, that existing shareholders of bidding firms earn significant and positive abnormal returns. This outcome supports the synergy motive for M&As in the REIT sector. Results from announcements occurring after the onset of the financial crisis show signs of negative and significant abnormal returns, suggesting these M&As were driven by the agency and/or hubris motive. Journal: Journal of Real Estate Portfolio Management Pages: 107-120 Issue: 2 Volume: 24 Year: 2018 Month: 1 X-DOI: 10.1080/10835547.2018.12090012 File-URL: http://hdl.handle.net/10.1080/10835547.2018.12090012 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:24:y:2018:i:2:p:107-120 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12090013_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Mohsen Bahmani-Oskooee Author-X-Name-First: Mohsen Author-X-Name-Last: Bahmani-Oskooee Author-Name: Tsung-Pao Wu Author-X-Name-First: Tsung-Pao Author-X-Name-Last: Wu Title: On The Relation Between Housing and Stock Markets in 18 OECD Countries: A Bootstrap Panel Causality Test Abstract: We apply a bootstrap panel Granger causality test to examine the causal relation between the housing market and the stock market across 18 OECD countries for the period from 1993:Q1 to 2015:Q4, which accounts for both dependency and heterogeneity across regions. The results provide evidence for the credit-price effect in Belgium and Japan. The wealth effect is supported in Australia, Canada, France, Greece, Portugal, South Korea, Spain, Sweden, and the United Kingdom. A feedback effect was found in Ireland, Italy, Netherlands, and the United States and finally, the neutrality effect was supported in Denmark, Finland, and Germany. Journal: Journal of Real Estate Portfolio Management Pages: 121-133 Issue: 2 Volume: 24 Year: 2018 Month: 1 X-DOI: 10.1080/10835547.2018.12090013 File-URL: http://hdl.handle.net/10.1080/10835547.2018.12090013 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:24:y:2018:i:2:p:121-133 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12090014_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Mark K. Pyles Author-X-Name-First: Mark K. Author-X-Name-Last: Pyles Author-Name: Hinh D. Khieu Author-X-Name-First: Hinh D. Author-X-Name-Last: Khieu Title: Financial Constraint and Cash Holdings in the REIT Industry Abstract: We extend the line of research on the influence of financial constraint on REIT cash holdings and their market value. We measure constraint with a wide variety of traditional proxies in an effort to determine if previous results hold and provide guidance on the use of these constraint measures in REIT studies. We confirm, consistent with both expectation and the literature, that constrained firms hold more cash than their unconstrained counterparts. However, contrary to previous works, we find little evidence that traditional measures of constraint play a role in the market value of cash. Further, our results suggest that the method of measuring constraint should be carefully considered when applying to the REIT industry. In particular, the KZ index provides results that differ substantially from those of other criteria. Journal: Journal of Real Estate Portfolio Management Pages: 135-150 Issue: 2 Volume: 24 Year: 2018 Month: 1 X-DOI: 10.1080/10835547.2018.12090014 File-URL: http://hdl.handle.net/10.1080/10835547.2018.12090014 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:24:y:2018:i:2:p:135-150 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12090015_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Sally Monson Author-X-Name-First: Sally Author-X-Name-Last: Monson Author-Name: Helen X.H. Bao Author-X-Name-First: Helen X.H. Author-X-Name-Last: Bao Author-Name: Colin Lizieri Author-X-Name-First: Colin Author-X-Name-Last: Lizieri Title: A Behavioral Interpretation of the NAV Discount Puzzle in Listed Real Estate Companies Abstract: The net asset value (NAV) discount is a long standing puzzle in the listed real estate context. In this paper, we extend the literature's rational and noise trader explanations by exploring the influence of specific irrational behaviors. Based on behavioral biases identified in the stock and real estate markets, we hypothesize the existence of a relation between lagged NAV growth and the NAV discount. The findings provide initial evidence of trend-chasing behavior between the dual real estate markets. The results have broader implications for the perception of the relation between public and private real estate markets. Journal: Journal of Real Estate Portfolio Management Pages: 151-165 Issue: 2 Volume: 24 Year: 2018 Month: 1 X-DOI: 10.1080/10835547.2018.12090015 File-URL: http://hdl.handle.net/10.1080/10835547.2018.12090015 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:24:y:2018:i:2:p:151-165 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12090016_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Nina Rogers Author-X-Name-First: Nina Author-X-Name-Last: Rogers Author-Name: Margie Tieslau Author-X-Name-First: Margie Author-X-Name-Last: Tieslau Author-Name: Imre Karafiath Author-X-Name-First: Imre Author-X-Name-Last: Karafiath Title: Significant Alphas in Real Estate Funds: An Empirical Comparison of Alternative Estimators Abstract: Real estate returns recurrently show heteroscedasticity. Using Jensen's alpha as a measure of risk-adjusted returns, we compare test statistic sensitivity to alternative estimates of the standard errors. Utilizing several robust estimators, we find the wild bootstrap consistently provides the most conservative result in real estate mutual funds and REITs. Surprisingly, the Newey-West standard error increases the percentage of REITs exhibiting significant alphas. Sensitivity to specification error in the model is examined. Explanatory variables failed to systematically attenuate significant alphas. When using the wild boot-strapped HC3 standard errors, significant alphas in REITs are no greater than random chance. Our results suggest appropriate adjustment for heteroscedasticity in real estate returns would minimize the potential for erroneous interpretation. Journal: Journal of Real Estate Portfolio Management Pages: 167-179 Issue: 2 Volume: 24 Year: 2018 Month: 1 X-DOI: 10.1080/10835547.2018.12090016 File-URL: http://hdl.handle.net/10.1080/10835547.2018.12090016 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:24:y:2018:i:2:p:167-179 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12090017_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Charod Dodd Author-X-Name-First: Charod Author-X-Name-Last: Dodd Author-Name: Matthew D. Hill Author-X-Name-First: Matthew D. Author-X-Name-Last: Hill Title: Determinants of REIT Credit Ratings Abstract: This study examines the determinants of credit ratings for real estate investment trusts (REITs). Probit and ordered probit results generally suggest reduced ratings (S&P and Fitch) for REITs with greater financial constraints. Higher rated REITs are larger with greater dividends, lower cash holdings, and less volatile dividends. The significance of leverage is conditional on econometric methodology and operating performance measure. Unlike for Fitch, operating performance influences S&P's rating assignments through earnings and not FFO. The latter challenges the credibility of S&P in the effective monitoring of REITs and highlights differences in financial characteristics accounted for by rating agencies. Journal: Journal of Real Estate Portfolio Management Pages: 181-199 Issue: 2 Volume: 24 Year: 2018 Month: 1 X-DOI: 10.1080/10835547.2018.12090017 File-URL: http://hdl.handle.net/10.1080/10835547.2018.12090017 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:24:y:2018:i:2:p:181-199 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12090018_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Randall S. Guttery Author-X-Name-First: Randall S. Author-X-Name-Last: Guttery Author-Name: Stephen L. Poe Author-X-Name-First: Stephen L. Author-X-Name-Last: Poe Title: Using a Cannabis Real Estate Investment Trust to Capitalize a Marijuana Business Abstract: The cannabis industry is growing rapidly, with a majority of states having passed legislation allowing the use of marijuana in some capacity. Significant challenges exist for those seeking to invest in this industry. An alternative source of financing could be a real estate investment trust (REIT). The investment risk can be spread among many investors, who can offer longer-term and lower interest rate loans than traditional financing. The major downsides to REIT investing are risks related to the fact that marijuana is still illegal under federal law. As REITs must distribute at least 90% of taxable income as shareholder dividends, this leaves minimal capital for expansion and growth. Journal: Journal of Real Estate Portfolio Management Pages: 201-206 Issue: 2 Volume: 24 Year: 2018 Month: 1 X-DOI: 10.1080/10835547.2018.12090018 File-URL: http://hdl.handle.net/10.1080/10835547.2018.12090018 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:24:y:2018:i:2:p:201-206 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12090019_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Back Matter Journal: Journal of Real Estate Portfolio Management Pages: bmi-bmxxi Issue: 2 Volume: 24 Year: 2018 Month: 1 X-DOI: 10.1080/10835547.2018.12090019 File-URL: http://hdl.handle.net/10.1080/10835547.2018.12090019 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:24:y:2018:i:2:p:bmi-bmxxi Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12090020_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Front Matter Journal: Journal of Real Estate Portfolio Management Pages: fmi-fmviii Issue: 2 Volume: 24 Year: 2018 Month: 1 X-DOI: 10.1080/10835547.2018.12090020 File-URL: http://hdl.handle.net/10.1080/10835547.2018.12090020 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:24:y:2018:i:2:p:fmi-fmviii Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12090021_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: James D. Shilling Author-X-Name-First: James D. Author-X-Name-Last: Shilling Author-Name: Charles H. Wurtzebach Author-X-Name-First: Charles H. Author-X-Name-Last: Wurtzebach Title: Real Estate: The Case for Investment in Private and Listed Real Estate Abstract: Executive Summary. Our analysis of long-term trends points to the outperformance of listed REIT stocks and private equity real estate opportunistic funds compared to more traditional asset. To explain these results, we appeal to Merton (1973) and Fama's (1996) multifactor mean-variance efficient portfolio theory, where the asset weights for these portfolios are those that produce the market portfolio and an extra multifactor-efficient portfolio that performs well in a low equilibrium rate environment. Researchers have found that private and listed real estate performs well as a diversifier in a stock and bond portfolio. However, mean-variance portfolio theory does not provide a unified account of the outperformance of private and listed real estate over the past two and a half decades. A multifactor-minimum variance model is necessary, which introduces the issue of hedging and of tailoring portfolios to mitigate potential vulnerability to a low equilibrium rate environment. We find that investors should add a mimicking portfolio to mitigate their potential vulnerability to a low equilibrium rate environment, and that this portfolio should consist primarily of private and listed real estate. Journal: Journal of Real Estate Portfolio Management Pages: 1-23 Issue: 1 Volume: 25 Year: 2019 Month: 1 X-DOI: 10.1080/10835547.2019.12090021 File-URL: http://hdl.handle.net/10.1080/10835547.2019.12090021 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:25:y:2019:i:1:p:1-23 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12090022_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Geoffrey Ngene Author-X-Name-First: Geoffrey Author-X-Name-Last: Ngene Author-Name: Allen K. Lynch Author-X-Name-First: Allen K. Author-X-Name-Last: Lynch Author-Name: Daniel P. Sohn Author-X-Name-First: Daniel P. Author-X-Name-Last: Sohn Title: The Spatial Heterogeneity of the Time-varying Impact of Shocks on Volatility: Some Evidence from MSA Housing Markets Abstract: Executive Summary. In this study, we investigate the time-varying response of conditional variance to endogenous and exogenous shocks. Using MSA-level monthly data spanning 31 years and two asymmetric volatility models, we find evidence of volatility clustering and the asymmetric effects of good and bad news on conditional variance. The conditional variances of “superstar” cities suggest that they strongly respond to good news but mildly respond to bad news. Conversely, the conditional variances of Southern and Midwestern cities in the U.S. respond strongly to bad news but marginally to good news. The evidence has important implications for the pricing of real estate derivatives and on the adoption of dynamic hedging strategies after major shocks. Journal: Journal of Real Estate Portfolio Management Pages: 25-52 Issue: 1 Volume: 25 Year: 2019 Month: 1 X-DOI: 10.1080/10835547.2019.12090022 File-URL: http://hdl.handle.net/10.1080/10835547.2019.12090022 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:25:y:2019:i:1:p:25-52 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12090023_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a 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: Investors' Opinion Divergence and Post-Earnings Announcement Drift in REITs Abstract: Executive Summary. In this study, we examine whether investors' opinion divergence has explanatory power for post-earnings announcement drift in equity real estate investment trusts (REITs). We measure investors' opinion divergence using abnormal trading turnover around the earnings announcement date. Our results show that investor opinion divergence is positively related to the REIT post-earnings announcement drift (PEAD) after controlling for the effects of earnings surprise, initial market reaction to the announcement, firm size, and risk. Further analysis shows that the effect of investor opinion divergence on the REIT PEAD is asymmetric. The effect exists for negative earnings surprises but not for positive earnings surprises. Journal: Journal of Real Estate Portfolio Management Pages: 53-65 Issue: 1 Volume: 25 Year: 2019 Month: 1 X-DOI: 10.1080/10835547.2019.12090023 File-URL: http://hdl.handle.net/10.1080/10835547.2019.12090023 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:25:y:2019:i:1:p:53-65 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12090024_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Goodness C. Aye Author-X-Name-First: Goodness C. Author-X-Name-Last: Aye Author-Name: Matthew W. Clance Author-X-Name-First: Matthew W. Author-X-Name-Last: Clance Author-Name: Rangan Gupta Author-X-Name-First: Rangan Author-X-Name-Last: Gupta Title: The Effect of Economic Uncertainty on the Housing Market Cycle Abstract: Executive Summary. We examine the spillover effect of economic uncertainty on the duration probability of housing market booms, busts, and normal times in 12 OECD countries. Quarterly data from 1985 to 2012 were used. Based on a discrete-time duration (hazard) model, we find that the probability of exiting housing market busts increases with higher economic uncertainty in a statistically significant fashion. Uncertainty, however, is not found to influence the likelihood of leaving booms and normal times. Our results suggest that housing serves as a possible hedge against uncertainty. Journal: Journal of Real Estate Portfolio Management Pages: 67-75 Issue: 1 Volume: 25 Year: 2019 Month: 1 X-DOI: 10.1080/10835547.2019.12090024 File-URL: http://hdl.handle.net/10.1080/10835547.2019.12090024 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:25:y:2019:i:1:p:67-75 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12090025_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Robert Simons Author-X-Name-First: Robert Author-X-Name-Last: Simons Author-Name: Spenser Robinson Author-X-Name-First: Spenser Author-X-Name-Last: Robinson Author-Name: Eunkyu Lee Author-X-Name-First: Eunkyu Author-X-Name-Last: Lee Title: A Market-Driven Green Office Building Index Abstract: Executive Summary. This paper reports on the development and potential implementation of a new green office building rating index intended for building owners and real estate office portfolio managers. It provides a market-driven green scoring method applicable to most U.S. office buildings. The underlying index data draws from office tenant surveys and hedonic analysis of rent rolls. This paper details the development and first steps towards implementation of the scoring system. A variety of models are analyzed, discussed, optimized, and tested on a captive sample of 197 U.S. office buildings. A reasonable model shows that about 40% of the non-LEED-certified buildings score higher than the lowest scoring LEED-certified building. This indicates a market may be present for this type of measurement tool. Office and portfolio managers could use this index to market the sustainability features in their buildings and obtain a market premium for these features. Journal: Journal of Real Estate Portfolio Management Pages: 77-98 Issue: 1 Volume: 25 Year: 2019 Month: 1 X-DOI: 10.1080/10835547.2019.12090025 File-URL: http://hdl.handle.net/10.1080/10835547.2019.12090025 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:25:y:2019:i:1:p:77-98 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12090026_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Weiyi Zhang Author-X-Name-First: Weiyi Author-X-Name-Last: Zhang Author-Name: Bin Mei Author-X-Name-First: Bin Author-X-Name-Last: Mei Title: Assessing the Risk and Return of Optimal Portfolios of U.S. Timberland and Farmland Abstract: Executive Summary. Using synthetic returns for timberland in the U.S. South and NCREIF data for farm crops from 2000:Q1 to 2016:Q4, we build efficient frontiers under the mean-conditional value-at-risk (CVaR) framework. Recognizing the availability of the investable universe of natural resource assets at any given time, we incorporate constraints and evaluate their impacts in two hypothetical scenarios. The optimal tangency portfolios have risks of 0.16% and 0.55%, and returns of 1.42% and 1.38% on a quarterly basis. We use Monte Carlo simulation to estimate the VaR and CVaR of the optimal portfolios for a 10-year horizon and find that risk increases with investment size. Journal: Journal of Real Estate Portfolio Management Pages: 99-113 Issue: 1 Volume: 25 Year: 2019 Month: 1 X-DOI: 10.1080/10835547.2019.12090026 File-URL: http://hdl.handle.net/10.1080/10835547.2019.12090026 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:25:y:2019:i:1:p:99-113 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12090027_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Back Matter Journal: Journal of Real Estate Portfolio Management Pages: bmi-bmxvix Issue: 1 Volume: 25 Year: 2019 Month: 1 X-DOI: 10.1080/10835547.2019.12090027 File-URL: http://hdl.handle.net/10.1080/10835547.2019.12090027 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:25:y:2019:i:1:p:bmi-bmxvix Template-Type: ReDIF-Article 1.0 # input file: REPM_A_12090028_J.xml processed with: repec_from_tfjats.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Front Matter Journal: Journal of Real Estate Portfolio Management Pages: fmi-fmviii Issue: 1 Volume: 25 Year: 2019 Month: 1 X-DOI: 10.1080/10835547.2019.12090028 File-URL: http://hdl.handle.net/10.1080/10835547.2019.12090028 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:25:y:2019:i:1:p:fmi-fmviii Template-Type: ReDIF-Article 1.0 # input file: REPM_A_1791643_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Katrin Kandlbinder Author-X-Name-First: Katrin Author-X-Name-Last: Kandlbinder Author-Name: Marian Alexander Dietzel Author-X-Name-First: Marian Alexander Author-X-Name-Last: Dietzel Title: Intraday Online Information Demand and its Relationship to REIT Prices Abstract: In this study we develop a fictional trading strategy based on Google search volumes on an hourly basis for the MSCI U.S. REIT Index to show whether there is a relationship between intraday online search interest and REIT market movements. Furthermore, we investigate in which market circumstances this trading strategy has the best predicting abilities and examine the controversial questions of correlation and causality between search volumes and prices. The results indicate that search volumes have the ability to predict intraday REIT market movements, as the Google trading strategy achieves an outperformance of 7.37 percentage points on average compared to a buy-and-hold strategy of the underlying REIT. In falling market phases the performance results of the Google trading strategy are substantially better than in rising market phases. On average, there is a statistically significant negative correlation of -0.11 and a causality flow from prices to search volumes. The findings yield new insights into the information-gathering behavior and are therefore useful for understanding and anticipating the relationship between market information demand and REIT price movements. Journal: Journal of Real Estate Portfolio Management Pages: 113-127 Issue: 2 Volume: 25 Year: 2020 Month: 9 X-DOI: 10.1080/10835547.2020.1791643 File-URL: http://hdl.handle.net/10.1080/10835547.2020.1791643 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:25:y:2020:i:2:p:113-127 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_1791646_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Michael J. Seiler Author-X-Name-First: Michael J. Author-X-Name-Last: Seiler Author-Name: Yang Zhang Author-X-Name-First: Yang Author-X-Name-Last: Zhang Author-Name: Linlin Zhao Author-X-Name-First: Linlin Author-X-Name-Last: Zhao Title: The Effect of Real Estate Ownership on Subjective Well-Being Abstract: This paper constructs an ordered probit model and analyzes the relation among urban residents’ owned housing area, property rights, and subjective well-being. The results indicate that from the perspective of property rights, the area of high property right housing has a significantly positive influence on the subjective well-being of urban residents, whereas the area of medium and low property right housing has no significant impact. From a spatial standpoint, in third- and fourth-tier cities, the influence of the self-owned housing area on the subjective well-being of urban residents is significantly positive. In the first-, second-, and fifth-tier cities, self-owned housing area has no significant influence on urban residents’ subjective well-being. Finally, although increasing housing area improves well-being up to a certain threshold, the relative inequality of housing area among residents has no significant impact on urban residents’ subjective well-being. Journal: Journal of Real Estate Portfolio Management Pages: 128-137 Issue: 2 Volume: 25 Year: 2020 Month: 9 X-DOI: 10.1080/10835547.2020.1791646 File-URL: http://hdl.handle.net/10.1080/10835547.2020.1791646 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:25:y:2020:i:2:p:128-137 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_1803694_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Alexey Akimov Author-X-Name-First: Alexey Author-X-Name-Last: Akimov Author-Name: Chyi Lin Lee Author-X-Name-First: Chyi Lin Author-X-Name-Last: Lee Author-Name: Simon Stevenson Author-X-Name-First: Simon Author-X-Name-Last: Stevenson Title: Interest Rate Sensitivity in European Public Real Estate Markets Abstract: The importance of interest rates, in both financial markets and the broader economy, was clearly highlighted during and subsequent to the financial crisis of 2007-09. This paper examines the sensitivity of seven public real estate markets in Europe from 1995 to 2013. Europe is a particularly interesting market to look at in this context. Badly impacted during the financial crisis, it has been further affected by the sovereign debt crisis within the Eurozone. The introduction of the Euro and a single monetary policy within the Eurozone is a complicating factor that raises additional issues. The results highlight that, with one exception, the markets display significant sensitivity in terms of both returns and volatility. The results are, however, sensitive in both a temporal sense and to the interest rate-yield curve proxy used. Journal: Journal of Real Estate Portfolio Management Pages: 138-150 Issue: 2 Volume: 25 Year: 2020 Month: 8 X-DOI: 10.1080/10835547.2020.1803694 File-URL: http://hdl.handle.net/10.1080/10835547.2020.1803694 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:25:y:2020:i:2:p:138-150 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_1803698_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a 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: Pull and Push Factors as Determinants of Foreign REIT Investments Abstract: We investigate pull and push factors as drivers of foreign investments in REITs to understand the timing and magnitude of these capital flows. Pull factors are country-specific fundamentals that draw foreign investors to a REIT market. Push factors are fundamentals of other countries such as the United States based on which foreign investors push into or withdraw from a particular REIT market. Using the South African (SA) REIT market as a laboratory, we find that push factors have more explanatory power than pull factors for the behavior of foreign investors in SA REITs. Thus, foreign REIT investors indeed rush in and out of the SA REIT market based on the performance of alternative geographical and asset markets. However, the importance of different pull and push factors for foreign investor behavior varies between small-/medium- and large-cap SA REITs. Journal: Journal of Real Estate Portfolio Management Pages: 151-171 Issue: 2 Volume: 25 Year: 2020 Month: 9 X-DOI: 10.1080/10835547.2020.1803698 File-URL: http://hdl.handle.net/10.1080/10835547.2020.1803698 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:25:y:2020:i:2:p:151-171 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_1803701_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Cuono Massimo Coletta Author-X-Name-First: Cuono Massimo Author-X-Name-Last: Coletta Author-Name: Francesco Busato Author-X-Name-First: Francesco Author-X-Name-Last: Busato Title: The Evolution of Equity REITs Betas: Analysis from 1997 to 2014 Abstract: The paper analyzes how the betas of real estate investment trusts (REITs) evolved over the period January 1997 to December 2014 using a hybrid beta model, which shrinks rolling window estimates toward firm-specifics based on prior economic theory. Then, we compare the hybrid beta estimates to those obtained with the most common models used in practice, the CAPM and the Three-Factor model developed by Fama and French, to determine which is the most reliable tool to estimate risk factors for REITs as a particular type of industry. The results indicate that the hybrid beta model is superior to the the CAPM and Three-Factor models in estimating betas for the research sample of Equity REITs we observed over the considered period. This conclusion is based on a non-parametric test comparing the R2 from the regressions of each model. Moreover, the annual evolution of the risk loadings obtained using the hybrid beta model seems to be more reasonable given both the specific characteristics of REITs and the impact of the world financial crises that occurred in 2008. Journal: Journal of Real Estate Portfolio Management Pages: 172-193 Issue: 2 Volume: 25 Year: 2020 Month: 9 X-DOI: 10.1080/10835547.2020.1803701 File-URL: http://hdl.handle.net/10.1080/10835547.2020.1803701 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:25:y:2020:i:2:p:172-193 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_1803703_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Rajeeb Poudel Author-X-Name-First: Rajeeb Author-X-Name-Last: Poudel Author-Name: Nina Rogers Author-X-Name-First: Nina Author-X-Name-Last: Rogers Author-Name: Ravi Jain Author-X-Name-First: Ravi Author-X-Name-Last: Jain Title: The Risk and Return Effect of a New S&P Sector Abstract: Changes to the S&P 500 Index have been found to provide a wealth effect to the firms included or removed from the Index. On November 10, 2014, the S&P Dow Indices announced the addition of the first new GICS sector in the S&P 500 since technology stocks became a separate sector in 1999. Equity real estate investment trusts (eREITs) were separated from the financials sector, creating an 11th sector. We examine the return and risk effect of the creation of the new sector. We find a divergence in the risk of firms in the new sector and the non-S&P eREITs relative to the market. The eREITs in the S&P 500 Index maintained a lower risk, while the eREITs not in the Index increased in risk. Journal: Journal of Real Estate Portfolio Management Pages: 194-203 Issue: 2 Volume: 25 Year: 2020 Month: 8 X-DOI: 10.1080/10835547.2020.1803703 File-URL: http://hdl.handle.net/10.1080/10835547.2020.1803703 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:25:y:2020:i:2:p:194-203 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_1826839_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Soonwoo Jang Author-X-Name-First: Soonwoo Author-X-Name-Last: Jang Author-Name: Seungwoo Shin Author-X-Name-First: Seungwoo Author-X-Name-Last: Shin Author-Name: Hana Yim Author-X-Name-First: Hana Author-X-Name-Last: Yim Title: Factors That Affect Listed Real Estate Investment Trust Market Capitalization: A Country Level Analysis Abstract: This study investigates key country-level economic factors that influence listed real estate investment trust (REIT) market capitalization across 23 countries that currently operate active REIT markets. The primary contribution of this study is to apply existing analyses that focused on the real estate market as a whole to the REIT market in order to identify the correlation, as well as significance, of each factor on REIT market volume. We find the GDP per capita, stock market capitalization, and soundness of the banking sector to be positively significant factors. Through the findings, the study can stand as a reference for academic researchers and professionals of the industry to identify country-level factors that affect respective REIT market volumes, which is essential for international diversification portfolio strategy construction. The study also suggests factors that government authorities such as legislators and licensing departments of either REIT trustees or asset management companies may wish to address and adjust to create sound REIT investment environments for their countries. Journal: Journal of Real Estate Portfolio Management Pages: 1-8 Issue: 1 Volume: 26 Year: 2020 Month: 10 X-DOI: 10.1080/10835547.2020.1826839 File-URL: http://hdl.handle.net/10.1080/10835547.2020.1826839 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:26:y:2020:i:1:p:1-8 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_1827623_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Iqbal Mansur Author-X-Name-First: Iqbal Author-X-Name-Last: Mansur Author-Name: Steven J. Cochran Author-X-Name-First: Steven J. Author-X-Name-Last: Cochran Author-Name: Babatunde Odusami Author-X-Name-First: Babatunde Author-X-Name-Last: Odusami Title: The Determinants of Conditional Skewness in REIT Returns Abstract: In this study, it is determined whether changes in a set of financial and macroeconomic state variables explain the variations in the conditional systematic, idiosyncratic, and total skewness of six aggregate Real Estate Investment Trust (REIT) indices. The findings suggest that variations in the idiosyncratic skewness of REIT indices can be explained by monthly changes in the CBOE volatility index (VIX), term spread, unemployment, and industrial production. Contemporaneous variations in the systematic skewness of aggregate REIT indices can be explained by changes in the VIX index, default spread, and private consumption. Two crisis dummy variables, defined as the technology bubble of 2000 (TCD) and the financial crisis of 2007 (FCD), are also considered. The technology bubble has a dampening effect on systematic skewness while the opposite is the case for the financial crisis dummy. Quantile regression is employed in order to determine the robustness of the results. The evidence shows that the findings are robust to various quantile specifications for the distributions of the skewness measures. Journal: Journal of Real Estate Portfolio Management Pages: 9-26 Issue: 1 Volume: 26 Year: 2020 Month: 10 X-DOI: 10.1080/10835547.2020.1827623 File-URL: http://hdl.handle.net/10.1080/10835547.2020.1827623 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:26:y:2020:i:1:p:9-26 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_1834289_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Gianluca Mattarocci Author-X-Name-First: Gianluca Author-X-Name-Last: Mattarocci Author-Name: Xenia Scimone Author-X-Name-First: Xenia Author-X-Name-Last: Scimone Title: Closed End Real Estate Funds and Real Estate Portfolio Management: Evidence from the Italian Retail Market Abstract: Closed-end real estate funds (REMFs) are indirect real estate investment vehicles, traded in markets worldwide, that are considered an alternative to real estate investment trusts for indirect investments in the real estate market. REMFs are subject to a fixed time constraint that managers must consider in their portfolio management strategy to be able to refund quota holders by the expiration date. This additional constraint is a unique feature of the REMF industry in some European markets. We evaluate active management policy for a real estate portfolio of a sample of REMFs with respect to the expiration date of the financial instrument, and measure the impact of active management on the performance of real estate investment vehicles. We show that the time constraint affects the active management policy and that more active REMFs are usually positively evaluated by the market, especially when they can sell assets before the expiration date. Journal: Journal of Real Estate Portfolio Management Pages: 27-36 Issue: 1 Volume: 26 Year: 2020 Month: 10 X-DOI: 10.1080/10835547.2020.1834289 File-URL: http://hdl.handle.net/10.1080/10835547.2020.1834289 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:26:y:2020:i:1:p:27-36 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_1826241_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Salman Khan Author-X-Name-First: Salman Author-X-Name-Last: Khan Title: Liquidity-Driven Cross-Market Linkages between Securitized REITs and Stock Markets Abstract: This study examines the cross-market linkages between public real estate investment trusts (REITs) and the stock market based on multiple return and liquidity channels. We measure cross-market linkages using the multivariate generalized autoregressive conditional heteroskedasticity model (GARCH-BEKK model) with daily U.S. data from 1998 to 2015 at both market and sector level. The results suggest that U.S. REITs and the Dow Jones Industrial Index are weakly linked in returns but strongly linked in liquidities. The two additional cross-characteristic linkages, REIT return and stock market liquidity, as well as REIT liquidity and stock market return, are found to be highly significant. Our findings show that liquidity plays a critical role in determining the linkages between REITs and the stock market. The paper translates these linkages into effective hedging strategies at both the market and sectoral levels. Journal: Journal of Real Estate Portfolio Management Pages: 37-56 Issue: 1 Volume: 26 Year: 2020 Month: 10 X-DOI: 10.1080/10835547.2020.1826241 File-URL: http://hdl.handle.net/10.1080/10835547.2020.1826241 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:26:y:2020:i:1:p:37-56 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_1833612_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Prashant Das Author-X-Name-First: Prashant Author-X-Name-Last: Das Author-Name: Julia Freybote Author-X-Name-First: Julia Author-X-Name-Last: Freybote Author-Name: Inès Blal Author-X-Name-First: Inès Author-X-Name-Last: Blal Title: The Importance of Micro-Location for Pricing Real Estate Assets: The Case of Hotels Abstract: Traditionally, hedonic pricing studies focusing on commercial real estate control for spatial effects with macro-location dummy variables, for example, at the MSA or submarket level, and predominantly rely on OLS regression. This approach ignores the importance of micro-location characteristics for predicting sales prices. Additionally, spatial dependencies in transaction prices and error terms violate OLS assumptions. We propose an alternative approach that replaces macro-location dummy variables with four location area characteristic (LAC) variables, defined as population, median home value, homeownership rate, and average land gradient within a polygon of a 20-minute driving distance around each property in our sample. We compare the location dummy and LAC approach using OLS regression, spatial autoregression (SAR), and spatial autoregression with autoregressive errors (SARAR) for a sample of hotels sold between 2015 and 2017. We find models that include LAC variables to have a superior fit to models with MSA dummy variables, irrespective of estimation method. Additionally, the inclusion of individual LAC variables allows a reduction of spatial lags and errors. Journal: Journal of Real Estate Portfolio Management Pages: 57-73 Issue: 1 Volume: 26 Year: 2020 Month: 10 X-DOI: 10.1080/10835547.2020.1833612 File-URL: http://hdl.handle.net/10.1080/10835547.2020.1833612 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:26:y:2020:i:1:p:57-73 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_1826240_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Kwame Addae-Dapaah Author-X-Name-First: Kwame Author-X-Name-Last: Addae-Dapaah Author-Name: Khairul Abdullah Author-X-Name-First: Khairul Author-X-Name-Last: Abdullah Title: Cross Hedging Effectiveness of Real Estate Securities Exchange Traded Funds Abstract: We investigate hedging effectiveness of four REIT Exchange Traded Funds in hedging seven real estate securities returns for the United States, Europe, and Asia through R-Squared, hedge ratio, variance reduction (VR) and utility maximization metrics. The analyses cover different full sample and sub-sample periods from 2000 to 2010 (inclusive) to document the performances of the hedge during periods of high and low volatility. The results show that the ETFs were very effective in hedging EREIT and all the sampled real estate securities in Europe and Asia. Second, VECM hedge marginally outperformed OLS hedge. Third, we find that hedging effectiveness evidenced by VR does not necessarily equate to economic viability. Therefore VR must be used together with UIs to determine viability of hedging effectiveness. Finally, given different levels of risk aversion vis-à-vis expected utility, it is advisable/inadvisable to hedge during high/low volatility periods. Journal: Journal of Real Estate Portfolio Management Pages: 74-100 Issue: 1 Volume: 26 Year: 2020 Month: 10 X-DOI: 10.1080/10835547.2020.1826240 File-URL: http://hdl.handle.net/10.1080/10835547.2020.1826240 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:26:y:2020:i:1:p:74-100 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_1828723_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Olgun F. Sahin Author-X-Name-First: Olgun F. Author-X-Name-Last: Sahin Author-Name: Pattarake Sarajoti Author-X-Name-First: Pattarake Author-X-Name-Last: Sarajoti Author-Name: Alireza Nasseh Author-X-Name-First: Alireza Author-X-Name-Last: Nasseh Title: REIT Spreads Around Dividend Cuts and Suspensions During the Financial Crisis Abstract: We examine bid-ask spreads, depths, and adverse selection components of bid-ask spreads for REITs announcing dividend cuts or suspensions before, during, and after the 2008 financial crisis. We compare measures of spread, market depth, and adverse selection components of bid-ask spreads across time periods and between event and non-event REITs. We find that on announcement days of dividend cuts and suspensions, bid-ask spreads of event REITs are narrower and market depths are larger than that of non-event REITs during and after the financial crisis periods. These findings suggest improved liquidity of REIT shares on announcement days of dividend events. We do not find any significant change in adverse selection components of bid-ask spreads. Our results regarding improved liquidity during the financial crisis period are consistent with Calomiris and Wilson. Calomiris and Wilson report that during the capital crunch in the 1930s, banks facing wider bid-ask spreads used dividend cuts as a way to preserve capital to avoid selling equity in a low-liquidity or high-transaction cost environment (wider bid-ask spread). Journal: Journal of Real Estate Portfolio Management Pages: 101-109 Issue: 1 Volume: 26 Year: 2020 Month: 10 X-DOI: 10.1080/10835547.2020.1828723 File-URL: http://hdl.handle.net/10.1080/10835547.2020.1828723 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:26:y:2020:i:1:p:101-109 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_1854606_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Mehmet Balcilar Author-X-Name-First: Mehmet Author-X-Name-Last: Balcilar Author-Name: Elie Bouri Author-X-Name-First: Elie Author-X-Name-Last: Bouri Author-Name: Rangan Gupta Author-X-Name-First: Rangan Author-X-Name-Last: Gupta Author-Name: Mark E. Wohar Author-X-Name-First: Mark E. Author-X-Name-Last: Wohar Title: Mortgage Default Risks and High-Frequency Predictability of the U.S. Housing Market: A Reconsideration Abstract: Recent evidence, based on a linear framework, tends to suggest that while mortgage default risks can predict weekly and monthly housing returns of the United States, the same does not hold at the daily frequency. We, however, indicate that the relationship between daily housing returns with mortgage default risks is in fact nonlinear, and hence a linear predictive model is misspecified. Given this, we use a k-th order nonparametric causality-in-quantiles test, which in turn allows us to test for predictability over the entire conditional distribution of not only housing returns, but also volatility, by controlling for misspecification due to nonlinearity. Based on this model, we show that mortgage default risks do indeed predict housing returns and volatility, barring at the extreme upper end of the respective conditional distributions. Journal: Journal of Real Estate Portfolio Management Pages: 111-117 Issue: 2 Volume: 26 Year: 2020 Month: 12 X-DOI: 10.1080/10835547.2020.1854606 File-URL: http://hdl.handle.net/10.1080/10835547.2020.1854606 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:26:y:2020:i:2:p:111-117 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_1858620_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Edward Trevillion Author-X-Name-First: Edward Author-X-Name-Last: Trevillion Author-Name: Alan Gardner Author-X-Name-First: Alan Author-X-Name-Last: Gardner Author-Name: Stewart Cowe Author-X-Name-First: Stewart Author-X-Name-Last: Cowe Author-Name: Colin Jones Author-X-Name-First: Colin Author-X-Name-Last: Jones Title: The Use of Benchmarks for Real Estate Portfolio Performance by U.K. Financial Institutions Abstract: The paper examines the application of benchmarks in the United Kingdom primarily through the use of semi-structured interviews with 17 major investment houses, holding domestic real estate assets under management of nearly £180bn with in excess of £515bn in other countries. The MSCI/IPD database is the predominant reference point for peer and relative benchmarking, but funds also apply an absolute benchmark approach. Many fund houses indicated a reluctance to change benchmarks. However, increasing short-termism and the transformation of market fundamentals after the GFC have led to a reappraisal of the nature of existing benchmarks and there is a continuing move toward use of alternatives. Journal: Journal of Real Estate Portfolio Management Pages: 118-131 Issue: 2 Volume: 26 Year: 2020 Month: 12 X-DOI: 10.1080/10835547.2020.1858620 File-URL: http://hdl.handle.net/10.1080/10835547.2020.1858620 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:26:y:2020:i:2:p:118-131 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_1858649_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Davinder Malhotra Author-X-Name-First: Davinder Author-X-Name-Last: Malhotra Author-Name: Raymond Poteau Author-X-Name-First: Raymond Author-X-Name-Last: Poteau Author-Name: Xianzhi Wang Author-X-Name-First: Xianzhi Author-X-Name-Last: Wang Title: A Reexamination of Economies of Scale in the Management of Real Estate Investment Trusts Abstract: With improvements in employment and housing markets post-credit crisis, real estate investment trusts (REITs) have sought to improve the quality and productivity of their portfolios by increasing their merger and acquisition activity across all property types. As the REIT industry has consolidated, we aim to evaluate whether this consolidation from 2012 to 2017 provides economies of scale gains for the management of REITs across seven REIT categories: diversified REITs, hotel and resort REITs, health care REITs, office REITs, residential REITs, retail REITs, and specialized REITs. We measure economies of scale using three different scale measures: total assets, real estate assets, and rental revenue. We evaluate economies of scale using a translog cost function. We find that REIT operating expenses increase less than proportionately with increases in total assets and that larger size results in reduced REIT operating costs. Journal: Journal of Real Estate Portfolio Management Pages: 132-149 Issue: 2 Volume: 26 Year: 2020 Month: 12 X-DOI: 10.1080/10835547.2020.1858649 File-URL: http://hdl.handle.net/10.1080/10835547.2020.1858649 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:26:y:2020:i:2:p:132-149 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_1858009_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Stephen Lee Author-X-Name-First: Stephen Author-X-Name-Last: Lee Title: Time-Varying Integration of REITs with Stocks: A Kalman Filter Approach Abstract: This paper tests the level of market integration between Equity Real Estate Investment Trusts (REITs) and the stock market, using the Korajczyk (1996) market integration index and the Kalman filter methodology. The Kalman-filter technique is employed to capture the dynamic degree of integration between REITs and the stock market. The results show that REITs were highly integrated with the stock market throughout most of the sample period from 1984:1 to 2018:12. Nonetheless, the time varying market integration index displays a number of changes, which coincide with fluctuations in the legislation governing REITs and certain market and economic events. As a robustness check, we also compare the time varying market integration index of REITs with that displayed by Utilities. The results show that Utilities displayed a similar time varying market integration pattern to that of REITs and so indicates that the changes in market integration is not simply a REIT factor but a high yield sector phenomenon. Unlike REITs, from April 2011 Utilities became segmented from the stock market and remained so up to the end of the sample period, even though the static integration index suggested that utility stocks were integrated with the stock market over the whole sample period. Last, results show that the Kalman filter approach is more useful than static models when studying the integration process and so casts strong doubt on the validity of time invariant models to measure market integration. Journal: Journal of Real Estate Portfolio Management Pages: 150-160 Issue: 2 Volume: 26 Year: 2020 Month: 12 X-DOI: 10.1080/10835547.2020.1858009 File-URL: http://hdl.handle.net/10.1080/10835547.2020.1858009 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:26:y:2020:i:2:p:150-160 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_1858006_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: John McDonald Author-X-Name-First: John Author-X-Name-Last: McDonald Title: Financial Leverage, Taxation, and the Maximization of Investment Value Abstract: This paper uses a model of value maximization to derive a condition for the optimal amount of financial leverage to maximize the value of equity for a real estate investment entity. Both untaxed entities and taxed entities have a strong incentive to use financial leverage. If investment returns are taxed at a rate that is lower than the rate at which interest payments can be deducted, the value-maximizing scale of investment is larger than in the absence of taxation. The example of a mezzanine loan added to a base loan is included. Journal: Journal of Real Estate Portfolio Management Pages: 161-169 Issue: 2 Volume: 26 Year: 2020 Month: 12 X-DOI: 10.1080/10835547.2020.1858006 File-URL: http://hdl.handle.net/10.1080/10835547.2020.1858006 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:26:y:2020:i:2:p:161-169 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_1834323_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Randy I. Anderson Author-X-Name-First: Randy I. Author-X-Name-Last: Anderson Author-Name: Hany Guirguis Author-X-Name-First: Hany Author-X-Name-Last: Guirguis Author-Name: Joshua A. Harris Author-X-Name-First: Joshua A. Author-X-Name-Last: Harris Title: Cross Border Investing Activity: Return Enhancing or Return Destroying? Abstract: Real Estate Investment Trusts (REITs) in the United States have grown extremely fast in terms of assets and market capitalization since the early 1990s. As with many industries, U.S. REITs began acquiring foreign properties as their size grew and they needed to seek new investment opportunities. This study investigates the role of holding foreign assets upon the total return of U.S.-based REITs from 1995 through 2016. We find that holding foreign properties is associated with negative relative performance when measured by return on average equity, an accounting-based measure. However, when excess return to shareholders is measured, increasing relative performance is found. Thus, it appears that investors are rewarding REITs with greater degrees of international holdings, while simultaneously accepting lower return on equity and potentially lower dividend and distribution yields. Journal: Journal of Real Estate Portfolio Management Pages: 170-185 Issue: 2 Volume: 26 Year: 2020 Month: 12 X-DOI: 10.1080/10835547.2020.1834323 File-URL: http://hdl.handle.net/10.1080/10835547.2020.1834323 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:26:y:2020:i:2:p:170-185 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_1858698_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Jackson T. Anderson Author-X-Name-First: Jackson T. Author-X-Name-Last: Anderson Author-Name: Michael J. Seiler Author-X-Name-First: Michael J. Author-X-Name-Last: Seiler Title: Real Estate Portfolio Management of Defaulted Mortgage Debt Abstract: Portfolios of defaulted first and second lien mortgages are regularly sold to private equity and hedge funds for the purpose of resolution—ranging from traditional workouts to lump-sum or annuity payoffs. Burgeoning behavioral real estate techniques coupled with pressure from the Consumer Financial Protection Bureau (CFPB) are causing psychological concepts to increasingly be adapted by portfolio managers to improve the returns on these defaulted pools. In this paper, we document the practice of employing one such technique, the decoy effect. We discuss the many ways in which it can be applied to real estate portfolio management, its nuanced ethicality, and its efficacy in the face of increasing regulatory scrutiny. Journal: Journal of Real Estate Portfolio Management Pages: 186-196 Issue: 2 Volume: 26 Year: 2020 Month: 12 X-DOI: 10.1080/10835547.2020.1858698 File-URL: http://hdl.handle.net/10.1080/10835547.2020.1858698 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:26:y:2020:i:2:p:186-196 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_1979381_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Kimberly R. Goodwin Author-X-Name-First: Kimberly R. Author-X-Name-Last: Goodwin Author-Name: Srinidhi Kanuri Author-X-Name-First: Srinidhi Author-X-Name-Last: Kanuri Author-Name: Robert W. McLeod Author-X-Name-First: Robert W. Author-X-Name-Last: McLeod Title: Relative Performance of Real Estate Exchange-Traded Funds Abstract: This paper examines the performance of 34 real estate exchange-traded funds (REETFs) over the period of May 2003 through September 2019. We construct equally-weighted REETF portfolios every month and compare them with the overall U.S. stock market as proxied by the S&P 500 value-weighted ETF (IVV) and the S&P 500 equal-weighted ETF (RSP). Our results show that over the entire time period the REETF portfolios experienced higher monthly returns, but also had a slightly higher standard deviation of returns. We also provide results controlling for risk differentials using the Sharp, Sortino, and Omega ratios. The results show that IVV and RSP had higher risk-adjusted performance using all of the various measures compared with REETFs portfolios. REETFs also had much higher risk and losses during the 2007–2009 financial crisis. Journal: Journal of Real Estate Portfolio Management Pages: 78-87 Issue: 1 Volume: 27 Year: 2021 Month: 1 X-DOI: 10.1080/10835547.2021.1979381 File-URL: http://hdl.handle.net/10.1080/10835547.2021.1979381 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:27:y:2021:i:1:p:78-87 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_1967689_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Gene Birz Author-X-Name-First: Gene Author-X-Name-Last: Birz Author-Name: Erik Devos Author-X-Name-First: Erik Author-X-Name-Last: Devos Author-Name: Sandip Dutta Author-X-Name-First: Sandip Author-X-Name-Last: Dutta Author-Name: Desmond Tsang Author-X-Name-First: Desmond Author-X-Name-Last: Tsang Title: Is Good News Good and Bad News Bad in the REIT Market? Abstract: In this study, we examine the asymmetric effect of positive and negative real estate news on REIT market returns. While findings in the general stock market show a greater market reaction to negative news, we find that the REIT market reacts predominantly to positive rather than to negative real estate news. We show that the content of positive real estate news becomes significantly related to REIT market returns in the modern REIT era and in recession periods. We further find that the asymmetric market reaction to positive real estate news is apparent only in REITs with high institutional ownership and REITs that report high rental income. Our findings imply that the REIT market’s diversification benefits and its unique institutional features could be the driving factors for the asymmetric market responses. In additional analysis, we show that there exists little market reversal in subsequent periods, implying that REIT investors respond to the information contained in the news content and do not solely act on their sentiment. Lastly, we show that our findings are robust to alternative news and return measures. Journal: Journal of Real Estate Portfolio Management Pages: 43-62 Issue: 1 Volume: 27 Year: 2021 Month: 1 X-DOI: 10.1080/10835547.2021.1967689 File-URL: http://hdl.handle.net/10.1080/10835547.2021.1967689 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:27:y:2021:i:1:p:43-62 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_1971930_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Cay Oertel Author-X-Name-First: Cay Author-X-Name-Last: Oertel Title: Volatility Targeting for U.S. Equity REITs: A Strategy for Minimizing Extreme Downside Risk? Abstract: The study examines the feasibility of Volatility Targeting (VT) to minimize extreme downside risk for U.S. Equity REITs. The empirical study applies a two-stage approach. First, a backtest of buy-and-hold, and VT based on various volatility estimators for each equity REIT security between 1999 and 2019, is performed. Subsequently, a mean-CVaR-optimization for different equity REIT subclasses is carried out. The present study finds CVaR reductions of VT in comparison to buy-and-hold across all subclasses, as well as the entire sample. Interestingly, these improvements differ across the REIT subclasses and volatility estimators. Journal: Journal of Real Estate Portfolio Management Pages: 63-77 Issue: 1 Volume: 27 Year: 2021 Month: 1 X-DOI: 10.1080/10835547.2021.1971930 File-URL: http://hdl.handle.net/10.1080/10835547.2021.1971930 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:27:y:2021:i:1:p:63-77 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_1981569_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Jose E. Gomez-Gonzalez Author-X-Name-First: Jose E. Author-X-Name-Last: Gomez-Gonzalez Author-Name: Jorge Hirs-Garzon Author-X-Name-First: Jorge Author-X-Name-Last: Hirs-Garzon Title: Dynamic Spillovers between REITs and Stock Markets in Global Financial Markets Abstract: We study spillovers between REITs and stock markets in a global context. We compute both directional and net spillover indexes in a global and dynamic setting. We use LASSO methods to include many markets in our analysis. Our findings indicate that connectedness between these markets is high. On average three REIT markets and one stock market are net volatility transmitters. Considerable time variation is observed. Spillovers are substantially higher during crises. While stock markets were the main volatility transmitters during the Subprime Financial Crisis, REIT markets have become major volatility transmitters during the last decade. Our results have important implications for global investors. Journal: Journal of Real Estate Portfolio Management Pages: 20-28 Issue: 1 Volume: 27 Year: 2021 Month: 1 X-DOI: 10.1080/10835547.2021.1981569 File-URL: http://hdl.handle.net/10.1080/10835547.2021.1981569 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:27:y:2021:i:1:p:20-28 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_1967676_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Zifeng Feng Author-X-Name-First: Zifeng Author-X-Name-Last: Feng Title: How Does Information Asymmetry Affect REIT Investments? Cost of Capital, Performance, and Executive Compensation Abstract: This study empirically examines the impact of information asymmetry on firm-level investment behavior using data from U.S. equity real estate investment trusts (REITs). We show that firms with lower levels of information asymmetry, measured as bid–ask spread and stock return volatility, generally experience higher growth on their real estate investment, property investment, and total assets. Conversely, high-information-asymmetry REITs are less active in their property acquisition and disposition activities, as well as involved in fewer mergers and acquisitions than their counterparts. We also show that the levels of information asymmetry are, on average, positively related to capital costs and negatively related to operational performance. Lastly, the study sheds light on the importance of aligning interests of managers with those of stakeholders, by illustrating that executives in firms with a high level of information asymmetry receive higher total compensation compared with their peers. Journal: Journal of Real Estate Portfolio Management Pages: 1-19 Issue: 1 Volume: 27 Year: 2021 Month: 1 X-DOI: 10.1080/10835547.2021.1967676 File-URL: http://hdl.handle.net/10.1080/10835547.2021.1967676 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:27:y:2021:i:1:p:1-19 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_1967675_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Omokolade Akinsomi Author-X-Name-First: Omokolade Author-X-Name-Last: Akinsomi Author-Name: Yener Coskun Author-X-Name-First: Yener Author-X-Name-Last: Coskun Author-Name: Luis A. Gil-Alana Author-X-Name-First: Luis A. Author-X-Name-Last: Gil-Alana Author-Name: OlaOluwa S. Yaya Author-X-Name-First: OlaOluwa S. Author-X-Name-Last: Yaya Title: Is There Convergence Between BRICS Listed Property Stocks and International REITs? Abstract: The BRICS market represents high-growth economies. This study empirically examines the long-run equilibrium as well as the short-run linkages between BRICS listed property stocks and REIT markets in developed countries (the United States, Australia, and the United Kingdom). We employ fractional cointegration techniques between the BRICS listed property markets and the three most developed REIT markets. We test the hypothesis of fractional integration, and our results show no evidence of cointegration between BRICS listed property markets and the REIT markets of any of the developed economies in the long run. Our results indicate only that the BRICS securitized property market is influenced by the developed economies in the short run. The implication of this study are that a portfolio of developed REIT markets are diversifiable when added into a portfolio of BRICS securitized property markets. This is particularly significant for investors and fund analysts in other to reduce portfolio risks. Journal: Journal of Real Estate Portfolio Management Pages: 29-42 Issue: 1 Volume: 27 Year: 2021 Month: 1 X-DOI: 10.1080/10835547.2021.1967675 File-URL: http://hdl.handle.net/10.1080/10835547.2021.1967675 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:27:y:2021:i:1:p:29-42 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_1986347_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Lucia Gibilaro Author-X-Name-First: Lucia Author-X-Name-Last: Gibilaro Author-Name: Gianluca Mattarocci Author-X-Name-First: Gianluca Author-X-Name-Last: Mattarocci Title: Institutional Investors and Home-Biased REITs Abstract: Real estate investment trusts (REITs) are frequently considered an investment opportunity for institutional investors due to their above-average returns with respect to other financial instruments. Due to the unique characteristics of the real estate market, geographically specialized (home-biased) REITs can normally benefit from higher-quality information for selecting investment opportunities and from a reduction of the cost of monitoring and servicing asset owners. Home-biased REITs can be particularly appealing for institutional investors because the addition of this type of asset to an already diversified investment portfolio can optimize the risk–return of their investment strategy and mitigate the concentration of real estate investments. This paper considers all the REITs in Standard & Poor’s Global REIT Index and evaluates the percentage of investment released by (domestic and foreign) institutional investors and its change over time. Focusing on REITs’ international real estate exposure, this paper shows that geographical diversification matters for investment decisions made by international investors and the results are robust with respect to the time horizon and the proxy for ownership concentration. Journal: Journal of Real Estate Portfolio Management Pages: 104-120 Issue: 2 Volume: 27 Year: 2021 Month: 7 X-DOI: 10.1080/10835547.2021.1986347 File-URL: http://hdl.handle.net/10.1080/10835547.2021.1986347 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:27:y:2021:i:2:p:104-120 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_2003506_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Barrett A. Slade Author-X-Name-First: Barrett A. Author-X-Name-Last: Slade Author-Name: Jeffrey D. Fisher Author-X-Name-First: Jeffrey D. Author-X-Name-Last: Fisher Author-Name: Joe D’Alessandro Author-X-Name-First: Joe Author-X-Name-Last: D’Alessandro Title: A Comparison of NCREIF, INREV, and ANREV Open-End Core Fund Indices Abstract: Cross-border investment in non-listed real estate is on the rise. This article aims to compare the U.S. NFI-ODCE index with the European INREV ODCE index and the recently released Asian ANREV ODCE index with the hope that this study will be helpful to cross-border investors in these major markets. From 2016 through 2020 (five years), we found that the NCREIF fund count remained relatively flat, but the INREV and ANREV fund count increase steadily. At the end of 2020, NCREIF's GAV was 270 billion dollars compared with INREVs 39 billion dollars and ANREV's 16 billion dollars, a considerable size difference between the U.S. and the other two. However, much smaller ANREV Gross Asset Value grew much faster. When we calculated the 12-month rolling returns for the respective regions, we found that ANREV realized a 12-month rolling total return of 7.59% compared with INREV at 5.52% and NCREIF at 5.28%. When looking at a longer time period of 4 ½ years, we calculated a lower SHARP Ratio of 1.36 for ANREV compared to INREV at 2.28 and NCREIF at 2.32, demonstrating that INREV and NCREIF have similar and more favorable reward to risk ratios than ANREV. Further analysis found that the INREV and NCREIF ODCE indices are highly correlated, but we found that they were not cointegrated; therefore, we could not use one index to predict the values in the other. We encourage caution when generalizing these results since they are based on relatively short periods. It will be interesting to make these comparisons again when we have a long history of performance for the INREV and ANREV indices. Journal: Journal of Real Estate Portfolio Management Pages: 89-103 Issue: 2 Volume: 27 Year: 2021 Month: 7 X-DOI: 10.1080/10835547.2021.2003506 File-URL: http://hdl.handle.net/10.1080/10835547.2021.2003506 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:27:y:2021:i:2:p:89-103 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_2003523_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Kimberly R. Goodwin Author-X-Name-First: Kimberly R. Author-X-Name-Last: Goodwin Author-Name: Shinhua Liu Author-X-Name-First: Shinhua Author-X-Name-Last: Liu Title: GICS and the Real Estate Reclassification Revolution Abstract: Morgan Stanley Capital International and Standard & Poor’s Dow Jones established the GICS (Global Industry Classification System) in 1999 as the first international stock classification system. On November 10, 2014, they announced that real estate would be the first new sector added to the classification system. In this study, we analyze the impacts of the GICS reclassification on price, liquidity, and volatility for firms in the real estate sector, using a large sample for the first time. Using various methods, we find higher price, more active trading, and lower price volatility in the new sector, when it was launched on September 16, 2016. Journal: Journal of Real Estate Portfolio Management Pages: 121-136 Issue: 2 Volume: 27 Year: 2021 Month: 7 X-DOI: 10.1080/10835547.2021.2003523 File-URL: http://hdl.handle.net/10.1080/10835547.2021.2003523 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:27:y:2021:i:2:p:121-136 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_1986348_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Mohsen Bahmani-Oskooee Author-X-Name-First: Mohsen Author-X-Name-Last: Bahmani-Oskooee Author-Name: Radames Azaryan Author-X-Name-First: Radames Author-X-Name-Last: Azaryan Author-Name: Seyed Hesam Ghodsi Author-X-Name-First: Seyed Hesam Author-X-Name-Last: Ghodsi Title: On the Link between Policy Uncertainty and House Prices: Asymmetric Evidence from State-Level Data in the United States Abstract: A previous study in this journal assessed the short-run and long-run effects of policy uncertainty on house prices using data from each state of the United States. By assuming the effects to be symmetric, the study revealed short-run effects in 24 states and long-run effects in 17. When we assume the effects to be asymmetric and estimate a nonlinear model for each state, we show short-run asymmetric effects in 32 states and long-run asymmetric effects in 24 states. The increase in number of states from the linear model to nonlinear model is attributed to nonlinear adjustment of policy uncertainty. Journal: Journal of Real Estate Portfolio Management Pages: 166-185 Issue: 2 Volume: 27 Year: 2021 Month: 7 X-DOI: 10.1080/10835547.2021.1986348 File-URL: http://hdl.handle.net/10.1080/10835547.2021.1986348 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:27:y:2021:i:2:p:166-185 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_2008591_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: James C. Brau Author-X-Name-First: James C. Author-X-Name-Last: Brau Author-Name: J. Troy Carpenter Author-X-Name-First: J. Troy Author-X-Name-Last: Carpenter Author-Name: James E. Cicon Author-X-Name-First: James E. Author-X-Name-Last: Cicon Author-Name: Shelly Howton Author-X-Name-First: Shelly Author-X-Name-Last: Howton Title: Soft Information and the Underpricing of REIT Seasoned Equity Offerings Abstract: Using a sample of 1,429 seasoned equity offerings (SEOs) by real estate investment trusts (REITs), we use content analysis to test whether the soft information in a company's offering prospectus influences SEO underpricing. After controlling for relevant variables, we find that companies that use more positive (negative) words in their filings are negatively (positively) related to SEO underpricing. We posit that in REIT SEOs more positive and fewer negative words decrease investor pricing uncertainty (fear) of the offer and as a result experience less underpricing. Journal: Journal of Real Estate Portfolio Management Pages: 137-148 Issue: 2 Volume: 27 Year: 2021 Month: 7 X-DOI: 10.1080/10835547.2021.2008591 File-URL: http://hdl.handle.net/10.1080/10835547.2021.2008591 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:27:y:2021:i:2:p:137-148 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_2003531_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Arif Qayyum Author-X-Name-First: Arif Author-X-Name-Last: Qayyum Author-Name: Walayet A. Khan Author-X-Name-First: Walayet A. Author-X-Name-Last: Khan Title: Impact of Global Residential Real Estate on Portfolio Diversification Abstract: The purpose of this paper is to examine the benefits of international diversification in residential real estate markets during various market conditions from 1999 through 2018. Most previous studies used real estate investment trusts (REITs) indexes to proxy for real estate returns, while our research is focused on residential real estate indexes provided by Dallas Federal Reserve Bank. In addition, we expand our study to 23 countries, while previous research was limited to 5 to 10 countries. We find lower correlation between US stocks and global real estate indexes. Further analysis indicates that adding international real estate to a US stock portfolio is beneficial in reducing portfolio risk, and this diversification benefit is consistent over time. Our results will assist portfolio managers and long-term investors in keeping a consistent return at a lower risk. Journal: Journal of Real Estate Portfolio Management Pages: 149-165 Issue: 2 Volume: 27 Year: 2021 Month: 7 X-DOI: 10.1080/10835547.2021.2003531 File-URL: http://hdl.handle.net/10.1080/10835547.2021.2003531 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:27:y:2021:i:2:p:149-165 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_2033391_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Majid Haghani Rizi Author-X-Name-First: Majid Author-X-Name-Last: Haghani Rizi Title: Real Estate Investment Trusts and Commercial Property Markets in US Abstract: This article addresses the dynamic relationship between the commercial property market and the real estate investment trusts market at the aggregate and property levels by undertaking a co-integration analysis. The results suggest that there exists a common long-run co-integrating relationship between the commercial property and real estate investment trusts markets at the aggregate and property levels. Any disequilibrium in this long-run relationship between these markets is corrected by movement in the real estate investment trusts market. Further, to address the extent of movement in these variables as part of one co-integrated system into permanent and transitory components, we use the Kalman filter by conducting a state-space model. The results show that the cyclical component in the real estate trusts market is large at the aggregate and property levels, which are consistent with co-integrations results. Journal: Journal of Real Estate Portfolio Management Pages: 1-12 Issue: 1 Volume: 28 Year: 2022 Month: 1 X-DOI: 10.1080/10835547.2022.2033391 File-URL: http://hdl.handle.net/10.1080/10835547.2022.2033391 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:28:y:2022:i:1:p:1-12 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_2064594_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Vivek Bhargava Author-X-Name-First: Vivek Author-X-Name-Last: Bhargava Author-Name: H. Shelton Weeks Author-X-Name-First: H. Shelton Author-X-Name-Last: Weeks Title: Short-Term REIT Performance under Pandemic Conditions Abstract: The Corona virus pandemic and the subsequent economic slowdown provide an opportunity to examine the relative performance of US REITs during a period of extreme market disruption. We investigate the short-term response of US REITs during this period by employing event study methodology with four market models and three distinct pandemic related event dates. In order to examine the performance across market sectors the returns on REIT indexes are considered instead of individual REITs. The empirical results provide additional evidence with respect to the performance of REITs relative to the overall market and the benefits derived from including REITs in a portfolio during adverse market conditions. Journal: Journal of Real Estate Portfolio Management Pages: 62-77 Issue: 1 Volume: 28 Year: 2022 Month: 1 X-DOI: 10.1080/10835547.2022.2064594 File-URL: http://hdl.handle.net/10.1080/10835547.2022.2064594 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:28:y:2022:i:1:p:62-77 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_2069654_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Andreas M. Gohs Author-X-Name-First: Andreas M. Author-X-Name-Last: Gohs Author-Name: Pascal Frömel Author-X-Name-First: Pascal Author-X-Name-Last: Frömel Author-Name: Steffen Sebastian Author-X-Name-First: Steffen Author-X-Name-Last: Sebastian Title: Unstable Unsmoothing—An Evaluation of Correction Procedures for Appraisal-Based Real Estate Indices Abstract: This study examines various methods for correcting the smoothness of appraisal-based indices proposed by real estate research. Such methods are widely applied in asset allocation decisions when transaction-based indices are not available. Using more than 40 years of index data, we investigate the distributional features of the obtained “unsmoothed” return series on both a quarterly and an annual basis. Repeated evaluations with evolving time windows reveal a remarkable lack of distributional stability for the majority of techniques. We also propose and test modified procedures for several models. Our results suggest a need for caution when applying appraisal-based real estate indices in an asset allocation context, as well as for interpreting the empirical results from unsmoothed data. The results suggest that less sophisticated correction techniques may provide equivalent solutions to address the smoothness of appraisal-based returns. Journal: Journal of Real Estate Portfolio Management Pages: 78-107 Issue: 1 Volume: 28 Year: 2022 Month: 1 X-DOI: 10.1080/10835547.2022.2069654 File-URL: http://hdl.handle.net/10.1080/10835547.2022.2069654 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:28:y:2022:i:1:p:78-107 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_2008095_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Xiaorui Piao Author-X-Name-First: Xiaorui Author-X-Name-Last: Piao Author-Name: Wenjing Yao Author-X-Name-First: Wenjing Author-X-Name-Last: Yao Author-Name: Bin Mei Author-X-Name-First: Bin Author-X-Name-Last: Mei Title: On the Risk of Novel Specialized REITs Abstract: Under the multivariate GARCH framework, we examined the risk characteristics of six groups of novel specialized REITs in the United States, which had experienced significant changes from 2004 to 2019. The six groups are healthcare, hotel, self-storage, mortgaged-backed security (MBS), high-tech, and timber REITs. Results show that the six specialized REIT groups displayed different patterns of volatility surrounding the 2007–2009 financial crisis. The volatilities and dynamic conditional correlations (DCC) reached their peaks during the financial crisis and recovered two years afterwards. Mostly positive DCCs imply that the diversification effect was weak among the specialized REIT groups. Specialized REITs exhibited lower risks than the overall market. Among the three subsample (pre-crisis, crisis, and post-crisis) periods and across all specialized REIT groups, conditional variance was the smallest and excess kurtosis was the largest over the pre-crisis period; constant variance was the largest during the crisis; and skewness was the largest and correlations were the most volatile after the crisis. For individual REIT groups, healthcare and hotel REITs had the smallest and largest excess kurtosis; MBS and hotel REITs had the smallest and largest systematic and total risks; and self-storage and MBS REITs had the weakest and strongest leverage effect, respectively. In addition, high-tech REITs had the largest mean returns as well as increasing time-varying correlations with other groups before the crisis, and healthcare and high-tech REITs had more skewed returns than MBS and timber REITs. Journal: Journal of Real Estate Portfolio Management Pages: 33-47 Issue: 1 Volume: 28 Year: 2022 Month: 1 X-DOI: 10.1080/10835547.2021.2008095 File-URL: http://hdl.handle.net/10.1080/10835547.2021.2008095 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:28:y:2022:i:1:p:33-47 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_2033390_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Steffen P. Sebastian Author-X-Name-First: Steffen P. Author-X-Name-Last: Sebastian Author-Name: Bertram I. Steininger Author-X-Name-First: Bertram I. Author-X-Name-Last: Steininger Title: Real Estate ETNs in Strategic Asset Allocation Abstract: Previous research has shown that real estate serves as a diversifier in mixed-asset portfolios. However, this empirical finding is beset with some drawbacks associated with direct real estate investment. In order to overcome some of these drawbacks, we use theoretical real estate exchange traded notes (ETNs) in a mean-shortfall setting to optimize an international mixed-asset portfolio. In addition, the typical long-only strategy is abandoned in favor of a 130/30 long-short and an exchange rate hedge strategy. Not only in-sample but also out-of-sample portfolios yield significant diversification benefits by means of real estate ETNs in different portfolio strategies. Journal: Journal of Real Estate Portfolio Management Pages: 48-61 Issue: 1 Volume: 28 Year: 2022 Month: 1 X-DOI: 10.1080/10835547.2022.2033390 File-URL: http://hdl.handle.net/10.1080/10835547.2022.2033390 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:28:y:2022:i:1:p:48-61 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_2069648_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Frank Gyamfi-Yeboah Author-X-Name-First: Frank Author-X-Name-Last: Gyamfi-Yeboah Author-Name: Cayman Seagraves Author-X-Name-First: Cayman Author-X-Name-Last: Seagraves Author-Name: Philip Seagraves Author-X-Name-First: Philip Author-X-Name-Last: Seagraves Title: Institutional Segmentation and Dynamic REIT Demand Abstract: Since the REIT form of real estate securitization began, the variety of property types available for investment has grown while institutions have increasingly played a more prominent role in the REIT market. If different types of institutions have no property sector preferences, their investments would be the same across REIT property types and unchanging over time. Understanding investor clientele and investment behavior of institutions is of broad interest to REIT managers and the investment community. In this paper, we explore the institutional investment behavior among the REIT property sectors. We examine the relationship between institutional ownership and REIT property types from 1990 to 2019 using a rolling Tobit regression model with control variables for market risk, liquidity, and prudence factors. The results show that while institutions have consistently favored liquidity and low transaction cost, REIT property sector preferences exist and have been dynamic over time. The factors behind specific institutional sector preferences appear to be driven by a desire to exploit informational advantages. Journal: Journal of Real Estate Portfolio Management Pages: 13-32 Issue: 1 Volume: 28 Year: 2022 Month: 1 X-DOI: 10.1080/10835547.2022.2069648 File-URL: http://hdl.handle.net/10.1080/10835547.2022.2069648 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:28:y:2022:i:1:p:13-32 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_2118100_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Yu-Jou Pai Author-X-Name-First: Yu-Jou Author-X-Name-Last: Pai Author-Name: Dazhi Zheng Author-X-Name-First: Dazhi Author-X-Name-Last: Zheng Author-Name: Suyan Zheng Author-X-Name-First: Suyan Author-X-Name-Last: Zheng Title: Do Designated Sales Agents in ATM Offerings Exploit Post-Earnings-Announcement Drift? Evidence from Real Estate Investment Trusts Abstract: This paper investigates whether designated sales agents hired to work on the At-the-Market (ATM) offerings act as liquidity traders and arbitrage apparent market inefficiencies such as post-earnings-announcement drift (PEAD). Those sales agents can compete to provide liquidity in the presence of asymmetric information and continuously sell their new equity shares at any time. We find that the supply of liquidity shocks from ATM offerings negatively impacts the cross-section of risk premia. Consistent with the prediction of a dynamic rational expectations model, the well-documented PEAD anomaly disappears in Real Estate Investment Trusts (REITs). When analyzing reversal magnitudes around earnings announcements, we show attenuated return reversals in ATM REITs compared with non-ATM REITs. Furthermore, institutional ownership, institutional herding, and adverse selection cannot explain future returns in firms with good earnings surprises below their expected levels. Journal: Journal of Real Estate Portfolio Management Pages: 183-204 Issue: 2 Volume: 28 Year: 2022 Month: 11 X-DOI: 10.1080/10835547.2022.2118100 File-URL: http://hdl.handle.net/10.1080/10835547.2022.2118100 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:28:y:2022:i:2:p:183-204 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_2079215_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Jong-Rong Chiou Author-X-Name-First: Jong-Rong Author-X-Name-Last: Chiou 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: Are REIT Dividend Changes a Firm-Specific or an Industry-Level Signal? Evidence From the Decomposition of Stock Returns Abstract: This study examines the firm-specific and industry-level effects of dividend announcements by equity real estate investment trusts (REITs). Using stock returns to measure the information impounded in stock prices from dividend announcements, we decompose stock returns into three return components: firm-specific, industry-level, and market-wide. This decomposition allows us to examine the relative importance of the firm-specific and industry-level information contained in dividend announcements. We find that the market reaction to equity REIT dividend changes is mainly driven by the firm-specific return component. We also find that equity REIT managers are more likely to cut (raise) dividend payments when the stock price reveals less (more) firm-specific information. Moreover, the managerial dividend signal can explain the announcement-period firm-specific abnormal return but not the industry-wide abnormal return, suggesting that the managerial dividend signal conveys mainly firm-specific information. Journal: Journal of Real Estate Portfolio Management Pages: 139-152 Issue: 2 Volume: 28 Year: 2022 Month: 11 X-DOI: 10.1080/10835547.2022.2079215 File-URL: http://hdl.handle.net/10.1080/10835547.2022.2079215 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:28:y:2022:i:2:p:139-152 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_2078531_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: David M. Harrison Author-X-Name-First: David M. Author-X-Name-Last: Harrison Author-Name: Hainan Sheng Author-X-Name-First: Hainan Author-X-Name-Last: Sheng Title: Pandemic Proof Property Companies Abstract: Using a sample of 163 U.S. based equity real estate investment trusts (REITs), this paper explores the consequences of COVID-19 on securitized commercial property markets. More specifically, we first map the geographic location of each firm’s investment property holdings to gauge the degree of exposure of each REIT’s asset base to the pandemic. We next demonstrate these firm level exposure metrics are directly related to the negative returns encountered by REITs in the early months of the pandemic and explore what firm specific characteristics and attributes (notably financial flexibility and financing constraints) may moderate this relation and enhance the resiliency of their equity returns. Finally, we examine the impact of the Federal Reserve’s late-March intervention designed to address and soften the economic fallout of the pandemic and ensure the liquidity and stability of capital markets. After this intervention, previously observed relations and patterns between firm specific COVID-exposure levels and operating characteristics fail to retain their prior signs and significance. In sum, the magnitude of the government’s response to the economic challenges brought about by the coronavirus pandemic is shown to outweigh the importance of firm specific factors in predicting the resiliency of REIT returns during this crisis period. Journal: Journal of Real Estate Portfolio Management Pages: 109-138 Issue: 2 Volume: 28 Year: 2022 Month: 11 X-DOI: 10.1080/10835547.2022.2078531 File-URL: http://hdl.handle.net/10.1080/10835547.2022.2078531 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:28:y:2022:i:2:p:109-138 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_2105530_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Saeed N. Algahtani Author-X-Name-First: Saeed N. Author-X-Name-Last: Algahtani Title: Constructing a House Price Index for Saudi Arabia Abstract: House price movements have a significant influence on the economy. These movements can dramatically affect household wealth and shift consumer spending. Unfortunately, the house price index development in Saudi Arabia is fragile, and data quality suffers from severe errors due to administrative negligence. Therefore, the k-means clustering algorithm technique was used to correct these errors and appropriately redefine the property type. This study attempts to overcome these severe errors to improve transparency and support literature in the Saudi Arabian real estate market as well as the Middle East and North African real estate markets. I compared the official real estate price index of the General Authority for Statistics GASTAT with the proposed mix adjustment and repeat-sales index I constructed from the same transaction data. I conclude that there are considerable concerns regarding the GASTAT index’s credibility and accuracy. This study is the first attempt to construct sophisticated indices for Saudi Arabia on citywide and national levels. I also provide stratification and repeat sales indices for Saudi Arabia. They illustrate the real estate business cycle for the first time and adequately measure the pure house price movements in Saudi Arabia. Journal: Journal of Real Estate Portfolio Management Pages: 166-182 Issue: 2 Volume: 28 Year: 2022 Month: 11 X-DOI: 10.1080/10835547.2022.2105530 File-URL: http://hdl.handle.net/10.1080/10835547.2022.2105530 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:28:y:2022:i:2:p:166-182 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_2091089_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Ashraf Noumir Author-X-Name-First: Ashraf Author-X-Name-Last: Noumir Author-Name: Michael Langemeier Author-X-Name-First: Michael Author-X-Name-Last: Langemeier Title: Is Farmland a Common Risk Factor in Asset Pricing Models? Abstract: Farmland represents the largest share of the U.S. agricultural balance sheet, accounting for nearly 80% of U.S. farm assets. Motivated by the well-documented real estate risk factor and the similarities between farmland and real estate investing, this paper examines whether farmland has a risk factor, like real estate, that is affecting asset returns. The proposed farmland risk factor is proxied by the National Council of Real Estate Investment Fiduciaries farmland property index (Farmland NCREIF). Relying on quarterly data from 1991-Q1 to 2016-Q2, we employed the Generalized Method of Moments (GMM) to provide empirical evidence that even though farmland exhibits diversification benefits, it fails to be a risk factor. Instead, market frictions and/or non-risk explanations might provide a more plausible description of farmland’s high risk-adjusted return. Journal: Journal of Real Estate Portfolio Management Pages: 153-165 Issue: 2 Volume: 28 Year: 2022 Month: 11 X-DOI: 10.1080/10835547.2022.2091089 File-URL: http://hdl.handle.net/10.1080/10835547.2022.2091089 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:28:y:2022:i:2:p:153-165 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_2179963_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Clemens Kownatzki Author-X-Name-First: Clemens Author-X-Name-Last: Kownatzki Author-Name: Dongshin Kim Author-X-Name-First: Dongshin Author-X-Name-Last: Kim Author-Name: Abraham Park Author-X-Name-First: Abraham Author-X-Name-Last: Park Author-Name: Sunghoon Kwon Author-X-Name-First: Sunghoon Author-X-Name-Last: Kwon Title: REIT Sector Implied Volatility Index: Liquidity and Information of Option Trading Abstract: An accurate volatility forecast is essential in financial investments and risk management. Existing literature finds that the implied volatility from options trading best predicts the realized volatility in various financial products. In 2016, real estate was added to the S&P 500 as the eleventh sector; however, a reliable implied volatility measure for the real estate sector has not been developed yet. The existing literature in real estate investment trusts (REITs) relies primarily on insufficient volatility forecasts, such as implied volatility for a broader market or time series analysis. In this research, we develop a REIT sector implied volatility index derived from options on the US Real Estate exchange-traded fund, IYR. As Whaley, the creator of the VIX (implied volatility on S&P 500), points out, enough liquidity in option trading is critical in developing an implied volatility index. This study shows that IYR option trading is liquid enough and informative that our REIT sector implied volatility index outperforms other volatility forecast measures. Our findings suggest that the REIT sector implied volatility index from option trading data can be utilized in future research and industry risk management. Journal: Journal of Real Estate Portfolio Management Pages: 43-60 Issue: 1 Volume: 29 Year: 2023 Month: 1 X-DOI: 10.1080/10835547.2023.2179963 File-URL: http://hdl.handle.net/10.1080/10835547.2023.2179963 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:29:y:2023:i:1:p:43-60 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_2216635_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: The Editors Title: Acknowledgment of Distinguished Reviewers for JREPM Journal: Journal of Real Estate Portfolio Management Pages: i-i Issue: 1 Volume: 29 Year: 2023 Month: 1 X-DOI: 10.1080/10835547.2023.2216635 File-URL: http://hdl.handle.net/10.1080/10835547.2023.2216635 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:29:y:2023:i:1:p:i-i Template-Type: ReDIF-Article 1.0 # input file: REPM_A_2179964_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Ryan G. Chacon Author-X-Name-First: Ryan G. Author-X-Name-Last: Chacon Author-Name: Jocelyn D. Evans Author-X-Name-First: Jocelyn D. Author-X-Name-Last: Evans Title: Investor Inattention to Earnings Surprises: Evidence from REIT and Tenant Information Transmission Abstract: This paper investigates the equity Real Estate Investment Trust (REIT) shareholder response to tenant earnings announcements (EA). We find that while REIT investors respond to tenant EA, their response is focused on negative earnings surprises. Tenant EAs provide an ideal setting to test whether REIT investors overreact to imprecise signals (moderated confidence hypothesis) or underreact to material news (limited attention hypothesis). Contrary to the findings in the customer-supplier literature, we find that REIT investors pay limited attention to their large tenant’s negative earnings surprises. REIT shareholders do not fully incorporate the tenant earnings news at the time of the announcement, particularly when the tenant is more economically important to the REIT. These results shed further light on both the importance of the tenant-landlord relationship and the limited attention bias documented in the REIT literature. Journal: Journal of Real Estate Portfolio Management Pages: 61-77 Issue: 1 Volume: 29 Year: 2023 Month: 1 X-DOI: 10.1080/10835547.2023.2179964 File-URL: http://hdl.handle.net/10.1080/10835547.2023.2179964 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:29:y:2023:i:1:p:61-77 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_2110668_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a 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: Retail Property Price Index Forecasting through Neural Networks Abstract: Rapid growth has been seen in the Chinese housing market during the past decade, and housing price forecasts have become more significant to investors and policy makers. In this study, we explore neural networks for retail property price index forecasts from ten major Chinese cities for July 2005–April 2021. Our goal is to build simple and accurate neural networks to contribute to purely technical forecasts of the Chinese retail property market. To facilitate the analysis, we examine different model settings based on algorithms, delays, hidden neurons, and data splitting ratios and construct a simple neural network with five delays and two hidden neurons. This leads to a rather stable performance of about 1.6% average relative root mean square error across the ten cities for the training, validation, and testing phases. Results here can be used on a stand-alone basis or combined with fundamental forecasts to form perspectives of retail property price trends and conduct policy analyses. Journal: Journal of Real Estate Portfolio Management Pages: 1-28 Issue: 1 Volume: 29 Year: 2023 Month: 1 X-DOI: 10.1080/10835547.2022.2110668 File-URL: http://hdl.handle.net/10.1080/10835547.2022.2110668 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:29:y:2023:i:1:p:1-28 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_2179173_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Simon Stevenson Author-X-Name-First: Simon Author-X-Name-Last: Stevenson Author-Name: Alexandra Krystalogianni Author-X-Name-First: Alexandra Author-X-Name-Last: Krystalogianni Author-Name: Fotis Mouzakis Author-X-Name-First: Fotis Author-X-Name-Last: Mouzakis Author-Name: James Young Author-X-Name-First: James Author-X-Name-Last: Young Title: An Asymmetric Panel Error-Correction Model of Australian Office Rents Abstract: The econometric modelling of real estate can encounter a number of issues due to the functional utility and investment characteristics of property assets. One issue of particular importance is the inherent mismatch between inelastic supply and elastic demand. We examine the office markets in the five largest Australian cities using an asymmetric panel error-correction framework. It is found that prime office markets responded to both changes in demand and supply as expected. However, secondary markets responded in most specifications to demand with a subdued rent response arising from reduced stock availability. This finding raises several questions concerning the relationship between prime and secondary office markets. Journal: Journal of Real Estate Portfolio Management Pages: 29-42 Issue: 1 Volume: 29 Year: 2023 Month: 1 X-DOI: 10.1080/10835547.2023.2179173 File-URL: http://hdl.handle.net/10.1080/10835547.2023.2179173 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:29:y:2023:i:1:p:29-42 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_2213601_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Michael S. Young Author-X-Name-First: Michael S. Author-X-Name-Last: Young Author-Name: Roger J. Brown Author-X-Name-First: Roger J. Author-X-Name-Last: Brown Title: Real Estate Return Distributions with New NCREIF Data Series Abstract: The accuracy of real estate return distribution parameter estimation is affected by the tools used to do the work as well as the data sets employed. Consistent with previous studies, investment risk models with infinite variance describe distributions of individual property returns in the new NCREIF Indicators: Capital Performance and Property Operations individual property database over the period 1990–2021. Applying Maximum Likelihood Estimation (MLE) to historic data shows real estate investment risk to be heteroscedastic, but the Characteristic Exponent of the investment risk function varies more among property types than previously reported whether computed by MLE or other estimation techniques. Journal: Journal of Real Estate Portfolio Management Pages: 151-176 Issue: 2 Volume: 29 Year: 2023 Month: 7 X-DOI: 10.1080/10835547.2023.2213601 File-URL: http://hdl.handle.net/10.1080/10835547.2023.2213601 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:29:y:2023:i:2:p:151-176 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_2183459_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Xiaorui Piao Author-X-Name-First: Xiaorui Author-X-Name-Last: Piao Author-Name: Bin Mei Author-X-Name-First: Bin Author-X-Name-Last: Mei Title: The Financial Performance of Newly Launched Chinese Infrastructure REITs Abstract: This paper explores the financial performance of the first group of nine infrastructure real estate investment trusts (REITs) that went public in mainland China in June 2021. Under the short-term event study framework, this research compares the abnormal returns and correlations of nine Chinese REITs with three groups of competitors (i.e., 49 quasi-REITs, 54 infrastructure asset-backed securities (ABSs), and 132 Wind utility firms). Three approaches are used to evaluate the performance of REITs: Risk-return indicators (e.g., Sharpe ratios and Jensen’s alphas) and raw returns measure the preliminary results, and panel data analyses capture the relative advantages of REITs over their competitors within the infrastructure industry. REITs are small-cap firms with the largest Sharpe ratios and greater diversification potential than the ABSs. Despite beating the market, they did not start to trade with a premium until the first month after their initial public offerings (IPOs). Post-event annualized abnormal returns are more than 15% against the ABSs and close to zero against Wind utility firms after controlling for key financial variables, and three mechanisms behind the REIT IPOs (i.e., asset type, taxation, and liquidity) are verified. Therefore, REITs outperform quasi-REITs and infrastructure ABSs as well as the market proxies, and their launch brought out favorable outcomes. Journal: Journal of Real Estate Portfolio Management Pages: 106-126 Issue: 2 Volume: 29 Year: 2023 Month: 7 X-DOI: 10.1080/10835547.2023.2183459 File-URL: http://hdl.handle.net/10.1080/10835547.2023.2183459 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:29:y:2023:i:2:p:106-126 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_2189509_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Márcio R. Bernardo Author-X-Name-First: Márcio R. Author-X-Name-Last: Bernardo Author-Name: Carlos Heitor Campani Author-X-Name-First: Carlos Heitor Author-X-Name-Last: Campani Author-Name: Raphael Moses Roquete Author-X-Name-First: Raphael Moses Author-X-Name-Last: Roquete Title: Brazilian REITs: Are They an Opportunity for Diversification and Performance? Abstract: We study the dynamic diversification benefits of Brazilian real estate investment trusts (BR-REITs) by analyzing their complex dynamic relationship with stock and government bond indices. We estimate the assets’ conditional variance–covariance matrix using a vector autoregressive multivariate dynamic conditional correlation GARCH model with Student’s t distribution (VAR-DCCt MGARCH) and a global minimum variance portfolio. We find that BR-REITs provide strong risk-adjusted performance and persistent diversification benefits for Brazilian investors. Furthermore, these diversification benefits are not impacted by the market performance of stocks and bonds. Nevertheless, our results show that the BR-REITs’ conditional correlations with stocks and bonds are dynamic; thus, BR-REIT investors should employ dynamic investment strategies that account for time variation in REITs’ diversification benefits. Our results suggest that Brazilian investors, particularly long-term investors, would secure significant performance and diversification benefits, lowering their portfolios’ short-term volatility, by investing in BR-REITs. Journal: Journal of Real Estate Portfolio Management Pages: 127-139 Issue: 2 Volume: 29 Year: 2023 Month: 7 X-DOI: 10.1080/10835547.2023.2189509 File-URL: http://hdl.handle.net/10.1080/10835547.2023.2189509 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:29:y:2023:i:2:p:127-139 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_2183373_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Mohsen Bahmani-Oskooee Author-X-Name-First: Mohsen Author-X-Name-Last: Bahmani-Oskooee Author-Name: Hesam Ghodsi Author-X-Name-First: Hesam Author-X-Name-Last: Ghodsi Author-Name: Muris Hadzic Author-X-Name-First: Muris Author-X-Name-Last: Hadzic Title: On the Effects of Consumer Sentiment on House Permits: Asymmetric Evidence From State-Level Data in the United States Abstract: Previous studies analyzing the link between the housing market and consumer sentiment focus on the impact of the sentiment on house prices. This paper assesses the impact of consumer sentiment on house permits as a proxy for housing production using a linear model that assumes symmetric effects. Additionally, we consider a nonlinear asymmetric model. We estimate both models using state-level data from each state of the United States and find short-run effects of consumer sentiment on house permits in 31 and long-run effects in 33 states. The comparable numbers by estimating a nonlinear asymmetric model were 42 and 41, respectively. In sum, increased consumer confidence has positive long-run effects on the issuance of house permits in most states. Journal: Journal of Real Estate Portfolio Management Pages: 79-105 Issue: 2 Volume: 29 Year: 2023 Month: 7 X-DOI: 10.1080/10835547.2023.2183373 File-URL: http://hdl.handle.net/10.1080/10835547.2023.2183373 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:29:y:2023:i:2:p:79-105 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_2221631_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Danny M. Ervin Author-X-Name-First: Danny M. Author-X-Name-Last: Ervin Author-Name: Joseph C. Smolira Author-X-Name-First: Joseph C. Author-X-Name-Last: Smolira Title: REITs and Diversification in a Retirement Withdrawal Portfolio Abstract: This study uses Monte Carlo simulation to examine the success of the monthly withdrawal of funds from portfolios consisting of U.S. large capitalization stocks, U.S. corporate bonds, and real estate investment trusts (REITs). The objective of this research is to provide an empirical examination of the effect of diversification with REITs on the withdrawal of funds from a retirement portfolio. We compare portfolios consisting of large capitalization stocks and corporate bonds to portfolios consisting of large capitalization stocks, corporate bonds, and REITs. We examine both portfolio compositions using a variety of portfolio weights, fund withdrawal rates, and fund withdrawal periods. The results of the study indicate that, in general, portfolios with REITs had a greater likelihood of sustaining a given number of withdrawals over this time. The results of this study can be used for retirement planning since they provide a historical perspective on the success of various withdrawal rates. Our results indicate that REITs, when added to a portfolio of stocks and bonds, can increase the success rates for a withdrawal portfolio. This indicates that individuals and large investment funds would likely benefit from adding REITs to a withdrawal portfolio of stocks and bonds. Journal: Journal of Real Estate Portfolio Management Pages: 140-150 Issue: 2 Volume: 29 Year: 2023 Month: 7 X-DOI: 10.1080/10835547.2023.2221631 File-URL: http://hdl.handle.net/10.1080/10835547.2023.2221631 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:29:y:2023:i:2:p:140-150 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_2225381_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Fateh Saci Author-X-Name-First: Fateh Author-X-Name-Last: Saci Title: Third-and Fourth-Tier City Real Estate Collection Trust Plan: Research on Risk Assessment System Abstract: With housing price soaring during the past few years, China’s government has adopted a series of policies to control the house market. As a result, housing price can hardly continue to rise and some first-tier cities, even saw a small decrease in the rocketing price. Meanwhile, due to the renovation of shanty towns and the popularity of purchasing property in the hometown, housing price in the majority of third-tier cities doubled and achieved 10,000 yuan per square metre. However, when the renovation of shanty towns ends, most of them lose the support of their property market, which exposes many real estate developers to great pressure. On the other hand, as an important financing method for property developers, how can trust assess the risk of real estate projects in third-tier cities? Based on previous research, this paper chooses Fuzzy Analytic Hierarchy Process to assess the particular risk of real estate projects in third and fourth-tier cities. It also uses a real project in a trust company to prove the efficacity of this hierarchy. We found that for trust companies, the ability to collect cash flows and the collateral of guarantees count most when assessing real estate projects in third-tier cities. Journal: Journal of Real Estate Portfolio Management Pages: 1-19 Issue: 1 Volume: 30 Year: 2024 Month: 1 X-DOI: 10.1080/10835547.2023.2225381 File-URL: http://hdl.handle.net/10.1080/10835547.2023.2225381 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:30:y:2024:i:1:p:1-19 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_2246004_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Kimberly R. Goodwin Author-X-Name-First: Kimberly R. Author-X-Name-Last: Goodwin Author-Name: Shinhua Liu Author-X-Name-First: Shinhua Author-X-Name-Last: Liu Title: Creating the XLRE: Market Implications for REITs and the Real Estate Sector Abstract: On October 7, 2015, State Street Global Advisors launched the first new sector ETF (SPDR) since the inception of these sector funds in 1998. This was just one of many market events spurred by Morgan Stanley Capital International (MSCI) and Standard & Poor’s Dow Jones (S&P DJ) decision to officially give real estate its own market classification. Since this was the first time an event of this kind had taken place, markets were uncertain about the effects such a change could have on the underlying real estate assets. This paper provides a comprehensive study of the real estate sector SPDR (XLRE) launch event and the impacts on the underlying real estate investment trusts (REITs). We find evidence of positive price effects, no significant liquidity effects, and a negative volatility effect. This is the first study combining these effects where others focus on the volatility effects of ETFs on underlying stocks. Since our study contradicts the results of previous volatility studies, we show that further comprehensive analysis of these events is warranted. Journal: Journal of Real Estate Portfolio Management Pages: 54-65 Issue: 1 Volume: 30 Year: 2024 Month: 1 X-DOI: 10.1080/10835547.2023.2246004 File-URL: http://hdl.handle.net/10.1080/10835547.2023.2246004 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:30:y:2024:i:1:p:54-65 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_2248450_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Zhilu Lin Author-X-Name-First: Zhilu Author-X-Name-Last: Lin Author-Name: Wentao Wu Author-X-Name-First: Wentao Author-X-Name-Last: Wu Author-Name: Suyan Zheng Author-X-Name-First: Suyan Author-X-Name-Last: Zheng Title: Can at-the-Market Offerings Affect REIT Debt Maturity Choice? Abstract: This study examines the differences in debt maturity choice between Real Estate Investment Trusts (REITs) with At-the-Market (ATM) offerings and those without, as well as the subsequent changes in REIT debt maturity following the adoption of ATM programs. We find that ATM REITs consistently maintain higher levels of long-term debt than non-ATM REITs, even after implementing ATM offerings. It suggests that the capital raised through ATM offerings is not primarily utilized to reduce long-term debt. Additionally, the study highlights that small REITs experience a significant increase in short-term debt when actively employing ATM offerings. This outcome indicates that ATM programs offer smaller REITs the necessary financial flexibility to raise funds and address short-term debt obligations. Journal: Journal of Real Estate Portfolio Management Pages: 66-84 Issue: 1 Volume: 30 Year: 2024 Month: 1 X-DOI: 10.1080/10835547.2023.2248450 File-URL: http://hdl.handle.net/10.1080/10835547.2023.2248450 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:30:y:2024:i:1:p:66-84 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_2232118_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Mutale Katyoka Author-X-Name-First: Mutale Author-X-Name-Last: Katyoka Author-Name: Simon Stevenson Author-X-Name-First: Simon Author-X-Name-Last: Stevenson Title: Volatility Transmission: Evidence from U.K. REIT & Stock Market Implied Volatility Abstract: This paper investigates volatility transmission in the U.K. REIT market. It considers how REIT volatility is related to implied volatility in both the overall stock market as well as that derived from traded options on REIT stocks. The multivariate analysis utilizes both Constant Conditional Correlation (CCC) and Dynamic Conditional Correlation (DCC) GARCH specifications to analyse the interdependence of the data. The findings confirm the presence of volatility transmission across the implied volatility of U.K. REITs, the U.K. implied volatility index, and the U.K. REIT index. The study also applies the variance decomposition approach proposed by Diebold and Yilmaz to examine spillover effects. Journal: Journal of Real Estate Portfolio Management Pages: 20-35 Issue: 1 Volume: 30 Year: 2024 Month: 1 X-DOI: 10.1080/10835547.2023.2232118 File-URL: http://hdl.handle.net/10.1080/10835547.2023.2232118 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:30:y:2024:i:1:p:20-35 Template-Type: ReDIF-Article 1.0 # input file: REPM_A_2233348_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Islam Ibrahim Author-X-Name-First: Islam Author-X-Name-Last: Ibrahim Author-Name: Heidi Falkenbach Author-X-Name-First: Heidi Author-X-Name-Last: Falkenbach Title: Diversification and Cost of Public Debt for REITs: Evidence from the US Abstract: This paper investigates the impact of property type and geographical diversification on the cost of public debt for U.S. real estate investment trusts (REITs). We measure diversification using the negative of the Herfindahl–Hirschman Index (HHI) and represent the debt cost by the yield spread of the debt issue. We find that property-type diversification has a cost-decreasing effect on public debt. For example, our estimations illustrate that a one standard deviation increase in property type diversification decreases the yield spread by 10.97 basis points on average. In contrast, geographical diversification has a cost-increasing effect. For example, we estimate that a one standard deviation increase in regional diversification increases the yield spread by 9.95 basis points on average. Moreover, we find that controlling for the S&P’s credit rating of the debt issue does not entirely absorb the impact of diversification on the yield spread, suggesting a difference in the credit-risk assessment of diversification’s effects between public lenders and credit rating agencies. Journal: Journal of Real Estate Portfolio Management Pages: 36-53 Issue: 1 Volume: 30 Year: 2024 Month: 1 X-DOI: 10.1080/10835547.2023.2233348 File-URL: http://hdl.handle.net/10.1080/10835547.2023.2233348 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:repmxx:v:30:y:2024:i:1:p:36-53