共查询到20条相似文献,搜索用时 31 毫秒
1.
Jaroslaw Morawski Heinz Rehkugler Roland Füss 《Financial Markets and Portfolio Management》2008,22(2):101-126
This paper addresses the question of whether shares of public real estate companies should be treated as real estate or as
equity investments. Because theoretical considerations do not suffice for making such a classification, we empirically investigate
correlation structures and cointegration relationships of private and public real estate and equity markets for the United
States and the United Kingdom. Our results suggest that public real estate stocks show similarities to the general stock market
with regard to short-term return co-movements. For long-term investment horizons, the interdependence between direct and securitized
real estate is much stronger. However, in the latter case, real estate stocks substantially lead the private property markets.
相似文献
Roland FüssEmail: |
2.
We advance the real-option-based empirical analysis of commercial real estate investment in three respects. First, we test
several real option implications for real estate construction that have not been examined in the commercial real estate investment
literature. In particular and in line with the predictions of real option models, we show that the effects of real interest
rate and the expected demand growth on hurdle rent become more negative when the market volatility is greater. Second, we
use a cointegrating vector of office employment and office stock to provide a better control of the demand for new construction
than traditional indicators based on real estate prices and vacancy rates. Third, whereas the existing studies focus on the
U.S. commercial real estate markets, we study two major office markets in Asia, namely Singapore and Hong Kong. We rely on
the local stock market in the two city states to derive forward-looking measures of office demand growth expectations.
相似文献
Maarten Jennen (Corresponding author)Email: |
3.
Mark Bertus Harris Hollans Steve Swidler 《The Journal of Real Estate Finance and Economics》2008,37(3):265-279
Until the recent introduction of real estate futures on the Chicago Mercantile Exchange (CME), there have been few opportunities
to manage house price risk. This paper examines whether house price risk can be effectively hedged in Las Vegas, one of the
CME contract cities. The analysis considers hedging from the viewpoint of real estate investment groups, mortgage portfolio
investors, builder/developers and individual homeowners. For investment groups and mortgage holders holding a mix of new and
existing home assets, CME futures would have reduced house price risk by more than 88% over the 1994–2006 period. Similarly,
homeowners implicitly hedging price volatility of existing homes also would have fared well over the sample period. However,
builder/developers worried about new home price appreciation would have been much less successful in managing their risk.
One important caveat, minimum variance hedge ratios change over time and may cause hedge performance to suffer.
相似文献
Steve Swidler (Corresponding author)Email: |
4.
Dirk Brounen Piet Eichholtz David C. Ling 《The Journal of Real Estate Finance and Economics》2007,35(4):449-474
This paper investigates whether it is possible to create value through the active management of direct property portfolios.
Using data from the USA, the UK and Australia, we examine whether trading intensity and portfolio growth explain the risk
and return characteristics of listed property companies. The results suggest that beating the market by pursuing tactical
asset selection and investment timing strategies is difficult even when acquiring and disposing of properties in illiquid
private property markets. When the property type in which the firm specializes is included as a control variable in the regressions,
none of the portfolio management intensity indicators developed in this paper is significantly associated with abnormal performance
or systematic risk.
相似文献
Dirk BrounenEmail: |
5.
Jim Clayton David C. Ling Andy Naranjo 《The Journal of Real Estate Finance and Economics》2009,38(1):5-37
This paper investigates the role of fundamentals and investor sentiment in commercial real estate valuation. In real estate
markets, heterogeneous properties trade in illiquid, highly segmented and informationally inefficient local markets. Moreover,
the inability to short sell private real estate restricts the ability of sophisticated traders to enter the market and eliminate
mispricing. These characteristics would seem to render private real estate markets highly susceptible to sentiment-induced
mispricing. Using error correction models to carefully model potential lags in the adjustment process, this paper extends
previous work on cap rate dynamics by examining the extent to which fundamentals and investor sentiment help to explain the
time-series variation in national-level cap rates. We find evidence that investor sentiment impacts pricing, even after controlling
for changes in expected rental growth, equity risk premiums, T-bond yields, and lagged adjustments from long run equilibrium.
相似文献
Andy NaranjoEmail: |
6.
Kevin C. H. Chiang 《The Journal of Real Estate Finance and Economics》2009,39(1):74-91
This study decomposes real estate investment trust (REIT) returns into two components: (1) real returns, and (2) public returns.
The real returns are based on the changes in the private, appraisal-based net asset values of REITs, whereas the public returns
are measured by the variations in REITs’ premiums/discounts. This study then investigates the price discovery of REIT prices.
The results indicate that lagged public returns are useful in predicting real returns. In addition, the study documents concurrent
factor exposures for public returns and lagged factor exposures for private returns under a variety of asset pricing models.
Overall, the results are consistent with the notion that public markets are more efficient in processing information.
相似文献
Kevin C. H. ChiangEmail: |
7.
Yildiray Yildirim 《The Journal of Real Estate Finance and Economics》2008,37(2):93-111
This paper provides a comprehensive default estimation of commercial real estate loans with a complete commercial mortgage
backed securities (CMBS) loan history database. Standard survival models assume that eventually every observation will experience
the event. However, often there is a high proportion of censored observation in the sample. A mixture model is proposed to
disentangle the probability of “long-term survivorship” and the timing of default occurrence. Loans within the same geographical
area and property type tend to exhibit correlation in default incidence. A multilevel model is proposed to capture this correlation
within and between clusters.
相似文献
Yildiray YildirimEmail: |
8.
S. K. Wong K. W. Chau C. Y. Yiu 《The Journal of Real Estate Finance and Economics》2007,35(3):281-293
How shocks in one market influence the returns and volatility of other markets has been an important question for portfolio
managers. In the finance literature, many studies found evidence of volatility spillovers across international markets, as
well as between spot and futures markets. Although real estate is often regarded as a good vehicle for diversification, the
dynamics of its volatility transmission have been largely ignored. This paper provides the first study to examine volatility
spillovers between the spot and forward (pre-sale) index returns of the Hong Kong real estate market through a bivariate GARCH
model. Transaction-based indices were used so that our volatility modelling was free from any smoothing problem. Our results
showed that real estate returns exhibited volatility clustering, and the volatility of the forward market was more sensitive
to shocks than the spot market. Moreover, volatility was mainly transmitted from the forward market to the spot market, but
not vice versa.
相似文献
S. K. WongEmail: |
9.
In this paper we offer direct evidence that financial intermediation does impact underlying asset markets. We develop a specific
observable symptom of a banking system that underprices the put option imbedded in non-recourse asset-backed lending. Using
a dataset for 19 countries and over 500 real estate investment trusts, we find that, following a negative demand shock, the
“underpricing” economies experience far deeper asset market crashes than economies in which the put option is correctly priced.
相似文献
Susan WachterEmail: |
10.
Ming-Long Lee Ming-Te Lee Kevin C. H. Chiang 《The Journal of Real Estate Finance and Economics》2008,36(2):165-181
This study examines the linkage between equity real estate investment trust (REIT) returns and the private real estate factor.
The results reveal a tighter connection between REIT and the private real estate market starting from 1993. In addition, large-cap
REITs seem to behave more like real estate than do small-cap REITs. Overall, the results are consistent with three notions:
(1) that institutional investors provide information-gathering services (Bradrinath et al., Rev. Financ. Stud., 8:401–430, 1995), (2) that a more sophisticated investor base improves information flow, and (3) that a high degree of participation
from institutional investors strengthens the linkage between REIT returns and the underlying real estate factor (Ziering et
al., The evolution of public and private market investing in the new real estate capital markets, Prudential Real Estate Investors, Parsippany, NJ, 1997).
相似文献
Ming-Long LeeEmail: |
11.
We investigate 95 takeovers of property companies all over the world and find that only two of those are hostile. To determine
the effectiveness of the market for corporate control, we first study characteristics of targets and acquirers compared to
a control sample, using the complete global universe of listed property companies during the most recent takeover wave (1999–2004).
We find that the inefficient management hypothesis holds for both REITs and non-REITs, as targets exhibit significant underperformance
before takeovers. In the second part of this study, we investigate shareholder wealth effects following takeovers and confirm
previous findings that abnormal returns for targets and bidders are distinctly different for the real estate sector. Moreover,
we show that this difference not only holds for REIT-to-REIT mergers, but also for mergers of real estate firms without a
REIT-status.
相似文献
Piet M. A. EichholtzEmail: |
12.
The Effect of Time-on-Market and Location on Search Costs and Anchoring: The Case of Single-Family Properties 总被引:2,自引:0,他引:2
Terrence M. Clauretie Paul D. Thistle 《The Journal of Real Estate Finance and Economics》2007,35(2):181-196
Regarding single-family residential properties purchased for investment (non-owner occupied) we examine whether out-of-state
buyers pay more than in-state buyers. We focus on the effects of search costs and anchoring. We use data on 2,828 Las Vegas
non-owner occupied (investor) residences, 40% of which are purchased by non-local investors. We find that the location of
the property affects the empirical results. Specifically, search cost and anchoring effects that appear significant when the
location of the property is ignored disappear when location is introduced as an independent variable.
相似文献
Paul D. ThistleEmail: |
13.
Terrence M. Clauretie Nasser Daneshvary 《The Journal of Real Estate Finance and Economics》2008,37(2):147-161
In the real estate market the seller/agent relationship changes over the course of the listing contract. As the contract expiration
nears, brokers may increase efforts generating more potential buyers and, perhaps, a higher offered price. Brokers may also
persuade the seller to reduce the reservation price. These two aspects have different implications for the selling price of
the property. Employing a sample of 24,100 properties sold in Clark County, Nevada, we investigate the relationship between
the selling price and the time-to-expiration of the listing contract. We find that prices are lower if the property is sold
near the expiration of the listing contract, indicating that the price-reduction effect dominates the broker-effort effect.
相似文献
Terrence M. ClauretieEmail: |
14.
Peter F. Colwell Carolyn A. Dehring Geoffrey K. Turnbull 《The Journal of Real Estate Finance and Economics》2008,37(1):1-20
Changing demographics, growing real incomes, and friendly tax laws underlie the continuing growth in demand for recreational
real estate in the US. The market for recreational property has undergone a major transformation over the past decades, with
the refinement and deepening of markets for partial property ownership vehicles. This paper represents the first to analyze
the factors underlying the demand for partial ownership interests. It develops a theory of partial ownership demand that focuses
on the roles of familiarity and location-specific human capital in mediating the consumption uncertainty associated with particular
recreation locations. Using private data from a survey of partial ownership participants, the empirical analysis yields results
consistent with the theory: factors associated with greater site-specific recreation price, like distance between the primary
residence and the recreation site and frequency of visits per week, reduce the share of ownership demanded, while factors
associated with lower consumption risk tend to increase the share of ownership demanded.
相似文献
Carolyn A. DehringEmail: |
15.
We evaluate the conditional performance of U.K. equity unit trusts using the approach of Lynch and Wachter (2007, 2008) relative to three conditional linear factor models. We find significant time variation in the conditional performance of
some trust portfolios and individual trusts using the lag term spread as the information variable. The conditional performance
of the trusts is countercyclical and larger trusts have more countercyclical performance than smaller trusts within certain
investment sectors. These patterns in conditional trust performance cannot be fully explained by the underlying securities
that the trusts hold.
相似文献
Jonathan FletcherEmail: |
16.
Domino Effects Within a Housing Market: The Transmission of House Price Changes Across Quality Tiers 总被引:1,自引:0,他引:1
Lok Sang Ho Yue Ma Donald R. Haurin 《The Journal of Real Estate Finance and Economics》2008,37(4):299-316
We argue that shocks to a housing market are transmitted through the hierarchy of quality tiers within a housing market. The
result is the prediction of waves of house price changes accompanied by changes in transaction volume. Our study is related
to existing models of spatial ripple effects across housing markets. The data are from the Hong Kong housing market. The findings
from Granger causality tests strongly support the argument that domino effects within a single housing market occur in response
to external shocks.
相似文献
Donald R. HaurinEmail: |
17.
J’Noel Gardiner Jeffrey Heisler Jarl G. Kallberg Crocker H. Liu 《The Journal of Real Estate Finance and Economics》2007,35(1):39-55
In 1984, the State of Hawaii’s legislature enacted a law making it mandatory for real estate agents engaged in dual agency
relationships (i.e., when the seller’s and the buyer’s agents are employed by the same real estate firm) to disclose this
fact to both parties in writing. The assumption was that the dual agency relation was damaging to the seller. This study analyzes
the effect of disclosed and undisclosed dual agency, and the impact of the legislation, using data prior to and after the
legislation (approximately 2,000 residential sales in each period). To account for property characteristics, hedonic models
for the log of sale price and for the log of days on market are estimated in each period. Our empirical analysis suggests
that dual agency significantly reduced the sales price, but the influence was much smaller after the legislation (8.0 versus
1.4%). In addition, dual agency significantly decreased the time on market by approximately 8.5% pre-legislation and 8.1%
post-legislation, although the influence was much stronger for lower priced residences. These results are confirmed using
a seemingly unrelated regression model.
相似文献
Crocker H. LiuEmail: |
18.
Thomas J. Miceli Katherine A. Pancak C. F. Sirmans 《The Journal of Real Estate Finance and Economics》2007,35(1):7-22
This study examines the traditional compensation model for real estate brokers under which both the listing and buyer brokers
are paid by the seller based on a percentage of the property sales price. We argue that this model has not evolved to reflect
contemporary legal agency relationships and technology-driven information availability. It therefore creates substantial transactional
inefficiencies for buyers and sellers at both the matching and bargaining stages of a transaction. While there is evidence
that market forces are pushing for a change in the status quo, there is also evidence that the brokerage industry is resisting
this change by pursuing anti-competitive policies and laws. We explore the economics of the current and alternative compensation
structures and suggest policy implications regarding anti-competitive behavior in the brokerage industry.
相似文献
C. F. SirmansEmail: |
19.
Christoph Hinkelmann Steve Swidler 《The Journal of Real Estate Finance and Economics》2008,36(1):37-52
This paper examines the use of futures contracts to hedge residential real estate price risk. We examine whether existing
futures contacts can effectively be used to offset volatility in national house prices. Little evidence of any simple systematic
relation between national prices and futures prices is found. Since house prices are not easily replicated with a portfolio
of existing futures contracts, a further implication is that the Chicago Mercantile’s introduction of a financial asset whose
value reflects house prices will help complete the market. Nevertheless, the success of the CME’s new derivative contracts
may be limited in light of state and regional house price correlations.
相似文献
Steve Swidler (Corresponding author)Email: |
20.
Kim Hiang Liow Kim Hin David Ho Muhammad Faishal Ibrahim Ziwei Chen 《The Journal of Real Estate Finance and Economics》2009,39(2):202-223
We study international correlation and volatility dynamics of publicly traded real estate securities using monthly returns
from 1984 and 2006. We also examine, for comparison, the correlations among the corresponding stock markets. A multivariate
dynamic conditional correlation model captures the time-varying correlation within the full period. We confirm lower correlations
between all real estate securities market returns than those between the stock market returns themselves. Some significant
variations and structural changes in the correlation structure happened within the sample period. We detect a strong and positive
connection between real estate securities market correlations and their conditional volatilities. We also find the international
correlation structure of real estate securities and the broader stock market are linked to each other. Our results have economic
motivations regarding the potential integration of international real estate securities markets and the possibility of including
information on changing correlations and volatilities to design more optimal portfolios for international real estate securities.
相似文献
Kim Hiang LiowEmail: |