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.
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: |
3.
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: |
4.
Dynamic Residential Housing Cycles Analysis 总被引:1,自引:0,他引:1
Robert H. Edelstein Desmond Tsang 《The Journal of Real Estate Finance and Economics》2007,35(3):295-313
This paper develops and tests a theoretical model for residential housing market cyclical dynamics. The model employs an interactive
supply and demand framework to engender housing price dynamics. Under our set of assumptions, the two equation system is econometrically
identified: the first equation, housing demand, relates rent, property values, and capitalization rates with demand fundamentals.
The second equation, housing supply, relates housing investment and property values with supply fundamentals. Using the model,
we analyze empirically the cyclical dynamics for residential properties in Los Angeles, San Francisco, San Diego and Sacramento
for the 1988–2003 time period. The theoretical and econometric design represents improvements and/or modifications of previous
studies in at least four ways. First, many of the earlier commercial cyclical analyses have focused on office appraisal and
have relied on sparse transactions data, which are likely to be less reliable than the copious amount of residential transactions
data. Second, the cyclical volatility and timing of single-family housing is different than that of commercial real estate.
Third, by examining different local MSA markets in California, our study distinguishes and isolates national-macro, regional
and local market variable effects upon cycles. Finally, utilizing quarterly data (versus annual data) sharpens our ability
to focus upon cyclical behaviour. Our empirical analyses suggest that fundamentals, such as employment growth and interest
rates are key determinants of the residential real estate cycles. However, in general, local fundamentals tend to have greater
cyclical impacts than those of national or regional fundamentals.
相似文献
Desmond TsangEmail: |
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.
Martin Hoesli Colin Lizieri Bryan MacGregor 《The Journal of Real Estate Finance and Economics》2008,36(2):183-206
Historic analysis of the inflation hedging properties of stocks has produced anomalous results, with stocks often appearing
to offer a perverse hedge. This has been attributed to the impact of real and monetary shocks to the economy, which influence
both inflation and asset returns. It has been argued that real estate should provide a better hedge: however, empirical results
have been mixed. This paper explores the relationship between commercial real estate returns and economic, fiscal and monetary
factors and inflation for US and UK markets. Comparative analysis of general equity and small capitalization stock returns
is carried out with inflation divided into expected and unexpected components. The analyses are undertaken using an error
correction approach. In the long run, once real and monetary variables are included, asset returns are positively linked to
anticipated inflation but not to inflation shocks. Adjustment processes are, however, gradual and not within period. Real
estate returns, particularly private market returns, exhibit characteristics that differ from those of stocks.
相似文献
Bryan MacGregorEmail: |
7.
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: |
8.
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: |
9.
We propose two alternative models to estimate fundamental prices on real estate markets. The first model is based on a no-arbitrage
condition between renting and buying. The second model interprets the period costs as the result of market equilibrium between
housing demand and supply. We estimate both models for the USA, the UK, Japan, Switzerland, and the Netherlands. We find that
observed prices deviate substantially and for long periods from their estimated fundamental values. However, we find some
evidence that, in the long-run, actual prices tend to return to their fundamental values progressively. This result is due
to both impulse–response functions and forecast analyses. In particular, we find that using the fundamental price significantly
increases the accuracy of out-of-sample long-term forecasts of the price.
相似文献
Christian HottEmail: |
10.
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: |
11.
We examine the motives for takeovers in New Zealand surrounding the 1987 stock market crash and compare with the US findings
of Gondhalekar and Bhagwat (2003). There are a number of structural differences between the New Zealand and US markets that could impact on merger motives.
Compared with the US, New Zealand is a small capital market; with weak takeover regulation and a prolonged aftermath of the
1987 stock market crash. Consistent with US research, we find evidence of synergy and hubris motivations in New Zealand takeovers
although we find the synergy motivation is stronger. Contrary to expectations we find no evidence of agency motivated takeovers.
相似文献
Hamish D. AndersonEmail: |
12.
13.
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: |
14.
By using an extension of the Fama and MacBeth cross-sectional regression model, this analysis examines the relationship between
stock returns and (i) a local beta, (ii) two global betas, and (iii) some firm-specific characteristics in the Chinese A-share
market. The results of the analysis suggest that neither the conditional local beta nor the global betas has a significant
relationship with stock returns in A-shares. Our findings indicate that firm factors, such as the book-to-market ratio and
firm size, are important in explaining stock returns. However, the size effect is sensitive to the specification of the model.
Finally, the results of sub-period tests indicate that the A-share market did not become increasingly integrated with either
the world stock markets or the Hong Kong stock market over the period 1995–2002.
相似文献
Yuenan WangEmail: |
15.
Seung Hun Han Yoon S. Shin Walter Reinhart William T. Moore 《Journal of Financial Services Research》2009,35(2):141-166
We examine stock market reactions to corporate credit rating changes in 26 emerging market countries included in the Morgan
Stanley Capital International (MSCI) Emerging Market Index. We hypothesize and test the notion that emerging market firms
in the American Depository Receipts (ADRs) markets are more likely to purchase ratings from the Big Two (Moody’s and S&P),
and that they react more strongly to the announcements of corporate rating changes by Moody’s or S&P than to those of raters
in local markets. We compare the effect of credit rating changes of the Big Two in two emerging stock markets: local markets
(local currencies) and ADR markets (U.S. dollars). We find significant price reactions in the ADR markets, and insignificant
reactions in local markets, and conclude that there is capital market segmentation in ADR markets for credit rating changes
of emerging market firms. We find evidence that investors react more strongly in the ADR markets than local markets because
they require higher costs of capital for firms cross-listed both in the ADR markets and local markets due to greater expected
bankruptcy costs and foreign exchange risks of those firms. We also report that stock markets react significantly, not only
to rating downgrades, but also to upgrades in the ADR markets.
相似文献
William T. MooreEmail: |
16.
Héléna Beltran-Lopez Pierre Giot Joachim Grammig 《Financial Markets and Portfolio Management》2009,23(3):209-242
This paper uses data from one of the most important European stock markets and shows that, in line with predictions from theoretical
market microstructure, a small number of latent factors captures most of the variation in stock specific order books. We show
that these order book commonalities are much stronger than liquidity commonality across stocks. The result that bid and ask
side as well as the visible and hidden parts of the order book exhibit quite specific dynamics is interpreted as evidence
that open order book markets attract a heterogeneous trader population in terms of asset valuations and impatience. Quantifying
the informational content of the extracted factors with respect to the evolution of the asset price, we find that the factor
information shares are highest (about 10%) for less frequently traded stocks. We also show that the informational content
of hidden orders is limited.
相似文献
Joachim GrammigEmail: |
17.
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: |
18.
Hilde E. Patron Kenneth D. Roskelley 《The Journal of Real Estate Finance and Economics》2008,37(4):387-399
We study a two-period bargaining game where buyers and sellers employ real estate agents to help them determine the sales
price of a house. We find that agents are less likely to provide aggressive bargaining advice to their client when they receive
percentage commissions and when they work for the buyer. In addition, we find that agents are less likely to suggest aggressive
bargaining strategies when there is little market competition, the gains to trade are large, in markets where housing values
appreciate slowly, and when dual agency is permitted. More importantly, we show that an agent is more likely to bargain aggressively
and capture a portion of the gains to trade for a client when the house’s sales price is closely related to the agent’s reputation
and future business (referrals).
相似文献
Kenneth D. Roskelley (Corresponding author)Email: |
19.
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: |
20.
Peter Gomber Peter Rohr Uwe Schweickert 《Financial Markets and Portfolio Management》2008,22(2):169-192
New asset classes are originally distributed via over the counter channels; mostly negotiated, traded, and settled on a bilateral
and ad-hoc basis. Subsequently, the demand for organized market services grows alongside trading volumes, number of market
participants, and distribution reach. This paper focuses on sports betting as a new asset class and uses the analogies between
the development of traditional and new asset classes as a framework to extend market organization. The first section motivates
sports betting as a new asset class based on its economic relevance. In Sect. 2, the European market is described by product
design, distribution platforms, and regulatory environment. In Sect. 3, we discuss the dimensions of market model, technology,
and regulation as prerequisites to develop organized markets. Against this background, we compare the value chain in financial
and sports betting markets to identify and describe three options for development: a regulated market environment, an inter-bookmaker
platform, and central counterparty clearing services.
相似文献
Uwe SchweickertEmail: |