Corporate real estate's impact on the takeover market

This article explores the issues and problems associated with corporate real estate ownership as viewed through the takeover market. The perception held by managers is that corporate real estate assets are unique, specialized assets. This perception conflicts with financial theory which states that the market values all corporate assets based only on their expected future cash flows. Thus corporate real estate assets are priced according to their cash flows and are like other corporate assets. This study tests the hypothesis that corporate real estate is a specialized asset by examining the impact real estate assets have on the takeover market. The study uses a logit regression model in order to attempt to predict which firms become takeover targets. If corporate real estate in general is a specialized asset, then real estate is expected to be an important variable in predicting takeover targets. Although the logit model has little predictive accuracy, results from the prediction model suggest that corporate real estate plays a significant part in determining the likelihood of a firm's becoming a takeover target. The greater the real estate holdings, the greater the likelihood of a firm's becoming a takeover target.     

德国房地产市场保持平稳的经验

金融危机前后,欧洲多个国家房地产业经历了大起大落,而德国房地产业却保持平稳发展态势,德国房地产业的成功经验值得借鉴。其较高的城市化水平使得各地房产市场发展水平均衡;发达的租赁市场辅助房价稳定;政府更多强调房地产的社会福利性质,并通过健全的法律制度安排,满足各阶层民众的不同层次住房需求。     

On the real estate market efficiency

This reseach reexamines the efficiency hypothesis of the real estate market using monthly data and the vector autoregressive (VAR) modelling technique. The tests focus on the causal linkage between real estate returns and a number of relevant financial and economic variables. An eight-by-eight VAR model is estimated using the FPE and the specific gravity criteria, in conjunction with an extensive series of specification tests. The empirical results distilled from system estimations suggest that the real estate market is efficient with respect to available information on the industrial production, the risk premia, the term structure of interest rates, and the monetary base. Movements in these variables are quickly and fully utilized by market agents, perhaps owing to the intensity with which their relationship with stock returns has been discussed in the literature and the popular media. However, the results also suggest the presence of a significant lagged relationship between real estate returns and fiscal policy moves, even when the paths through other potential determinants of these returns are taken into account. Of course, our finding that the fiscal policy measure is useful in predicting stock returns does not necessarily imply that the real estate market is inefficient. At a minimum, inefficiency is revealed only if a careful analysis of the budgetary process can help design a profitable (exploitable) trading strategy.     

Real estate returns,money and fiscal deficits: Is the real estate market efficient?

This research examines the causal relationship between several financial variables and a portfolio of real estate returns using monthly data from January 1965 to December 1986. The empirical analysis is based on multivariate Granger-causality tests in conjunction with Akaike's final prediction error criterion. The results indicate that measures approximating monetary policy and market returns play an important role in causing changes in real estate returns. In particular, our findings suggest that base money and market returns have had significant lagged effects on current real estate returns.     

外资进入内地房地产市场的特点、原因及调控建议——以辽宁为例

近期,国家推出一系列宏观调控措施以促进房地产市场平稳健康发展,在全国房地产市场降温过程中,仍须关注外资进入对内地房地产市场的影响。文章以辽宁为例分析了外资进入内地房地产市场的特点、原因及相关影响,并从合理引导外资流向、发挥税收调节作用、加强外资流动监管等方面,就完善房地产领域的外资管理提出建议。     

房地产市场运行及未来趋势展望

2011年在以限购为主的房地产调控政策作用下,市场需求受到抑制,商品房销售增速明显低于历史同期平均水平。保障性住房全年开工建设任务已经提前完成,受其拉动,房地产开发投资保持高位。当前,保障性住房建设全面展开,以限购为主的调控政策短期不会退出,并呈现向二三线城市扩大的趋势,一些前期房价上涨过快的城市降价促销愈演愈烈,商品房价格回调趋势明显。     

Risk management of real estate: The case of real estate swaps

Real estate swaps are a recent financial innovation based upon the principle of comparative advantage. A real estate swap is a useful tool for real estate risk management and for participating in real estate investment without the high costs associated with real estate. Potential economic benefits and costs associated with real estate swaps are considered and real estate swaps are compared to alternative tools for real estate risk management. The expected utility and effectiveness of risk management with a swap in a multiperiod framework are analyzed. The analysis finds that the subject property's return and its risk characteristics (as reflected in its correlation with interest rate and property index returns) delimit the risk management potential of a given swap position. Optimal swap positions are shown for various regions and property types based on historical return series, from the period between 1983 and 1992, and the parameters of the dynamic model developed.     

A theory of predictable excess returns in real estate

A principal-agent model is employed to characterize the equilibrium mortgage contract. The value of a house depends on the actions of its owner but affects the wealth of both the owner and the lender who writes the mortgage contract with which the house is purchased. Because of this, the buyer is exposed to moral hazard. In some situations, this can lead to inefficient maintenance and predictable excess returns to home ownership. Even though there are potential buyers willing to pay back more money, the bank will not write loans for these consumers because of the adverse incentive effects of such an action.     

The prospects of BRIC countries: Testing weak-form market efficiency

The main purpose of the study is to determine whether the equity markets of Brazil, Russia, India and China (BRIC) may be considered weak-form efficient in recent years. The major findings using daily data and a bias-free statistical technique with a sample spanning from September 1995 to March 2010 indicate that the results from the last sub-periods, including the subprime crisis, support the belief that these markets may have been approaching a state of being fairly weak-form efficient, which reflects the future prospects of BRIC countries.     

The predictability of real estate returns and market timing

Recent evidence suggests that all asset returns are predictable to some extent with excess returns on real estate relatively easier to forecast. This raises the issue of whether we can successfully exploit this level of predictability using various market timing strategies to realize superior performance over a buy-and-hold strategy. We find that the level of predicability associated with real estate leads to moderate success in market timing, although this is not necessarily the case for the other asset classes examined in general. Besides this, real estate stocks typically have higher trading profits and higher mean risk-adjusted excess returns when compared to small stocks as well as large stocks and bonds even though most real estate stocks are small stocks.     

The integration of the real estate market and the stock market: Some preliminary evidence

The current study investigates whether the commercial real estate market is segmented from the stock market using the framework of Jorion and Schwartz (1986). Evidence is found to support the hypothesis that segmentation does exist as the result of indirect barriers such as the cost, amount, and quality of information for real estate rather than legal constraints. However, this evidence is contingent on whether real estate returns are computed with appraised values or imputed sale prices and on which market proxy is chosen.     

Franchising and real estate brokerage

This paper examines the value of franchise affiliation to real estate brokerage firms. It uses a national sample to estimate models of brokerage firm sales and revenues. The results suggest that franchisees sell more properties than nonaffiliates, but that the average franchise sale results in less revenue. The net benefit of franchise affiliation is a 9.0 percent increase in net revenue to the average firm. We compare the initial cost of affiliation with the benefits and find that the up-front fees charged by franchisors are substantially lower than the present value of the stream of incremental profits generated by franchise affiliation.     

The sensitivity of bank stock returns to real estate

According to the Federal Reserve Board, banking firms have recently been shifting significantly larger portions of their loan portfolios into real estate. This increase in real estate lending has caused concern about the continuing economic health of banks on the part of state and federal regulators, since changes in real estate returns, evidenced by changes in property value, can potentially have a significant impact on bank default risk and profit-ability. However, concerned parties do not seem to have explicitly considered the relationship between mortgage default risk and the specific characteristics of real estate investments.This study examines the sensitivities of stock returns for different bank groups, based on the percentage of total loans in real estate and the percentage of loans in five different mortgage categories (construction and development loans, farmland loans, one- to four-family residential loans, multifamily residential loans, and nonresidential and nonfarm loans), to changes in real estate market returns. This is done by developing and using a three-index model.The results of this study indicate that bank stocks, overall, are very sensitive to changes in real estae returns. Banks, with a larger portion of their total loans invested in all types of real estate loans, except farmland loans, are most sensitive to changes in real estate returns.     

REITs,real estate,and inflation: Lessons from the gold market

This studyindirectly tests whether equity Real Estate Investment Trusts (REITs) proxy for real estate when examining real estate's inflation hedging ability. The hedging properties of gold, an underlying asset, are compared against those of gold stocks, a securitized form of the asset, and gold is shown to perform well as an inflation hedge, while gold stocks do not. This divergence between an asset and its securitized form suggests caution in drawing conclusions about real estate's ability to hedge inflation from equity REIT studies.     

Common factors in international securitized real estate markets

This study investigates the presence of common factors in the securitized real estate markets of the Untied States (US), United Kingdom (UK), Hong Kong (HK), and Singapore (SG). Using a combination of factor analysis and canonical correlation analysis on 10-year monthly return data for 142 real estate securities in the four markets, more common risk factors among real estate securities within a country than across countries are detected. In addition, there is at least one common securitized real estate market factor that is moderately correlated with the world real estate market, and to a lesser extent, with the world stock market. However, the degree of linkage across the four securitized real estate markets is much weaker than the strong linkages present across the four economies. It further appears that the extent to which correlations are found in international securitized real estate markets might largely be due to the increasing integrated nature of the world real economy, rather than a result of the globalization of financial markets. The results are preliminary, but indicative, and suggest that more studies exploring how common factors, together with the local market portfolio, could help explain the return-generating process of securitized real estate.     

The persistence of real estate cycles

This paper presents a model that attempts to explain the underlying causes of the prolonged cycles observed in real estate markets. In addition, the paper characterizes the features that make some property types more prone to such boom-and-bust behavior. The combination of demand uncertainty, adjustment costs, and construction lags leads to two phenomena that may help explain market persistence. The first phenomenon is the reluctance of owners to adjust occupancy levels, even in the face of large shifts in renter demand. The second phenomenon is the occurrence of periods of sustained overbuilding: the addition of new supply in the face of already high vacancy rates.     

Price reversal,transaction costs,and arbitrage profits in the real estate securities market

This paper studies the return reversals of exchange traded real estate securities using an arbitrage portfolio approach. Using the approach, we find that there exist significant return reversals in such securities. These return reversals could be exploited by arbitrage traders if trading costs can be ignored. However, the arbitrage profits disappear after deducting trading costs and taking into account the implicit cost of bid-ask spread. Thus, the real estate securities market is efficient at weekly intervals in the sense that one could not exploit the price reversals via some simple trading rules.     

保险资金不动产投资模式研究

本文首先对国际上保险资金进行不动产直接投资和间接投资的情况进行了概述,然后对保险资金不动产投资模式进行了归纳总结和案例分析。在此基础上,对我国目前保险资金不动产投资政策与模式进行了探讨。最后,针对我国保险资金不动产投资业务的发展提出了相关建议。     

Market development and market efficiency: evidence based on nonlinear panel unit root tests

This study tests the weak form market efficiency of 32 European stock markets. Utilizing monthly data from June 2006 to June 2017, six different, newly developed nonlinear panel root tests were applied in three different groups of European markets: Frontier, Emerging and Developed. The results show that there is a meaningful relationship between different levels of economic development and the weak form market efficiency. Considering the nonlinear structure of the stock market indices, use of linear models might lead to wrong conclusions regarding market efficiency. Using several nonlinear panel root tests, the results of this study shed more light on the true data generating process of the stock market indices and more appropriately model market efficiency.     

Government real estate interventions and the stock market

We study the spillover of government interventions in the real estate market to the stock market. We find that the more active mutual funds decreased ownership in equities with no short-term reversal. Furthermore, they increased ownership in the finance sector stocks without significant changes to their real estate equity holdings. The interventions affecting the riskiness of the finance sector stocks triggered a larger trading response than the ones focused on the real estate sector stocks’ cash flows. Overall, the spillover of the housing market shocks to the stock market seems to be materialized mostly through the discount rate channel.