Institutional Investors and Firm Efficiency of Real Estate Investment Trusts

This study investigates the effect of institutional ownership on improving firm efficiency of equity Real Estate Investment Trusts (REITs), using a stochastic frontier approach. Firm inefficiency is estimated by comparing a benchmark Tobin??s Q of a hypothetical value-maximizing firm to the firm??s actual Q. We find that the average inefficiency of equity REITs is around 45.5%, and that institutional ownership can improve the firm??s corporate governance, and hence reduce firm inefficiency. Moreover, we highlight the importance of heterogeneity in institutional investors??certain types of institutional investors such as long-term, active, and top-five institutional investors, and investment advisors are more effective institutional investors in reducing firm inefficiency; whereas hedge funds and pension funds seem to aggravate the problem. In sub-sample analysis, we find that these effective institutional investors can reduce inefficiency more effectively for distressed REITs, and for REITs with high information asymmetry, and with longer term lease contracts. Lastly, we find that the negative impact of institutional ownership (except for long-term institutional investors) on firm inefficiency reduces over time, possibly due to strengthened corporate governance and regulatory environment in the REIT industry.     

基于澳大利亚房地产信托基金市场的VaR模型实证分析

房地产信托基金(REITs)代表着目前全世界房地产领域最先进的生产力.澳大利亚房地产信托基金市场(A-REITs)在金融危机期间表现相对平稳.本文通过介绍A-REITs市场情况,从微观角度采用VaR风险模型方法,测出A-REITs整体市场和特定个体风险水平.在此基础上,建议中国房地产信托基金行业(C-REITs)统一市场风险计量工具,建立相关制度控制内外部风险,为C-REITs试点健康快速发展提供参考.     

Real Estate Risk Exposure of Equity Real Estate Investment Trusts

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).

从苹果社区信托看中国房地产信托的发展

苹果社区信托产品的面世一方面说明房地产融资并非只有银行贷款一条出路,另一方面说明了基于实体经济的金融创新具有广阔的市场前景。     

Liquidity and Liquidation: Evidence from Real Estate Investment Trusts

This study provides evidence that highly leveraged owner-managed properties liquidated assets during the commercial real estate decline of the late 1980s, and that this provided buying opportunities for better capitalized buyers. The analysis documents significant financial distress costs for highly leveraged firms during an industry-wide downturn and shows that these costs are particularly large for owner-managed firms.     

Insider Ownership and Firm Value: Evidence from Real Estate Investment Trusts

Real estate investment trust (REIT) provides a unique laboratory to study the relation between insider ownership and firm value. One, a REIT has to satisfy special regulations which weaken alternative mechanisms to control agency problems. Empirically, I find a significant and robust nonlinear relation between Tobin's Q and REIT insider ownership that is consistent with the trade-off between the incentive alignment and the entrenchment effect of insider ownership. Two, many REITs are Umbrella Partnership REITs (UPREITs) which have dual ownership structure. They have both common shares and Operating Partnership Units (OP units). Property owners can contribute their properties to the UPREIT in exchange for OP units. Their capital gains taxes remain deferred as long as they hold onto their OP units and the UPREIT does not sell the properties they contributed. OP units owners are locked in with the firm and have incentive to monitor firm management, but their interests diverge from the common shareholders because their tax bases are much lower. Consistent with the trade-off between positive monitoring effect of OP units and tax-induced agency costs, I find that UPREIT's firm value increases with the fraction of OP units, but the effect is significantly weaker for the UPREITs where insiders hold OP units.     

Efficiency,Scale Economies,and the Risk/Return Performance of Real Estate Investment Trusts

Estimates from a directional output distance function are used to construct a risk/return frontier that defines the best-practice management technology for Real Estate Investment Trusts (REITs). We model REIT performance as a production process in which each REIT produces a desirable output (return) and an undesirable output (risk) using inputs of managerial effort and financial capital. The results suggest that ignoring the effects of risk yields a management technology that is significantly different from one that incorporates risk. In addition, market valuation is inversely related to inefficiency and directly related to leverage.     

Dividend Taxes and Share Prices: Evidence from Real Estate Investment Trusts

Prior empirical evidence regarding the impact of dividend taxes on firm valuation is mixed. This study avoids some of the complications encountered in previous empirical work by exploiting institutional characteristics of REITs, such as their limited discretion over dividend policy and the relative transparency of REIT assets. We regress the market value of equity on the market value of assets and tax basis, which creates tax deductions that lower future dividend taxes without affecting future pretax cash flow. We find that firm value is positively related to tax basis, suggesting that future dividend taxes are capitalized into share prices.     

Information Asymmetry and Corporate Liquidity Management: Evidence from Real Estate Investment Trusts

We examine the impact of information asymmetry on a firm??s choice between cash and credit lines for corporate liquidity management using a panel data set from real estate investment trusts (REITs). Information asymmetry, as measured by analyst forecast error and dispersion, is negatively related to the use of lines of credit. Specifically, firms with more severe information asymmetry are less likely to have access to bank credit lines. Concurrently, more transparent firms are more likely to utilize bank credit lines as opposed to cash for liquidity management. The results are robust to alternative information asymmetry proxies and specifications. These findings suggest that information asymmetry plays an important role in corporate liquidity management.     

On the Capital Structure of Real Estate Investment Trusts (REITs)

Much of the literature on capital structure excludes Real Estate Investment Trusts (REITs) due mainly to the unique regulatory environment of these firms. As such, the issue of how REITs choose among different financing options when they raise external capital is largely unexplored. In this paper, we explore two issues on the capital structure of REITs: is there a relationship between market-to-book and leverage ratios, and, is the relationship between market-to-book and leverage ratio temporary or persistent. Our results suggest that REITs with historically high market-to-book ratio tend to have persistently high leverage ratio. In essence, REITs with high growth opportunity and high market valuation raise funds through debt issues. This finding, which is robust to various specifications and econometric tests, is contrary to the financing decisions of non-regulated firms. We attribute it to the special regulatory environment of REITs where, despite no apparent benefits to debt financing, management issues debt. Comments from Robert Edelstein and others at the Maastricht–Cambridge 2005 Symposium, and an anonymous referee are gratefully acknowledged. Any remaining errors are our own.     

Board Independence,Ownership Structure and Performance: Evidence from Real Estate Investment Trusts

For Real Estate Investment Trusts (REITs), mandatory distribution of income limits free cash flow. But, restrictions on source of income and asset structure result in widely dispersed stock ownership, which makes external monitoring through the takeover market less likely. As such, alternative monitoring mechanisms, including external directors, must be in place to discourage deviant managerial behavior. Using a simultaneous equation system, we conclude that while independent directors enhance REIT performance, the effect is weak. Higher CEO stock ownership and control through tenure and chairmanship of the board reduce the representation by outside directors, and adversely affect REIT performance. Institutional ownership or blockownership fails to serve as alternate disciplining mechanism to (inadequate) monitoring by outside board members, although their presence seems to enhance performance.     

Residential Real Estate Brokerage Efficiency from a Cost and Profit Perspective

Using 1994–1995 microeconomic data from the National Association of Realtors (NAR), this article estimates cost and profit X-efficiency levels in the residential real estate brokerage market using traditional and Bayesian stochastic frontier models. We find that firms err more from failure to maximize profits than from failure to minimize costs. To determine what characteristics influence efficiency, we perform a regression analysis. The results show that franchising and firm age are associated with increases in efficiency, while MLS affiliation and producing a balanced output of listings and sales decrease performance. Finally, we estimate economies of scale and find compelling evidence that firms are operating at increasing returns to scale.     

Financial Leverage,CEO Compensation,and Corporate Hedging: Evidence from Real Estate Investment Trusts

This paper studies the determinants of corporate hedging practices in the REIT industry between 1999 and 2001. We find a positive significant relation between hedging and financial leverage, indicating the financial distress costs motive for using derivatives in the REIT industry. Using estimates of the Black–Scholes sensitivity of CEO’s stock option portfolios to stock return volatility and the sensitivity of CEO’s stock and stock option portfolios to stock price, we find evidence to support managerial risk aversion motive for corporate hedging in the REIT industry. Our results indicate that CEO’s cash compensation and the CEO’s wealth sensitivity to stock return volatility are significant determinants of derivative use in REITs. We also document a significant positive relation between institutional ownership and hedging activity. Further, we find that probability of hedging is related to economies of scale in hedging costs.

基于SFA的我国航空航天制造业技术效率分析

航空航天制造业是国家的战略性产业,在国防现代化和国民经济建设中发挥着重要的作用。技术效率作为体现科技含量带来的成效以及投入-产出之间关系的参量,能够较好地衡量和反映企业的生产效率和发展内涵。本文运用SFA方法,以近9年间的面板数据为依据,对我国航空航天制造业技术效率问题进行了探讨,分析了影响技术效率的相关因素,提出了改善和提高技术效率的建议。     

信托:房地产融资的新亮点--访北京国际信托投资有限公司总经济师时宝东

成为房地产融资新宠 <银行家>:信托投资公司在房地产融资市场起的作用越来越重要,请您谈谈我国房地产信托业发展的情况.     

不动产评估中重置成本的分析

重置成本法是我国最常用的财产价值评估方法,也是评估不动产中使用较多的方法。如何合理地确定不动产的重置成本,不同的评估人员有着不太一致的说法。本文通过对有关重置成本的规范标准的对比,进行了重置成本的各种确定方法的综合分析,并提出了建议。     

Modelling Foreign Real Estate Investment: The Spanish Case

Foreign real estate investment in Spain has grown considerably during the last decade, representing around 40% of total foreign direct investment inflows. This trend has exerted an important macroeconomic effect maintaining a long lasting housing bubble and contributing significantly to finance the rising current account deficit. Foreign real estate investment in Spain is mostly of a housing acquisition type and therefore the analysis of its determinants requires a specific approach. In this sense, neither a pure foreign direct investment nor a portfolio theoretical model might be useful. So we propose a modelling of foreign real estate investment for Spain from the point of view of a demand for tourism services and from a financial focus. Using time series data from 1990 to 2007 the hypothesis arising from our foreign real estate investment modelling reveals the consistency of this approach. There seem to be relevant determinants from the demand side and from the financial dimension. Indeed, Gross Domestic Product per capita, expected capital gains, travel costs, tourism agglomeration and housing prices are all relevant factors explaining Foreign real estate investment. We consider that this case study may also be applied to other countries sharing similar foreign real estate investment type flows.     

Depreciation-Related Capital Gains,Differential Tax Rates,and the Market Value of Real Estate Investment Trusts

We develop a model for valuing U.S. real estate investment trusts (REITs) that considers the tax liability impounded in REITs’ property portfolios. This liability is a function of the portfolio’s accumulated depreciation and is driven by different tax rates applied to individual components of the total gain from property sales. These two components are the capital gain resulting from the sale of property at a price higher than its cost and the gain due to the recapture of depreciation taken during the use of the property. Our measure of value is the REIT’s net asset liquidation value (NALV). The metric of REIT value currently used by analysts is a REIT’s net asset value (NAV), but a REIT’s NAV will always be greater than the NALV and therefore overestimate market value, all else equal. Finally, using observed market prices for REITs, we provide evidence that NALVs give superior estimates of REIT market prices than do NAVs.     

The Determinants of International Commercial Real Estate Investment

We examine the determinants of international commercial real estate investment using a unique set of panel data series for 47 countries worldwide, covering the period from 2000 to 2009. We explore how different socio-economic, demographic and institutional characteristics affect commercial real estate investment activity by determining both cross-sectional and time-series estimators, running augmented random effect panel regressions. We provide evidence that economic growth, rapid urbanization and compelling demographics attract real estate investment, and also demonstrate that a lack of transparency in the legal framework, administrative burdens of doing real estate business, socio-cultural challenges and political instabilities reduce international real estate allocations.