Commercial Real Estate Return Performance: A Cross-Country Analysis

This paper investigates the return performance of publicly traded real estate companies. The analysis spans the 1984–1999 time period and includes return data on over 600 companies in 28 countries. The return data reveal a substantial amount of variation in mean real estate returns and standard deviations across countries. Moreover, standard Treynor ratios, which scale country excess returns by the estimated beta on the world wealth portfolio, also reveal substantial variation across countries in excess real estate returns per unit of systematic risk. However, when we estimate Jensens alphas using both single and multifactor specifications, we detect little evidence of abnormal, risk-adjusted returns at the country level. We do, however, find evidence of a strong world-wide factor in international real estate returns. Furthermore, even after controlling for the effects of world-wide systematic risk, an orthogonalized country-specific factor is highly significant. This suggests that real estate securities may provide international diversification opportunities.     

中国房地产业发展趋势和商业银行的长期策略

目前房地产已成为中国经济的支柱产业,同时资金流量分析表明房地产又不应成为主导产业。长期来看,城市化、人口增长和存量需求释放等刚性和扩张需求,将推动中国房地产行业持续发展,短期内价格暴涨和长时间涨速过快是不合理的。中国房地产市场短期内出现严重衰退的可能性不大,银行面对的风险仍然可控,但仍需注意政策调整的风险。商业银行仍应将房地产市场作为重要业务领域,有重点、有区别拓展;适度控制房地产贷款增速、总量及占比;建立对房地产贷款的全过程监管制度;探索房地产贷款以外的金融创新形式。     

Asymmetric Information and the Predictability of Real Estate Returns

This article examines the relation between systematic price changes and the heterogeneity of investors information sets in real estate asset markets. The empirical implications rely on a theoretical economy in which information asymmetry alters the dynamic relation between returns and trading volume. We employ a filter-rule methodology to determine predictability in returns and augment the return-based conditioning set with trading volume. The additional conditioning information is necessary since the model is underspecified when predictability is based on returns alone. Our results provide new insight into the coexistence of informational and noninformational exchange in the speculative markets for real estate assets. Specifically, we find that the predictability of real estate returns is generally more indicative of portfolio rebalancing effects than an adverse-selection problem. These results are unique in addressing the time-variation in information asymmetry.     

Dynamics of Private and Public Real Estate Markets

Using five assets (T-bills, bonds, stocks, and both public and private real estate), this study investigates how cointegration of capital markets affects the dynamics of public and private real estate markets. The results show that the price indices of the five assets are nonstationary and cointegrated. Some implications for the long-term equilibrium relationship for portfolio diversification, price discovery and prediction are discussed. In a Granger causality framework, error-correction augmented VAR models (VECM) and unrestricted VAR models are compared with respect to the conclusion regarding the interaction between public and private real estate returns. VECM is also shown to improve the prediction of private real estate returns relative to an unrestricted VAR model. These results raise questions about previous research studies regarding the dynamics between public and private real estate returns. It is shown that the long-term equilibrium relationship establishes a feedback between the two real estate markets, but the private market seems to informationally lead the public one. Possible explanations are also explored.     

国外房地产业发展现状和政策调控

房地产业的发展由于其投入的资金巨大，对相关产业的带动性强和关系到全国人民的生活环境和生活质量，所以世界各国政府对其都相当重视。国际经济在进入二十一世纪后稳步发展，促进了世界各国的房地产发展。本文通过对日本、美国、俄罗斯和新加坡等国的房地产发展和政府对房价上涨采取的相关调控政策的分析，作为我国房地产健康和持续发展的参考和借签。     

Economic Risk Factors and Commercial Real Estate Returns

A great deal of research has focused on the links between stock and bond market returns and macroeconomic events such as fluctuations in interest rates, inflation rates, and industrial production. Although the comovements of real estate and other asset prices suggests that these same systematic risk factors are likely to be priced in real estate markets, no study has formally addressed this issue. This study identifies the growth rate in real per capita consumption, the real T-bill rate, the term structure of interest rates, and unexpected inflation as fundamental drivers or state variables that systematically affect real estate returns. The finding of a consistently significant risk premium on consumption has important ramifications for the vast literature that has examined the (risk-adjusted) performance of real estate, for it suggests that prior findings of significant abnormal returns (either positive or negative) that have ignored consumption are potentially biased by an omitted variables problem. The results also have important implications for dynamic asset allocation strategies that involve the predictability of real estate returns using economic data.     

Credit Availability and Asset Pricing Dynamics in Illiquid Markets: Evidence from Commercial Real Estate Markets

This article examines credit frictions and asset pricing in public and private markets with varying liquidity. We find that a tightening in credit availability is negatively related to subsequent price movements in private and public commercial real estate markets. Assets trading in illiquid segments of these markets are also susceptible to a feedback effect whereby changes in asset prices predict subsequent changes in credit availability. Controlling for investor demand, our findings suggest credit constraints play an economically significant asset pricing role in markets that are both highly levered and relatively illiquid.     

物业税开征对房地产市场的影响效应分析

由物业税的税负归宿理论剖析入手,通过建立相关模型,可对目前市场上两种描述物业税开征以后开发成本或房价下降的前景有代表性的方案加以实证测算,并按照物业税等价替代成本下降部分的原则,在采用辅助变量法的基础上,建立一个自回归分布滞后模型,从而进一步了解物业税税率的改变对商业物业租金价值变化带来的影响.     

Corporate Real Estate and Stock Market Performance

An interesting question in corporate real estate literature is whether real estate can improve the stock market performance of property-intensive non-real estate firms. Using a data set comprising 75 non-real estate corporations that own at least 20 percent properties, this paper empirically assesses and compares the pair-wise return, total risk, systematic risk and Jensen abnormal return performance of composite (with real estate) and hypothetical business (without real estate) firms. We employed Morgan Stanley Capital International world equity index instead of a local market index to provide some insights into the performance of the local market relative to the global market during the 1997–2001 volatile periods experienced by many Asian countries. Our results suggest the inclusion of real estate in a corporate portfolio appears to be associated with lower return, higher total risk, higher systematic risk and poorer abnormal return performance. It is therefore likely that non-real estate firms own properties for other reasons in addition to seeking improvement in their stock market performance. Further research is needed to explore the main factors contributing to corporate real estate ownership by non-real estate firms.     

How Does Appraisal Smoothing Bias Real Estate Returns Measurement?

This paper examines and clarifies several related issues about real estate return indexes. Specifically, even if real estate valuation smoothing exists at the individual property level, such errors may offset in the aggregate. Using data from commercial property appraisals and corresponding transactions, appraisal smoothing errors engender an underestimation of both the first and second moments for real estate returns. After correcting for these “underestimations,” real estate mean returns and the variance appear to be quite similar to those of stocks.     

Asymmetric Risk Measures and Real Estate Returns

Rational investors distinguish between extremely high and extremely low returns. The measures of investment risk should reflect such asymmetric risk perception. This study presents six asymmetric risk metrics and empirically tests their abilities in explaining the cross-sectional variations of real estate returns. It finds strong evidence that systematic downside risk is associated with a risk premium, and skewness provides significant explanatory power to the variation of cross-sectional property returns. On the other hand, co-skewness does not explain real estate returns well and is not a good systematic risk measure.     

Book Assets,Real Estate,and Returns on Common Stock

Since real estate is common to most firms, this study examines whether there is a real estate factor in common stock returns that is not completely captured by existing asset pricing models. The three-factor model of Fama and French (1993), hereafter FF, is extended to incorporate a unique real estate factor. Using his extended-FF model, we examine the returns on 53 industry portfolios of common stocks over the 1972 through 1995 time period. The results indicate that a significant 19 percent of the industries are systematically related to the real estate factor. Most interestingly, we show that the loading of the real estate factor in common stock return is related to the loading of the book-to-market equity factor in these returns. We also construct decile portfolios of common stocks based on historical sensitivities of common stock returns to the real estate factor. The coefficients on the real estate factor vary systematically across the decile portfolios. The results of our analysis suggest that portfolio managers should manage their exposure to real estate.     

试论房价波动对商业银行资产的影响

基于次贷危机的启示,本文构建了在不同的金融发展程度下房地产价格波动对商业银行资产影响的理论模型,并在此基础上对中国的现状进行分析,指出当前对中国的影响主要集中于商业银行基于负债业务发放的贷款领域。进一步地,利用向量自回归模型(VAR)及冲击响应函数对中国房地产价格波动对商业银行贷款的影响进行了实证检验。研究表明:金融创新改变了房地产价格波动对商业银行资产的影响模式;中国房价波动对商业银行资产的影响主要集中在源于银行负债发放的贷款领域,但总体影响有限;中国应加快发展银行资产证券化业务,谨慎发展信用衍生产品。     

Asset Bubbles: an Application to Residential Real Estate

Behavioural models offer new insights into why bubbles are ubiquitous in residential real estate markets. These markets are dominated by unsophisticated households who often develop optimistic views by extrapolating from past returns. Rational investors cannot easily trade against an overvaluation of housing assets because of high transaction costs and a binding short sale constraint. Circumventing the effect of the latter, the supply of housing frequently increases in response to rising prices. This helps to mitigate bubbles but often leads to overbuilding, which slows down the recovery after a bubble bursts. Models that incorporate the effects of perverse incentives and limits to arbitrage are especially helpful in explaining the bubble that developed in mortgage‐backed securities and helped fuel the recent real estate bubble by relaxing home buyers’ borrowing constraints. The literature is ambiguous about whether governments should intervene to burst bubbles, as a better response may lie in improving incentives of key market players.     

On the Stability of the Cross‐Section of Expected Stock Returns in the Cross‐Section: Understanding the Curious Role of Share Turnover

In this paper, we shed further light on cross‐sectional predictors of stock return performance. Specifically, we explore whether the cross‐section of expected stock returns is robust within stock groups sorted by past monthly return. We find that the book/market and momentum effects are remarkably robust to sorting on past returns. However, share turnover is negatively related to future returns for stocks with abnormally low stock price performance in the recent past, but postively related to returns for well‐performing stocks. This casts doubt on the use of turnover as a liquidity proxy, but is consistent with turnover being a proxy for momentum trading which pushes prices in the direction of past price movements. Our results are robust to both NYSE/AMEX and Nasdaq stocks, and also robust to stratifying the sample by time period.     

Corporate Real Estate Sale and Leaseback Effect: Empirical Evidence from Europe

Corporate real estate disposals have increased in Europe during the past few years. In this research paper, we study market reactions of publicly traded European companies' real estate sale and leaseback announcements during 1998–2004. This study is one of the first ones to study the sale and leaseback impact on corporate value with a pan‐European data. We find that the sale and leaseback announcements have on average positive impact to firm's value which is in line with the previous studies. However, we also find that the positive effect is mainly caused by the deals with high transaction value to company market value ratio. Smaller transactions do not create on average any abnormal returns. Our results support the hypothesis that the positive sale and leaseback announcement effect is a consequence of revealed hidden value of the company's assets. Thus, sale and leaseback can also be seen as a mechanism for revealing the hidden value of company's assets to the market.     

Real Estate Markets and Macroprudential Policy in Europe

Boom‐bust cycles in real estate markets have been major factors in systemic financial crises and therefore need to be at the forefront of macroprudential policy. The geographically differentiated nature of real estate market fluctuations implies that these policies need to be granular across regions and countries. Before the financial crisis that started in 2007 property markets were overvalued in a range of European countries, but much like in other constituencies active policies addressing this were an exception. An increasing number of studies suggest that borrower‐based regulatory policies, such as reductions in loan‐to‐value or debt‐to‐income limits, can be effective in leaning against real estate booms. But many of the new macroprudential policy authorities in Europe do not have clear powers to determine them. Moreover, the cross‐border spillovers they may give rise to suggest the establishment of a well‐defined macroprudential coordination mechanism for the single European market.     

Assessing the Real Estate Pricing Puzzle: A Diagnostic Application of the Stochastic Discounting Factor to the Distribution of REIT Returns

This article applies a general asset-pricing framework and the volatility bounds methodology of Hansen and Jagannathan (1991) to REIT returns. The state of real estate asset pricing remains somewhat of a puzzle relative to the identification of state variables and the structural form of models. This article offers a framework whereby real estate asset-pricing models and data can be diagnosed to answer questions about the shortcomings. In addition, several nominated discount processes are investigated for success in pricing real estate securities. Although the nominated specifications demonstrate some success in satisfying the restrictions on the first and second moments of the real estate returns distribution, they do not successfully price the securities under a no-arbitrage condition. This result calls into question previous real estate performance studies that employ these risk-adjustment processes.     

The determinants of recovery rates in the US corporate bond market

We examine recovery rates of defaulted bonds in the US corporate bond market, based on a complete set of traded prices and volumes. A study of the trading microstructure around various types of default events is provided. We document temporary price pressure with high trading volumes on the default day and the following 30 days, and low trading activity thereafter. Based on this analysis, we determine market-based recovery rates and quantify various liquidity measures. We study the relation between the recovery rates and these measures, considering additionally a comprehensive set of bond characteristics, firm fundamentals, and macroeconomic variables.     

A Pricing Framework for Real Estate Derivatives

New methods are developed here for pricing the main real estate derivatives — futures and forward contracts, total return swaps, and options. Accounting for the incompleteness of this market, a suitable modelling framework is outlined that can produce exact formulae, assuming that the market price of risk is known. This framework can accommodate econometric properties of real estate indices such as predictability due to autocorrelations. The term structure of the market price of risk is calibrated from futures market prices on the Investment Property Databank index. The evolution of the market price of risk associated with all five futures curves during 2009 is discussed.