Valuation in US Commercial Real Estate

We consider a log‐linearized version of a discounted rents model to price commercial real estate as an alternative to traditional hedonic models. First, we verify a key implication of the model, namely, that cap rates forecast commercial real estate returns. We do this using two different methodologies: time series regressions of 21 US metropolitan areas and mixed data sampling (MIDAS) regressions with aggregate REIT returns. Both approaches confirm that the cap rate is related to fluctuations in future returns. We also investigate the provenance of the predictability. Based on the model, we decompose fluctuations in the cap rate into three parts: (i) local state variables (demographic and local economic variables); (ii) growth in rents; and (iii) an orthogonal part. About 30% of the fluctuation in the cap rate is explained by the local state variables and the growth in rents. We use the cap rate decomposition into our predictive regression and find a positive relation between fluctuations in economic conditions and future returns. However, a larger and significant part of the cap rate predictability is due to the orthogonal part, which is unrelated to fundamentals. This implies that economic conditions, which are also used in hedonic pricing of real estate, cannot fully account for future movements in returns. We conclude that commercial real estate prices are better modelled as financial assets and that the discounted rent model might be more suitable than traditional hedonic models, at least at an aggregate level.     

Spatial Statistics Applied to Commercial Real Estate

Portfolio theory shows that diversification can enhance the risk-return trade-off. This study uses the absolute location of commercial real estate property along with spatial statistics to address the inherent problem of determining geographical diversification based upon a set of economic and property-specific attributes, some of which are unobservable or must be proxied with noise. We find that commercial real estate portfolios exhibit statistically significant spatial correlation at distances ranging from adjacent zip codes to neighboring metropolitan areas. Given the common structure of dependence found in the data series, we discuss feasible strategies for obtaining diversification within direct-investment real estate portfolios.     

Inflation Illusion,Expertise and Commercial Real Estate

Data from the National Council of Real Estate Investment Fiduciaries (NCREIF) provide a unique setting to examine the inflation illusion hypothesis. NCREIF provides appraisal-based and transaction-based return series allowing comparison of market participants with specific valuation expertise to general market participants. Results using the appraisal-based indices indicate that the mispricing term is not statistically significantly related to expected inflation, which suggests that commercial valuers do not suffer from inflation illusion. Interestingly, results based on the investor oriented transaction-based indices show that the mispricing term is inversely related to expected inflation and that mispricing plays an important role in determining the long-term discount rate. These results are robust across different empirical specifications, inflation data and subsamples by property type. The comprehensive findings suggest that the inflation illusion effect in direct investment in real estate differs from securitized markets. This study further adds to the general literature regarding the impact of inflation illusion on asset markets by showing that experienced participants may not suffer from inflation illusion which suggests that 1) novice participants may be driving its appearance and 2) experience and training mitigate this bias.     

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.     

Commercial Real Estate, Information Production and Market Activity

This paper addresses several issues related to the production of information across commercial real estate markets. The purpose is to determine the extent to which factors of production might complement or substitute for one another. A simple model is presented to illustrate the potential trade-offs between appraisal- and transactions-based information production. A series of empirical tests are performed on a panel data set constructed for 51 markets covering 9 years, 2001 through 2009. The number of commercial appraisers (i.e., certified general appraisers) and the number of commercial property transactions are used as proxies for information production. Overall, the results support the substitution hypothesis. Additional analyses examine a broader definition of appraisal-based information production, as well as the influence of market transparency on the main findings of this paper. Findings based on these additional analyses indicate that the trade-off between appraisal- and transactions-based information production is more pronounced in transparent markets. We conclude that appraisal-based information as a factor of production is, potentially, most critical in markets or conditions where the information environment is incomplete (i.e., transactions are scarce or the information regarding transactions is not public).     

Underwriting Limits and Optimal Leverage in Commercial Real Estate

The Journal of Real Estate Finance and Economics - Risk-averse commercial mortgage lenders follow an underwriting policy with strict limits based on the property’s value and cash flow. A...     

Preferences of Institutional Investors in Commercial Real Estate

The Journal of Real Estate Finance and Economics - In this paper we analyze market segmentation by firm size in the commercial real estate transaction process. Using novel micro-level data, we look...     

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.     

An Investigation into the Substitutability of Equity and Mortgage REITs in Real Estate Portfolios

This paper reconciles the controversy regarding the substitutability between equity REITs (EREITs) and mortgage REITs (MREITs) in existing literature. Using CRSP/Ziman data from 1992 to 2011, we show that the driving economic factors on EREIT returns are different from those driving MREIT returns, which rejects the substitutability hypothesis. Additional tests confirm that causality runs unilaterally from EREITs to MREITs, implying the leading (subordinate) role of EREITs (MREITs). Finally, EREITs and MREITs possess disparate risk and return profiles under the full and sub-periods. In sum, strong evidence reveals that EREITs and MREITs are in fact not substitutable.     

商业银行贷款定价行为与房地产价格泡沫

房地产信贷是基于潜在资产的看跌期权,贷款人是卖方,借款人是买方。贷款人对看跌期权价值的低估会导致资产价格膨胀、偏离基础价值,而银行家和股东均存在低估看跌期权的正向激励。开放经济条件下,贷款利率、存款利率与汇率三个因素增加资产市场价格与基础价值的差距。基于对PW模型的扩展分析,中国2005年7月至2007年12月的数据也证实了房地产价格与利差和汇率负相关,与存款利率正相关。     

Commercial Real Estate Valuation: Fundamentals Versus Investor Sentiment

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.

商业银行房地产信贷的风险防范

随着改革开放的深入进行,我国房地产市场的发展日益蓬勃,近年来呈现出产销两旺的形势.房地产贷款是商业银行贷款发放的主要投向之一,在房地产贷款普遍占银行总贷款15%-20%的情况下,作为商业银行尤其应该对今后若干年房地产市场的走势进行分析,并在此基础上全面把握房地产信贷的风险,将信贷资产的风险降到最小.     

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.     

房贷新政下商业银行需防范房贷业务风险

4月14日被业界普遍认为房地产领域有史以来调控力度最大的"新国十条"出台,继而北京市等地方政府也出台了调控政策.一系列房贷新政对房地产开发贷款及房屋销售做出了严格的规定,精准地打击了楼市投机,对抑制房价过快上涨起到了立竿见影的作用.银行作为房地产行业资金来源的主渠道,在严格执行国家调控政策的同时,应深刻认识当前房贷新政背景下房贷业务可能面临的风险,早做准备,采取措施,防范和化解房贷风险.     

商业银行对房地产业依赖度评价

关于房地产业和银行的关系,近几年有一种说法,商业银行被房地产绑架了。这实际上是商业银行对房地产业依赖度的一种判断,如果依赖度过高,商业银行就有被房地产绑架的嫌疑。那么如何衡量商业银行对房地产业的依赖度？本文试用四个指标进行分析,其一是商业银行信贷规模依赖度;其二是商业银行信贷行业依赖度;其三是商业银行信贷收益依赖度;其四是银行房贷风险度。鉴于数据可得性约束,有些指标的分析主要以部分上市银行为例进行。     

商业银行不动产抵押价值类型选择研究

不动产抵押是商业银行一种重要的信用风险缓释工具,加强抵押品的价值认定管理对商业银行风险控制具有重要作用,而价值类型是抵押资产价值评估的基础.目前抵押价值类型主要有三种不同观点:市场价值类型、抵押贷款价值类型和清算价值类型.本文重点对上述三种观点进行界定和区分,明确了商业银行不动产抵押价值类型选择原则,指出当前适合商业银行风险管理要求的抵押价值类型应为市场价值类型.     

论我国政策性与商业性住房金融的协调发展

在我国的住房金融体系中政策性住房金融的发展不够完善,商业性住房金融因起步较晚,也还远不够成熟,这使二者在并行运作中出现了大量的空白地带和不必要的重复区域,不仅阻碍了我国居民住房条件的改善,也大大制约了房地产市场上潜在需求的实现。要解决这些问题,就必须合理定位我国的政策性住房金融,大力发展商业性住房金融,使二者相互促进、协调发展。     

房产税税率、房产税收入与房地产税制度设计

基于房产税税率对房产税收入影响理论,运用数理模型,依据沪渝两市自然数据,考量房产税税率变化对房产税收入的影响.结果显示:房产税税率对房产税收入具有重要影响.若提高上海市房产税税率,房产税增收效果更明显;若下调重庆市房产税税率,房产税增收效应更显著.鉴于此,未来房地产税立法改革思路:一是坚持房地产税税负不增加;二是平衡好房地产税立法与其他收费制度的关系;三是统筹税制改革的协同推进;四是兼顾房地产税的地方财政属性;五是谨慎推进.同时,应遵循税收法定原则、地方财政原则、公平原则、确实原则、渐进原则和结构性调整原则.此外,在制度设计方面,纳税人的设计要体现财产税性质,征税范围要涵盖农村,课税对象要包括存量住房,税率要体现差异性,计税依据要由市场价格评估值确定,税收优惠要兼顾免税面积和特殊人群.     

房地产抵押评估的评估方法问题

2008年,深圳房价大幅下跌,一些业主停止向银行偿还贷款,也就是＂断供＂。2008年7月中旬,深圳英郡年华、泰华阳光海、半岛城邦、澳城等楼盘的业主已经停止向银行偿还贷款。如果深圳的房价持续下跌,＂断供＂现象很有可能在深圳蔓延。众所周知,这将使银行出现坏账!