Influential Journals, Institutions and Researchers in Real Estate

A threshold citation approach is used to measure the research influence of academic real estate journals, institutions and individual researchers. Real Estate Economics followed by The Journal of Real Estate Finance and Economics and Journal of Real Estate Research are the most influential real estate journals. Almost 63% of heavily cited works in core real estate journals are published in real estate journals. Twenty-one percent of the heavily cited works are published in Real Estate Economics . An overwhelming 80% of the citations of the 21 most heavily cited papers in real estate come from articles published in real estate journals. Even when real estate articles are published in top-tier finance and economics journals, the majority of the citations associated with these articles come from top real estate journals. This provides strong evidence of the existence of a distinct real estate research discipline. As compared to prior studies, an expanded universe of institutions is found to influence real estate research. Research-extensive universities generating high-quality economics, statistics and finance research influence the real estate discipline. The individuals that are most influential, however, are generally those with substantial real estate discipline specific research.     

Authors' Perceptions and Preferences Among Real Estate Journals

Journal editors who want to attract the best research must understand authors' perceptions of their journals. In this survey, U.S. academic authors rank Real Estate Economics ( REE ) higher than The Journal of Real Estate Finance and Economics ( JREFE ) and rank The Journal of Real Estate Research ( JRER ) third. Authors perceive REE as high quality with promotion and tenure value and JREFE as providing a fair, efficient publication process. Faculty at doctoral degree-granting schools are more discerning between the journals, whereas faculty at schools with real estate degree programs are more likely to have work in all three journals rewarded. Publishing in a journal and membership in a real estate association also influence opinions.     

A Note on Ranking Real Estate Research Journals

An understanding of how thirty real estate journals are perceived for promotion and tenure and for professional applicability was sought by surveying members of the two most important real estate academic organizations. Several subgroup comparisons were made revealing some common perceptions but a significant amount of disagreement as well. Among findings robust across the surveyed community were that the Journal of the American Real Estate and Urban Economics Association (changed to Real Estate Economics in 1995) is the most important outlet for promotion and tenure and the Appraisal Journal is the most important outlet for professional applicability. Two distinct journal groupings emerged: an academic group composed of eight journals and a professional group of twenty.     

Evolution of the American Real Estate and Urban Economics Association1

This article summarizes the 45‐year history of the American Real Estate and Urban Economics Association (AREUEA). It describes how AREUEA was created in the mid‐1960s by a few academics interested in promoting real estate research. It tracks the Association's growth into a highly respected international association of real estate academics and researchers employed by industry and governments. The article also examines the activities of its members: officers elected, awards presented, conferences organized and scholars' contributions to its main academic publication—Real Estate Economics. The article identifies the most prolific contributors to the Journal (located both in the United States and internationally) and the impact that the Journal's publications have had on real estate research. Finally, we describe how real estate research interests have changed over time.     

Is There a Risk Premium Puzzle in Real Estate?

This paper is based on my Presidential Address to the American Real Estate and Urban Economics Association delivered at Washington, D.C., in January 2003. The paper asks whether there is a risk premium puzzle in real estate. I examine this question by reporting on an empirical investigation of real estate investors' expectations over the last 15 years. The results suggest that ex ante expected risk premiums on real estate are quite large for their risk, too large to be explained by standard economic models. Further, the results suggest that ex ante expected returns are higher than average realized equity returns over the past 15 years because realized returns have included large unexpected capital losses. The latter conclusion suggests that using historical averages to estimate the risk premium on real estate is misleading.     

Asset Allocation and the Performance of Real Estate Mutual Funds

We examine the performance of real estate mutual funds during January 1991–December 1997. As a group, the sampled funds outperformed the Wilshire Real Estate Securities Index on a risk-adjusted basis by more than 5 percentage points annually. We attempt to explain these surprising findings by examining the fund's asset allocations across stocks, bonds and real estate property types using Sharpe's (1992) effective-mix test. We find that all of the superior performance is attributable to fund managers' decisions to overweight outperforming property types (apartments and health care) relative to the Wilshire Real Estate Securities Index weights. Performance of the funds matches a multiple-property-type benchmark that takes account of the fund's exposure to each property type. Therefore, real estate funds demonstrated superior allocation across property types, but neither superior nor inferior selection within property type, during 1991–1997. Our findings emphasize the importance of asset allocation for real estate mutual-fund performance.     

房地产经纪机构与管理部门信息一体化系统的设计

随着房产交易市场的日益活跃,对房地产经纪机构的行业管理已经成为政府管理的重点工作之一。现有管理存在着手段落后、数据分析困难、信息不对称等问题。运用Delphi 7.0开发了房地产经纪机构与管理部门信息一体化系统,该系统在石家庄房产管理部门和房地产经纪机构进行了应用,整体运行情况良好。     

International Real Estate Returns: A Multifactor, Multicountry Approach

We examine the risk and return characteristics of publicly traded real estate companies from 14 countries over the period 1990 to 2001. Our data are monthly country-level commercial real estate indexes constructed by the European Public Real Estate Association (EPRA). We find substantial variation in mean real estate returns and standard deviations across countries. Using various global- and country-level factor models, we find that there is evidence of a strong global market risk component, measured relative to the Morgan Stanley Capital International world index, in most countries. However, even after controlling for the effects of global market risk, an orthogonalized country-specific market risk factor is highly significant, especially for real estate indexes in Asia–Pacific markets. We find that a country-specific value risk factor has some explanatory power in addition to the country-specific market factor, but U.S.-based market, value and size risk factors do not provide any additional explanatory power. These findings imply that the international diversification opportunities with real estate companies are more complex than previously thought.     

Authors' Perceptions and Preferences Among Real Estate Journals: An Editors' Note

As current editors of Real Estate Economics ( REE ) we feel it is our responsibility to offer our readers some comments regarding the preceding article by Gibler and Ziobrowski. Our comments are intended to convey our policy regarding publication of articles of this nature, as well as some relevant facts about the current publication process performance of the Journal.     

The Impact of Real Estate Political Action Committees on Congressional Voting and Elections

This study examines the effectiveness of 1977–78 Real Estate Political Action Committee (REPAC) contributions in influencing voting patterns on real estate legislation. A simultaneous twenty-one equation model is built to test relationships among the endogenous variables of votes, electoral margin, PAC contributions, and constituent and congressional ideology. The results indicate that REPAC was only minimally successful in influencing real estate votes. Results further indicate that other PAC groups were more successful in influencing voting patterns, suggesting that REPAC contribution allocation procedures could be more effective.     

Estimating Returns on Commercial Real Estate: A New Methodology Using Latent-Variable Models

Despite their widespreao use as benchmarks of U.S. commercial real estate returns, indexes produced by the National Council of Real Estate Investment Fiduciaries (NCREIF) are subject to measurement problems that severely impair their ability to capture the true risk–return characteristics–especially volatility–of privately held commercial real estate. We utilize latent-variable statistical methods to estimate an alternative index of privately held (unsecuritized) commercial real estate returns. Latent-variable methods have been extensively applied in the behavioral sciences and, more recently, in finance and economics. Unlike factor analysis or other unconditional statistical approaches, latent variable models allow us to extract interpretable common information about unobserved private real estate returns using the information contained in various competing measures of returns that are measured with error. We find that our latent-variable real estate return series is approximately twice as volatile as the aggregate NCREIF total return index, but less than half as volatile as the NAREIT equity index. Overall, our results strongly support the use of latent-variable statistical models in the construction of return series for commercial real estate.     

房地产时尚卖点—信息化社区

网络经济的飞速发展为传统行业提供了新的发展方向和模式。房地产业作为处于竞争领域的传统行业，面对自身发展中出现的问题和新电子商务的挑战，房地产商纷纷在网络中寻找卖点－信息化社区，章就信息化社区建设提出建议。     

Temporal Aggregation in Real Estate Return Indices

Temporal aggregation is defined as the use of spot valuations of properties occuring over an interval of time to impute the spot value of a property or of a real estate value index as of a single point in time. Temporal aggregation may characterize not only appraisal-based indices but also indices based directly on transaction prices, such as the National Real Estate Index (NREI) and regression-based indices such as hedonic or repeat-sales indices. This paper analyzes the effect of temporal aggregation on the smoothing of the time series second moments in the resulting real estate return index. Assuming true spot returns are uncorrelated, temporal aggregation-induced smoothing will cause the empirically observed real estate index to understate the own-variance by one-third and the beta by one-half. This amount of bias in the second moments can have major implications for the real estate share in an optimal portfolio. Thus, empirical-based investment analysis could be led astray by smoothing even if the real estate return index is "transaction-based" rather than "appraisal-based."     

REIT and Commercial Real Estate Returns: A Postmortem of the Financial Crisis

In the years surrounding the financial crisis, the share prices of equity Real Estate Investment Trusts (REITs) were much more volatile than the underlying commercial real estate prices. To better understand this phenomenon we examine the cross‐sectional dispersion of REIT returns during this time period with a particular focus on the influence of their capital structures. By looking at both the debt ratio and the maturity structure of the debt, we separate the pure leverage effect from the effect of financial distress. Consistent with leverage and financial distress costs amplifying the price decline, we find that the share prices of REITs with higher debt‐to‐asset ratios and shorter maturity debt fell more during the 2007 to early‐2009 crisis period. Although REIT prices rebounded with the bounce back in commercial real estate prices, financial distress costs had a permanent effect on REIT values. In particular, we find that REITs with more debt due during the crisis period tended to sell more property and issue more equity in 2009, when prices were depressed.     

Value Creation in REIT Property Sell-Offs

We examine major sales of real property by public U.S. Real Estate Investment Trusts (REITs) 1992–2002. We find that abnormal shareholder returns are significantly positive, a result that is consistent with findings for conventional firms that sell off real estate. Because REITs do not pay taxes, this finding supports the view that abnormal returns in real estate sell-offs by all types of firms are derived largely from asset allocation efficiencies and do not result exclusively from tax benefits. Shareholder returns are lower in sell-offs motivated by a desire to reduce long-term debt, as is consistent with financial theory regarding the information content of leverage decisions. Returns are inversely related to the firm's operating performance prior to the sell-off announcement, further supporting the case that improved asset efficiencies create value in real estate sell-offs.     

A Different Look at Commercial Real Estate Returns

Commercial real estate makes up a relatively small percentage of most institutional portfolios, even though the existing literature has consistently reported attractive risk-return characteristics that would suggest much larger allocations. This discrepancy has been explained by a perceived lack of comparability between return series calculated for real estate and those calculated for other asset classes. Just as investors actively involved in the futures markets do not consider individual common stocks to be traded continuously, those active in the stock market do not consider real estate to be traded continuously. In both cases, adjustments to reported returns are necessary to achieve a degree of comparability. This study makes such adjustments, using sales data from properties that help comprise the National Council of Real Estate Investment Fiduciaries / Frank Russell Company (NCREIF/FRC) Index to generate a "transaction-driven" commercial real estate return series. Examination of the risk-return characteristics of this series shows that it is quite different from traditionally reported real estate return series and far more consistent with risk-return characteristics that have been reported for other asset classes.     

Real Estate Settlement Pricing: A Theoretical Framework

This paper examines the pricing of real estate settlement services. Prices charged by real estate brokers, title insurers, private mortgage companies and other settlement service providers have been a public policy issue for a decade. The Real Estate Settlement Procedures Act of 1974 did little to alleviate public concerns or change pricing practices.
The paper provides both a conceptual framework and some observations on how prices for settlement services are determined. It concludes that the demand has little to do with the services themselves, but rather depends on the demand for housing. This creates an environment for unnecessary services to be performed and for prices to be far in excess of cost.     

A Comparative Anatomy of Residential REITs and Private Real Estate Markets: Returns,Risks and Distributional Characteristics

Real Estate Investment Trusts (REITs) are the only truly liquid assets related to residential real estate investments. We study the behavior of U.S. Residential REITs over the past three decades and document their return characteristics. REITs have somewhat less market risk than equity; their betas against a broad market index average about 0.58. Decomposing their covariances into principal components reveals several strong factors. Residential REIT characteristics differ to some extent from those of the S&P/Case‐Shiller (SCS) private real estate markets. This is partly attributable to methods of index construction. Our examination of REITs suggests that investment in residential real estate is far more risky than what might be inferred from the widely followed SCS series. Although the SCS and REITs indicate little support for being able to predict each other, there is strong evidence of self‐predictability for the series.     

Using a Bootstrap to Measure Optimum Mixed-Asset Portfolio Composition:

Liang, Myer and Webb (1996) have offered bootstrap simulation as a tool for quantifying the uncertainty in the optimum composition of portfolios. Unfortunately, the confidence intervals produced were so large, they were unable to provide any new insight to the question, “How Much in Real Estate?”. In this comment, adjustments have been made to the methodology they proposed and as a result have produced findings which lead to very different conclusions. More specifically, the results suggest that investors with a low risk preference should hold very little real estate.