Exploring sentiment-driven trading behaviour of different types of investors in the London office market

We investigates the sentiment-driven trading behaviour of the four types of investors in the London office market, i.e. UK institutional investors, UK private investors, UK listed real estate companies/Real Estate Investment Trust (REIT)s and overseas investors. In addition, we examine the relationship between investor sentiment and property performance. Related indices are calculated to examine the existence of herding behaviour of different investors. We find that UK private investors follow a contrarian strategy to UK institutional investors and listed real estate companies/REITs and enter/exit the market at different points of time. UK institutional investors tend to follow the sentiment of UK listed real estate companies/REITs and overseas investors with lags. There is no evidence that overseas investors rely upon the sentiment of UK specialised property investors in their decision-making. We find the sentiment of different investors is influenced differently by market fundamentals. Yield and rental growth rate have significant impact on trading activity of overseas investors, but not on other investors. The stock market return and securitised real estate return have significant impact on the trading activity of UK institutional investor and overseas investor, but have no significant influence on the trading behaviour of UK private investor and listed real estate company/REIT.     

Do changes in credit ratings of REITs affect their capital structure decisions?

Existing research has highlighted the high leverage ratio of Real Estate Investment Trusts (REITs). To the extent that credit rating is important to REITs when sourcing for capital from the public debt markets, our paper investigates the effect of changes in REIT credit ratings on capital structure decisions while controlling for endogeneity effects. Our results indicate that REITs that face the prospect of an imminent credit rating downgrade issue approximately 11% less debt net of equity as a percentage of total assets than other REITs. This effect is asymmetric in that positive rating outlooks do not have a significant impact on REIT capital structure activities.     

On the market risk of securitized timberlands

Over 10 million acres of timberlands in the United States have been securitized through Real Estate Investment Trusts (REITs) in recent years. Publicly traded timber REITs have better liquidity and tax efficiency than private ownership, but at the same time, they are exposed to higher market risk as public firms. In this study, copula modeling is employed to assess the joint distribution between daily returns of five timber REITs and a stock market index. Both constant and time-varying symmetrized Joe-Clayton copulas are estimated to evaluate the dependence of timber REITs on the equity market from 1994 to 2010. In most cases, there exist lower tail dependence for market stresses, upper tail dependence for market booms, and tail asymmetry between individual firms and the market. On average, the dependence measure becomes larger after a firm is converted into a REIT. Each firm has smaller volatility of tail dependence after the conversion, except for Plum Creek. These findings reveal that the REIT structure has introduced non-diversifiable market risk into its ownership, and thus the diversification benefit of publicly traded timber REITs in a portfolio may be limited.     

Futures markets and real estate public equity: Connectivity of lumber futures and Timber REITs

This paper investigates connectivity between lumber futures contracts, Timberland REITs, the FTSE NAREIT U.S. REIT index, spot prices, and timberland capitalization rates, and contributes to this tranche of research by empirically linking the price discovery process of Timberland Real Estate Investment Trusts to lumber futures. We employ VEC and GARCH models, providing evidence that lumber futures have a positive significant long- and short-run equilibrium relationship with publicly traded Timber REIT prices, connecting a specific futures commodity with its theoretically entwined real estate equity index. As such, exogenous factors that influence Timber REIT prices are documented leading to possible diversification/risk reduction strategies.     

The idiosyncratic risks of a Shariah compliant REIT investor

This paper investigates the impact of Shariah compliant investment principles on the idiosyncratic risks of a Shariah compliant REIT investor. The importance of idiosyncratic risks in explaining cross-sectional returns of a constructed Shariah compliant REIT investor’s portfolio is further examined in this paper. In all constructed portfolios examined, there is a positive and significant relationship between expected idiosyncratic volatility and expected REIT returns of the constructed Shariah compliant portfolio (GCC Shariah compliance standards). This result is consistent and persistent after robustness tests are carried out. As such, idiosyncratic risks are an important factor to consider in the pricing of Shariah compliant REIT stock returns. On further examination, the significant relationship as seen in the constructed Shariah compliant portfolio can be explained from the firm-specific risks of the residential REIT sector which is the most dominant sector during the period of investigation. The implications of these results also point to the importance of Shariah compliance standards and screening methods which is a significant feature associated with the understanding of the relationship of idiosyncratic risks on expected REIT returns of Shariah portfolios. Results show contrasting results between a less-restrictive and restrictive Shariah compliant portfolio. We find a significant relationship between expected returns and the idiosyncratic risks specifically in the restrictive Shariah compliant portfolio.     

Do ‘foreigners’ pay more? The effects of investor type and nationality on office transaction prices in New York City

Are commercial real estate prices in metropolitan New York affected by the type or nationality of the investors involved in a transaction? Previous research has highlighted differences in pricing between in-state and out-of-state investors and between different types of investors, but there are few extant studies that consider the influence of nationality on pricing at a micro-level. Foreign investors might pay more than domestic investors for commercial real estate assets because of a lack of information or experience in the market concerned. However, they might use local partners or brokers to mitigate such problems. To explore these issues, we use data provided by Real Capital Analytics on over 3000 office transactions in the New York metro area from 2001 to 2015. We use hedonic regression techniques and propensity score matching to examine whether pricing differs across investor groups after controlling for asset attributes. We find that foreign investors pay more than domestic investors at acquisition, but receive more when selling assets. Tests suggest that it is unmeasured aspects of quality that explain any apparent overpayment for offices in this location, not information issues.     

The 4% rule: Does real estate make a difference?

This paper examines the wealth maximisation and preservation effects of including commercial real estate in retirement-phase portfolio management. Prior research addresses the role of real estate during the wealth-accumulation phase of the investor lifecycle; however, little is known about the contribution of real estate during the invest-and-spend, or decumulation, phase. To address this issue, we estimate short-fall risk based on the widely known 4% Rule. We use pricing data for multiple asset classes and simulation techniques, combined with a robust correlation structure, to examine: short-fall risk sensitivity to alternative spending rules; the impact of public vs. private real estate allocations; wealth preservation as an investment objective; and the effect of real estate on upside, or wealth maximisation, potential. We find short-fall risk in a decumulation portfolio decreases with substantial allocations to real estate. This result holds for a portfolio including either public or private real estate. Additionally, and under most conditions, the best performing decumulation-phase portfolios include a real estate allocation with both public and private real estate exposure. These results have significant implications for investors, whether they be retirees, plan administrators or endowments, as well as financial economists studying the lifecycle of investment decisions.     

Leverage,liquidity and information in commercial property prices

Transactions volume and property cash flows appear to have little, if any, predictive value for commercial property price appreciation in the US during 2001 to mid-2015. Price appreciation is predicted by both credit tightening and the market share of highly active investors. Buyer composition (introduced by this study) appears to proxy informational content in the transactions market, as trading patterns for highly active investors are consistent with those possessing informational advantages. Underwriting restrictiveness adversely affects asset prices. Apart from buyer composition and credit policy, aggregate price movement appears largely produced by cycles of investment momentum rather than cycles in commercial property fundamentals.     

Large-scale agricultural investments under poor land governance in Zambia

This paper looks at how large-scale land acquisitions made by foreign investors in Zambia are implemented. It scrutinizes both the steps that an investor has to go through in order to attain land within the Zambian land governance system as well as the actors shaping the acquisition process.As the most important formal change introduced to the Zambian land governance system, the Lands Act 1995 paved the way for foreign investments in land. The new actor “investor” on the other hand has emerged as a result of rising prices for food and non-food commodities. The study finds that the enforcement of formal rules in the process of acquiring land is currently weak and largely determined by a number of actors: while investors, local authorities and government officials have strong leverage, local land users are excluded from the process. If the process of transformations of customary land into state land continues, land administration will be inevitably shifted toward statutory jurisdiction. As a result, local chiefs will lose their discretionary power thereby further marginalizing local land users. As it stands, welfare implications are chiefly down to the individual actors. However, it is only the government that can issue a guarantee that local land users will also benefit from land acquisition.     

Spatial determinants of productivity growth on agri‐food Spanish firms: a comparison between cooperatives and investor‐owned firms

This study analyses the effect of the spatial factor, location, and interaction effects among peer companies, on the productivity growth of agri‐food companies in Spain. With this aim, we build a productivity growth index and apply a multiequational Seemingly Unrelated Regression on a sample of 344 Spanish cooperatives and investor‐owned firms for the period 2010–2012. Our findings show that agri‐food firms are influenced by spatial factors finding interesting differences between cooperatives and investor‐owned firms. With regard to the geographical location, cooperatives in the western of Spain show higher productivity growth rates, whereas investor‐owned firms in the northeast of Spain present better results. The interaction effect among closer peer companies is also a relevant factor to determine the productivity growth in agri‐food companies. This factor is more relevant for cooperatives than for investor‐owned firms.     

废弃矿山土地复垦投资及收益分配探讨

废弃矿山土地投资收益分配要遵循市场分配规律,按照投入要素的贡献大小分配收益。国有土地上废弃矿山投资收益分配：单个投资者投入,投资收益归该投资者所有;多个投资者投入,按照投入要素和贡献多少来进行收益分配。政府和投资者之间的收益分配：政府可以对国有土地上的废弃矿山收取较低的土地使用权费用或税收。集体所有土地上废弃矿山投资收益分配：投资集体土地上的单位或个人以租金或土地承包金的方式获得废弃矿山土地的使用权或将集体土地作价入股;单位或者个人可以对废弃矿山土地进行前期开发向集体收取复垦费用。     

Economic Guidelines for Present and Future Capital use in Canadian Agriculture*

Capital requirements for typical farms are expected to be $200,000 to $300,000 by 1980. This will necessitate substantial increases in credit and provide conditions more attractive to private investors than in the past for all types of credit as well as equity capital. Form operators' equity in the farm business is expected to decline substantially. Incorporated farm statistics are presented as well as an estimate of the aggregate farm capital and credit structure in 1981. A number of policy questions are examined in the light of the changed financial structure envisaged. GUIDES ÉCONOM1QUES CONCERNANT L'USAGE ACTUEL ET FU-TUR DU CAPITAL DANS L'AGRICULTURE CANADIENNE–On estime que la mise de fonds en capital d'une ferme typique sera de l'ordre de $200,000 à$300,000 vers 1980. Cette situation entraînera des accroissements sensibles au chapitre du crédit et créera des conditions plus attrayantes que par le passé pour les investisseurs privés, les amenant à offrir tous les genres de credit et mime a participer au capital effectif de mise de fonds. On estime que Vavoir des exploitants agricoles dans leurs ferme diminuera sensiblement. On présente des statistiques agricoles incorporees de même qu'une estimation de la structure d'ensemble du crédit et du capital des fermes en 1981. Un certain nombre de questions de politiques sont etudiees a la lumiire des changements prevus a la structure financiere.     

Fisher判别分析模型在上市公司信用风险度量中的应用

以我国上市公司为研究对象,运用统计方法选取有效建模变量,建立了Fisher判别分析预测模型,对上市公司的信用状况进行了实证分析。研究结果显示该模型总的判别准确率为90.38%,与国内已有的研究成果相比有较高的判别准确性,对于证券投资者和分析人员在现有的条件下运用现代信用风险度量模型具有重要的应用价值。     

MEASUREMENT OF TECHNICAL EFFICIENCY IN THE NORTH-WEST FRONTIER PROVINCE OF PAKISTAN

The objective of this study is to measure technical efficiency, using a translog frontier production function on cross-sectional data from 397 farms in the North-West Frontier Province of Pakistan in 1988–89. The estimated farm level technical efficiency is found to be dependent upon levels of credit and education, farmers' ages and the extent of land fragmentation. Lack of education, restricted credit and fragmented holdings are found to be causes of inefficiency; hence policies which consolidate holdings, provide credit or educate farmers will tend to improve efficiency in agriculture.     

外商投资非油气矿产资源勘探的几个法律问题

文章就外商投资非油气矿产资源勘探中的投资定位、主体、国家审核程序、经营期限、出资、外国投资者退出、外国投资者回报等方面的法律问题作了探讨。指出现行外商投资法中的一些不明确或不适应矿产勘探的问题 ,为解决此类问题 ,文章提出了从五个方面针对外商投资非油气矿产勘探 ,对现行外商投资法律法规进行改进     

Co-movement between the US and the securitised real estate markets of the Asian-Pacific economies

The novelty of this study is the use of continuous wavelet transform analysis of wavelet coherence, as well as its partial and multiple forms, to revisit the co-movements of Asian-Pacific public real estate markets among themselves and with the US, for a time span which covers the 12 January 1995–23 June 2016 period. Earlier research does not have satisfactory results because traditional methods average different relationships in time domain only. From the wavelet analysis, investors can extract the time-scale that most interests them. We find that the co-movement relationship across the real estate markets increases during the two major crisis period, as well as becomes stronger as the scale increases. Hong Kong and Singapore have the strongest time-scale co-movement relationship. Finally, the influence of domestic macroeconomic factors on real estate return co-movement appears to be greater at the long-term horizons than at the short-term horizons.     

Productivity change in Taiwan's farmers' credit unions: a nonparametric risk-adjusted Malmquist approach

This article proposes an extended three‐stage DEA methodology similar to Fried et al. (2002) to improve the measurement of productivity growth when the assumption of free disposability of undesirable output does not apply. A directional distance function is used to construct adjusted Malmquist–Luenberger productivity indexes which simultaneously account for the impacts of undesirable outputs, environmental variables, and statistical noise. Panel data for 263 farmers' credit unions (FCUs) in Taiwan covering the 1998–2000 periods are employed to illustrate the advantages of this method. On average, the productivity of Taiwan's FCUs is found to have deteriorated over the 1998–2000 period. Although an improvement in efficiency has been observed, the major reason for the deterioration is found to be due to the regression of technology.     

Access to credit, plot size and cost inefficiency among smallholder tobacco cultivators in Malawi

Using data from the Malawi Financial Markets and Household Food Security Survey, this paper examines the effect of access to credit from formal sources, and tobacco plot size, on cost inefficiency among Malawian smallholder tobacco cultivators. Farm‐specific cost inefficiency is estimated within the framework of stochastic frontier analysis. Access to credit is measured as the sum of household members' self‐reported credit limits at credit organisations, arguably a truer measure of an exogenous credit constraint than credit program participation or actual loan uptake. It is found that tobacco cultivation is significantly less cost inefficient per acre on larger plots. While access to credit by itself has no statistically discernible effect on cost inefficiency, it reduces the gain in cost efficiency from a larger plot size.     

From conflict to cooperation: The trajectories of large scale land investments on land conflict reversal in Ghana

There have been studies on land-conflict and its implications through large scale land investments in Ghana and beyond. However, contrary to the negative conflict-implications of land investments, the effectiveness of conflict-reversal interventions has received little attention in academic and policy debates. This has led to a literature gap about land conflict reversal pathways and outcomes. This study thus, uses a case study design based on qualitative methods to introduce two communities of large scale land acquisitions (namely Agogo and Kpachaa) in Ghana where corporate investors took multiple steps to mediate conflicts with the ruralists vis-a-vis the secondary effects aftermath. The study identifies that the implementation of Corporate Social Responsibility (CSR) interventions and benefit sharing mechanisms have had deescalating effects on land conflicts in the communities involved. In the case of Agogo, it was noticed that the conflict reversal pathways were the investor’s decision to change investment from biofuel to food crops, the establishment of formal rent payment system and the running of flexible and rotational job schemes for community members. On the other hand, Kpachaa saw conflict reversal through corporate interventions towards infrastructure development, inputs and technical support, jobs and training programmes and derestricted communal access to unused land spaces and economic trees for local livelihood sustainability. Based on the findings, the study argues that the establishment of land conflict reversal guidelines (in which corporate investors play a key role in tackling conflicts) could help in mitigating land conflicts in Ghana and other countries subjected to large-scale land investments¹ .     

Credit constraints and smallholder dairy production in the East African highlands: application of a switching regression model

Accurate assessment of farmers' credit constraint condition is important in order to understand the circumstances under which credit would have its greatest impact. In this study a switching regression model was used to determine the impact of credit on smallholder dairy farms in the East African highlands using farm level data from Ethiopia and Kenya. Farmers were classified as credit constrained or credit non-constrained based on their responses from the farm level surveys. No consistent relationship was found between farmers' credit constraint condition and their borrowing status. Most of the variation in milk output per farm was explained by the number of crossbred milking cows in the dairy herd. As credit is likely to facilitate investment in crossbred dairy cows it will have substantial impacts on smallholder dairy farms especially if it is targeted to credit constrained farms.