Macroeconomic Risk Factors and the Role of Mispriced Credit in the Returns from International Real Estate Securities

We examine the canonical influence of global market, currency and inflation risks on the returns from international real estate securities. In addition, we study how mispricing of credit in the local banking systems is related to the returns from these securities. We analyze a global sample of real estate securities over the period 1999 to 2011 to test our hypotheses. We find support for the anticipated relationships between macroeconomic risk factors and the returns from international real estate securities. Our evidence also supports the expected link between local credit market conditions and the performance of international real estate securities.     

On the Value of Environmental Certification in the Commercial Real Estate Market

A significant part of the global carbon externality stems from the real estate sector. Environmental certification is often hailed as an effective means to resolve the information asymmetry that may prevent markets from effectively pricing the energy performance of buildings. This study analyzes the adoption and financial outcomes of environmentally certified commercial real estate over time. We document that nearly 40% of space in the 30 largest U.S. commercial real estate markets holds some kind of environmental certification in 2014, as compared to less than 5% in 2005. Tracking the rental growth of 26,212 office buildings, we measure the performance of environmentally certified real estate over time. We document that certified office buildings, on average, have slightly higher rental, occupancy and pricing levels, but do not outperform non‐certified buildings in rental growth over the 2004–2013 period. Further performance attribution analysis indicates that local climate conditions, local energy prices and the extent of certification lead to significant heterogeneity in market pricing. On aggregate, these findings provide some evidence on the efficiency of the market in the adoption and capitalization of environmental characteristics in the commercial real estate market.     

Commercial Office Space: Testing the Implications of Real Options Models with Competitive Interactions

We test the implications of real option pricing models with competitive interactions for commercial real estate development. The competitive nature of a local commercial real estate market relies on a Herfindahl ratio derived from individual developers' shares of total office construction in their market. All else being equal, greater competition among local developers is associated with more building starts. Other variables suggested by the real options pricing model, including the volatility of local lease rates, are also found to be statistically important. In addition, we provide evidence consistent with greater competition attenuating the extent to which increases in volatility delay commercial real estate development.     

Determinants of the Rate of Return for Nonresidential Real Estate: Inflation Expectations and Market Adjustment Lags

This paper analyzes the economic forces that determine the real rate of return for nonresidential real estate. Our analysis shows that the intermarket variation in the real rate of return is statistically significant, and the rate of return differs by land use and market area, as well as over time in response to changes in macro-economic conditions. We use inflation variables as surrogates for changes in macroeconomic conditions over time. In contrast to earlier studies, we find that nonresidential real estate may not outperform expected inflation. We believe that the impact of expected inflation (and other macroeconomic variables) on real estate rates of return depends upon the interaction of the macro-environment and specific local real estate market conditions. Finally, our empirical evidence suggests that the effects of a given shock dissipate rather quickly in most markets when we take into account locational and property use differences.     

If You Promise to Build It,Will They Come? The Interaction between Local Economic Development Policy and the Real Estate Market: Evidence from Tax Increment Finance Districts

The analysis in this article examines the impacts of one of the more prominent economic development tools, tax increment financing (TIF) districts, on the local commercial real estate market. The study area is the city of Chicago, a community with a long history of reliance on TIF districts as a means to foster local development initiatives. A treatment effects model is used to address the selection bias often attributed to studies of public policy impacts on real estate markets. The results indicate that commercial properties located within designated TIF districts exhibit higher rates of appreciation after the area is designated a qualifying TIF district.     

Co‐movements and Correlations Across Asian Securitized Real Estate and Stock Markets

We find conditional real estate‐stock correlations at the local, regional and global levels are time varying and asymmetric in some cases for our sample of eight Asian securitized real estate markets over 1995–2009. Real estate–global stock correlations co‐move significantly and positively with real estate–regional stock correlations and real estate–local stock correlations. They are also influenced significantly by relative (real estate/stock) volatilities and their lags at three integration levels. Furthermore, real estate and stock volatilities, covariances and correlations increased from the preglobal financial crisis period to the crisis period. However, real estate and stock volatility are more important than correlation in causing the changes in covariance during both the precrisis and crisis periods. Finally, exchange rate volatility appears to have played a relatively less important role in these cross real estate–stock correlations.     

楼市低迷背景下政府“救市”的原因分析

2008年以来,一向只涨不跌、成交旺盛的中国楼市出现了一些引人关注的变化。在房地产市场下滑迹象的刺激下,一些地方政府悄然推出“暖市”优惠政策。文章通过对地方政府在房地产市场中的行为分析,探讨了地方政府出手“救市”的行为根源。     

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.     

Asset Price Persistence and Real Estate Market Illiquidity: Evidence from Japanese Land Values

We develop an overlapping generations model of the real estate market in which search frictions and a debt overhang combine to generate price persistence and illiquidity. Illiquidity stems from heterogeneity in agent real estate valuations. The variance of agent valuations determines how quickly prices adjust following a shock to fundamentals. We examine the predictions of the model by studying price depreciation in Japanese land values subsequent to the 1990 stock market crash. Commercial land values fell much more quickly than residential land values. As we would posit that the variance of buyer valuations would be greater for residential real estate than for commercial real estate, this model matches the Japanese experience.     

Errors in Variables, Links between Variables and Recovery of Volatility Information in Appraisal-Based Real Estate Return Indexes

The present article proposes a multivariate approach to unsmoothing appraisal-based real estate return indexes to recover the true market volatility information in real estate returns. It scrutinizes the role played by errors in variables, in conjunction with an analysis of other economic activities relevant to real estate returns, to exploit the functional relationship and the mechanism of interactions between real estate returns and these economic activities. Appraisal smoothing can therefore be detected and corrected properly and efficiently, without presuming a weakly efficient real estate market. The approach is then applied to U.K. real estate indexes as empirical examples. The results suggest a reasonable volatility in U.K. real estate investment that is close to reality. It is found that the volatility of the true market return on real estate is 1.5404–1.9282 times that of the return on the appraisal-based indexes, in contrast to figures of 2.4862–5.8720 produced by the fully unsmoothing procedure.     

Call Options and Liquidation in Commercial Mortgage Financing

This paper models a commercial real estate project where a wealth-constrained manager uses outside debt financing to purchase a project who's return depends on future economic conditions and the manager's investment in the project. It is shown that it is inefficient to finance the project with callable debt. This prediction is consistent with observed real estate financing practice. I also model the outcome of financial distress allowing for (1) debt forgiveness, (2) equity in exchange for debt forgiveness, and (3) foreclosure. The model motivates (1) why commercial real estate loans are often foreclosed, and (2) why lenders foreclose assets at fire-sale prices.     

Global Financial Integration and Real Estate Security Returns

Have globalization and increasing economic and financial integration affected the rates of return of publicly traded real estate companies around the world? Using a set of multifactor models for annual data for 946 firms from 16 countries over the sample period, 1995–2002, we estimate the impact of a country's economic openness on returns of publicly traded real estate firms, controlling for the effects of global capital markets, domestic macroeconomic conditions and firm‐specific variables. We find that a country's real estate security excess (risk‐adjusted) returns are negatively related to its openness. The results are robust across different multifactor model specifications and are a testament to increasing global financial integration and its interplay with the real estate sector.     

A Model of Time‐on‐Market and Real Estate Price Under Sequential Search with Recall

This article develops a model and provides a closed‐form formula to uncover the theoretical relationship between real estate price and time on market (TOM). Our model shows a nonlinear positive price‐TOM relationship, and it identifies three economic factors that affect the impact of TOM on sale price. We demonstrate that conventional metrics for real estate return and risk, which are borrowed in a naïve fashion from finance theory, do not account for marketing period risk and tend to overestimate real estate returns and underestimate real estate risks. Our model provides a simple way to correct such bias. This theory helps to explain the apparent “risk‐premium puzzle” in real estate.     

Information and communication technology in the real estate industry: productivity,industry structure and market efficiency

This survey of changes in the real estate industry due to information and communication technology (ICT) covers three areas: (a) A brief survey of ICT applications in the property industry, (b) speculation about implications for market structure and productivity within the real estate industry, and (c) comments on the wider macroeconomic implications of these changes. Improvements in information and productivity may lead to important long-run changes in business processes and industry structure tending to favour larger firms and promoting specialization of functions. Changing the information structure of real estate decision systems could change system dynamics and improve allocative efficiency. On the other hand, under different institutional arrangements, better information could increase the amplitude of real estate cycles and destabilize economies.     

Price Signaling and Return Chasing: International Evidence from Maturing REIT Markets

This article examines the liquidity of international real estate securities across 10 markets over the period 1990–2015. We apply and compare results for four different measures of liquidity, and find that while liquidity has increased consistently, wide variations still exist across markets, with the United States and Japan in the lead. Our results also suggest that the introduction of local REIT regimes did not have any pervasive effects on stock liquidity. When we study the relationship between liquidity and returns, we document new and consistent evidence for international return chasing behavior, whose pattern is a function of local market efficiency, listed real estate market maturity and stock ownership dispersion. The introduction of REIT regimes seems to weaken the importance of extra performance over and above general equity returns as investors tend to allocate funds to real estate securities within real estate rather than equity portfolios.     

Sell-Offs of U.S. Real Estate: The Effect of Domestic versus Foreign Buyers on Shareholder Wealth

Large foreign acquisitions of U.S. real estate always seem to generate considerable public concern. Most recently the reaction has been to Japanese purchases, but similar reactions occurred to Arab petro-dollar purchases in the early 1970s. This study examines the impact of the buyer's nationality on the change in the wealth of the selling firm's shareholders for voluntary sell-offs of U.S. real estate. In general, this study indicates that voluntary sell-offs of real estate assets result in a significant increase in the wealth of the selling firm's shareholders. However, the change in the wealth of the selling firm's shareholders for U.S. buyers was not significantly different from that for non-U.S. buyers. Since no advance is indicated for foreign buyers over domestic buyers, laws or regulations hindering the foreign acquisition of U.S. real estate cannot be supported. The assumption of a "non-level playing field" for U.S. real estate investors who bid against foreign firms for U.S. real estate assets is not confirmed.     

Real Estate Investments,Product Market Competition and Stock Returns

By limiting operating flexibility, real estate investments are found to increase firm risk, thus expected returns. This study introduces product market competition as a critical determinant of the relation between real estate investments and stock returns. As part of capacity strategies, these investments are generally associated with increased market power and lower cash flow volatility in oligopolistic industries. I present a simple model of oligopolistic competition showing a negative relation between real estate holdings and firm beta, and empirically confirm this prediction. Controlling for product market competition enhances identification of the endogenous relation between real estate investments and stock returns.     

Resource Combination and Security Price Reactions: The Case of Real Estate Joint Ventures

Joint ventures are a commonplace occurrence in the U.S. economy. In particular, firms undertaking real estate projects frequently use the joint venture as a method of combining resources. This paper examines security price reactions around real estate joint venture announcements. The evidence indicates that significant increases in the values of the participating firms occur within a two-day announcement period. The changes in values appear to be due principally to the amount of information about the local real estate market possessed by the participating firms, and an information signal about the potential financial viability of the proposed project conveyed by the presence of anchor tenants. While the results are important in their own right, they are also significant in another respect. They seem to confirm the efficiency with which the capital market processes information about the markets for trading real estate claims.     

Rational Expectations, Market Fundamentals and Housing Price Volatility

This paper derives a forward-looking rational expectations house price model and empirically tests its ability to explain short-run fluctuations in real house prices. A novel approach to proxying the imputed rents of owner-occupied housing, as a function of observable housing market fundamentals, is combined with a housing market arbitrage relation to derive a present value model for real house prices. Tests of the rational expectations, nonlinear cross-equation restrictions reject the joint null hypothesis of rational expectations and the asset-based housing price model for quarterly, single-detached house prices in the city of Vancouver, British Columbia from 1979–1991. The model fails to fully capture observed house price dynamics in two real estate booms but tracks real house prices well in less volatile times, suggesting that prices may temporarily deviate from fundamental values in real estate price cycles.     

股权结构与内部控制有效性的案例分析

为了提高企业内部控制有效性,增强企业的核心竞争力,在相关文献研究的基础上,选择1家房地产上市公司纵向研究股权结构变化对企业内部控制有效性的影响,然后再选取4家具有代表性的房地产上市公司进行横向案例研究,分析不同的制衡股东性质对企业内部控制有效性所产生的影响。结果表明:在房地产行业内,万通地产的股权结构由一股独大转变成股权制衡的局面后,公司内部控制有效性有了一定的提升。通过横向分析对比张江高科、绿地控股、光大嘉宝、阳光城等4家房地产上市公司可知,当都存在国有制衡股东时,与国有公司相比,非国有公司内部控制质量更佳;在制衡股东为非国有股东时,公司的内部控制有效性更高。案例分析结果在其他类似房地产上市公司提高内部控制有效性的应用场景中具有参考价值。