共查询到20条相似文献,搜索用时 218 毫秒
1.
Jim Clayton David C. Ling Andy Naranjo 《The Journal of Real Estate Finance and Economics》2009,38(1):5-37
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.
相似文献
Andy NaranjoEmail: |
2.
Bernd Scherer 《Financial Markets and Portfolio Management》2009,23(3):315-327
The current vast account surpluses of commodity-rich nations, combined with record account deficits in developed markets (the
United States, Britain) have created a new type of investor. Sovereign wealth funds (SWF) are instrumental in deciding how
these surpluses will be invested. We need to better understand the investment problem for an SWF in order to project future
investment flows. Extending Gintschel and Scherer (J. Asset Manag. 9(3):215–238, 2008), we apply the portfolio choice problem for a sovereign wealth fund in a Campbell and Viceira (Strategic Asset Allocation,
2002) strategic asset allocation framework. Changing the analysis from a one to a multi-period framework allows us to establish
a three-fund separation. We split the optimal portfolio for an SWF into speculative demand as well as hedge demand against
oil price shocks and shocks to the short-term risk-free rate. In addition, all terms now depend on the investor’s time horizon.
We show that oil-rich countries should hold bonds and that the optimal investment policy for an SWF as a long-term investor
is determined by long-run covariance matrices that differ from the correlation inputs that one-period (myopic) investors use.
相似文献
Bernd SchererEmail: |
3.
In a continuous-time framework, the issue of how to delegate an investor’s portfolio decision to a portfolio manager is studied.
First, we solve the first-best problem. For the second-best case, a specific quadratic contract is introduced resolving the
agency conflict completely in the sense that the solutions to the first-best and second-best problems coincide. This contract
can be implemented if the investor is able to observe the value of the growth optimal portfolio at her investment horizon.
If the investment opportunity set is assumed to be constant, in equilibrium the value of the market portfolio is a sufficient
statistic for the value of the growth optimal portfolio. Throughout the paper, we assume that the investor and the manager
have homogeneous expectations about the investment opportunity set. This, however, does not necessarily mean that investor
and manager are symmetrically informed about all prices.
相似文献
Ralf KornEmail: |
4.
Ming-Long Lee Ming-Te Lee Kevin C. H. Chiang 《The Journal of Real Estate Finance and Economics》2008,36(2):165-181
This study examines the linkage between equity real estate investment trust (REIT) returns and the private real estate factor.
The results reveal a tighter connection between REIT and the private real estate market starting from 1993. In addition, large-cap
REITs seem to behave more like real estate than do small-cap REITs. Overall, the results are consistent with three notions:
(1) that institutional investors provide information-gathering services (Bradrinath et al., Rev. Financ. Stud., 8:401–430, 1995), (2) that a more sophisticated investor base improves information flow, and (3) that a high degree of participation
from institutional investors strengthens the linkage between REIT returns and the underlying real estate factor (Ziering et
al., The evolution of public and private market investing in the new real estate capital markets, Prudential Real Estate Investors, Parsippany, NJ, 1997).
相似文献
Ming-Long LeeEmail: |
5.
In a framework where no uncertainty arises, Arnott (J Publ Econ Theor 7:27–50, 2005) investigates a neutral property taxation policy that will not affect a landowner’s choices of capital intensity and timing
of development. We investigate the same issue, but allow rents on structures to be stochastic over time. We assume that a
regulator implements taxation on capital, vacant land, and post-development property so as to expropriate a certain ratio
of pre-tax site value as well as to achieve neutrality. We find that the optimal taxation policy is to tax capital and subsidize
properties before and after development. We also investigate how this optimal policy changes in response to changes in several
exogenous forces related to demand and supply conditions of the real estate market.
相似文献
Tan Lee (Corresponding author)Email: |
6.
Jaroslaw Morawski Heinz Rehkugler Roland Füss 《Financial Markets and Portfolio Management》2008,22(2):101-126
This paper addresses the question of whether shares of public real estate companies should be treated as real estate or as
equity investments. Because theoretical considerations do not suffice for making such a classification, we empirically investigate
correlation structures and cointegration relationships of private and public real estate and equity markets for the United
States and the United Kingdom. Our results suggest that public real estate stocks show similarities to the general stock market
with regard to short-term return co-movements. For long-term investment horizons, the interdependence between direct and securitized
real estate is much stronger. However, in the latter case, real estate stocks substantially lead the private property markets.
相似文献
Roland FüssEmail: |
7.
Kim Hiang Liow Kim Hin David Ho Muhammad Faishal Ibrahim Ziwei Chen 《The Journal of Real Estate Finance and Economics》2009,39(2):202-223
We study international correlation and volatility dynamics of publicly traded real estate securities using monthly returns
from 1984 and 2006. We also examine, for comparison, the correlations among the corresponding stock markets. A multivariate
dynamic conditional correlation model captures the time-varying correlation within the full period. We confirm lower correlations
between all real estate securities market returns than those between the stock market returns themselves. Some significant
variations and structural changes in the correlation structure happened within the sample period. We detect a strong and positive
connection between real estate securities market correlations and their conditional volatilities. We also find the international
correlation structure of real estate securities and the broader stock market are linked to each other. Our results have economic
motivations regarding the potential integration of international real estate securities markets and the possibility of including
information on changing correlations and volatilities to design more optimal portfolios for international real estate securities.
相似文献
Kim Hiang LiowEmail: |
8.
S. K. Wong K. W. Chau C. Y. Yiu 《The Journal of Real Estate Finance and Economics》2007,35(3):281-293
How shocks in one market influence the returns and volatility of other markets has been an important question for portfolio
managers. In the finance literature, many studies found evidence of volatility spillovers across international markets, as
well as between spot and futures markets. Although real estate is often regarded as a good vehicle for diversification, the
dynamics of its volatility transmission have been largely ignored. This paper provides the first study to examine volatility
spillovers between the spot and forward (pre-sale) index returns of the Hong Kong real estate market through a bivariate GARCH
model. Transaction-based indices were used so that our volatility modelling was free from any smoothing problem. Our results
showed that real estate returns exhibited volatility clustering, and the volatility of the forward market was more sensitive
to shocks than the spot market. Moreover, volatility was mainly transmitted from the forward market to the spot market, but
not vice versa.
相似文献
S. K. WongEmail: |
9.
Zhenguo Lin Yingchun Liu Kerry D. Vandell 《The Journal of Real Estate Finance and Economics》2009,38(2):183-191
This paper re-examines and extends the findings of Bond et al., Journal of Real Estate Finance and Economics, 34, 447–461, (2007) who consider the theoretical model of Lin and Vandell, Real Estate Economics, 35, 291–330, (2007) to determine the extent to which individual real estate asset return characteristics caused by marketing
period risk disappear in a large, diversified real estate portfolio. The effects of marketing period risk are found to disappear
in the limit with growth in the size of the portfolio, with ex ante variance approaching ex post variance, but only if the portfolio consists of nonsystematic risk alone, in which case both approach zero. The marketing period risk factor (MPRF), representing the ratio of ex ante to ex post variance, however, does not in general approach zero in the limit, in fact could increase or decrease depending upon the
illiquidity characteristics of the individual assets and the magnitude and degree of correlation among individual property
returns and marketing periods. The results suggest that even large institutional real estate portfolio managers must consider
the illiquidity present in their portfolios and cannot assume that its effect will be diversified away.
相似文献
Kerry D. VandellEmail: |
10.
Ronald C. Rutherford Thomas M. Springer Abdullah Yavas 《The Journal of Real Estate Finance and Economics》2007,35(1):23-38
Previous research (Rutherford et al. 2005; Levitt and Syverson 2005) identify and quantify agency problems in the brokerage of single-family houses. Real estate agents are found to receive
a premium when selling their own houses in comparison to similar client-owned houses. Given the homogeneity of the condominium
market in comparison to the single-family house market, we use a large sample of condominium transactions to examine if agency
problems exist in the condominium market. Controlling for sample selection and endogeneity bias of the data, we find evidence
for a similar price premium for agent-owned condominiums. In contrast to the results for single-family houses in the same
geographic market, we find that agent-owned condominiums must stay on the market longer to receive a higher price.
相似文献
Abdullah YavasEmail: |
11.
Mark Bertus Harris Hollans Steve Swidler 《The Journal of Real Estate Finance and Economics》2008,37(3):265-279
Until the recent introduction of real estate futures on the Chicago Mercantile Exchange (CME), there have been few opportunities
to manage house price risk. This paper examines whether house price risk can be effectively hedged in Las Vegas, one of the
CME contract cities. The analysis considers hedging from the viewpoint of real estate investment groups, mortgage portfolio
investors, builder/developers and individual homeowners. For investment groups and mortgage holders holding a mix of new and
existing home assets, CME futures would have reduced house price risk by more than 88% over the 1994–2006 period. Similarly,
homeowners implicitly hedging price volatility of existing homes also would have fared well over the sample period. However,
builder/developers worried about new home price appreciation would have been much less successful in managing their risk.
One important caveat, minimum variance hedge ratios change over time and may cause hedge performance to suffer.
相似文献
Steve Swidler (Corresponding author)Email: |
12.
Christoph Hinkelmann Steve Swidler 《The Journal of Real Estate Finance and Economics》2008,36(1):37-52
This paper examines the use of futures contracts to hedge residential real estate price risk. We examine whether existing
futures contacts can effectively be used to offset volatility in national house prices. Little evidence of any simple systematic
relation between national prices and futures prices is found. Since house prices are not easily replicated with a portfolio
of existing futures contracts, a further implication is that the Chicago Mercantile’s introduction of a financial asset whose
value reflects house prices will help complete the market. Nevertheless, the success of the CME’s new derivative contracts
may be limited in light of state and regional house price correlations.
相似文献
Steve Swidler (Corresponding author)Email: |
13.
We advance the real-option-based empirical analysis of commercial real estate investment in three respects. First, we test
several real option implications for real estate construction that have not been examined in the commercial real estate investment
literature. In particular and in line with the predictions of real option models, we show that the effects of real interest
rate and the expected demand growth on hurdle rent become more negative when the market volatility is greater. Second, we
use a cointegrating vector of office employment and office stock to provide a better control of the demand for new construction
than traditional indicators based on real estate prices and vacancy rates. Third, whereas the existing studies focus on the
U.S. commercial real estate markets, we study two major office markets in Asia, namely Singapore and Hong Kong. We rely on
the local stock market in the two city states to derive forward-looking measures of office demand growth expectations.
相似文献
Maarten Jennen (Corresponding author)Email: |
14.
Carl R. Chen Peter P. Lung F. Albert Wang 《Review of Quantitative Finance and Accounting》2009,32(4):317-349
This paper employs the Campbell-Shiller (Rev Financ Stud 1:195–228, 1988) VAR model to derive a model-based mispricing measure that captures investor overreaction to growth. Using this mispricing
measure, we find that stocks with low levels of mispricing outperform otherwise similar stocks. The long–short mispricing
strategy generates statistically and economically significant returns over the sample period of July 1981 to June 2006. Moreover,
this mispricing strategy outperforms the contrarian strategy using various accounting-fundamental-to-price ratios. Our results
cast doubt on the risk story in explaining the abnormal returns of the mispricing strategy. Rather, our evidence suggests
that asset prices reflect both covariance risk and mispricing.
相似文献
F. Albert WangEmail: |
15.
Taxation on Land Value and Development When There Are Negative Externalities from Development 总被引:2,自引:1,他引:1
This article employs a real options framework to investigate the design of taxation on both land value and development in
a competitive real estate market. We assume that developed properties reduce open space, and thereby harm urban residents.
However, ignoring this negative externality, landowners will develop properties sooner than is socially optimal. A regulator
can correct this tendency by imposing a positive tax on development or a negative tax on land value. Alternatively, the regulator
can implement both instruments simultaneously, in which case an increase in the tax rate on development will be accompanied
by an increase in the tax rate on land value, and vice versa.
相似文献
Tan Lee (Corresponding author)Email: |
16.
Hsuan-Chu Lin 《Review of Quantitative Finance and Accounting》2007,29(2):173-180
This paper identifies and corrects a typographical error in Black and Cox (J Finance 31:351–367, 1976). While the typographical error is seemingly trivial, the magnitude of the pricing error that it generates can be substantial.
相似文献
Hsuan-Chu LinEmail: |
17.
Herding,momentum and investor over-reaction 总被引:2,自引:2,他引:0
In this paper we study the impact of noise or quality of prices on returns. The noise arises from herding by market participants
beyond what is justified by information. We construct a firm-quarter-specific measure of speculative intensity (SPEC) based
on autocorrelation in daily trading volume adjusted for the amount of information available, and find that speculative intensity
has a significant positive impact on returns. Both cross-sectional and time series variation in SPEC are consistent with conventional
wisdom, and with implications of theories of herding as in DeLong et al. (1990, J Political Econ 98(4):703–738). We find that high-SPEC firms drive the returns to momentum trading strategies and that
investor over-reaction is significant only in the case of high-SPEC firms.
相似文献
Murugappa (Murgie) Krishnan (Corresponding author)Email: |
18.
J. D. Benjamin P. Chinloy G. D. Jud D. T. Winkler 《The Journal of Real Estate Finance and Economics》2007,35(1):95-110
The decision to work and its levels of intensity are estimated for the real estate brokerage industry where workers can set
their own hours. A three-stage model of the brokerage labor market is presented with decisions made recursively between full-
and part-time status, wage offers and hours worked. The application is to data from a cross-sectional survey of 6,842 real
estate licensees in the United States for 1999. Conditional on self-selection, an expected wage for real estate licensees
is estimated given skills and personal characteristics. That expected wage enters the supply-side equation for the number
of hours worked. The findings indicate that skills such as education, experience and licensee status are related to higher
wages, but there is a negative self-selection in wages: part-time workers have higher unmeasured skills. Schooling and experience
decreases hours worked, consistent with increasing efficiency. The resulting labor supply elasticity with respect to the wage
is 0.24.
相似文献
D. T. WinklerEmail: |
19.
Martin Hoesli Colin Lizieri Bryan MacGregor 《The Journal of Real Estate Finance and Economics》2008,36(2):183-206
Historic analysis of the inflation hedging properties of stocks has produced anomalous results, with stocks often appearing
to offer a perverse hedge. This has been attributed to the impact of real and monetary shocks to the economy, which influence
both inflation and asset returns. It has been argued that real estate should provide a better hedge: however, empirical results
have been mixed. This paper explores the relationship between commercial real estate returns and economic, fiscal and monetary
factors and inflation for US and UK markets. Comparative analysis of general equity and small capitalization stock returns
is carried out with inflation divided into expected and unexpected components. The analyses are undertaken using an error
correction approach. In the long run, once real and monetary variables are included, asset returns are positively linked to
anticipated inflation but not to inflation shocks. Adjustment processes are, however, gradual and not within period. Real
estate returns, particularly private market returns, exhibit characteristics that differ from those of stocks.
相似文献
Bryan MacGregorEmail: |
20.
This paper examines whether the mispricing of accruals documented in equity markets extends to bond markets. The paper finds
that corporate bonds of firms with high operating accruals underperform corporate bonds of firms with low operating accruals.
In the first year after portfolio formation, the underperformance is 115 basis points using an accrual measure that includes
capital investments and 93 basis points using an accrual measure that is based only on working capital investments. The Sharpe
ratios of the zero-investment bond accrual portfolios are comparable to those of the corresponding zero-investment stock accrual
portfolios. The results are also robust to risk adjustments based on both a factor model consisting of the Fama and French
(J. Financial Econ 33 (1993) 3) stock and bond market factors and a characteristics model based on bond ratings and duration. Cross-sectional Fama–MacBeth
regressions that use individual bond data and control for stock and bond issuances in addition to ratings and duration also
confirm the time-series portfolio findings. Overall, our results reveal an accrual anomaly among bonds similar to that observed
among stocks.
相似文献
Bhaskaran SwaminathanEmail: |