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An Ownership Framework for Managers' Accelerated Seo Decisions: The Importance of Connected Institutional Investors in the Reit Industry 经理人加速Seo决策的所有权框架:关联机构投资者在Reit行业的重要性
Q2 Economics, Econometrics and Finance Pub Date : 2016-01-01 DOI: 10.1080/10835547.2016.12089989
Jocelyn D. Evans, T. Jones, G. Mitchener
Executive Summary. In this paper, we present a mathematical simulation of a secondary equity offer (SEO) decision that captures the payoffs for investors with either low (e.g., actively managed funds) or high (e.g., passive index investors) monitoring costs. The calibrated solutions are consistent with overvalued SEOs being issued when institutions with high monitoring costs are present. Institutions with low monitoring costs either incentivize management to issue fairly priced SEOs or lead to greater ex post discipline of the CEO for value decreasing issuances. The existence of institutions with business relationships creates uncertainty regarding the value of SEOs. Ownership network alliances are beneficial.
执行概要。在本文中,我们提出了二级股权发行(SEO)决策的数学模拟,该决策捕获了低(例如,主动管理基金)或高(例如,被动指数投资者)监控成本的投资者的回报。校准后的解决方案与在存在高监控成本的机构时发布的高估seo一致。监控成本低的机构要么激励管理层发行价格合理的seo,要么导致CEO对价值下降的发行进行更严格的事后约束。有业务关系的机构的存在给seo的价值带来了不确定性。所有权网络联盟是有益的。
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引用次数: 2
Forecasting Real Estate Cycle Risks in Portfolios of Office Properties Across Cities 城市写字楼投资组合的房地产周期风险预测
Q2 Economics, Econometrics and Finance Pub Date : 2016-01-01 DOI: 10.1080/10835547.2016.12089991
R. D. Evans, Andrew G. Mueller
Executive Summary. Relatively low-level Markov chain methods and widely available information allow this extension of real estate cycle risk analysis to office portfolios across cities initially in different cycle conditions. Examples include evaluation of cycle conditions at the end of a holding period and for cash flows from operations across a span of quarters. Standard spreadsheet functions serve to provide examples of changes in real estate cycle prospects, including before/after changes in portfolio weights, applying mean-variance dominance, mean-semivariance dominance, and stochastic dominance analysis.
执行概要。相对低水平的马尔可夫链方法和广泛可用的信息允许将房地产周期风险分析扩展到不同周期条件下最初跨城市的办公组合。例如,在持有期结束时对周期状况的评估,以及对跨季度经营活动产生的现金流量的评估。标准电子表格功能用于提供房地产周期前景变化的示例,包括投资组合权重变化之前/之后,应用均值-方差优势,均值-半方差优势和随机优势分析。
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引用次数: 1
Industrial Real Estate Cycles: Markov Chain Applications 工业房地产周期:马尔可夫链应用
Q2 Economics, Econometrics and Finance Pub Date : 2016-01-01 DOI: 10.1080/10835547.2016.12089981
R. D. Evans, Andrew G. Mueller
Executive Summary Adding a stochastic element to a well-understood real estate cycle model offers opportunities like those seen in earlier such syntheses of real estate analysis and statistics. The discrete real estate cycle points in the model require a discrete probability model, here a first order Markov chain. Many statistical applications flow from the combined model. Three Markov chain count variables have obvious real estate cycle appeal. Staying time, first recurrence time, and first passage time already exist in the Markov chain literature but only staying time is in the real estate cycle literature. The most fundamental innovation is in probabilistic forecasting. Being able to describe real estate cycle risk, cycle point by cycle point many quarters ahead, could improve evaluation of prospects for property disposal. It is also a simple spreadsheet application to describe real estate cycle risks that influence cash flows from operations across four-quarter spans.
将随机元素添加到一个众所周知的房地产周期模型中,就像在早期的房地产分析和统计综合中看到的那样,提供了机会。模型中的离散房地产周期点需要一个离散概率模型,这里是一个一阶马尔可夫链。许多统计应用程序都来自组合模型。三个马尔可夫链计数变量具有明显的房地产周期号召力。停留时间、第一次递归时间和第一次通过时间在马尔可夫链文献中已经存在,但在房地产周期文献中只有停留时间。最根本的创新是概率预测。能够提前几个季度逐一描述房地产周期风险,可以改善对房地产处置前景的评估。它也是一个简单的电子表格应用程序,用于描述影响四个季度经营现金流的房地产周期风险。
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引用次数: 2
What Have 25 Years of Performance Data Taught Us About Private Equity Real Estate 关于私募股权房地产,25年的业绩数据教会了我们什么
Q2 Economics, Econometrics and Finance Pub Date : 2015-10-20 DOI: 10.1080/10835547.2015.12089968
B. Case
Executive Summary NCREIF has published performance data covering a 25-year historical period for institutional investments following core, value-add, and opportunistic strategies in private equity real estate assets. In this paper, I summarize salient observations regarding capital appreciation, income, fees and expenses, the income share of total return, the effects of cash reserves and leverage, net total returns, systematic risk, and risk-adjusted performance during five informative market periods: two severe real estate market downturns, one complete real estate bull market, and two incomplete bull market periods. The available data challenge several points of conventional wisdom regarding private equity real estate returns.
NCREIF发布了涵盖25年历史的机构投资业绩数据,这些机构投资遵循私募股权房地产资产的核心、增值和机会策略。在本文中,我总结了关于资本增值、收入、费用和费用、总收益的收入份额、现金储备和杠杆的影响、净总收益、系统风险和风险调整后的表现在五个信息市场时期的显著观察结果:两个严重的房地产市场低迷期、一个完整的房地产牛市和两个不完整的牛市时期。现有数据挑战了有关私募股权房地产回报的几个传统观点。
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引用次数: 9
Dynamic co-movements between economic policy uncertainty and housing market returns 经济政策不确定性与房地产市场回报之间的动态协同运动
Q2 Economics, Econometrics and Finance Pub Date : 2015-02-28 DOI: 10.5555/1083-5547-21.1.53
N. Antonakakis, Rangan Gupta, C. André
We examine dynamic correlations between housing market returns and economic policy uncertainty in the United States. Our findings suggest that correlations are time-varying and sensitive to economic fundamentals and US recessions.
我们研究了美国房地产市场回报与经济政策不确定性之间的动态相关性。我们的研究结果表明,这种相关性是时变的,对经济基本面和美国经济衰退很敏感。
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引用次数: 71
A Pure-Play Timberland Return Index Based On Securitized Timber Firms 基于证券化木材企业的纯林地收益指数
Q2 Economics, Econometrics and Finance Pub Date : 2015-01-01 DOI: 10.1080/10835547.2015.12089972
B. Mei
Executive Summary Based on asset values of different business segments, I derive a pure-play timberland return index using monthly data of public timber firms for the 2010–2014 period. Returns on public timber firms are first unleveraged and then regressed on the holding percentages of each firm' assets in timber and non-timberland business segments. The regression provides pure-play portfolios with specified long and short positions in those public timber firms, with a minimum idiosyncratic volatility, that have pure exposure to the timberland business segment and eliminate all exposure to non-timberland segments. Results reveal that this pure-play index better depicts returns on securitized timberland assets and differs significantly from various NCREIF timberland indices in mean and variance, and that returns of public-market vehicles of timberland investments tend to lead private ones for about one quarter.
基于不同业务部门的资产价值,我使用2010-2014年期间上市木材公司的月度数据得出了一个纯粹的林地回报指数。上市木材公司的回报首先是非杠杆化的,然后根据每家公司在木材和非林地业务部门的资产持有百分比进行回归。回归提供了在这些上市木材公司中具有特定多头和空头头寸的纯投资组合,具有最小的特殊波动性,这些投资组合纯粹暴露于林地业务部门并消除了所有非林地部门的风险。结果表明,该指数更好地描述了证券化林地资产的回报,并且与NCREIF的各种林地指数在均值和方差上存在显著差异,并且林地投资的公开市场工具的回报往往领先于私人投资工具约四分之一。
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引用次数: 7
Contagion versus Interdependence Across Regional U.S. Housing Markets and Implications for RMBS Geographic Diversification Strategy 美国地区住房市场的传染与相互依赖及其对RMBS地域多元化策略的影响
Q2 Economics, Econometrics and Finance Pub Date : 2015-01-01 DOI: 10.5555/1083-5547-21.1.33
W. Miles
Executive Summary Home prices in the United States often exhibit little (and sometimes even negative) correlation across different regions. This reflects segmentation in the national housing market and also provides an apparent opportunity for investors to diversify their exposure to regional downturns by creating residential mortgage-backed securities (RMBSs) out of geographically dispersed home loans. Unfortunately, in a crisis, correlations may rise, and the benefits from geographical diversification may disappear just when investors most desire them. Using a flexible generalized autoregressive conditional heteroscedasticity (GARCH) technique, I find that regional correlations indeed rose dramatically during the latest downturn, in some cases to unprecedented levels. Moreover, this increase in co-movement was clearly financial contagion, and not merely interdependence. Investors in mortgage-backed and other housing securities should thus not rely on house price correlations calculated during “normal” t...
美国的房价在不同地区之间往往表现出很少的(有时甚至是负的)相关性。这反映了全国住房市场的细分,也为投资者提供了一个明显的机会,通过从地理上分散的住房贷款中创建住房抵押贷款支持证券(rmbs),使其在区域衰退中的敞口多样化。不幸的是,在危机中,相关性可能会上升,而地域多元化带来的好处可能会在投资者最渴望的时候消失。使用灵活的广义自回归条件异方差(GARCH)技术,我发现在最近的经济低迷期间,区域相关性确实急剧上升,在某些情况下达到了前所未有的水平。此外,这种联合行动的增加显然是金融传染,而不仅仅是相互依存。因此,抵押贷款支持证券和其他住房证券的投资者不应依赖“正常”时期计算出的房价相关性。
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引用次数: 2
Systematic Risk of Islamic REITs and Conventional REITs in Malaysia 马来西亚伊斯兰房地产投资信托基金和传统房地产投资信托基金的系统风险
Q2 Economics, Econometrics and Finance Pub Date : 2015-01-01 DOI: 10.1080/10835547.2015.12089973
M. N. Razali, T. Sing
In this paper, we evaluate the systematic risks of Islamic real estate invest- ment trusts (REITs) and conventional REITs in Ma- laysia for the period from August 3, 2005 to De- cember 19, 2014. Our results show that IREITs have lower systematic risks than other conven- tional REITs. The results are consistent when sto- chastic betas are estimated using time-varying co- efficient models. We also find that new IREIT entry creates significant risk reduction effects for the con- ventional REIT markets. When we test the effects of the conversion of Axis REIT from a conventional REIT to an IREIT, we find that the systematic risks of Axis REIT significant reduce between the peri- ods ''before'' and ''after'' the conversion. The find- ings imply that the lower betas of IREITs could pro- tect IREIT investors against stock market volatilities that could not be diversified away.
本文对2005年8月3日至2014年12月19日期间马来西亚伊斯兰房地产投资信托基金(REITs)和传统REITs的系统风险进行了评估。我们的研究结果表明,与其他传统REITs相比,IREITs具有更低的系统风险。当用时变协效率模型估计非随机贝塔时,结果是一致的。我们还发现,新的REIT进入对传统的REIT市场产生了显著的风险降低效果。当我们对Axis REIT从传统REIT转换为IREIT的效果进行测试时,我们发现Axis REIT的系统性风险在转换前和转换后期间显著降低。研究结果表明,较低的β值可以保护IREIT投资者免受无法分散分散的股市波动的影响。
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引用次数: 12
Volatility Clustering, Risk-Return Relationship, and Asymmetric Adjustment in the Canadian Housing Market 波动聚类、风险收益关系与加拿大房地产市场的不对称调整
Q2 Economics, Econometrics and Finance Pub Date : 2014-08-15 DOI: 10.1080/10835547.2014.12089961
Pin-te Lin, F. Fuerst
In this study, we apply a Lagrange multiplier (LM) test for the autoregressive conditional heteroscedasticity (ARCH) effects and an exponential generalized autoregressive conditional heteroscedasticity-in-mean (EGARCH-M) model to assess whether regional house prices in Canada exhibit financial characteristics similar to stock indices. Volatility clustering, positive risk-return relationships, and leverage effects are empirically shown to exist in the majority of provincial housing markets of Canada. These volatility behaviors, which reflect regional idiosyncrasies, are further found to differ across provinces. More densely populated provinces exhibit stronger volatility clustering of house prices. The existence of these volatility patterns similar to stock indices has important implications ranging from proper portfolio management to government policy.
在本研究中,我们应用拉格朗日乘数(LM)检验自回归条件异方差(ARCH)效应和指数广义自回归条件均值异方差(EGARCH-M)模型来评估加拿大地区房价是否表现出与股票指数相似的金融特征。实证表明,加拿大大多数省级住房市场存在波动聚类、正风险收益关系和杠杆效应。这些波动行为反映了地区特质,进一步发现各省之间存在差异。人口越密集的省份,房价波动聚类性越强。这些与股票指数类似的波动模式的存在,从适当的投资组合管理到政府政策,都具有重要意义。
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引用次数: 19
Point of view office property performance in live-work-play places 办公物业在生活、工作、娱乐场所的表现观点
Q2 Economics, Econometrics and Finance Pub Date : 2014-08-15 DOI: 10.1080/10835547.2014.12089964
E. Malizia
This analysis of central business districts (CBDs) and their suburban areas was inspired by the analysis of 24-hour cities by Kelly, Adair, McGreal, and Roulac (2013). The 44 cities are drawn from the 50 largest U.S. metro areas and include 24 of the 26 markets in the Kelly, Adair, McGreal, and Roulac article. Downtowns like the seven 24-hour cities offer live-workplay (LWP) environments that appear to be attracting young talent and tech-oriented companies. LWP places are compact, dense, connected, mixed use, diverse, and walkable with destinations, public spaces, and critical mass. Research conducted for NAIOP defined places with these features as ‘‘vibrant centers.’’ Subsequent work produced an index with nine face-valid measures of vibrancy for 65 cities. This analysis determines the extent to which the vibrancy index values are associated with the area-specific performance of office properties in these 44 large markets. The results indicate that strong associations do exist between downtown vibrancy a...
对中央商务区(cbd)及其郊区的分析受到Kelly、Adair、McGreal和Roulac(2013)对24小时城市的分析的启发。这44个城市是从美国50个最大的都市区中抽取的,包括凯利、阿代尔、麦克格里尔和鲁拉克文章中26个市场中的24个。像7个24小时城市这样的市中心提供了live-work - play (LWP)环境,似乎正在吸引年轻人才和技术型公司。LWP场所紧凑、密集、连接、混合使用、多样化,具有目的地、公共空间和临界质量,适合步行。为NAIOP进行的研究将具有这些特征的地方定义为“充满活力的中心”。随后的工作产生了一个包含65个城市的9个表面有效的活力指标的指数。该分析确定了在这44个大型市场中,活力指数值与办公物业的特定区域性能的关联程度。结果表明,市区活力与城市发展之间存在着强烈的联系。
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引用次数: 2
期刊
Journal of Real Estate Portfolio Management
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