Pub Date : 2022-08-29DOI: 10.1080/10835547.2022.2105530
Saeed N. Algahtani
{"title":"Constructing a House Price Index for Saudi Arabia","authors":"Saeed N. Algahtani","doi":"10.1080/10835547.2022.2105530","DOIUrl":"https://doi.org/10.1080/10835547.2022.2105530","url":null,"abstract":"","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-08-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47201421","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-07-20DOI: 10.1080/10835547.2022.2091089
Ashraf Noumir, M. Langemeier
Farmland represents the largest share of the U.S. agricultural balance sheet , accounting for nearly 80% of U.S. farm assets. Motivated by the well-documented real estate risk factor and the similarities between farmland and real estate investing, this paper examines whether farmland has a risk factor, like real estate, that is affecting asset returns. The proposed farmland risk factor is proxied by the National Council of Real Estate Investment Fiduciaries farmland property index (Farmland NCREIF). Relying on quarterly data from 1991-Q1 to 2016-Q2, we employed the Generalized Method of Moments (GMM) to provide empirical evidence that even though farmland exhibit diversification benefits, it fails to be a risk factor. Instead, market frictions and / or nonrisk explanations might provide a more plausible description of farmland’s high risk-adjusted return.
农田占美国农业资产负债表的最大份额，占美国农业资产的近80%。基于对房地产风险因素的充分研究以及农田与房地产投资的相似性，本文考察了农田是否像房地产一样存在影响资产回报的风险因素。本文提出的农地风险因子由全国房地产投资信托委员会农地产权指数(农地NCREIF)来代表。基于1991-Q1 - 2016-Q2的季度数据，我们采用广义矩量法(Generalized Method of Moments, GMM)提供了经验证据，证明尽管农田表现出多样化收益，但它并不是风险因素。相反，市场摩擦和/或非风险解释可能会为农田的高风险调整后回报提供更合理的描述。
{"title":"Is Farmland a Common Risk Factor in Asset Pricing Models?","authors":"Ashraf Noumir, M. Langemeier","doi":"10.1080/10835547.2022.2091089","DOIUrl":"https://doi.org/10.1080/10835547.2022.2091089","url":null,"abstract":"Farmland represents the largest share of the U.S. agricultural balance sheet , accounting for nearly 80% of U.S. farm assets. Motivated by the well-documented real estate risk factor and the similarities between farmland and real estate investing, this paper examines whether farmland has a risk factor, like real estate, that is affecting asset returns. The proposed farmland risk factor is proxied by the National Council of Real Estate Investment Fiduciaries farmland property index (Farmland NCREIF). Relying on quarterly data from 1991-Q1 to 2016-Q2, we employed the Generalized Method of Moments (GMM) to provide empirical evidence that even though farmland exhibit diversification benefits, it fails to be a risk factor. Instead, market frictions and / or nonrisk explanations might provide a more plausible description of farmland’s high risk-adjusted return.","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-07-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42654549","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-07-20DOI: 10.1080/10835547.2022.2079215
Jong-Rong Chiou, Gow-Cheng Huang, Kartono Liano, Ming-Shiun Pan
{"title":"Are REIT Dividend Changes a Firm-Specific or an Industry-Level Signal? Evidence From the Decomposition of Stock Returns","authors":"Jong-Rong Chiou, Gow-Cheng Huang, Kartono Liano, Ming-Shiun Pan","doi":"10.1080/10835547.2022.2079215","DOIUrl":"https://doi.org/10.1080/10835547.2022.2079215","url":null,"abstract":"","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-07-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41798201","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-07-14DOI: 10.1080/10835547.2022.2078531
David M. Harrison, Hainan Sheng
Using a sample of 163 U.S. based equity real estate investment trusts (REITs), this paper explores the consequences of COVID-19 on securitized commercial property markets. More specifically, we first map the geographic location of each firm’s investment property holdings to gauge the degree of exposure of each REIT’s asset base to the pandemic. We next demonstrate these firm level exposure metrics are directly related to the negative returns encountered by REITs in the early months of the pandemic and explore what firm specific characteristics and attributes (notably financial flexibility and financing constraints) may moderate this relation and enhance the resiliency of their equity returns. Finally, we examine the impact of the Federal Reserve’s late-March intervention designed to address and soften the economic fallout of the pandemic and ensure the liquidity and stability of capital markets. After this intervention, previously observed relations and patterns between firm specific COVID-exposure levels and operating characteristics fail to retain their prior signs and significance. In sum, the magnitude of the government’s response to the economic challenges brought about by the coronavirus pandemic is shown to outweigh the importance of firm specific factors in predicting the resiliency of REIT returns during this crisis period.
{"title":"Pandemic Proof Property Companies","authors":"David M. Harrison, Hainan Sheng","doi":"10.1080/10835547.2022.2078531","DOIUrl":"https://doi.org/10.1080/10835547.2022.2078531","url":null,"abstract":"Using a sample of 163 U.S. based equity real estate investment trusts (REITs), this paper explores the consequences of COVID-19 on securitized commercial property markets. More specifically, we first map the geographic location of each firm’s investment property holdings to gauge the degree of exposure of each REIT’s asset base to the pandemic. We next demonstrate these firm level exposure metrics are directly related to the negative returns encountered by REITs in the early months of the pandemic and explore what firm specific characteristics and attributes (notably financial flexibility and financing constraints) may moderate this relation and enhance the resiliency of their equity returns. Finally, we examine the impact of the Federal Reserve’s late-March intervention designed to address and soften the economic fallout of the pandemic and ensure the liquidity and stability of capital markets. After this intervention, previously observed relations and patterns between firm specific COVID-exposure levels and operating characteristics fail to retain their prior signs and significance. In sum, the magnitude of the government’s response to the economic challenges brought about by the coronavirus pandemic is shown to outweigh the importance of firm specific factors in predicting the resiliency of REIT returns during this crisis period.","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48039048","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-05-27DOI: 10.1080/10835547.2022.2064594
Vivek Bhargava, H. Weeks
The Corona virus pandemic and the subsequent economic slowdown provide an opportunity to examine the relative performance of US REITs during a period of extreme market disruption. We investigate the short-term response of US REITs during this period by employing event study methodology with four market models and three distinct pandemic related event dates. In order to examine the performance across market sectors the returns on REIT indexes are considered instead of individual REITs. The empirical results provide additional evidence with respect to the performance of REITs relative to the overall market and the benefits derived from including REITs in a portfolio during adverse market conditions.
{"title":"Short-Term REIT Performance under Pandemic Conditions","authors":"Vivek Bhargava, H. Weeks","doi":"10.1080/10835547.2022.2064594","DOIUrl":"https://doi.org/10.1080/10835547.2022.2064594","url":null,"abstract":"The Corona virus pandemic and the subsequent economic slowdown provide an opportunity to examine the relative performance of US REITs during a period of extreme market disruption. We investigate the short-term response of US REITs during this period by employing event study methodology with four market models and three distinct pandemic related event dates. In order to examine the performance across market sectors the returns on REIT indexes are considered instead of individual REITs. The empirical results provide additional evidence with respect to the performance of REITs relative to the overall market and the benefits derived from including REITs in a portfolio during adverse market conditions.","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-05-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45066621","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-04-07DOI: 10.1080/10835547.2022.2033391
Majid Haghani Rizi
{"title":"Real Estate Investment Trusts and Commercial Property Markets in US","authors":"Majid Haghani Rizi","doi":"10.1080/10835547.2022.2033391","DOIUrl":"https://doi.org/10.1080/10835547.2022.2033391","url":null,"abstract":"","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-04-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46170153","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-04-04DOI: 10.1080/10835547.2022.2033390
Steffen P. Sebastian, Bertram I. Steininger
{"title":"Real Estate ETNs in Strategic Asset Allocation","authors":"Steffen P. Sebastian, Bertram I. Steininger","doi":"10.1080/10835547.2022.2033390","DOIUrl":"https://doi.org/10.1080/10835547.2022.2033390","url":null,"abstract":"","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42541962","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-01-05DOI: 10.1080/10835547.2021.2003523
K. Goodwin, Shinhua Liu
{"title":"GICS and the Real Estate Reclassification Revolution","authors":"K. Goodwin, Shinhua Liu","doi":"10.1080/10835547.2021.2003523","DOIUrl":"https://doi.org/10.1080/10835547.2021.2003523","url":null,"abstract":"","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-01-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47691839","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-01-05DOI: 10.1080/10835547.2021.2003506
Barrett A. Slade, J. Fisher, Joseph D'Alessandro
Cross-border investment in non-listed real estate is on the rise. This article aims to compare the U.S. NFI-ODCE index with the European INREV ODCE index and the recently released Asian ANREV ODCE index with the hope that this study will be helpful to cross-border investors in these major mar- kets. From 2016 through 2020 (five years), we found that the NCREIF fund count remained relatively flat, but the INREV and ANREV fund count increase steadily. At the end of 2020, NCREIF ’ s GAV was 270 billion dollars compared with INREVs 39 billion dollars and ANREV ’ s 16 billion dollars, a considerable size difference between the U.S. and the other two. However, much smaller ANREV Gross Asset Value grew much faster. When we calculated the 12-month rolling returns for the respective regions, we found that ANREV realized a 12-month rolling total return of 7.59% compared with INREV at 5.52% and NCREIF at 5.28%. When looking at a longer time period of 4 1 = 2 years, we calculated a lower SHARP Ratio of 1.36 for ANREV compared to INREV at 2.28 and NCREIF at 2.32, demonstrating that INREV and NCREIF have similar and more favorable reward to risk ratios than ANREV. Further analysis found that the INREV and NCREIF ODCE indices are highly correlated, but we found that they were not cointegrated; therefore, we could not use one index to predict the values in the other. We encourage caution when generalizing these results since they are based on relatively short periods. It will be interesting to make these comparisons again when we have a long history of performance for the INREV and ANREV indices.
{"title":"A Comparison of NCREIF, INREV, and ANREV Open-End Core Fund Indices","authors":"Barrett A. Slade, J. Fisher, Joseph D'Alessandro","doi":"10.1080/10835547.2021.2003506","DOIUrl":"https://doi.org/10.1080/10835547.2021.2003506","url":null,"abstract":"Cross-border investment in non-listed real estate is on the rise. This article aims to compare the U.S. NFI-ODCE index with the European INREV ODCE index and the recently released Asian ANREV ODCE index with the hope that this study will be helpful to cross-border investors in these major mar- kets. From 2016 through 2020 (five years), we found that the NCREIF fund count remained relatively flat, but the INREV and ANREV fund count increase steadily. At the end of 2020, NCREIF ’ s GAV was 270 billion dollars compared with INREVs 39 billion dollars and ANREV ’ s 16 billion dollars, a considerable size difference between the U.S. and the other two. However, much smaller ANREV Gross Asset Value grew much faster. When we calculated the 12-month rolling returns for the respective regions, we found that ANREV realized a 12-month rolling total return of 7.59% compared with INREV at 5.52% and NCREIF at 5.28%. When looking at a longer time period of 4 1 = 2 years, we calculated a lower SHARP Ratio of 1.36 for ANREV compared to INREV at 2.28 and NCREIF at 2.32, demonstrating that INREV and NCREIF have similar and more favorable reward to risk ratios than ANREV. Further analysis found that the INREV and NCREIF ODCE indices are highly correlated, but we found that they were not cointegrated; therefore, we could not use one index to predict the values in the other. We encourage caution when generalizing these results since they are based on relatively short periods. It will be interesting to make these comparisons again when we have a long history of performance for the INREV and ANREV indices.","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-01-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43817284","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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