Pub Date : 2020-06-03DOI: 10.1080/10835547.2021.1981569
Jose E. Gomez-Gonzalez, Jorge Hirs-Garzón
We study spillovers between REITs and stock markets in a global context. We compute both directional and net spillover indexes in a global and dynamic setting. Our findings indicate that connectedness between these markets has increased importantly over time. On average stock markets are net transmitters and REITs markets are net receivers. Considerable time variation is observed. Spillovers are higher during crises and REITs were net spillover transmitters to stock markets during the Subprime Financial Crisis. Our results have important implications for global investors.
{"title":"Dynamic Spillovers between REITs and Stock Markets in Global Financial Markets","authors":"Jose E. Gomez-Gonzalez, Jorge Hirs-Garzón","doi":"10.1080/10835547.2021.1981569","DOIUrl":"https://doi.org/10.1080/10835547.2021.1981569","url":null,"abstract":"We study spillovers between REITs and stock markets in a global context. We compute both directional and net spillover indexes in a global and dynamic setting. Our findings indicate that connectedness between these markets has increased importantly over time. On average stock markets are net transmitters and REITs markets are net receivers. Considerable time variation is observed. Spillovers are higher during crises and REITs were net spillover transmitters to stock markets during the Subprime Financial Crisis. Our results have important implications for global investors.","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47443283","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 : 2020-02-02DOI: 10.1080/10835547.2020.1858620
E. Trevillion, A. Gardner, S. Cowe, Colin Jones
The paper examines the application of benchmarks in the United Kingdom primarily through the use of semi-structured interviews with 17 major investment houses, holding domestic real estate assets u...
本文主要通过对持有国内房地产资产的17家主要投资公司进行半结构化访谈，考察了基准在英国的应用。
{"title":"The Use of Benchmarks for Real Estate Portfolio Performance by U.K. Financial Institutions","authors":"E. Trevillion, A. Gardner, S. Cowe, Colin Jones","doi":"10.1080/10835547.2020.1858620","DOIUrl":"https://doi.org/10.1080/10835547.2020.1858620","url":null,"abstract":"The paper examines the application of benchmarks in the United Kingdom primarily through the use of semi-structured interviews with 17 major investment houses, holding domestic real estate assets u...","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":"37 1","pages":"118-131"},"PeriodicalIF":0.0,"publicationDate":"2020-02-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87505223","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 : 2020-01-02DOI: 10.1080/10835547.2020.1833612
P. Das, J. Freybote, I. Blal
{"title":"The Importance of Micro-Location for Pricing Real Estate Assets: The Case of Hotels","authors":"P. Das, J. Freybote, I. Blal","doi":"10.1080/10835547.2020.1833612","DOIUrl":"https://doi.org/10.1080/10835547.2020.1833612","url":null,"abstract":"","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":"96 1","pages":"57-73"},"PeriodicalIF":0.0,"publicationDate":"2020-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86988280","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 : 2019-07-03DOI: 10.1080/10835547.2020.1791646
Michael J. Seiler, Yang Zhang, Li Zhao
This paper constructs an ordered probit model and analyzes the relation among urban residents’ owned housing area, property rights, and subjective well-being. The results indicate that from the per...
{"title":"The Effect of Real Estate Ownership on Subjective Well-Being","authors":"Michael J. Seiler, Yang Zhang, Li Zhao","doi":"10.1080/10835547.2020.1791646","DOIUrl":"https://doi.org/10.1080/10835547.2020.1791646","url":null,"abstract":"This paper constructs an ordered probit model and analyzes the relation among urban residents’ owned housing area, property rights, and subjective well-being. The results indicate that from the per...","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-07-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10835547.2020.1791646","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46904803","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 : 2019-07-03DOI: 10.1080/10835547.2020.1803698
Riëtte Carstens, J. Freybote
We investigate pull and push factors as drivers of foreign investments in REITs to understand the timing and magnitude of these capital flows. Pull factors are country-specific fundamentals that dr...
{"title":"Pull and Push Factors as Determinants of Foreign REIT Investments","authors":"Riëtte Carstens, J. Freybote","doi":"10.1080/10835547.2020.1803698","DOIUrl":"https://doi.org/10.1080/10835547.2020.1803698","url":null,"abstract":"We investigate pull and push factors as drivers of foreign investments in REITs to understand the timing and magnitude of these capital flows. Pull factors are country-specific fundamentals that dr...","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-07-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10835547.2020.1803698","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48497689","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 : 2019-07-03DOI: 10.1080/10835547.2020.1791643
Katrin Kandlbinder, Marian Alexander Dietzel
In this study we develop a fictional trading strategy based on Google search volumes on an hourly basis for the MSCI U.S. REIT Index to show whether there is a relationship between intraday online ...
{"title":"Intraday Online Information Demand and its Relationship to REIT Prices","authors":"Katrin Kandlbinder, Marian Alexander Dietzel","doi":"10.1080/10835547.2020.1791643","DOIUrl":"https://doi.org/10.1080/10835547.2020.1791643","url":null,"abstract":"In this study we develop a fictional trading strategy based on Google search volumes on an hourly basis for the MSCI U.S. REIT Index to show whether there is a relationship between intraday online ...","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-07-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10835547.2020.1791643","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45980250","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 : 2019-07-03DOI: 10.1080/10835547.2020.1803694
Alexey Akimov, Chyi Lin Lee, S. Stevenson
The importance of interest rates, in both financial markets and the broader economy, was clearly highlighted during and subsequent to the financial crisis of 2007-09. This paper examines the sensit...
{"title":"Interest Rate Sensitivity in European Public Real Estate Markets","authors":"Alexey Akimov, Chyi Lin Lee, S. Stevenson","doi":"10.1080/10835547.2020.1803694","DOIUrl":"https://doi.org/10.1080/10835547.2020.1803694","url":null,"abstract":"The importance of interest rates, in both financial markets and the broader economy, was clearly highlighted during and subsequent to the financial crisis of 2007-09. This paper examines the sensit...","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-07-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10835547.2020.1803694","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46151317","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 : 2019-01-01DOI: 10.1080/10835547.2019.12090024
G. Aye, Matthew Clance, Rangan Gupta
This paper examines the spill over effect of economic uncertainty on the duration probability of housing market booms, busts and normal times among 12 OECD countries. Quarterly data from 1985 to 2012 were used. Based on a discrete-time duration (hazard) model, we find that the probability of exiting housing market busts increases with higher economic uncertainty in a statistically significant fashion. Uncertainty, however, is not found to influence the likelihood of leaving booms and normal times. Our results tend to suggest that housing serves as possible hedge against uncertainty.
{"title":"The Effect of Economic Uncertainty on the Housing Market Cycle","authors":"G. Aye, Matthew Clance, Rangan Gupta","doi":"10.1080/10835547.2019.12090024","DOIUrl":"https://doi.org/10.1080/10835547.2019.12090024","url":null,"abstract":"This paper examines the spill over effect of economic uncertainty on the duration probability of housing market booms, busts and normal times among 12 OECD countries. Quarterly data from 1985 to 2012 were used. Based on a discrete-time duration (hazard) model, we find that the probability of exiting housing market busts increases with higher economic uncertainty in a statistically significant fashion. Uncertainty, however, is not found to influence the likelihood of leaving booms and normal times. Our results tend to suggest that housing serves as possible hedge against uncertainty.","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10835547.2019.12090024","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"59751160","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 : 2019-01-01DOI: 10.1080/10835547.2019.12090023
Gow-Cheng Huang, Kartono Liano, Ming-Shiun Pan
Executive Summary. In this study, we examine whether investors' opinion divergence has explanatory power for post-earnings announcement drift in equity real estate investment trusts (REITs). We mea...
{"title":"Investors' Opinion Divergence and Post-Earnings Announcement Drift in REITs","authors":"Gow-Cheng Huang, Kartono Liano, Ming-Shiun Pan","doi":"10.1080/10835547.2019.12090023","DOIUrl":"https://doi.org/10.1080/10835547.2019.12090023","url":null,"abstract":"Executive Summary. In this study, we examine whether investors' opinion divergence has explanatory power for post-earnings announcement drift in equity real estate investment trusts (REITs). We mea...","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10835547.2019.12090023","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47059264","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 : 2019-01-01DOI: 10.1080/10835547.2019.12090026
Weiyi Zhang, B. Mei
Executive Summary. Using synthetic returns for timberland in the U.S. South and NCREIF data for farm crops from 2000:Q1 to 2016:Q4, we build efficient frontiers under the mean-conditional value-at-...
{"title":"Assessing the Risk and Return of Optimal Portfolios of U.S. Timberland and Farmland","authors":"Weiyi Zhang, B. Mei","doi":"10.1080/10835547.2019.12090026","DOIUrl":"https://doi.org/10.1080/10835547.2019.12090026","url":null,"abstract":"Executive Summary. Using synthetic returns for timberland in the U.S. South and NCREIF data for farm crops from 2000:Q1 to 2016:Q4, we build efficient frontiers under the mean-conditional value-at-...","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10835547.2019.12090026","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"59751169","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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