Pub Date : 2019-01-01DOI: 10.1080/10835547.2019.12090025
Robert A. Simons, Spenser J. Robinson, Eunkyu Lee
Executive Summary. This paper reports on the development and potential implementation of a new green office building rating index intended for building owners and real estate office portfolio manag...
{"title":"A Market-Driven Green Office Building Index","authors":"Robert A. Simons, Spenser J. Robinson, Eunkyu Lee","doi":"10.1080/10835547.2019.12090025","DOIUrl":"https://doi.org/10.1080/10835547.2019.12090025","url":null,"abstract":"Executive Summary. This paper reports on the development and potential implementation of a new green office building rating index intended for building owners and real estate office portfolio manag...","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/10.1080/10835547.2019.12090025","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42162423","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: 10.1080/10835547.2019.12090022
G. Ngene, Allen K. Lynch, Daniel P. Sohn
Executive Summary. In this study, we investigate the time-varying response of conditional variance to endogenous and exogenous shocks. Using MSA-level monthly data spanning 31 years and two asymmet...
{"title":"The Spatial Heterogeneity of the Time-varying Impact of Shocks on Volatility: Some Evidence from MSA Housing Markets","authors":"G. Ngene, Allen K. Lynch, Daniel P. Sohn","doi":"10.1080/10835547.2019.12090022","DOIUrl":"https://doi.org/10.1080/10835547.2019.12090022","url":null,"abstract":"Executive Summary. In this study, we investigate the time-varying response of conditional variance to endogenous and exogenous shocks. Using MSA-level monthly data spanning 31 years and two asymmet...","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":"7 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10835547.2019.12090022","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"59751107","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: 10.1080/10835547.2019.12090021
J. Shilling, C. Wurtzebach
Executive Summary. Our analysis of long-term trends points to the outperformance of listed REIT stocks and private equity real estate opportunistic funds compared to more traditional asset. To expl...
{"title":"Real Estate: The Case for Investment in Private and Listed Real Estate","authors":"J. Shilling, C. Wurtzebach","doi":"10.1080/10835547.2019.12090021","DOIUrl":"https://doi.org/10.1080/10835547.2019.12090021","url":null,"abstract":"Executive Summary. Our analysis of long-term trends points to the outperformance of listed REIT stocks and private equity real estate opportunistic funds compared to more traditional asset. To expl...","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/10.1080/10835547.2019.12090021","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41651125","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 : 2018-10-05DOI: 10.1080/10835547.2018.12090014
M. Pyles, Hinh D. Khieu
Executive Summary We extend the line of research on the influence of financial constraint on REIT cash holdings and their market value. We measure constraint with a wide variety of traditional proxies in an effort to determine if previous results hold and provide guidance on the use of these constraint measures in REIT studies. We confirm, consistent with both expectation and the literature, that constrained firms hold more cash than their unconstrained counterparts. However, contrary to previous works, we find little evidence that traditional measures of constraint play a role in the market value of cash. Further, our results suggest that the method of measuring constraint should be carefully considered when applying to the REIT industry. In particular, the KZ index provides results that differ substantially from those of other criteria.
{"title":"Financial Constraint and Cash Holdings in the REIT Industry","authors":"M. Pyles, Hinh D. Khieu","doi":"10.1080/10835547.2018.12090014","DOIUrl":"https://doi.org/10.1080/10835547.2018.12090014","url":null,"abstract":"Executive Summary We extend the line of research on the influence of financial constraint on REIT cash holdings and their market value. We measure constraint with a wide variety of traditional proxies in an effort to determine if previous results hold and provide guidance on the use of these constraint measures in REIT studies. We confirm, consistent with both expectation and the literature, that constrained firms hold more cash than their unconstrained counterparts. However, contrary to previous works, we find little evidence that traditional measures of constraint play a role in the market value of cash. Further, our results suggest that the method of measuring constraint should be carefully considered when applying to the REIT industry. In particular, the KZ index provides results that differ substantially from those of other criteria.","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":"58 1","pages":"135-150"},"PeriodicalIF":0.0,"publicationDate":"2018-10-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84469577","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 : 2018-10-01DOI: 10.1080/10835547.2020.1803703
Rajeeb Poudel, Nina Rogers, R. Jain
Changes to the S&P 500 Index have been found to provide a wealth effect to the firms included or removed from the Index. On November 10, 2014, the S&P Dow Indices announced the addition of the firs...
{"title":"The Risk and Return Effect of a New S&P Sector","authors":"Rajeeb Poudel, Nina Rogers, R. Jain","doi":"10.1080/10835547.2020.1803703","DOIUrl":"https://doi.org/10.1080/10835547.2020.1803703","url":null,"abstract":"Changes to the S&P 500 Index have been found to provide a wealth effect to the firms included or removed from the Index. On November 10, 2014, the S&P Dow Indices announced the addition of the firs...","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10835547.2020.1803703","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44912458","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 : 2018-04-10DOI: 10.1080/10835547.2018.12090009
A. Coën, P. Lecomte, D. Abdelmoula
Executive Summary The aim of this paper is to compare the financial performance of “green” and “non-green” U.S. REITs from January 2010 to February 2016 using risk-adjusted performance measures based on multi-factor models. First, we use performance measures (including the generalized Treynor ratio) able to capture the variety of systematic risk sources related to real estate. Second, we implement unbiased estimators to correct for the econometric bias induced by errors-in-variables (EIV) in asset pricing models. Third, to check the robustness of our results, we apply the methodology of Getmansky, Lo, and Makarov (2004) to deal with the problem of illiquidity. With these different adjustments, we analyze the relative performance of green U.S. REITs. Our results show that non-green U.S. REITs tend to perform better during this period than green REITs.
{"title":"The Financial Performance of Green Reits Revisited","authors":"A. Coën, P. Lecomte, D. Abdelmoula","doi":"10.1080/10835547.2018.12090009","DOIUrl":"https://doi.org/10.1080/10835547.2018.12090009","url":null,"abstract":"Executive Summary The aim of this paper is to compare the financial performance of “green” and “non-green” U.S. REITs from January 2010 to February 2016 using risk-adjusted performance measures based on multi-factor models. First, we use performance measures (including the generalized Treynor ratio) able to capture the variety of systematic risk sources related to real estate. Second, we implement unbiased estimators to correct for the econometric bias induced by errors-in-variables (EIV) in asset pricing models. Third, to check the robustness of our results, we apply the methodology of Getmansky, Lo, and Makarov (2004) to deal with the problem of illiquidity. With these different adjustments, we analyze the relative performance of green U.S. REITs. Our results show that non-green U.S. REITs tend to perform better during this period than green REITs.","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":"41 1","pages":"95-105"},"PeriodicalIF":0.0,"publicationDate":"2018-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83643344","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 : 2018-04-10DOI: 10.1080/10835547.2018.12090005
P. Jain, Spenser J. Robinson
Executive Summary In this paper, we examine the impact of large-scale ownership on commercial real estate rent and selling price premiums. We also examine whether ENERGY STAR premiums found in the literature are a result of a signal for an ownership brand effect rather than the label itself. The results suggest that large-scale owners generate significant market rental premiums, indicating a potential brand effect. The effect of sales prices is mixed when buyers manage the property. We argue that large scale owners create a brand effect by reducing information asymmetry in the commercial real estate leasing market. The results show that the price and rental premiums associated with the ENERGY STAR designation might signal the brand effect to the market.
{"title":"Do Large-Scale Owners Enjoy Brand-Induced Premiums?","authors":"P. Jain, Spenser J. Robinson","doi":"10.1080/10835547.2018.12090005","DOIUrl":"https://doi.org/10.1080/10835547.2018.12090005","url":null,"abstract":"Executive Summary In this paper, we examine the impact of large-scale ownership on commercial real estate rent and selling price premiums. We also examine whether ENERGY STAR premiums found in the literature are a result of a signal for an ownership brand effect rather than the label itself. The results suggest that large-scale owners generate significant market rental premiums, indicating a potential brand effect. The effect of sales prices is mixed when buyers manage the property. We argue that large scale owners create a brand effect by reducing information asymmetry in the commercial real estate leasing market. The results show that the price and rental premiums associated with the ENERGY STAR designation might signal the brand effect to the market.","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":"18 1","pages":"35-49"},"PeriodicalIF":0.0,"publicationDate":"2018-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84790121","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 : 2018-04-10DOI: 10.1080/10835547.2018.12090003
Charles F. Beauchamp, William G. Hardin, P. A. Lach
Executive Summary Excess returns around the expiration of the IPO quiet period documented for industrial IPOs are minimal for REITs, supporting the argument that REITs are more transparent than other firms. The existence of analyst coverage impacts quiet period returns for REITs only during the pre-bubble period when coverage is less comprehensive. The frequency of analyst recommendations issued immediately after the quiet period for REITs is lower than for industrial IPOs, which again suggests greater REIT transparency since there is an implied lower need for coverage. Recommendations in number and in simple buy or sell categorization have a slight impact on returns. With marginal statistical significance, the small number of firms followed by four or more analysts posts excess returns while the very small number of firms with no buy recommendations posts negative excess returns.
{"title":"Quiet Period Reit Returns","authors":"Charles F. Beauchamp, William G. Hardin, P. A. Lach","doi":"10.1080/10835547.2018.12090003","DOIUrl":"https://doi.org/10.1080/10835547.2018.12090003","url":null,"abstract":"Executive Summary Excess returns around the expiration of the IPO quiet period documented for industrial IPOs are minimal for REITs, supporting the argument that REITs are more transparent than other firms. The existence of analyst coverage impacts quiet period returns for REITs only during the pre-bubble period when coverage is less comprehensive. The frequency of analyst recommendations issued immediately after the quiet period for REITs is lower than for industrial IPOs, which again suggests greater REIT transparency since there is an implied lower need for coverage. Recommendations in number and in simple buy or sell categorization have a slight impact on returns. With marginal statistical significance, the small number of firms followed by four or more analysts posts excess returns while the very small number of firms with no buy recommendations posts negative excess returns.","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":"7 1","pages":"1-18"},"PeriodicalIF":0.0,"publicationDate":"2018-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83450248","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 : 2018-01-01DOI: 10.1080/10835547.2018.12090004
Dustin C. Read, Andrew Sanderford
Executive Summary In this exploratory paper, we examine real estate managerial decisions; specifically, who is responsible in large real estate investment management for sustaining sustainability at the firm and asset operational level. These decisions are distinct from the acquisition of sustainable buildings. We employ 93 semi-structured interviews conducted with professionals at direct lenders, executive search firms, life insurance companies, owner-operators, private equity funds, publicly-traded REITs, third-party real estate service firms, and tax credit syndicators. Results indicate five unique approaches to sustaining sustainability at the asset and firm level: corporate, property manager, asset manager, and consultant driven, as well as stand-alone strategies. Further, interviewees suggest that the value proposition of sustainability initiatives can be enhanced through management collaboration to leverage unique data streams.
{"title":"Sustaining Sustainability in Large Real Estate Investment Management Firms","authors":"Dustin C. Read, Andrew Sanderford","doi":"10.1080/10835547.2018.12090004","DOIUrl":"https://doi.org/10.1080/10835547.2018.12090004","url":null,"abstract":"Executive Summary In this exploratory paper, we examine real estate managerial decisions; specifically, who is responsible in large real estate investment management for sustaining sustainability at the firm and asset operational level. These decisions are distinct from the acquisition of sustainable buildings. We employ 93 semi-structured interviews conducted with professionals at direct lenders, executive search firms, life insurance companies, owner-operators, private equity funds, publicly-traded REITs, third-party real estate service firms, and tax credit syndicators. Results indicate five unique approaches to sustaining sustainability at the asset and firm level: corporate, property manager, asset manager, and consultant driven, as well as stand-alone strategies. Further, interviewees suggest that the value proposition of sustainability initiatives can be enhanced through management collaboration to leverage unique data streams.","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":"45 1","pages":"19-33"},"PeriodicalIF":0.0,"publicationDate":"2018-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76717447","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}
Executive Summary The net asset value (NAV) discount is a long standing puzzle in the listed real estate context. In this paper, we extend the literature's rational and noise trader explanations by exploring the influence of specific irrational behaviors. Based on behavioral biases identified in the stock and real estate markets, we hypothesize the existence of a relation between lagged NAV growth and the NAV discount. The findings provide initial evidence of trend-chasing behavior between the dual real estate markets. The results have broader implications for the perception of the relation between public and private real estate markets.
{"title":"A Behavioral Interpretation of the Nav Discount Puzzle in Listed Real Estate Companies","authors":"Sally Monson, Helen X. H. Bao, C. Lizieri","doi":"10.17863/CAM.21166","DOIUrl":"https://doi.org/10.17863/CAM.21166","url":null,"abstract":"Executive Summary The net asset value (NAV) discount is a long standing puzzle in the listed real estate context. In this paper, we extend the literature's rational and noise trader explanations by exploring the influence of specific irrational behaviors. Based on behavioral biases identified in the stock and real estate markets, we hypothesize the existence of a relation between lagged NAV growth and the NAV discount. The findings provide initial evidence of trend-chasing behavior between the dual real estate markets. The results have broader implications for the perception of the relation between public and private real estate markets.","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":"34 1","pages":"151-165"},"PeriodicalIF":0.0,"publicationDate":"2018-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72510592","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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