Pub Date : 2017-01-01DOI: 10.1080/10835547.2017.12089999
Mohsen Bahmani‐Oskooee, S. Ghodsi
Executive Summary. Previous research has either relied on a time series model or a panel model to establish cointegration between house prices and their main determinants, such as a measure of household income and a measure of interest rates. The findings are mixed but mostly lean toward rejecting cointegration between house prices and economic fundamentals. None of the studies included a measure policy uncertainty in their models. We include a measure of policy uncertainty in our model and use the bounds testing approach for cointegration and error-correction modeling. We find that policy uncertainty has short-run and mostly negative effects on house prices in 24 states. The short-run effects last into the long run in 17 states. Furthermore, cointegration is established in 35 states.
{"title":"Policy Uncertainty and House Prices in the United States","authors":"Mohsen Bahmani‐Oskooee, S. Ghodsi","doi":"10.1080/10835547.2017.12089999","DOIUrl":"https://doi.org/10.1080/10835547.2017.12089999","url":null,"abstract":"Executive Summary. Previous research has either relied on a time series model or a panel model to establish cointegration between house prices and their main determinants, such as a measure of household income and a measure of interest rates. The findings are mixed but mostly lean toward rejecting cointegration between house prices and economic fundamentals. None of the studies included a measure policy uncertainty in their models. We include a measure of policy uncertainty in our model and use the bounds testing approach for cointegration and error-correction modeling. We find that policy uncertainty has short-run and mostly negative effects on house prices in 24 states. The short-run effects last into the long run in 17 states. Furthermore, cointegration is established in 35 states.","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2017-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80333712","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 : 2017-01-01DOI: 10.1080/10835547.2017.12089996
Yun W. Park
Executive Summary. Singapore, Hong Kong, and Japan, which are the three most active real estate investment trust (REIT) markets in Asia, follow the external REIT model, which is typically tied to a sponsor. In this study, I examine the agency costs in the sponsored REITs of the Asian Big 3 REIT markets in an effort to understand the conflicts of interest in the sponsored REITs of the Asian Big 3. The overall evidence indicates that the agency costs of the sponsored REITs in the Asian Big 3 are not severe compared to the REITs in more mature markets, REITs elsewhere in the world, as well as real estate operating companies (REOCs) in their own national markets, suggesting that sponsored REITs in the Asian Big 3 emulate the internally advised REITs in response to market pressure.
{"title":"An Exploratory Study of Agency Costs of Sponsored REITs in Singapore, Hong Kong, and Japan","authors":"Yun W. Park","doi":"10.1080/10835547.2017.12089996","DOIUrl":"https://doi.org/10.1080/10835547.2017.12089996","url":null,"abstract":"Executive Summary. Singapore, Hong Kong, and Japan, which are the three most active real estate investment trust (REIT) markets in Asia, follow the external REIT model, which is typically tied to a sponsor. In this study, I examine the agency costs in the sponsored REITs of the Asian Big 3 REIT markets in an effort to understand the conflicts of interest in the sponsored REITs of the Asian Big 3. The overall evidence indicates that the agency costs of the sponsored REITs in the Asian Big 3 are not severe compared to the REITs in more mature markets, REITs elsewhere in the world, as well as real estate operating companies (REOCs) in their own national markets, suggesting that sponsored REITs in the Asian Big 3 emulate the internally advised REITs in response to market pressure.","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2017-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85255644","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 : 2017-01-01DOI: 10.1080/10835547.2017.12090000
Hugh F. Kelly, E. Malizia
Executive Summary. Indicators originally used to define 24-hour cities are updated to redefine 24-hour cities in the United States. From the sample of 42 large cities, we identify six 24-hour cities and nine 18-hour cities. The six 24-hour cities (Tier I), nine 18-hour cities (Tier II), and 27 9-to-5 cities (Tier III) are compared. For office properties, investment performance indicators correspond in rank order to Tiers I–III. For apartments, however, the results are less consistent. Dislocations in housing markets over the past decade have prompted a notable investor preference for multifamily investment in Tier II and Tier III markets during the recovery from the Global Financial Crisis.
{"title":"Defining 24-Hour and 18-Hour Cities, Assessing Their Vibrancy, and Evaluating Their Property Performance","authors":"Hugh F. Kelly, E. Malizia","doi":"10.1080/10835547.2017.12090000","DOIUrl":"https://doi.org/10.1080/10835547.2017.12090000","url":null,"abstract":"Executive Summary. Indicators originally used to define 24-hour cities are updated to redefine 24-hour cities in the United States. From the sample of 42 large cities, we identify six 24-hour cities and nine 18-hour cities. The six 24-hour cities (Tier I), nine 18-hour cities (Tier II), and 27 9-to-5 cities (Tier III) are compared. For office properties, investment performance indicators correspond in rank order to Tiers I–III. For apartments, however, the results are less consistent. Dislocations in housing markets over the past decade have prompted a notable investor preference for multifamily investment in Tier II and Tier III markets during the recovery from the Global Financial Crisis.","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2017-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90143479","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 : 2016-12-09DOI: 10.1080/10835547.2016.12089987
B. Zhu, Stanimira Milcheva
Executive Summary. In this study, we use a dynamic spatial panel model to assess the degree of cross-country co-movement of the returns of listed property companies caused by economic, financial, and geographic closeness. We find that the asset-side exposure of banks best captures the comovements in returns and presents a channel of credit risk transmission across countries. During the Global Financial Crisis, asset-side bank exposure and foreign direct investment linkages contribute to a significant increase in the comovement of the returns of listed property companies through which liquidity and credit risk shocks may have been transmitted to asset prices internationally.
{"title":"Spatial Linkages in Listed Property Returns in Tranquil and Distressed Periods","authors":"B. Zhu, Stanimira Milcheva","doi":"10.1080/10835547.2016.12089987","DOIUrl":"https://doi.org/10.1080/10835547.2016.12089987","url":null,"abstract":"Executive Summary. In this study, we use a dynamic spatial panel model to assess the degree of cross-country co-movement of the returns of listed property companies caused by economic, financial, and geographic closeness. We find that the asset-side exposure of banks best captures the comovements in returns and presents a channel of credit risk transmission across countries. During the Global Financial Crisis, asset-side bank exposure and foreign direct investment linkages contribute to a significant increase in the comovement of the returns of listed property companies through which liquidity and credit risk shocks may have been transmitted to asset prices internationally.","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2016-12-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73980385","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 : 2016-12-09DOI: 10.1080/10835547.2016.12089986
George D. Cashman, David M. Harrison, Michael J. Seiler, Hainan Sheng
Executive Summary. We investigate the influence of interjurisdictional, geographic-based information barriers on the financial transparency and liquidity of real estate organizations across the Asia-Pacific region. Given both the unique regulatory distribution requirements across this industry and the capital-intensive nature of most real estate investment activities, firms within this market sector face unique, substantive financing concerns. As a consequence, financial transparency and liquidity are of increased importance to firms within this industry. Consistent with this paradigm, we find strong evidence that Asia-Pacific real estate firms facing enhanced levels of political risk and uncertainty are characterized by higher information barriers, and exhibit reduced financial market liquidity as measured by wider bid-ask spreads.
{"title":"Cross-Border Investment and Firm Liquidity","authors":"George D. Cashman, David M. Harrison, Michael J. Seiler, Hainan Sheng","doi":"10.1080/10835547.2016.12089986","DOIUrl":"https://doi.org/10.1080/10835547.2016.12089986","url":null,"abstract":"Executive Summary. We investigate the influence of interjurisdictional, geographic-based information barriers on the financial transparency and liquidity of real estate organizations across the Asia-Pacific region. Given both the unique regulatory distribution requirements across this industry and the capital-intensive nature of most real estate investment activities, firms within this market sector face unique, substantive financing concerns. As a consequence, financial transparency and liquidity are of increased importance to firms within this industry. Consistent with this paradigm, we find strong evidence that Asia-Pacific real estate firms facing enhanced levels of political risk and uncertainty are characterized by higher information barriers, and exhibit reduced financial market liquidity as measured by wider bid-ask spreads.","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2016-12-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75412941","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 : 2016-06-09DOI: 10.1080/10835547.2016.12089982
Lingxiao Li, N. Miller
Executive Summary Evidence from the recent financial crisis brings into question the stability of risk management correlation assumptions and the effect this has on possible extreme outcomes. In this paper, we present evidence of unstable correlations between mortgage asset returns in recent years inhibiting any practical mean variance approach to portfolio diversification and risk management. Our findings suggest that returns on residential mortgage investments exhibit unusual levels of skewness and asymmetric dependence (higher correlations in downside markets). Incorporating higher-order return distribution moments in portfolio selection and diversification decisions is important to all investors concerned with fat tail risks. Optimizing portfolios from the standpoint of loss mitigation seems easy to achieve with careful geographic diversification, but deep recession loss correlations defy the longer term trends. For this reason, higher capital reserves or new hedging instruments are required to truly ...
{"title":"Fat Tails, Skewed Losses, and Potential Risk Mitigation: Evidence from the Residential Mortgage Market","authors":"Lingxiao Li, N. Miller","doi":"10.1080/10835547.2016.12089982","DOIUrl":"https://doi.org/10.1080/10835547.2016.12089982","url":null,"abstract":"Executive Summary Evidence from the recent financial crisis brings into question the stability of risk management correlation assumptions and the effect this has on possible extreme outcomes. In this paper, we present evidence of unstable correlations between mortgage asset returns in recent years inhibiting any practical mean variance approach to portfolio diversification and risk management. Our findings suggest that returns on residential mortgage investments exhibit unusual levels of skewness and asymmetric dependence (higher correlations in downside markets). Incorporating higher-order return distribution moments in portfolio selection and diversification decisions is important to all investors concerned with fat tail risks. Optimizing portfolios from the standpoint of loss mitigation seems easy to achieve with careful geographic diversification, but deep recession loss correlations defy the longer term trends. For this reason, higher capital reserves or new hedging instruments are required to truly ...","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2016-06-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80814817","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 : 2016-06-09DOI: 10.5555/1083-5547-22.1.19
Lucia Gibilaro, G. Mattarocci
Due to the unique features of each real estate investment opportunity, real es- tate investment trust (REIT) asset managers gen- erally prefer to focus on domestic investments, for which they have more available information. While there is evidence of this trend in the U.S. market, there is little evidence in the rest of the world. In this paper, we examine a sample of geographically diversified REITs, focusing on the degree of home bias in different countries and compare the extra performance achieved by home- biased and non-home-biased REITs. The results show that home bias is more significant for certain countries and geographical areas and that home country portfolio concentration does not always imply higher average returns or a higher probabil- ity of return persistence.
{"title":"Are Home-biased REITs Worthwhile?","authors":"Lucia Gibilaro, G. Mattarocci","doi":"10.5555/1083-5547-22.1.19","DOIUrl":"https://doi.org/10.5555/1083-5547-22.1.19","url":null,"abstract":"Due to the unique features of each real estate investment opportunity, real es- tate investment trust (REIT) asset managers gen- erally prefer to focus on domestic investments, for which they have more available information. While there is evidence of this trend in the U.S. market, there is little evidence in the rest of the world. In this paper, we examine a sample of geographically diversified REITs, focusing on the degree of home bias in different countries and compare the extra performance achieved by home- biased and non-home-biased REITs. The results show that home bias is more significant for certain countries and geographical areas and that home country portfolio concentration does not always imply higher average returns or a higher probabil- ity of return persistence.","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2016-06-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89495638","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 : 2016-01-01DOI: 10.1080/10835547.2016.12089980
Hong Zhang, Shuai Gao, Michael J. Seiler, Chen Jiawei
Executive Summary Instead of disparately measuring relations between pairs of two measurements, in this study we use structural equation modeling to simultaneously measure the intricate inter-relationships amongst ownership structure, diversification, and corporate performance. We find that ownership concentration is positively related to corporate performance, the degree of diversification and corporate performance are negatively related, and that when examining the mediator effect of diversification between ownership structure and corporate performance, corporations decrease diversification to maintain corporate value.
{"title":"Ownership Structure, Diversification, and Corporate Performance Based on Structural Equation Modeling","authors":"Hong Zhang, Shuai Gao, Michael J. Seiler, Chen Jiawei","doi":"10.1080/10835547.2016.12089980","DOIUrl":"https://doi.org/10.1080/10835547.2016.12089980","url":null,"abstract":"Executive Summary Instead of disparately measuring relations between pairs of two measurements, in this study we use structural equation modeling to simultaneously measure the intricate inter-relationships amongst ownership structure, diversification, and corporate performance. We find that ownership concentration is positively related to corporate performance, the degree of diversification and corporate performance are negatively related, and that when examining the mediator effect of diversification between ownership structure and corporate performance, corporations decrease diversification to maintain corporate value.","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80241716","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 : 2016-01-01DOI: 10.1080/10835547.2016.12089988
Lucia Gibilaro, G. Mattarocci
Executive Summary. Opaque assets can affect the stock price dynamics of banks due to the lower amount of information available in the market. Real estate is considered an opaque asset but there is no evidence of the impact of real estate exposure on stock price dynamics. In this paper, we evaluate the effect of real estate exposure on bank price synchronicity for lenders with different exposures in real estate lending. The results show that exposure in the real estate sector can negatively affect the degree of synchronicity, but the risk of losses is lower for real estate banks even if the exposure to crash risk is almost the same with respect to other banks. If we consider diversified portfolios, investors more interested in real estate banks reduce their risk exposure by investing only in big players.
{"title":"Real Estate Exposure and Bank Share Price Synchronicity","authors":"Lucia Gibilaro, G. Mattarocci","doi":"10.1080/10835547.2016.12089988","DOIUrl":"https://doi.org/10.1080/10835547.2016.12089988","url":null,"abstract":"Executive Summary. Opaque assets can affect the stock price dynamics of banks due to the lower amount of information available in the market. Real estate is considered an opaque asset but there is no evidence of the impact of real estate exposure on stock price dynamics. In this paper, we evaluate the effect of real estate exposure on bank price synchronicity for lenders with different exposures in real estate lending. The results show that exposure in the real estate sector can negatively affect the degree of synchronicity, but the risk of losses is lower for real estate banks even if the exposure to crash risk is almost the same with respect to other banks. If we consider diversified portfolios, investors more interested in real estate banks reduce their risk exposure by investing only in big players.","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82060135","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 : 2016-01-01DOI: 10.1080/10835547.2016.12089978
T. Jones, Justin D. Benefield, Jocelyn D. Evans
Executive Summary This paper provides the first large-sample evidence on privately-held real estate firm bankruptcy asset sales within Chapter 7 and 11. Section 363(f) of the Bankruptcy Code authorizes a sale of property free and clear of any interest in such property. Using a unique dataset, we find that 65.9% of private real estate investment trusts (REITs) and real estate limited partnerships (RELPs) sell assets within bankruptcy. The results reveal that RELPs are liquidated and sold more often than REITs and the REITs that survive and avoid asset sales are those that have captive relationships with a parent corporation.
{"title":"Investment Opportunities for Private REITs and RELPs Bankrupt Properties: An Empirical Examination","authors":"T. Jones, Justin D. Benefield, Jocelyn D. Evans","doi":"10.1080/10835547.2016.12089978","DOIUrl":"https://doi.org/10.1080/10835547.2016.12089978","url":null,"abstract":"Executive Summary This paper provides the first large-sample evidence on privately-held real estate firm bankruptcy asset sales within Chapter 7 and 11. Section 363(f) of the Bankruptcy Code authorizes a sale of property free and clear of any interest in such property. Using a unique dataset, we find that 65.9% of private real estate investment trusts (REITs) and real estate limited partnerships (RELPs) sell assets within bankruptcy. The results reveal that RELPs are liquidated and sold more often than REITs and the REITs that survive and avoid asset sales are those that have captive relationships with a parent corporation.","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78307238","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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