scholarly journals Empirical analysis of the illiquidity premia of German real estate securities

2021 ◽  
Author(s):  
Thomas Paul ◽  
Thomas Walther ◽  
André Küster-Simic
Keyword(s):  
Real Estate ◽  
Structural Breaks ◽  
Expected Returns ◽  
Correction Factors ◽  
Real Estate Investment ◽  
Data Set ◽  
Investment Trusts ◽  
Closed End Funds ◽  
Real Estate Securities ◽  
The Relationship

AbstractIn this study, we analyze illiquidity premia and their effect on the expected returns of German real estate securities. To this end, we use a unique data set that includes real estate stocks, real estate investment trusts (REITs), and open- and closed-end real estate funds for 2003–2017. We follow Amihud’s (JFM 5:31–56, 2002) structural approach; specifically, we estimate Amihud’s illiquidity factors, investigate the relationships between expected returns and illiquidity, and analyze the effects of expected and unexpected market illiquidity on future returns. We show that illiquidity plays an important role in expected returns for real estate stocks and investment trusts (REITs); however, it has less clear effects on open- and closed-end funds. We find that the adjusted ILLIQ includes appropriate correction factors for securities with low trading activity and is a useful improvement. We also find evidence of structural breaks in the relationship between returns and illiquidity.

scholarly journals The Explanatory Power Of Alternative Income Measures On Stock Prices: Evidence for Canadian Real Estate Investment Trusts

2021 ◽  
Author(s):  
Sedat Ogeturk
Keyword(s):  
Real Estate ◽  
Cash Flow ◽  
Stock Prices ◽  
Stock Return ◽  
Explanatory Power ◽  
Real Estate Investment Trusts ◽  
Real Estate Investment ◽  
Data Set ◽  
Investment Trusts ◽  
The Relationship

The relationship between performance measures and stock prices is well documented in the financial literature. Some studies find that the relationship is positive (Lev, 1989) and others find a negative relationship (Anwaar, 2016, Sloan, 1996), although most studies exclude REITs due to their unique tax exemptions. This paper examines the explanatory power of net income (NT) and funds from operations (FFO) as it relates to stock return in Canadian real estate investment trusts (REITs) that traded on the Toronto Stock Exchange (TSE) during the 2001-2016 period. Legislation exempts Canadian REITs from corporate taxes as long as they satisfy a number of mandated requirements. The most essential legal requirement is the payment of dividend as a specified percentage of a REITs cash flow. Industry-specific cash flow measures, such as NI, FFO, or cash flow distributions may explain their stock are return performance in Canada. In particular, FFO my explain stock return performance better than NI or distribution due to its unique qualities. Analysis on a hand-collected and proprietary Canadian REIT quarterly data set that covers 2001 to 2016 reveals that FFO does in fact have better explanatory power than NI, consistent with studies of U.S. REITs.

scholarly journals The Explanatory Power Of Alternative Income Measures On Stock Prices: Evidence for Canadian Real Estate Investment Trusts

2021 ◽  
Author(s):  
Sedat Ogeturk
Keyword(s):  
Real Estate ◽  
Cash Flow ◽  
Stock Prices ◽  
Stock Return ◽  
Explanatory Power ◽  
Real Estate Investment Trusts ◽  
Real Estate Investment ◽  
Data Set ◽  
Investment Trusts ◽  
The Relationship

The relationship between performance measures and stock prices is well documented in the financial literature. Some studies find that the relationship is positive (Lev, 1989) and others find a negative relationship (Anwaar, 2016, Sloan, 1996), although most studies exclude REITs due to their unique tax exemptions. This paper examines the explanatory power of net income (NT) and funds from operations (FFO) as it relates to stock return in Canadian real estate investment trusts (REITs) that traded on the Toronto Stock Exchange (TSE) during the 2001-2016 period. Legislation exempts Canadian REITs from corporate taxes as long as they satisfy a number of mandated requirements. The most essential legal requirement is the payment of dividend as a specified percentage of a REITs cash flow. Industry-specific cash flow measures, such as NI, FFO, or cash flow distributions may explain their stock are return performance in Canada. In particular, FFO my explain stock return performance better than NI or distribution due to its unique qualities. Analysis on a hand-collected and proprietary Canadian REIT quarterly data set that covers 2001 to 2016 reveals that FFO does in fact have better explanatory power than NI, consistent with studies of U.S. REITs.

scholarly journals An Analysis of Central Drivers of REIT Returns

2020 ◽  
Vol 5 ◽  
Author(s):  
Jordan Joyce ◽  
Class of 2020
Keyword(s):  
Risk Factors ◽  
Real Estate ◽  
Meta Analysis ◽  
Real Estate Investment Trusts ◽  
Economic Downturn ◽  
Real Estate Investment ◽  
Investment Trusts ◽  
Potential Risk Factors ◽  
Relationship Of ◽  
The Relationship

Many researchers have questioned whether real estate investment trusts (REITs) can act as a hedge for inflation or whether REITs can act as a safe haven for investors in the event of economic downturn. However, many studies lack basic data analysis or timely data to determine the dependence of REIT returns on various economic factors. The goal of this study is to act as a meta-analysis to synthesize the relationship between REITs and several potential risk factors. This study will extend beyond the timeline of previous studies, and will examine the relationship of several hypothesized risk factors. The results of this study can help brokers in their future decisions to hedge REIT risk in a portfolio. This study will use the historical returns from the National Association of Real Estate Investment Trusts (NAREIT) as well as six indices. This study will also use both univariate regressions and multivariate regressions to analyze the relationship between REITs and mortgage REITs and each representative index

scholarly journals Corporate Governance, Institutional Ownership, and Their Effects on Financial Performance

2016 ◽  
Vol 12 (25) ◽  
pp. 46
Author(s):  
Kristal Hykaj
Keyword(s):  
Corporate Governance ◽  
Real Estate ◽  
Financial Performance ◽  
Board Of Directors ◽  
Institutional Ownership ◽  
Real Estate Investment Trusts ◽  
Real Estate Investment ◽  
Investment Trusts ◽  
The Board Of Directors ◽  
The Relationship

This paper studies the 105 U.S. Equity Real Estate Investment Trusts for the period of 2007-2012, and explores the relationship between corporate governance, institutional ownership, and financial performance. The results are conclusive and show that the presence of women on the board of directors as well as the choice to opt for a classified board enhances the returns on assets and returns on equity. The second finding of this paper is that the percentage of stocks owned by the top 10 institutions, between the levels of 30% and 50%, are associated with higher returns on assets and returns on equity.

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