Investing in gold or REIT index in Turkey: evidence from global financial crisis, 2018 Turkish currency crisis and COVID-19 crisis

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Levent Sumer ◽  
Beliz Ozorhon
Keyword(s):  
Financial Crisis ◽  
Real Estate ◽  
Exchange Rates ◽  
Economic Crisis ◽  
Global Financial Crisis ◽  
Currency Crisis ◽  
Free Fall ◽  
Real Estate Market ◽  
Content Type

Purpose Under the current Coronavirus Disease 2019 (COVID-19) pandemic circumstances where the gold prices are increasing and the stocks are in free fall, this research aims to compare the returns of gold prices and Turkish real estate investment trust (T-REIT) index by covering the 2008 global financial crisis, 2018 Turkish currency crisis and 2020 COVID-19 pandemic-based economic crisis periods and examine the effects of the returns of gold and the T-REIT index on each other, a research area that has been limited in the literature. Design/methodology/approach For the empirical analysis, vector auto regression model was used, and Augmented Dickey–Fuller and Granger causality tests were also conducted. The average returns were compared with the coefficient of variation analysis. Findings The results of the study exhibited that except for the 2008 global financial crisis period, 2018 Turkish currency crisis and 2020 COVID-19 pandemic-based economic crisis, the T-REIT index performs better than gold prices, but it is a riskier instrument, and both investment instruments do not affect the returns of each other. The segmentation of both instruments recommends the fund managers including both tools for diversification of a portfolio. Research limitations/implications In Turkey, gold prices are valued based on the fluctuations of the global gold prices, as well as the Turkish Lira/US Dollar currency exchange rates. The effect of the exchange rates may be considered in future studies, and the study may be conducted based on the USD values of the T-REIT index and global gold prices. Further studies may also include the comparison between the T-REIT index returns and a set of commodities such as the Goldman Sachs Commodity Index. This study covered only the first five months of 2020 to analyze the COVID-19 pandemic-based economic crisis initial effects, and a successor study is also recommended by including more new data of the post-COVID-19 pandemic and comparing both results. Practical implications The results of the research are expected to contribute to the REIT literature and give insight to investors about their investment choices while including both investment tools in their portfolio, especially for the future conditions of the new COVID-19 pandemic-based economic crisis. Social implications The study may provide insight for individuals, especially those who are considering possible investment options in the Turkish real estate market in the post-COVID-19 pandemic crisis. Originality/value Gold and real estate have always been considered as important investment instruments. Gold is commonly accepted as a safe haven in the literature, and the REITs are considered as long-term investment instruments by many scholars. While gold prices increase in the windy periods, the returns of real estate investments have more cyclical movements based on mostly the macroeconomic conditions and its integration with stock markets, yet the real estate is a common long-term investment tool, especially because of the regular income it generates for the retirement years. By covering three crisis periods including the COVID-19 pandemic-based economic crisis effects, making research about two important investment tools would contribute to the literature, especially in which the studies in this area were very limited.

A post-global financial crisis (GFC) framework for strategic planning, assessment and management decision making for US sustainable commercial real estate

2017 ◽  
Vol 35 (6) ◽  
pp. 589-618 ◽  
Author(s):  
Pernille Hoy Christensen
Keyword(s):  
Decision Making ◽  
Financial Crisis ◽  
Real Estate ◽  
Performance Indicators ◽  
Institutional Investors ◽  
Global Financial Crisis ◽  
Real Estate Market ◽  
Commercial Real Estate ◽  
Content Type ◽  
Sustainability Initiatives

Purpose The purpose of this paper is to understand both the facts and the values associated with the breadth of issues, and the principles related to sustainable real estate for institutional investors. Sustainable real estate is a growing sector within the commercial real estate industry, and yet, the decision-making practices of institutional investors related to sustainability are still not well understood. In an effort to fill that gap, this research investigates the post-global financial crisis (GFC) motivations driving the implementation of sustainability initiatives, the implementation strategies used, and the predominant eco-indicators and measures used by institutional investors. Design/methodology/approach This paper presents the results of a three-round modified Delphi study conducted in the USA in 2011-2012 investigating the nature of performance measurements and reporting requirements in sustainable commercial real estate and their impact on the real estate decision-making process used by institutional investors. Two rounds of in-depth interviews were conducted with 14 expert panelists. An e-questionnaire was used in the third round to verify qualitative findings. Findings The key industry drivers and performance indicators influencing institutional investor decision making were associated with risk management of assets and whether initiatives can improve competitive market advantage. Industry leaders advocate for simple key performance indicators, which is in contrast to the literature which argues for the need to adopt common criteria and metrics. Key barriers to the adoption of sustainability initiatives are discussed and a decision framework is presented. Practical implications This research aims to help industry partners understand the drivers motivating institutional investors to uptake sustainability initiatives with the aim of improving decision making, assessment, and management of sustainable commercial office buildings. Originality/value Building on the four generations of the sustainability framework presented by Simons et al. (2001), this research argues that the US real estate market has yet again adjusted its relationship with sustainability and revises their framework to include a new, post-GFC generation for decision making, assessment, and management of sustainable real estate.

Real estate development in the city of Athens during the financial crisis

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Maria Nikitidou ◽  
Fragiskos Archontakis ◽  
Athanasios Tagkalakis
Keyword(s):  
Financial Crisis ◽  
Real Estate ◽  
Structural Characteristics ◽  
House Prices ◽  
Real Estate Market ◽  
Structural Factors ◽  
Data Set ◽  
Content Type ◽  
Capital Financing ◽  
The City

Purpose This study aims to determine how the prices of residential properties in the Greek real estate sector are affected by their structural characteristics and by the prevailing economic factors during recession. Design/methodology/approach Based on 13,835 valuation reports for the city of Athens, covering a period of 11 years (2006–2016), this study develops a series of econometric models, taking into account both structural characteristics of the property market and the macroeconomic relevant variables. Finally, the city of Athens is divided into sub-regions and the different effects of the structural factors in each area are investigated via spatial analysis confirming the validity of the baseline model. Findings Findings show that the size, age, level, parking and storage space can explain the property price movements. Moreover, the authors find evidence that it is primarily house demand variables (e.g. the annual average wage, the unemployment rate, the user cost of capital, financing constraints and expectations about the future course of the house market) that affect house prices in a statistically significant manner and with the correct sign. Finally, using a difference-in-differences approach, this study finds that an increase in house demand (on account of net migration) led to higher house prices in smaller and older than in larger and younger apartments in areas with high concentration of immigrants. Originality/value This study uses a novel data set to help entities, individuals and policy-makers to understand how the recent economic and financial crisis has affected the real estate market in Athens.

A comparative computational and behavioral analysis of real estate performance

2017 ◽  
Vol 35 (3) ◽  
pp. 290-320 ◽  
Author(s):  
James R. DeLisle ◽  
Terry V. Grissom
Keyword(s):  
Asset Pricing ◽  
Financial Crisis ◽  
Real Estate ◽  
State Space ◽  
Hyperbolic Discounting ◽  
Time Preferences ◽  
Content Type ◽  
Agent Behavior ◽  
Market State

Purpose The purpose of this paper is to investigate changes in the commercial real estate market dynamics as a function of and conditional to the shifts in market state-space environment that can influence agent responses. Design/methodology/approach The analytical design uses a comparative computational experiment to address the performance of property assets in the current market based on comparison with prior structural patterns. The latent variables developed across market sectors are used to test agent behavior contingent on the perspectives of capital asset pricing conditionals (CAPM) and a behavioral momentum/herd construct. The state-space momentum analysis can assist the comparative analysis of current levels and shifts in property asset performance given the issues that have arisen with the financial crisis of 2007-2009. Findings An analytic approach is employed framed by a situation-dependent model. This frame considers risk profiles characterizing the perspectives and preferences guiding a delineated market state. This perspective is concerned with the possibility of shifts in market momentum and representativeness conditioning investor expectations. It is observed that the current market (post-crisis) has changed significantly from the prior operations (despite the diversity observed in prior market states). The dynamics of initial findings required an additional test anchored to the performance of the general capital market and the real economy across time. This context supports the use of a modified CAPM model allowing the consideration of opportunity cost in a space-time dynamic anchored with the consideration of equity, debt, riskless asset and liquidity options as they varied for the representative agents operating per market state. Research limitations/implications This paper integrates neoclassical and behavioral economic constructs. Combines asset pricing with prospect theory and allows the calculation of endogenous time-preferences, risk attitudes and formulation and testing of hyperbolic discounting functions. Practical implications The research shows that market structure and agent behavior since the financial crisis has changed from the investment and valuation perspectives operating as observed and measured from 1970 up to 2007. In contradiction to the long-term findings of Reinhart and Rogoff (2008), but in compliance with common perspectives and decision heuristics often employed by investors, this time things have changed! Discounting and expected rates of return are dynamic and are hyperbolic and not constant. Returns and investment for property assets are situational (market state-space specific) and offer a distinct asset class, not appropriately estimated by many of the traditional financial models. Social implications Assist in supporting insights to measure in errors and equations that result in inefficient resource allocation and beta discounting that supports the financial crisis created by assets subject to long-term decision needs (delta function). Originality/value The paper offers a combination and comparison of neoclassic asset pricing using a modified CAPM (two-pass) approach within the structural frame of Kahneman and Tversky’s (1979) prospect theory. This technique allows the consideration of the effects of present bias, beta-delta functions and the operation of the Allais Paradox in market states that are characterized by gains and losses and thus risk aversion and risk seeking behavior. This ability for differentiation allows for the development of endogenous time-preferences and hyperbolic discounting factors characteristic of commercial property investment.

Return and co-movement of major public real estate markets during global financial crisis

2017 ◽  
Vol 35 (5) ◽  
pp. 489-508 ◽  
Author(s):  
Kim Hiang Liow ◽  
Shao Yue Angela
Keyword(s):  
Financial Crisis ◽  
Real Estate ◽  
Global Financial Crisis ◽  
Content Type ◽  
Real Estate Markets ◽  
The Public ◽  
Movement Dynamics ◽  
The Usa ◽  
Short Run ◽  
Practical Implications

Purpose The purpose of this paper is to investigate the volatility spectral of five major public real estate markets, namely, the USA, the UK, Japan (JP), Hong Kong (HK), and Singapore (SG), during the pre- and post-global financial crisis (GFC) periods. Design/methodology/approach First, univariate spectral analysis is concerned with discovering price cycles for the respective real estate markets. Second, bivariate cross-spectral analysis seeks to uncover whether any two real estate price series share common cycles with regard to their relative magnitudes and lead-lag patterns of the cyclical variations. Finally, to test the contagion effects, the authors estimate the exact percentage change in co-spectral density (cyclical covariance) due to high frequencies (short run) after the GFC. Findings The authors find that whilst none of the public real estate markets examined are spared from the crisis, the three Asian markets were less severely affected by the GFC and were accompanied by a reversal in volatility increase three years post-global financial crisis. Additionally, the public real estate markets studied have become more cyclically linked in recent years. This is particularly true at longer frequencies. Finally, these increased cyclical co-movements measure the outcomes of contagion and indicate fairly strong contagious effects between the public real estate markets examined due to the crisis. Research limitations/implications The implication of this research is that benefits to investors from international real estate diversification may not be as great during the present time compared to previous periods because national public real estate markets have become more correlated. Nevertheless, the findings do not imply the complete absence of diversification benefits. This is because although cyclical correlations increase in the short run, many of the correlation values are still between low and moderate range, indicating that some diversification benefits may still be realized. Practical implications Given the significant market share and the highest levels of securitization in Asia-Pacific markets including JP, HK/China, and SG, this cyclical research including major public real estate markets has practical implications for ongoing international real estate investment strategies, particularly for the USA/UK and Asian portfolio managers. Originality/value This paper contributes to the limited research on the cyclical return and co-movement dynamics among major public real estate markets during financial/economic crisis in international finance. Moreover, the frequency-domain analysis conducted in this paper adds to better understanding regarding the impact of GFC on the cyclical return volatility and co-movement dynamics of major developed public real estate markets in international investing.

Framing and blaming in times of economic crisis

2014 ◽  
Vol 13 (4) ◽  
pp. 814-836 ◽  
Author(s):  
Jill C. Murray
Keyword(s):  
Life Cycle ◽  
Financial Crisis ◽  
Economic Crisis ◽  
Prime Minister ◽  
Global Financial Crisis ◽  
Diffusion Resistance ◽  
Critical Periods ◽  
Critical Approach ◽  
Content Type ◽  
The Global Financial Crisis

This article takes a critical approach to the language used by Australian politicians during the global financial crisis of 2007–8. Critical periods in history provide a rich substrate for the appearance of new expressions with the potential to frame the debate, influencing the ways events are interpreted and blame attributed. Passing unnoticed into usage, such memes have the potential to become part of unexamined background knowledge and covertly co-opt hearers and users into shared systems of value and belief. The study focusses on one specific neologism deployed by opposition politicians, firstly in an attempt to create the erroneous impression that a recession was occurring and secondly that it was the fault of the Australian Prime Minister, Kevin Rudd. Patterns of occurrence were tracked against local and international events, indicating a life cycle with several distinct phases: chance emergence, a strategic deployment, cross-genre diffusion, resistance and eventual rejection.

scholarly journals Explaining the premium to NAV in publicly traded Australian REITs, 2008–2018

2019 ◽  
Vol 38 (1) ◽  
pp. 4-30 ◽  
Author(s):  
Isil Erol ◽  
Tanja Tyvimaa
Keyword(s):  
Financial Crisis ◽  
Real Estate ◽  
Global Financial Crisis ◽  
Rational Approach ◽  
Annual Data ◽  
Financial Leverage ◽  
Publicly Traded ◽  
Aggressive Approach ◽  
Content Type ◽  
Equity Ratio

Purpose The purpose of this paper is to explore the levels and determinants of net asset value (NAV) premiums/discounts for publicly traded Australian Real Estate Investment Trust (A-REIT) market during the last decade. A-REITs were severely affected by the global financial crisis as S&P/ASX 200 A-REIT index-listed property stocks experienced 47 per cent discount to NAV, on average, in 2008–2009 crisis. Since 2013, A-REIT sector has exhibited a strong recovery from the financial crisis and traded at high premiums to date. Understanding the relationship between pricing in the public and private real estate markets has taken on great importance as A-REITs continue to trade at significant premium to NAV unlike their counterparts in the USA and Europe. Design/methodology/approach This paper follows a rational approach to explain variations in NAV premiums and explores the company-specific factors such as liquidity, financial leverage, size, stock price volatility and portfolio diversification behind the A-REIT NAV premiums/discounts. The study specifies and estimates a model of cross-sectional and time variation in premiums/discounts to NAV using semi-annual data for a sample of 40 A-REITs over the 2008–2018 period. Findings The results reveal that A-REIT premiums to NAV can be explained not only by the liquidity benefit of listed property stocks but also positive financial leverage effect. During the past decade, A-REITs have followed an aggressive approach in financing their growth by using borrowed funds to purchase assets as the income from the property offsets the cost of borrowing and the risk that accompanies it. Debt-to-equity ratio has to be considered as an important source of NAV premiums as highly geared A-REITs that favoured debt financing over equity financing traded at significant premiums to NAV of their underlying real estate assets. Practical implications The paper includes implications for the REIT market investors. The regression analysis shows that specialty A-REITs with a focus on creative market niches traded at higher premiums compared with other property stocks, especially in the post-GFC recovery period. Specialty REITs are more highly valued by the market than their traditional specialised counterparts (e.g. office and retail REITs), and those pursuing a diversified strategy. Originality/value This paper presents an Australian case study as the A-REIT market provides a suitable environment for testing the effect of financial gearing on the REIT premium to NAV. The study provides empirical evidence supporting the importance of debt-to-equity ratio in explaining the variation in A-REIT NAV premiums.

Global financial crisis and cyclical co-movements of Asian financial markets

2016 ◽  
Vol 34 (5) ◽  
pp. 465-495 ◽  
Author(s):  
KimHiang Liow
Keyword(s):  
Financial Crisis ◽  
Real Estate ◽  
Financial Markets ◽  
Frequency Domain ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Short Term ◽  
Content Type ◽  
Real Estate Markets ◽  
Asset Classes

Purpose – The purpose of this paper is to investigate the cross-spectra of stock, real estate and bond of ten selected Asian economies in the pre- and post-global financial crisis periods to detect whether there is greater cyclical co-movement post-financial crisis, and whether any observed increased co-movement measures the outcomes of contagion or integration. Design/methodology/approach – Co-spectral approach is the proper econometric tool to deliver economic insight for this research. Findings – Results indicate that Asian stock markets, and to a lesser degree, bond and real estate markets are more correlated post-financial crisis. Similarly, Asian financial markets have experienced increased co-movements with the US financial markets post-financial crisis. Moreover, these observed increased co-movements measure the outcomes of contagion in some cases of within-asset and cross-asset classes, as well as for some cross-US-Asian asset factor relationships along the high-frequency components of between two and four weeks. The stock markets are the most contagious, followed by the real estate markets and bond markets. Research limitations/implications – The results provide short-term investors with additional co-movement information at higher frequencies in order to identify short-term fluctuations of different asset classes. The empirical study also underscores the role of Asian real estate in investment portfolios in a mixed real estate, stock and bond context from a frequency domain perspective. Practical implications – The practical implication of this research is that benefits to investors from international diversification may not be as great during the present time compared to previous periods because financial/asset market movements have become more correlated. However, it does not imply the complete absence of diversification benefits. This is because although cyclical correlations increase in the short run, many of the values are still between low and moderate range, indicating that some diversification benefits may still be realized. Originality/value – In advancing the body of knowledge in international financial markets, this research is probably the first study to consider a multi-asset class portfolio context that includes stock, real estate and bond across the ten Asian economies and the USA in a single study. The frequency domain analysis conducted in this paper adds to the understanding of real estate, stock and bond market co-movement, integration and contagion dynamics, as well as the Asian cross-asset factor and US-Asian asset factor relationships in global mixed-investing environment.

scholarly journals Convergence in the UK direct real estate market

2017 ◽  
Vol 35 (4) ◽  
pp. 382-396
Author(s):  
Stephen Lee
Keyword(s):  
Real Estate ◽  
Global Financial Crisis ◽  
Common Factor ◽  
Principal Component ◽  
Spillover Effects ◽  
Real Estate Market ◽  
Sample Period ◽  
Market Segments ◽  
Content Type ◽  
The Uk

Purpose The purpose of this paper is to empirically examine the issue of convergence in the monthly returns, rental growth and yields for ten market segments in the UK direct real estate market, using monthly data over the period from January 1987 to December 2014. Design/methodology/approach The methodology used to determine convergence is principal component analysis as it provides an assessment of the extent to which the variance of the market segments can be represented by a single common factor, explaining their long-run behaviour, and the degree of independence between the market segments. Findings The results suggest that there is strong evidence of convergence over the entire sample period in relation to monthly returns and yields but less evidence of convergence in rental growth, which confirms the findings in previous studies in international markets. Practical implications The evidence also suggests that convergence has increased over the sample period and that convergence is period specific and was particularly strong during and after the period of the Global Financial Crisis, which implies that the UK direct real estate market is largely integrated and as a consequence the extent of diversification potential in the market is still severely limited. Social implications The convergence in returns has crucial implications for investors as it leaves investors exposed to the same structural shocks and so magnifies the importance of volatility spillover effects, limits their ability to create well-diversified portfolios and make it more difficult for fund managers to outperform the market. Originality/value This is the first paper to examine the convergence in the UK direct real estate market.

scholarly journals Analysis of the Distribution of Exchange-Rates near the 2008 Global Financial Crisis

2020 ◽  
Vol 9 (4) ◽  
pp. 187
Author(s):  
Doobae Jun ◽  
Jinsu Kim ◽  
Gwangil Kim
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Exchange Rates ◽  
Global Financial Crisis ◽  
2008 Financial Crisis ◽  
Early Indicator ◽  
Exceptional Value ◽  
The 2008 Financial Crisis

We search for indicators that might have predicted the 2008 financial crisis, by analyzing the standardized normalized distribution of exchange-rates. We find that this distribution was close to normal during the crisis, but had an exceptionally high kurtosis in the second quarter of 2006, indicating the beginning of long-term USD weakness. Somewhat nearer to the crisis, we can also see suggestive fluctuations in some exchange-rates. Further, we analyze stock-market indices across the crisis, and show that they responded more sensitively than exchange-rates, and that the distribution of stock-market indices also has an exceptional value of kurtosis at Q2 2006, suggesting that the kurtosis of the distribution of exchange-rates might have provided as an early indicator of the crisis.

The effects of the global financial crisis on the capital structure of EPRA/NAREIT Europe index companies

2015 ◽  
Vol 8 (1) ◽  
pp. 3-23 ◽  
Author(s):  
Giacomo Morri ◽  
Andrea Artegiani
Keyword(s):  
Financial Crisis ◽  
Real Estate ◽  
Capital Structure ◽  
Global Financial Crisis ◽  
Pecking Order ◽  
Trade Off ◽  
Content Type ◽  
The Global Financial Crisis ◽  
The Impact ◽  
The Capital Structure

Purpose – The purpose of this paper is to test whether the financial crisis has affected the capital structure of real estate companies in Europe and whether these impacts can be studied utilizing the variables traditionally used by the trade-off and pecking-order theories to explain the capital structure of companies. Design/methodology/approach – The study uses a fixed-effect panel regression analysis and a sample composed of companies included in the EPRA/NAREIT Europe Index. The effect of the financial crisis has been accounted for within the model by means of a dummy variable. Findings – The global financial crisis did have an impact on the capital structure of companies and the main variables traditionally used by the trade-off and pecking order theories proved to be suitable in explaining the capital structure of real estate companies. Real estate investment trusts are, on average, more leveraged than traditional real estate companies due to their special regulatory status. Research limitations/implications – The study is limited to the European market and UK companies in particular account for a large part of the sample. In addition, major regulatory differences between the various European countries are not taken into account in the model. Originality/value – Similar studies have been performed for the US and Australian market. However, the impact of the global financial crisis has not been traditionally considered in these studies.

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