An international analysis of time varying beta risk in listed real estate securities

2017 ◽  
Vol 35 (2) ◽  
pp. 116-134 ◽  
Author(s):  
Giacomo Morri ◽  
Federico Romito
Keyword(s):  
Real Estate ◽  
Stock Market ◽  
Recursive Least Squares ◽  
Time Varying ◽  
Content Type ◽  
The Real ◽  
The Real Estate ◽  
Beta Risk ◽  
Real Estate Securities

Purpose Listed real estate securities have historically been used to achieve an exposure to the real estate asset class and to obtain a broad spectrum of other specific features such as return enhancement, but whether they must be associated to the direct property or to the broad stock market is deceptive on a merely theoretical basis. Moreover, the global financial crisis (GFC) has questioned their risk/return characteristics. The purpose of this paper is to asses if listed real estate securities are still enough dissimilar from the broad stock market to provide remarkable diversification benefits for a long term investor. Design/methodology/approach The analysis has been developed on the FTSE EPRA/NAREIT Developed Index and at country level (USA, UK, France, Japan, Singapore, Hong Kong and Australia) from November 2001 to October 2013. The authors analysed the real estate index over a broad market index and adjusted for a possible bias related to heteroskedasticity and autocorrelation, using a least squared regression with Newey-West HAC Correction. A Recursive Least Squares (RLS) was also used to test the stability of the parameters with the CUSUM squared test and the Chow test. Finally the authors tested for cointegration with the Augmented Dickey Fuller and the Engle Granger tests. Findings The authors found that after the GFC the Beta-risk related to the stock market has witnessed a sharp increase, but with differences among country. While the USA, the UK and France have experienced a trend similar to the one described for the FTSE EPRA/NAREIT Developed Index, Asian Markets depict a quite stable Beta over the full sample (gradual increase for the Australian market). Evidence of a structural break in conjunction with 2008 crisis has been found only in USA, UK and France. Practical implications Listed real estate securities, even if characterised by time varying Beta-risk and partially reduced diversification benefits, are still worth to be included in long term horizon portfolios. However, more wary considerations should be drafted before investing in the Asian markets where evidence of cointegration was found only for the Japanese market. Originality/value Analysis of post GFC effect on direct property investment vs indirect listed investment worldwide.

scholarly journals Investigation of the Linkage among China’s Macroeconomy, Stock Market and Real Estate Market

2013 ◽  
Vol 2 (2) ◽  
pp. 1-7
Author(s):  
Guo Jianhua ◽  
Long Huidian
Keyword(s):  
Real Estate ◽  
Stock Market ◽  
Real Estate Market ◽  
The Real ◽  
The Real Estate ◽  
Equilibrium Relationship ◽  
The Real Estate Market ◽  
Securities Business

As two important constituents of China’s macro economy, there are a variety of relationships among China’s stock market, real estate market and its macro economy. In order to investigate these relationships, in this paper, especially with the Macroeconomic Boom Index reflecting China’s macro economy, we use cointegration theory and Granger analysis to demonstrate that there are long-term equilibrium relationship and bidirectional causality between the macro economy and the securities business, also between the macro economy and the real estate market, however, this kind of long-term Equilibrium relationship and bidirectional causality appears very weak.

Residential mortgages, the real estate market, and economic growth: evidence from Europe

2018 ◽  
Vol 36 (6) ◽  
pp. 552-577 ◽  
Author(s):  
Umberto Filotto ◽  
Claudio Giannotti ◽  
Gianluca Mattarocci ◽  
Xenia Scimone
Keyword(s):  
Real Estate ◽  
European Countries ◽  
Content Type ◽  
The Real ◽  
The Real Estate ◽  
Persistent Effect ◽  
Residential Mortgages ◽  
The Impact ◽  
Positive Effect

Purpose The purpose of this paper is to evaluate the impact of macroeconomic condition and real estate price trend on the amount of residential loan. Design/methodology/approach The paper using a sample of 16 European Countries for the time period 2007–2015 evaluates the impact of change in the gross domestic product (GDP) growth and the inflation rate on the amount of residential loans. The analysis is performed by using a vector autoregressive (VAR) and generalized VAR approach for the full sample and for each country considered. Findings For a short-term horizon, shocks to mortgages, the house price index (HPI) and the GDP have a positive effect on the GDP, a shock to the amount of mortgages has a positive effect on the mortgage supply and a shock to the GDP has a negative effect on HPI. The main results for the long-term horizon are that a GDP shock has a positive and persistent effect on the amount of mortgages, a shock to HPI has a negative and persistent effect on mortgages and a shock to the amount of mortgages seems to have no persistent effect on the GDP or the HPI. Moreover, the analysis shows that a spillover risk among countries exists and a GDP shock in a European area has an effect on the GDP, real estate prices and residential mortgages in almost all European countries. Practical implications Results obtained show that both macroeconomic and housing prices shocks matter for the real estate lending and the effect are different in the short- and in the medium–long-term horizon. Results are also different country by country and they are affected by the level of financial development of the country. Originality/value The paper studies a lending crisis period and evaluates for the European market the impact of shock on macro-variables for mortgages focusing the attention for the first time only on residential mortgages.

Integration between real estate and stock markets: new evidence from Pakistan

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Imran Yousaf ◽  
Shoaib Ali
Keyword(s):  
Real Estate ◽  
Stock Market ◽  
Stock Markets ◽  
Content Type ◽  
Real Estate Markets ◽  
The Real ◽  
The Real Estate ◽  
Long Run ◽  
Short Run ◽  
The Relationship

Purpose This study aims to empirically examine the relationship between real estate and stock market of Pakistan. Design/methodology/approach The data of two real estate indices (house price index and plot price index) are taken for the Pakistan and its four big cities, i.e. Lahore, Karachi, Rawalpindi and Islamabad. It estimates the integration between series by applying the Johansen cointegration test. Moreover, the vector error correction model is applied to examine the short and long-run causal relationships between series. Findings The findings show that the real estate markets are cointegrated with the stock market. They imply that the real estate and stock markets are good substitutes in investment allocation, but investors cannot get the benefit of diversification by making a portfolio of real estate and stock markets in Pakistan. Moreover, the long-run causality is observed from majority house markets to the stock market, whereas short-run causality is evident from majority plot markets to the stock market. Hence, the real estate market leads the stock market in the short run and long run, suggesting the credit-price effect in the majority of real estate markets in Pakistan. These causality results are helpful for investors in the forecasting of real estate and stock markets in Pakistan. Research limitations/implications The limitation of the study is the lower number of observations (107), because house and land prices are only available in monthly frequency from January 2011 in Pakistan. Originality/value To the best of the authors’ knowledge, no researcher has investigated the real estate and stock market nexus in Pakistan. Therefore, this study focuses on examining the relationship between the real estate and stock market of Pakistan. The link between real estate and stock markets will provide useful insights to the portfolio managers, real estate companies, property agents, stockbrokers and investors.

Information security in the South Australian real estate industry

2014 ◽  
Vol 22 (1) ◽  
pp. 24-41 ◽  
Author(s):  
Deepa Mani ◽  
Kim-Kwang Raymond Choo ◽  
Sameera Mubarak
Keyword(s):  
Risk Management ◽  
Information Security ◽  
Real Estate ◽  
South Australia ◽  
Security Threats ◽  
The South ◽  
Content Type ◽  
The Real ◽  
The Real Estate ◽  
Real Estate Sector

Purpose – Opportunities for malicious cyber activities have expanded with the globalisation and advancements in information and communication technology. Such activities will increasingly affect the security of businesses with online presence and/or connected to the internet. Although the real estate sector is a potential attack vector for and target of malicious cyber activities, it is an understudied industry. This paper aims to contribute to a better understanding of the information security threats, awareness, and risk management standards currently employed by the real estate sector in South Australia. Design/methodology/approach – The current study comprises both quantitative and qualitative methodologies, which include 20 survey questionnaires and 20 face-to-face interviews conducted in South Australia. Findings – There is a lack of understanding about the true magnitude of malicious cyber activities and its impact on the real estate sector, as illustrated in the findings of 40 real estate organisations in South Australia. The findings and the escalating complexities of the online environment underscore the need for regular ongoing training programs for basic online security (including new cybercrime trends) and the promotion of a culture of information security (e.g. when using smart mobile devices to store and access sensitive data) among staff. Such initiatives will enable staff employed in the (South Australian) real estate sector to maintain the current knowledge of the latest cybercrime activities and the best cyber security protection measures available. Originality/value – This is the first academic study focusing on the real estate organisations in South Australia. The findings will contribute to the evidence on the information security threats faced by the sector as well as in develop sector-specific information security risk management guidelines.

Potential for optimising organisational structures in the technical due diligence for real estate transactions in Germany

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Yannis Steffen Oetken ◽  
Christian Hofstadler ◽  
Felix Meckmann
Keyword(s):  
Real Estate ◽  
Transaction Management ◽  
Due Diligence ◽  
Content Type ◽  
The Real ◽  
The Real Estate ◽  
Theoretical Approaches ◽  
Transaction Process ◽  
Organisational Structures

PurposeThe individual levels involved in real estate management are thoroughly discussed in the literature. This paper provides a structured meta-analysis of the different theoretical approaches in German-speaking countries. It also investigates the integration of transaction management and technical due diligence into the concepts of organisation theory. In this process, the interfaces are analysed and optimised models are developed for transferring the technical due diligence findings to the operational level.Design/methodology/approachInterviews with transaction management experts were conducted based on a narrative literature review. These interviews shed light on how the components of transaction management and due diligence are integrated into the transaction process, with a particular focus on technical due diligence. They also provide insights into how the related results are taken into account in relation to the transaction, and how they are transferred into the operational phase.FindingsIt becomes apparent that the role of transaction management is not clearly defined and delimited in the structural model of the real estate industry. Technical due diligence findings are usually transferred to the operation of the property via several, manual interfaces with corresponding losses of knowledge. The related models derived and developed for the purpose of operational optimisation define the role of transaction management against a technical background and identify the interfaces to be considered.Practical implicationsThe significance of transaction management for subsequent operations is discussed and elaborated on. More specifically, transferring safety-relevant, high-priority findings from the technical due diligence exercise plays a crucial role for the modelling stage. On the implementation level, the derived models serve as a basis for customising the internal organisational structure.Originality/valueIn Germany, there has hardly been any research into the involvement of technical experts in the real estate transaction process to date. This paper provides initial approaches to optimising organisational structures and sustainably integrating technical due diligence findings into real estate operations.

Vertical integration in the real estate sector: three Swedish case studies

2017 ◽  
Vol 10 (2) ◽  
pp. 195-210 ◽  
Author(s):  
Hans Lind
Keyword(s):  
Real Estate ◽  
Vertical Integration ◽  
Bargaining Power ◽  
Detailed Knowledge ◽  
Extensive Literature ◽  
Production Chain ◽  
Content Type ◽  
The Real ◽  
The Real Estate ◽  
Real Estate Sector

Purpose The purpose of this paper is to explain why some real estate companies choose to have a vertically integrated structure, instead of specializing in only stage of the production chain. Design/methodology/approach The first stage of the research was an extensive literature review to generate hypotheses. A case study method was then chosen, as more detailed knowledge about the companies were judged to be needed to evaluate the different hypothesis. Documents about the companies were studied and interviews carried out. Findings In the studies cases, there is no support for theories related to vertical integration as a way to monopolize a market and only marginal support for theories that focus on contracting problems related to the so called hold up problem. The most important factors for the companies were that vertical integration gives information and more options that are important in small number bargaining situations. The companies bargaining power increases when they are better informed about, e.g. costs and profits in nearby activities, and when they can use in-house units, if there are problems to find reasonable conditions on the outside market. Research limitations/implications The main limitation is that only three cases were studied. Practical/implications The study can be helpful both to companies that choose to integrate vertically and those that chose not to. There are similar problems related to information and bargaining power that needs to be handled. Originality/value This is the first study that test theories about vertical integration in the real estate sector.

Real estate money laundering in Austria, Germany, Liechtenstein and Switzerland

2018 ◽  
Vol 21 (3) ◽  
pp. 370-375 ◽  
Author(s):  
Fabian Maximilian Johannes Teichmann
Keyword(s):  
Real Estate ◽  
Money Laundering ◽  
Qualitative Content Analysis ◽  
Law Enforcement Agencies ◽  
Content Type ◽  
The Real ◽  
The Real Estate ◽  
Real Estate Sector ◽  
Compliance Officers ◽  
German Speaking

Purpose The purpose of this paper is to illustrate how criminals launder money in the real estate business in Austria, Germany, Liechtenstein and Switzerland. Design/methodology/approach A qualitative content analysis of 58 semi-standardized expert interviews with both criminals and prevention experts and a quantitative survey of 184 compliance officers led to the identification of concrete techniques of money laundering in the real estate sector. Findings Real estate companies in German-speaking countries in Europe continue to be extraordinarily suitable for money laundering. In particular, they can be used for placement, layering and integration, combined with violations of the tax code. Most importantly, however, they are the vehicles for one of the very few profitable methods of laundering money. Research limitations/implications As the qualitative findings are based on semi-standardized interviews, these are limited to the 58 interviewees’ perspectives. Practical implications The identification of gaps in existing anti-money laundering mechanisms is meant to provide compliance officers, law enforcement agencies and legislators with valuable insights into how criminals operate. Originality/value While the existing literature focuses on organizations fighting money laundering and on the improvement of anti-money laundering measures, this paper describes how money launderers operate to avoid getting caught. Both prevention and criminal perspectives are taken into account.

Artificial intelligence and real estate - not just an evolution, a real game changer!

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Marcelo Cajias
Keyword(s):  
Artificial Intelligence ◽  
Real Estate ◽  
New Technologies ◽  
Current Status ◽  
Real Estate Industry ◽  
Expiry Date ◽  
Content Type ◽  
The Real ◽  
The Real Estate ◽  
Analyse Data

PurposeDigitalisation and AI are the most intensively discussed topics in the real estate industry. The subject aims at increasing the efficiency of existing processes and the institutional side of the industry is really interested. And in some ways, this is a breakthrough. This article elaborates on the current status quo and future path of the industry.Design/methodology/approachThe real estate industry is evolving, and parts of the business are increasingly being conquered by “proptechs” and “fintechs”. They have come into real estate to stay not because they discovered inefficiencies in the way one manages and does business with real estate, but because they come with an arsenal of new technologies that can change the whole game. The article discusses a path for changing the game in real estate.Findings“location, location, location” has now evolved to “data, data, data”. However, there is one essential aspect that must be considered before the latter can become the real value creator: the ability of market players to analyse data. And this does not mean being an excellent Excel user. The near future sees a solution called Explainable Artificial Intelligence (XAI) meaning that the econometric world constructed decades ago has an expiry date.Originality/valueOne needs to delete two myths from their mind: data quantity is proportional to accurate insights and that bringing your data to a cloud will deliver you with all the insights your business needs almost immediately.

Godrej properties: valuation using the capital cash flow technique

2020 ◽  
Vol 10 (3) ◽  
pp. 1-23
Author(s):  
Rajni Kant Rajhans
Keyword(s):  
Real Estate ◽  
Cash Flow ◽  
Structural Changes ◽  
Real Estate Market ◽  
Firm Valuation ◽  
Free Cash Flow ◽  
Content Type ◽  
The Real ◽  
The Real Estate ◽  
The Real Estate Market

Learning outcomes The case is focused to meet the following learning objectives: the readers will be able to recall basic cash flow estimation concepts; and the readers will be able to explain various features of capital cash flow (CCF). The participants will be able to implement the CCF model in real estate firm valuation. The participants will be able to compare CCF and free cash flow to the firm (FCFF) models. The participants will be able to evaluate the benefits of CCF over FCFF. The readers will be able to construct the CCF valuation model for firm valuation. Case overview/synopsis On 19th April 2019, Mr Kai, an analyst tracking real estate firms was excited to present to his team a new robust technique of firm valuation suitable for real estate companies, namely, the CCF technique and was also keen to deliberate on its application. Though the investment scope using this technique could be located in Godrej properties (GP), a reputed brand and the largest listed real estate developer by sales in 2018, yet, he was concerned about the assumptions of growth of real estate industry in India, in general, and the GP in particular. Importantly, this was because the real estate market in India was undergoing many structural changes. For instance, the buyers’ preferences were changing and unsold inventory in the industry was at its peak. Under these market conditions, an announcement was made by GP about a target return on equity of 20% in 2018–2023 expecting a dominant place in the real estate market in India, which also carried the threat of jeopardizing the reputation of GP, if under any circumstance the target was not accomplished. Complexity academic level Masters program. Supplementary materials Teaching notes are available for educators only. Subject code CSS: 11 Strategy.

Sign in / Sign up

Export Citation Format

Share Document