scholarly journals Outperforming the benchmark: online information demand and REIT market performance

2015 ◽  
Vol 33 (2) ◽  
pp. 169-195 ◽  
Author(s):  
Karim Rochdi ◽  
Marian Dietzel
Keyword(s):  
Real Estate ◽  
Online Information ◽  
Investment Strategies ◽  
Content Type ◽  
Search Volume ◽  
Information Demand ◽  
The Us ◽  
Google Search ◽  
Practical Implications ◽  
Successful Predictor

Purpose – The purpose of this paper is to investigate whether there is a relationship between asset-specific online search interest and movements in the US REIT market. Design/methodology/approach – The authors collect search volume (SV) data from “Google Trends” for a set of keywords representing the information demand of real estate (equity) investors. On this basis, the authors test hypothetical investment strategies based on changes in internet SV, to anticipate REIT market movements. Findings – The results reveal that people’s information demand can indeed serve as a successful predictor for the US REIT market. Among other findings, evidence is provided that there is a significant relationship between asset-specific keywords and the US REIT market. Specifically, investment strategies based on weekly changes in Google SV would have outperformed a buy-and-hold strategy (0.1 percent p.a.) for the Morgan Stanley Capital International US REIT Index by a remarkable 15.4 percent p.a. between 2006 and 2013. Furthermore, the authors find that real-estate-related terms are more suitable than rather general, finance-related terms for predicting REIT market movements. Practical implications – The findings should be of particular interest for REIT market investors, as the established relationships can potentially be utilized to anticipate short-term REIT market movements. Originality/value – This is the first paper which applies Google search query data to the REIT market.

scholarly journals Sentiment-based predictions of housing market turning points with Google trends

2016 ◽  
Vol 9 (1) ◽  
pp. 108-136 ◽  
Author(s):  
Marian Alexander Dietzel
Keyword(s):  
Real Estate ◽  
Housing Market ◽  
Turning Points ◽  
House Price ◽  
Data Set ◽  
Content Type ◽  
Forecasting Models ◽  
Search Volume ◽  
Out Of Sample ◽  
Google Search

Purpose – Recent research has found significant relationships between internet search volume and real estate markets. This paper aims to examine whether Google search volume data can serve as a leading sentiment indicator and are able to predict turning points in the US housing market. One of the main objectives is to find a model based on internet search interest that generates reliable real-time forecasts. Design/methodology/approach – Starting from seven individual real-estate-related Google search volume indices, a multivariate probit model is derived by following a selection procedure. The best model is then tested for its in- and out-of-sample forecasting ability. Findings – The results show that the model predicts the direction of monthly price changes correctly, with over 89 per cent in-sample and just above 88 per cent in one to four-month out-of-sample forecasts. The out-of-sample tests demonstrate that although the Google model is not always accurate in terms of timing, the signals are always correct when it comes to foreseeing an upcoming turning point. Thus, as signals are generated up to six months early, it functions as a satisfactory and timely indicator of future house price changes. Practical implications – The results suggest that Google data can serve as an early market indicator and that the application of this data set in binary forecasting models can produce useful predictions of changes in upward and downward movements of US house prices, as measured by the Case–Shiller 20-City House Price Index. This implies that real estate forecasters, economists and policymakers should consider incorporating this free and very current data set into their market forecasts or when performing plausibility checks for future investment decisions. Originality/value – This is the first paper to apply Google search query data as a sentiment indicator in binary forecasting models to predict turning points in the housing market.

OCIE issues risk alert on the most frequently identified advisory fee and expense compliance issues

2018 ◽  
Vol 19 (4) ◽  
pp. 1-3
Author(s):  
Robert Van Grover
Keyword(s):  
Design Methodology ◽  
Best Practice ◽  
Investment Management ◽  
Content Type ◽  
Informed Decisions ◽  
Policies And Procedures ◽  
The Us ◽  
Investment Advisers ◽  
Practical Implications

Purpose To summarize and interpret a Risk Alert issued on April 12, 2018 by the US SEC’s Office of Compliance Inspections and Examinations (OCIE) on the most frequent advisory fee and expense compliance issues identified in recent examinations of investment advisers. Design/methodology/approach Summarizes deficiencies identified by the OCIE staff pertaining to advisory fees and expenses in the following categories: fee billing based on incorrect account valuations, billing fees in advance or with improper frequency, applying incorrect fee rates, omitting rebates and applying discounts incorrectly, disclosure issues involving advisory fees, and adviser expense misallocations. Findings In the Risk Alert, OCIE staff emphasized the importance of disclosures regarding advisory fees and expenses to the ability of clients to make informed decisions, including whether or not to engage or retain an adviser. Practical implications In light of the issues identified in the Risk Alert, advisers should assess the accuracy of disclosures and adequacy of policies and procedures regarding advisory fee billing and expenses. As a matter of best practice, advisers should implement periodic forensic reviews of billing practices to identify and correct issues relating to fee billing and expenses. Originality/value Expert guidance from experienced investment management lawyer.

Information search in times of market uncertainty: an examination of aggregate and disaggregate uncertainty

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Marshall A. Geiger ◽  
Rajib Hasan ◽  
Abdullah Kumas ◽  
Joyce van der Laan Smith
Keyword(s):  
Information Search ◽  
Institutional Investors ◽  
Volume Index ◽  
Individual Investor ◽  
Market Uncertainty ◽  
Data Set ◽  
Current Time ◽  
Content Type ◽  
Information Demand ◽  
Google Search

PurposeThis study explores the association between individual investor information demand and two measures of market uncertainty – aggregate market uncertainty and disaggregate industry-specific market uncertainty. It extends the literature by being the first to empirically examine investor information demand and disaggregate market uncertainty.Design/methodology/approachThis paper constructs a measure of information search by using the Google Search Volume Index and computes measures of aggregate and disaggregate market uncertainty using institutional investors' trading data from Ancerno Ltd. The relation between market uncertainty, as measured by trading disagreements among institutional investors, and information search is analyzed using an OLS (Ordinary Least Squares) regression model.FindingsThis paper finds that individual investor information demand is significantly and positively correlated with aggregate market uncertainty but not associated with disaggregated industry uncertainty. The findings suggest that individual investors may not fully incorporate all relevant uncertainty information and that ambiguity-related market pricing anomalies may be more associated with disaggregate market uncertainty.Research limitations/implicationsThis study presents an examination of aggregate and disaggregate measures of market uncertainty and individual investor demand for information, shedding light on the efficiency of the market in incorporating information. A limitation of our study is that our data for market uncertainty is based on investor trading disagreement from Ancerno, Ltd. which is only available till 2011. However, we believe the implications are generalizable to the current time period.Practical implicationsThis study provides the first concurrent empirical assessment of investor information search and aggregate and disaggregate market uncertainty. Prior research has separately examined information demand in these two types of market uncertainty. Thus, this study provides information to investors regarding the importance of assessing disaggregate component measures of the market.Originality/valueThis paper is the first to empirically examine investor information search and disaggregate market uncertainty. It also employs a unique data set and method to determine disaggregate, and aggregate, market uncertainty.

Large-cap vs small-cap portfolio performance: new empirical evidence from ETFs

2019 ◽  
Vol 18 (1) ◽  
pp. 71-94
Author(s):  
Gerasimos Rompotis
Keyword(s):  
Design Methodology ◽  
Portfolio Performance ◽  
Exchange Traded Funds ◽  
Investment Strategies ◽  
Time Data ◽  
Content Type ◽  
Risk Characteristics ◽  
The Usa ◽  
First Time ◽  
Practical Implications

PurposeA well-documented pattern in the literature concerns the outperformance of small-cap stocks relative to their larger-cap counterparts. This paper aims to address the “small-cap versus large-cap” issue using for the first time data from the exchange traded funds (ETFs) industry.Design/methodology/approachSeveral raw return and risk-adjusted return metrics are estimated over the period 2012-2016.FindingsResults are partially supportive of the “size effect”. In particular, small-cap ETFs outperform large-cap ETFs in overall raw return terms even though they fail the risk test. However, outperformance is not consistent on an annual basis. When risk-adjusted returns are taken into consideration, small-cap ETFs are inferior to their large-cap counterparts.Research limitations/implicationsThis research only covers the ETF market in the USA. However, given the tremendous growth of ETF markets worldwide, a similar examination of the “small vs large capitalization” issue could be conducted with data from other developed ETF markets in Europe and Asia. In such a case, useful comparisons could be made, so that we could conclude whether the findings of the current study are unique and US-specific or whether they could be generalized across the several international ETF markets.Practical implicationsA possible generalization of the findings would entail that profitable investment strategies could be based on the different performance and risk characteristics of small- and large-cap ETFs.Originality/valueThis is the first study to examine the performance of ETFs investing in large-cap stock indicesvis-à-visthe performance of ETFs tracking indices comprised of small-cap stocks.

The SEC turns up the heat on private equity expense allocations

2016 ◽  
Vol 17 (2) ◽  
pp. 35-38
Author(s):  
Samuel Lieberman ◽  
John T. Araneo
Keyword(s):  
Financial Services ◽  
Private Equity ◽  
Equity Fund ◽  
Content Type ◽  
Private Equity Fund ◽  
Fund Managers ◽  
Compliance Programs ◽  
Raising Awareness ◽  
The Us ◽  
Practical Implications

Purpose To discuss the US Securities and Exchange Commission’s (“SEC’s”) increasing focus on disclosure and conflict-of-interest problems arising from how private equity fund (“PE Fund”) managers allocate expenses between management and fund investors. Design/methodology/approach This article summarizes the background of this focus on expense allocations and, drawing from the recent SEC enforcement actions focused on this issue, and identifies the types of both expenses and disclosures that have caught SEC attention. Findings After spending the first two or three years post Dodd-Frank raising awareness of these issues, the SEC has begun to impose large fines over expense-allocation conflicts and disclosure issues. Practical implications It is imperative for PE Fund managers to retain counsel to review their fund offering documents, expense allocation practices, and compliance programs to ensure consistency with the SEC’s recent decisions on these issues. Originality/value Practical guidance from experienced financial services lawyers.

Limit Up–Limit Down: an effective response to the “Flash Crash”?

2016 ◽  
Vol 24 (4) ◽  
pp. 420-429 ◽  
Author(s):  
Viktoria Dalko
Keyword(s):  
High Frequency ◽  
Price Volatility ◽  
Effective Response ◽  
Content Type ◽  
Flash Crash ◽  
Price Momentum ◽  
Legal Enforcement ◽  
The Us ◽  
Contemporary Reality ◽  
Practical Implications

Purpose The purpose of this paper is to assess the US Securities and Exchange Commission’s new regulation, Limit Up–Limit Down (LULD), against the background of manipulative high-frequency trading (HFT). Design/methodology/approach This paper examines the background of HFT and related manipulative tactics by reviewing 43 articles of empirical research. It also examines areas in which LULD is effective and those in which LULD fails. The assessment of LULD is completed with a comparison between computerized regulation and legal enforcement in the contemporary reality of electronic trading platforms. Findings The paper points out the effectiveness of LULD in regulating wild price volatility as well as its insufficiency when facing orderly but fast price momentum ignited by manipulative HFT such as “spoofing”. Practical implications The findings may provide assistance to lawmakers and regulators to improve LULD regulation. Originality/value This paper is the first attempt to assess LULD regulation against a comprehensive background of manipulative HFT. The paper is of value to other researchers concerned about the instability to the equity market that manipulative HFT can create. The paper is also of interest to policymakers in designing effective regulation in the high-frequency era.

Virtual currency in sanctioned jurisdictions: stepping outside of SWIFT

2019 ◽  
Vol 20 (2) ◽  
pp. 39-44 ◽  
Author(s):  
Katherine Kirkpatrick ◽  
Christine Savage ◽  
Russell Johnston ◽  
Matthew Hanson
Keyword(s):  
Best Practices ◽  
Design Methodology ◽  
Virtual Currency ◽  
Content Type ◽  
The Us ◽  
Expert Analysis ◽  
Practical Implications ◽  
Foreign Assets

Purpose To understand and analyze sanctions evasion and enforcement via virtual currencies. Design/methodology/approach Discusses various jurisdictions’ attempts to further the use of virtual currency to facilitate and maximize access to international funds; analyzes the aspects that make virtual currency uniquely suited to evade sanctions; suggests best practices for industry participants to be sure to account for the differences in crypto asset structure and related risks. Findings The US Treasury Department’s Office of Foreign Assets Control (OFAC) has explicitly stated that despite virtual currency’s anonymity, industry participants are still responsible for policing and enforcing client compliance. Although sanctioned jurisdictions are thinking creatively about ways around SWIFT, the use of virtual currency to skirt sanctions presents certain challenges. Practical implications Virtual currency industry participants should understand OFAC’s specific guidance regarding compliance obligations in the cryptocurrency space, and should implement best practices and conservative measures to avoid unknowingly running afoul of sanctions laws. Originality/value Expert analysis and guidance from experienced investigations and sanctions lawyers.

The role of investment property appraisal in European real estate companies

2020 ◽  
Vol 13 (1) ◽  
pp. 105-122
Author(s):  
Juha Mäki
Keyword(s):  
European Union ◽  
Real Estate ◽  
Design Methodology ◽  
Annual Reports ◽  
Real Estate Industry ◽  
Publicly Traded ◽  
Content Type ◽  
The Real Estate ◽  
Practical Implications

Purpose This paper aims to examine the connection between appraisals of investment properties and earnings properties in companies from two perspectives: what kinds of companies employ the most reputable appraisers and how appraisers produce estimations. Design/methodology/approach The research uses annual reports of European Union (EU) publicly traded real estate companies and examines the period 2007-2016. Findings The contribution of this study lies in establishing that some indicators and features of real estate companies affect the choice of appraiser and also in illustrating differences in the results of property valuations. In short, smaller companies with weaker performance are less willing to use external valuation, and external appraisers produce more conservative estimations for investment properties. Practical implications The research produces beneficial information for investors and other stakeholders interested in the real estate industry. Originality/value This is the first novel study to examine the link between appraisals of investment properties and earnings properties in companies in detail.

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.

Asset concentration in the US agricultural balance sheet: a relative information approach

2018 ◽  
Vol 78 (4) ◽  
pp. 497-512
Author(s):  
Gulcan Onel ◽  
Jaclyn Kropp ◽  
Charles B. Moss
Keyword(s):  
Real Estate ◽  
Balance Sheet ◽  
State Level ◽  
United States Department ◽  
Factor Productivity ◽  
Content Type ◽  
Inequality Measures ◽  
The Us ◽  
The Usa ◽  
Real Estate Prices

Purpose Over the past four decades, real values of farm real estate and the share of assets on farmers’ balance sheets attributed to farm real estate have increased. The purpose of this paper is to examine the factors that explain the concentration of the US agricultural balance sheet around a particular asset, farm real estate, and the extent to which the degree of asset concentration varies across United States Department of Agriculture production regions. Design/methodology/approach State-level data from 48 states and entropy-based inequality measures are used to examine changes in asset distributions (real estate vs non-real estate assets) both within and between regions over time. Findings The agricultural balance sheet is found to concentrate into real estate in the USA over the period 1960-2003 with the rate of concentration varying across production regions. In some regions, the concentration is mainly due to changes in real estate prices, while in other regions concentration is also driven by changes in real estate holdings or changes in total factor productivity. Originality/value This study formally estimates the degree to which the concentration of balance sheet items can be explained by the observed changes in farm real estate prices relative to observed changes in agricultural factor productivity or changes in farm real estate holdings. The computed regional differences in asset concentration and its main drivers have implications for changes in equity and solvency positions of farmers as well as agricultural lenders’ risk exposure.

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