Geographic Portfolio Allocations, Property Selection and Performance Attribution in Public and Private Real Estate Markets

2016 ◽  
Vol 46 (2) ◽  
pp. 404-448 ◽  
Author(s):  
David C. Ling ◽  
Andy Naranjo ◽  
Benjamin Scheick
Keyword(s):  
Real Estate ◽  
Public And Private ◽  
Real Estate Markets ◽  
Performance Attribution ◽  
Portfolio Allocations ◽  
And Performance ◽  
Private Real Estate

scholarly journals International Real Estate Review

2016 ◽  
Vol 19 (1) ◽  
pp. 27-49
Author(s):  
William Mingyan Cheung ◽  
◽  
James Chicheong Lei ◽  
Desmond Tsang ◽  
◽  
...  
Keyword(s):  
Real Estate ◽  
Price Discovery ◽  
Common Factor ◽  
Significant Proportion ◽  
Real Estate Market ◽  
Reverse Causality ◽  
Public And Private ◽  
Real Estate Markets ◽  
The Public ◽  
Private Real Estate

This study examines whether property transaction affects the price discovery process in real estate markets. Prior literature shows that price discovery generally first takes place in the securitized public real estate investment trust (REIT) market. We conjecture that property transaction provides novel information to the direct real estate market and can change the dynamics between public and private real estate returns. We employ a unique dataset of property transactions to construct "transaction windows¨ and specifically examine the causality between public and private real estate markets around these periods. We form firm-level pairs of public and private price series, and estimate the normalized common factor loadings per Gonzalo and Granger (1995) by using a vector error-correction model. Our findings show that a significant proportion of price discovery happens in the private market instead of the public REIT market. Our results are robust to investments of different property types and different lengths of transaction windows. Overall, the findings in this study imply that property acquisition and disposition provide crucial information to the private real estate market and induce a reverse causality between the public and private markets.

The Anatomy of Public and Private Real Estate Return Premia

2018 ◽  
Vol 56 (3) ◽  
pp. 500-523 ◽  
Author(s):  
Tim A. Kroencke ◽  
Felix Schindler ◽  
Bertram I. Steininger
Keyword(s):  
Real Estate ◽  
Public And Private ◽  
Private Real Estate

scholarly journals Closed-End Real Estate Funds in Comparison with other Investment Opportunities in Poland

2017 ◽  
Vol 25 (1) ◽  
pp. 19-31 ◽  
Author(s):  
Rafal Wolski ◽  
Magdalena Załęczna
Keyword(s):  
Real Estate ◽  
Real Estate Market ◽  
Investment Fund ◽  
Investment Funds ◽  
Real Estate Markets ◽  
The Real Estate ◽  
The Real Estate Market ◽  
Commercial Market ◽  
Dynamic Growth ◽  
And Performance

Abstract The first closed-end real estate investment funds in Poland began to appear in 2004, along with the development of the capital market and the real estate market. The funds invested both in the housing market and in the commercial market. In general, they encouraged potential investors to purchase investment fund units by pointing to positive results obtained by similar funds in other countries, as well as the dynamic growth of prices in domestic real estate markets. However, the analysis of the performance of closed-end real estate funds in Poland shows that they have failed to earn satisfactory rates of return. The aim of the study was to compare their performance with the profitability of other investment instruments in the 2004 to 2014 period. In addition, the authors aimed to establish why closed-end real estate funds had failed to succeed in Poland, by analyzing, among other things, their institutional context. The study was based on a comparison of the characteristics and performance of particular funds, and also analyzed the profitability of selected alternative investments.

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