scholarly journals The Time-Varying Nature of Reits

2018 ◽  
Vol 26 (1) ◽  
pp. 26-38
Author(s):  
Bing Zhu
Keyword(s):  
Real Estate ◽  
Time Varying ◽  
Property Market ◽  
True Nature ◽  
Optimal Weights ◽  
Long Run ◽  
Asset Portfolio ◽  
Asset Class ◽  
Informational Environment

Abstract This paper investigates changes in the nature of REITs by estimating the time-varying long-run relationship among securitized real estate, direct real estate, and stock performance. The informational environment of U.S. REITs has matured gradually since their introduction. As more information on this asset class has become available, the “true” nature of REITs has thus become more apparent. We find that the long-term elasticity of direct real estate total returns on REIT total returns has increased since 1980, and became significant at the beginning of the 1990s, while the elasticity of general equity total returns remained insignificant. During the 2000s, the underlying property market was able to predict nearly 30% of REIT variance in the long term. Consequently, ignoring changes in the “nature” of REITs may lead to an underestimation of the influence from the underlying property market, and misspecification of the optimal weights in the long-term inter-asset portfolio.

scholarly journals Diversifikationsvorteile verbriefter Immobilienanlagen in einem Mixed-Asset-Portfolio

2011 ◽  
Vol 12 (2) ◽  
pp. 170-191 ◽  
Author(s):  
Roland Füss ◽  
Felix Schindler
Keyword(s):  
Real Estate ◽  
Asset Allocation ◽  
Hedge Funds ◽  
Cash Flows ◽  
Investment Horizon ◽  
Long Run ◽  
Asset Portfolio ◽  
Asset Classes ◽  
International Investors

AbstractThis article examines whether international investors benefit from adding real estate investment trusts (REITs) to a mixed asset portfolio consisting of global stocks, bonds, hedge funds, and commodities. Previous literature has shown that REITs provide a strong co-movement with direct real estate in the long run. We therefore test the diversification potential of international REITs within the strategic asset allocation. Using the Johansen cointegration technique, we show that there is no long-term co-movement between REITs and the other asset classes in the period from January 1990 to December 2009. Thus, the empirical evidence suggests that REITs improve the diversification potential for active investors and those with a long-term investment horizon by simultaneously generating continuous cash flows.

scholarly journals DIVERSIFICATION BENEFITS IN THE FINNISH COMMERCIAL PROPERTY MARKET

2009 ◽  
Vol 13 (1) ◽  
pp. 23-35 ◽  
Author(s):  
Heidi Falkenbach
Keyword(s):  
Real Estate ◽  
21St Century ◽  
Portfolio Theory ◽  
Early Years ◽  
Property Market ◽  
Commercial Property ◽  
Main Motivation ◽  
Real Estate Investments ◽  
Asset Portfolio ◽  
In The Beginning

The Finnish commercial property market internationalised rapidly in the beginning of the 21st century. According to the portfolio theory and previous research on international property investments, the main motivation factor driving international real estate investments is the possibility to reach diversification benefits. The paper discusses the diversification benefits offered by the Finnish property market in its early years of internationalisation. As international real estate investors in the Finnish property market include investors with both real estate only, as well as mixed‐asset portfolios, the diversification benefits are studied both in terms of a Finnish mixed-asset portfolio, as well as international real estate portfolio. Santruka XXI a. pradžioje Suomijos komercinio nekilnojamojo turto rinkoje sparčiai vyko tarptautiniai procesai. Remiantis portfelio teorija ir ankstesniais tyrimais apie tarptautines investicijas i nekilnojamaji turta, pag rindinis veiksnys, kuris skatina tarptautines nekilnojamojo turto investicijas ‐ tai galimybe gauti diversifi kacijos teikiama nauda. Darbe aptariama, kokia nauda siūle Suomijos nekilnojamojo turto rinka ankstyvaisiais internacionalizacijos metais. Kadangi kai kurie Suomijos nekilnojamojo turto rinkoje veikiantys tarptautiniai nekilnojamojo turto investuotojai užsiima tik nekilnojamuoju turtu, o yra ir tokiu, kurie turi mišraus turto portfelius, diversifi kacijos nauda nagrinejama ir pagal Suomijos mišraus turto portfeli, ir pagal tarptautini nekilnojamojo turto portfeli.

scholarly journals Modelling the drivers of the UK multi-let industrial property market: an exploratory study

2020 ◽  
Vol 38 (4) ◽  
pp. 585-596
Author(s):  
David Higgins ◽  
Tsvetomira Vincent ◽  
Peter Wood
Keyword(s):  
Real Estate ◽  
Hedonic Pricing ◽  
Valuable Insight ◽  
Pricing Model ◽  
Property Market ◽  
Industrial Property ◽  
Content Type ◽  
Hedonic Pricing Model ◽  
Significant Difference ◽  
Asset Class

PurposeMulti-let industrial (MLI) estates are an emerging £15 billion UK real estate asset class that can offer attractive returns, a diversified income base, constrained supply and extensive management opportunities to add value within an operational platform. This investment appeal is supported by the evolving MLI occupier market with the growth of small to medium enterprises (SME) requiring modern urban business space driven in part by technology advances offering new streams of supply chain connectivity between businesses and potential clients at a local level.Design/methodology/approachTo understand more about MLI properties, this study utilises a hedonic pricing model to quantify property values as a function of defined variables. The dataset used for this research is a sample portfolio of 26 multi-let industrial properties. The dataset was analysed alongside eleven physical, financial and locational factors. Interestingly, the hedonic pricing model results showed that only four characteristics are value-affecting across the selected properties: namely (1) Granularity of the property income, (2) Distance from the nearest motorway, (3) Distance to the nearest town centre and (4) Gross internal floor area. A chi–test confirmed that there was no significant difference between the modelled values and the supplied property valuations.FindingsThis preliminary study offers valuable insight into MLI property market drivers and could easily form a simple decision-making tool to examine potential MLI opportunities in this developing real estate asset class.Originality/valueIn detailing these key MLI property features, current research is limited and focused primarily on market commentary. New knowledge on the MLI property market can provide a platform creating interesting opportunities for fund managers with an intensive management engagement strategy.

Equity Release Mortgages

2017 ◽  
Author(s):  
Radu S. Tunaru
Keyword(s):  
Real Estate ◽  
Elderly People ◽  
Long Term Care ◽  
Term Care ◽  
New Frontier ◽  
The Future ◽  
Asset Class ◽  
Reverse Mortgages

This chapter is dedicated to equity reversemortgages,which are greatly affected by negative equity so implicitly by real-estate risk. For reverse mortgages negative equity is not a trigger for defaults as with standard mortgages. The lenders may be able to overcome negative equity situations if the loans are not terminated during a period of negative equity. Reversemortgages open a new frontier for applications of real-estate derivatives. They are an important asset class for the future and they will facilitate a better distribution of risks in society, helping elderly people to overcome cash provision problems and also helping governments to reduce the burden of increasing costs for long-term care.

scholarly journals THE DYNAMIC OF RETURNS AND VOLATILITY OF MALAYSIAN LISTED PROPERTY COMPANIES IN ASIAN PROPERTY MARKET

2015 ◽  
Vol 19 (1) ◽  
pp. 66-83 ◽  
Author(s):  
Muhammad Najib RAZALI
Keyword(s):  
Real Estate ◽  
Real Estate Market ◽  
Empirical Literature ◽  
Asian Countries ◽  
Property Market ◽  
The Past ◽  
Property Companies ◽  
High Volatility ◽  
International Investors

This paper examines the dynamics of return and dynamic volatility across the Malaysian and pan-Asian countries’ listed property companies market over the period January 1998 to August 2012. Listed property companies’ portfolios have the potential to offer high returns and low risks for long-term investments for individuals as well as institutional investors. As such, it is important to assess the return and volatility level of the Malaysian listed property companies market in the dynamic region of pan-Asian countries. This paper uses ARCH and GARCH models to empirically examine the dynamic volatility of listed property companies in 12 pan-Asian countries. The findings revealed that for the past 14-years Malaysia experienced moderately high volatility levels in term of investment in listed property companies. This study will contribute significantly to the empirical literature on the volatility dynamics of the Malaysian property market in international real estate portfolios. In particular, the findings from the study will be useful for international investors to better understand the potential portfolio implications of investing in the Malaysian real estate market.

International Real Estate Review

2014 ◽  
Vol 17 (1) ◽  
pp. 1-22
Author(s):  
Martin Hoesli ◽  
◽  
Eva Liljeblom ◽  
Anders Löflund ◽  
◽  
...  
Keyword(s):  
Real Estate ◽  
Partial Explanation ◽  
Optimal Weight ◽  
Bear Markets ◽  
Bond Portfolio ◽  
Bull Markets ◽  
Ex Ante ◽  
Asset Portfolio ◽  
Asset Class ◽  
Illiquid Asset

We test relative illiquidity, exemplified through a temporary lock-up, as a partial explanation for the gap between theoretical and empirical weights for real estate in a multi-asset portfolio. Since asset correlations are known to increase in bear markets, which reduce their diversification benefits, the ex-ante knowledge of a lock-up in an asset class that offers diversification benefits in bull markets (Hung et al., 2008) may reduce the optimal weight that an investor wishes to put in it ex-ante. By using dynamic multiperiod portfolio policies by Brandt and Santa-Clara (2006), and introducing a lock-up in line as per de Roon et al. (2009), we study the effects of a partial lock-up on the weight for REITs in a U.S. stock and bond portfolio. We find support for our prediction, in the form of lower weights for the illiquid asset once a lock-up is introduced.

The long-term linkages between direct and indirect property in Australia

2015 ◽  
Vol 33 (4) ◽  
pp. 374-392 ◽  
Author(s):  
Jaime Yong ◽  
Anh Khoi Pham
Keyword(s):  
Moving Average ◽  
Property Market ◽  
Short Term ◽  
Content Type ◽  
Property Data ◽  
Cointegration Tests ◽  
Causality Tests ◽  
Asset Portfolio ◽  
Asset Classes

Purpose– Investment in Australia’s property market, whether directly or indirectly through Australian real estate investment trusts (A-REITs), grew remarkably since the 1990s. The degree of segregation between the property market and other financial assets, such as shares and bonds, can influence the diversification benefits within multi-asset portfolios. This raises the question of whether direct and indirect property investments are substitutable. Establishing how information transmits between asset classes and impacts the predictability of returns is of interest to investors. The paper aims to discuss these issues.Design/methodology/approach– The authors study the linkages between direct and indirect Australian property sectors from 1985 to 2013, with shares and bonds. This paper employs an Autoregressive Fractionally Integrated Moving Average (ARFIMA) process to de-smooth a valuation-based direct property index. The authors establish directional lead-lag relationships between markets using bi-variate Granger causality tests. Johansen cointegration tests are carried out to examine how direct and indirect property markets adjust to an equilibrium long-term relationship and short-term deviations from such a relationship with other asset classes.Findings– The authors find the use of appraisal-based property data creates a smoothing bias which masks the extent of how information is transmitted between the indirect property sector, stock and bond markets, and influences returns. The authors demonstrate that an ARFIMA process accounting for a smoothing bias up to lags of four quarters can overcome the overstatement of the smoothing bias from traditional AR models, after individually appraised constituent properties are aggregated into an overall index. The results show that direct property adjusts to information transmitted from market-traded A-REITs and stocks.Practical implications– The study shows direct property investments and A-REITs are substitutible in a multi-asset portfolio in the long and short term.Originality/value– The authors apply an ARFIMA(p,d,q) model to de-smooth Australian property returns, as proposed by Bond and Hwang (2007). The authors expect the findings will contribute to the discussion on whether direct property and REITs are substitutes in a multi-asset portfolio.

THE PERFORMANCE AND SIGNIFICANCE OF ISLAMIC REITs IN A MIXED-ASSET PORTFOLIO

2015 ◽  
Vol 77 (26) ◽  
Author(s):  
Ahmad Tajjudin Rozman ◽  
Nurul Afiqah Azmi ◽  
Hishamuddin Mohd. Ali ◽  
Muhammad Najib Mohamed Razali
Keyword(s):  
Performance Analysis ◽  
Real Estate ◽  
Correlation Analysis ◽  
Capital Market ◽  
Real Estate Investment Trusts ◽  
Real Estate Investment ◽  
Low Correlation ◽  
Time Period ◽  
Asset Portfolio ◽  
Asset Class

Islamic Real Estate Investment Trusts (I-REITs) have been established to enhance the Islamic Capital Market. Almost 10 years of establishment of I-REITs, it is interesting to study the performance of this Islamic property investment vehicle because it is a potential and unique asset class that not fully explored. This paper examines the risk-adjusted performance analysis and correlation analysis between I-REITs in a mixed asset portfolio. The time period of study is from November 2008 to December 2014. I-REITs were compare in a mixed asset portfolio consists of shares and bonds. The results show that I-REITs outperform both shares market and bonds market. While I-REITs give high diversification benefits for the share and bond investors with low correlation between I-REITs, shares and bonds.

INVESTIGATION OF CONVERGENCE OF RETURNS ON STOCK MARKETS IN IRAN

2017 ◽  
Vol 3 (1) ◽  
pp. 23
Author(s):  
Mehdi Shirafkan ◽  
Sarah Masoomzadeh ◽  
Morteza Sayareh
Keyword(s):  
Real Estate ◽  
Nuclear Fuel ◽  
Confidence Level ◽  
Stock Markets ◽  
Pharmaceutical Products ◽  
Asset Markets ◽  
Industrial Companies ◽  
Long Run ◽  
Asset Portfolio ◽  
Chemical Products

PURPOSE Due to the nature of the assets in Iran, markets such as stock markets are options facing investors as asset portfolio, with different returns. Usually, investors are looking for higher returns. By accumulation of investors on markets with higher returns, it is expected that the long-run returns of such markets be decreased, which leads to the induction of difference between these markets’ returns with other markets. This can be named as returns convergence of different asset markets. METHODOLOGYThis study aims to also examine the returns convergence of stock markets in Iran over the period 2009:05- 2016:02, using Nahar and Inder method. This method examines the returns convergence of each of these markets to the average returns of them.MAIN FINDINGSBased on the results, the returns of banks and credit institutions, industrial companies, mining of metal ores, chemical products, refined petroleum and nuclear fuel, cement are converged to the average returns. All coefficients are statistically significant at a confidence level of ten percent. But basic metals, telecommunications, multidisciplinary, automobile and parts, engineering services, materials and Manufacture of coke, lime and plaster, materials and pharmaceutical products, transport, storage and communications, computer and related activities, mass product, real estate and food products and Beverage except sugar`s returns has not converged to the average returns.IMPLICATIONS This study can be called as the convergence of diverse market. Namely, returns of different investment markets will be converged on each other in the long term.NOVELTY/ ORIGINALITY The present study, when focusing on the examination the returns convergence of stock markets in Iran, differs from the previous researches. 

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