scholarly journals International Real Estate Review

2021 ◽  
Vol 24 (1) ◽  
pp. 59-85
Author(s):  
Dongjoong Kim ◽  
◽  
Changha Jin ◽  
Jin Man Lee ◽  
◽  
...  
Keyword(s):  
Real Estate ◽  
Structural Equation ◽  
Equation Model ◽  
Commercial Real Estate ◽  
Corporate Bond ◽  
Probability Models ◽  
Holding Period ◽  
Foreign Countries ◽  
Multinomial Probability ◽  
Real Estate Investments

Financial globalization has enabled investors to allocate some of their portfolio assets to foreign countries and alternative assets. This environment has also created an increase in investment in international real estate especially in the emerging markets. In this study, we investigate whether foreign real estate investors outperform domestic investors after controlling for property specific characteristics. Using property level transaction data of Korea from 2003 to 2016, we also examine the characteristics of commercial real estate investment associated with the probability of an acquirer being a foreign investor versus a domestic investor. The binary and multinomial probability models are used to test our research hypothesis and the structural equation model is applied to find the determinants of the internal rate of return. The result reveals foreign investors perform better than domestic investors in a holding period analysis. Furthermore, the findings support that foreign direct and indirect real estate investments are statistically significant to the age of the building, corporate bond and exchange rates, growth domestic product growth, and the equity market movement in the domestic market.

Asset-Level Risk and Return in Real Estate Investments

2020 ◽  
Author(s):  
Jacob S Sagi
Keyword(s):  
Real Estate ◽  
Private Equity ◽  
Structural Model ◽  
Commercial Real Estate ◽  
Liquid Asset ◽  
Equilibrium Search ◽  
Asset Pricing Model ◽  
Holding Period ◽  
Real Estate Investments ◽  
Illiquid Asset

Abstract In stark contrast with liquid asset returns, commercial real estate idiosyncratic return means and variances do not scale with the holding period, even after accounting for all cash flow-relevant events. This puzzling phenomenon survives controlling for vintage effects, systematic risk heterogeneity, and a host of other explanations. To explain the findings, I derive an equilibrium search-based asset-pricing model that, when calibrated, provides an excellent fit to transactions data. A structural model of transaction risk seems crucial to understanding real estate price dynamics. These insights extend to other highly illiquid asset classes, such as private equity and residential real estate.

scholarly journals Measurement and drivers of time to transact UK commercial real estate investments

2015 ◽  
Author(s):  
David Scofield ◽  
Steven Devaney
Keyword(s):  
Real Estate ◽  
Commercial Real Estate ◽  
Real Estate Investments

The Walkability Premium in Commercial Real Estate Investments

2011 ◽  
Vol 39 (2) ◽  
pp. 185-219 ◽  
Author(s):  
Gary Pivo ◽  
Jeffrey D. Fisher
Keyword(s):  
Real Estate ◽  
Commercial Real Estate ◽  
Real Estate Investments

scholarly journals The impact of lease structures on the optimal holding period for a commercial real estate portfolio

2015 ◽  
Vol 33 (2) ◽  
pp. 121-139 ◽  
Author(s):  
Charles-Olivier Amédée-Manesme ◽  
Michel Baroni ◽  
Fabrice Barthélémy ◽  
Mahdi Mokrane
Keyword(s):  
Real Estate ◽  
Portfolio Management ◽  
Cash Flows ◽  
Commercial Real Estate ◽  
Content Type ◽  
Holding Period ◽  
Specific Risk ◽  
The Impact ◽  
Real Estate Assets ◽  
Rental Value

Purpose – The purpose of this paper is to demonstrate the impact of lease duration and lease break options on the optimal holding period for a real estate asset or portfolio. Design/methodology/approach – The authors use a Monte Carlo simulation framework to simulate a real estate asset’s cash flows in which lease structures (rent, indexation pattern, overall lease duration and break options) are explicitly taken into account. The authors assume that a tenant exercises his/her option to break a lease if the rent paid is higher than the market rental value (MRV) of similar properties. The authors also model vacancy duration stochastically. Finally, capital values and MRVs, assumed to be correlated, are simulated using specific stochastic processes. The authors derive the optimal holding period for the asset as the value that maximizes its discounted value. Findings – The authors demonstrate that, consistent with existing capital markets literature and real estate business practice, break options in leases can dramatically alter optimal holding periods for real estate assets and, by extension, portfolios. The paper shows that, everything else being equal, shorter lease durations, higher MRV volatility, increasing negative rental reversion, higher vacancy duration, more break options, all tend to decrease the optimal holding period of a real estate asset. The converse is also true. Practical implications – Practitioners are offered insights as well as a practical methodology for determining the ex-ante optimal holding period for an asset or a portfolio based on a number of market and asset-specific parameters including the lease structure. Originality/value – The originality of the paper derives from its taking an explicit modelling approach to lease duration and lease breaks as additional sources of asset-specific risk alongside market risk. This is critical in real estate portfolio management because such specific risk is usually difficult to diversify.

scholarly journals Analisis Faktor–Faktor Yang Mempengaruhi Investment Opportunity Set Dan Implikasinya Terhadap Return Saham

2019 ◽  
Vol 28 (01) ◽  
pp. 1-27
Author(s):  
Dian Kusumawati ◽  
Muhammad Anhar
Keyword(s):  
Real Estate ◽  
Structural Equation Model ◽  
Structural Equation ◽  
Equation Model ◽  
Investment Opportunity ◽  
Investment Opportunity Set

Abstrak- Penelitian ini bertujuan untuk menguji struktur modal, ukuran perusahaan, pertumbuhan penjualan, profitabilitas, likuiditas, investment opportunity set dan return saham.  Penelitian ini dilakukan pada 30 perusahaan properti dan real estate yang terdaftar di Bursa Efek Indonesia pada periode pengamatan 2013-2017 dengan jumlah sampel 150 perusahaan properti dan real estate. Teknik pengumpulan data menggunakan metode dokumentasi di situs resmi bursa efek indonesia dan yahoo finance. Data penelitian ini menggunakan data panel, dan untuk menguji variabel intervensi dengan Structural Equation Model (SEM). Hasilnya adalah struktur modal tidak memiliki pengaruh pada investment opportunity set; ukuran perusahaan tidak memiliki pengaruh pada investment opportunity set; pertumbuhan penjualan tidak memiliki pengaruh pada investment opportunity set; profitabilitas memiliki pengaruh pada investment opportunity set; likuiditas memiliki pengaruh pada investment opportunity set; dan faktor-faktor yang mempengaruhi investment opportunity set mampu meningkatkan pengaruh investment opportunity set terhadap return saham. Hal ini digambarkan dengan hubungan profitabilitas, investment opportunity set dan return saham yang berpengaruh signifikan dan hubungan struktur modal, investment opportunity set dan return saham yang berpengaruh signifikan.

Measuring Risk in Commercial Real Estate Investments

1995 ◽  
Vol 1995 (3) ◽  
pp. 50-60
Author(s):  
Khaled Salama
Keyword(s):  
Real Estate ◽  
Commercial Real Estate ◽  
Real Estate Investments

SEL versus SUL: managing seismic risk in commercial real estate investments

2010 ◽  
Vol 21 (6) ◽  
pp. 389-404 ◽  
Author(s):  
Charles C. Thiel ◽  
Thomas E. Kosonen ◽  
David A. Stivers
Keyword(s):  
Real Estate ◽  
Seismic Risk ◽  
Commercial Real Estate ◽  
Real Estate Investments
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