Volatility differences between the public and private real estate markets

2004 ◽  
Vol 4 (2) ◽  
pp. 107-117 ◽  
Author(s):  
Philip Conner ◽  
Robert Falzon
Keyword(s):  
Real Estate ◽  
Public And Private ◽  
Real Estate Markets ◽  
The Public ◽  
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.

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.

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 Exploring Tools for Public Real Estate Enhancement in Italy: From Criteria to Decisions

2021 ◽  
Vol 13 (2) ◽  
pp. 622
Author(s):  
Marzia Morena ◽  
Genny Cia ◽  
Alessandra Migliore ◽  
Stefano Mantella
Keyword(s):  
Decision Making ◽  
Real Estate ◽  
Public Administration ◽  
Public Utility ◽  
Decision Making Process ◽  
Public And Private ◽  
The Real Estate ◽  
The Public ◽  
Public Property ◽  
Technical Features

The debate on public real estate enhancement is prominent and requires innovative strategies to assure economic and social sustainability. This article aims at systematizing the currently available methods and tools of public property enhancement in Italy, proposing a system of criteria to support the public administration (PA) in the decision-making process when managing public real estate enhancement oriented towards public utility. Namely, this article considers and assesses consolidated and innovative public real estate enhancement methods and tools currently available to the Italian PA according to the “endogenous criteria” of the real estate tools and “criteria of purpose” of the public administration promoting the enhancement process. The final aim is to support the decision-making process of PAs and help both public and private actors in grasping and managing the complexity of public real estate enhancement. An overview of the literature and of reference laws on public property enhancement builds the research framework, together with a path of research, dialogues, and fieldworks with the Italian State Property Agency (Agenzia del Demanio). The decision-making process of PAs for selecting a suitable enhancement strategy or tool should rest on endogenous criteria and criteria of purpose. Specifically: (i) the distinct technical features of each public asset; (ii) the public utility aim that the public entity intends to pursue; (iii) the needs of the community (i.e., the demand); (iv) the skills available within the PA that promotes the strategy.

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