THE IMPACT OF COUNTRY RISK ON INTERNATIONAL REAL ESTATE RETURNS

The Impact of Market Imperfections on Real Estate Returns and Optimal Investor Portfolios

Real Estate Economics ◽

10.1111/1540-6229.00532 ◽

1990 ◽

Vol 18 (4) ◽

pp. 453-478 ◽

Cited By ~ 15

Author(s):

Crocker H. Liu ◽

Terry V. Grissom ◽

David J. Hartzell

Keyword(s):

Real Estate ◽

Market Imperfections ◽

Real Estate Returns ◽

The Impact

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International listed real estate returns: evidence from the global financial crisis

Journal of Property Investment and Finance ◽

10.1108/jpif-03-2018-0021 ◽

2019 ◽

Vol 37 (1) ◽

pp. 72-91

Author(s):

Alain Coën ◽

Patrick Lecomte

Keyword(s):

Financial Crisis ◽

Real Estate ◽

Serial Correlation ◽

Global Financial Crisis ◽

Publicly Traded ◽

Content Type ◽

Real Estate Returns ◽

Fama And French ◽

And Performance ◽

The Impact

PurposeThe purpose of this paper is to analyze and revisit the risk and performance of publicly traded real estate companies from 14 countries over the period 2000–2015, marked by the unprecedented Global Financial Crisis, in presence of errors-in-variables (EIV) and illiquidity (measured by serial correlation, following Getmanskyet al.(2004)).Design/methodology/approachThe authors extend the seminal work of Bondet al.(2003), and shed a new light on the relative performance of listed real estate before and after the GFC. First, the authors suggest the use of various asset pricing models (APM) including the Fama and French (2015) five-factor APM with global and country-level factors. Second, the authors implement unbiased estimators to correct for the econometric bias induced by EIV in APM. Third, the authors deal with the impact of illiquidity (measured by serial correlation) on the risk properties of international securitized real estate returns.FindingsThe findings show that post-GFC, a radical change in international listed real estate risk factors has resulted in more homogeneous markets internationally and less diversification opportunities for international investors.Practical implicationsThe authors suggest the use of robust linear APM (including the Fama and French (2015) five-factor APM) to analyze the risk and performance of publicly traded real estate companies from 14 countries over the period 2000–2015.Originality/valueThe authors analyze and revisit the risk and performance of publicly traded real estate companies from 14 countries over the period 2000–2015, marked by the unprecedented Global Financial Crisis.

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