scholarly journals Brazilian REIT: Alternative Investment to Real Estate, Stock and Bonds

2017 ◽  
Vol 14 (4) ◽  
pp. 523
Author(s):  
Karen Yukari Yokoyama ◽  
Alfredo Sarlo Neto ◽  
Cláudio Márcio Pereira da Cunha
Keyword(s):  
Real Estate ◽  
Econometric Model ◽  
Stock Exchange ◽  
Portfolio Theory ◽  
Market Returns ◽  
Hybrid Nature ◽  
Proposed Model ◽  
Asset Class ◽  
Market Factors ◽  
Real Estate Securities

Given the recent expansion of real estate securities in the Brazilian market, the present study examines Brazilian REITs (FIIs) returns’ exposure to underlying market returns (real estate, stock and bond) in order to assess evidence of diversification power provided by this investment type in light of Modern Portfolio Theory. The research considers a sample of FIIs listed on the São Paulo Stock Exchange, during the period of 2008-2014, applying Clayton and Mackinnon´s (2003) methodology, where the econometric model explaining REIT returns is decomposed into three market factors. Results indicate that although FII returns reflect their hybrid nature, the proposed model is not sufficient to explain their total returns, suggesting that FII performance is not primarily driven by any of these underlying markets. In fact, FII would consist of a unique asset class and as such may provide diversification benefits in a mixed portfolio, depending on the selected FII type.

scholarly journals Pricing ESG Equity Ratings and Underlying Data in Listed Real Estate Securities

2021 ◽  
Vol 13 (4) ◽  
pp. 2037 ◽  
Author(s):  
Dirk Brounen ◽  
Gianluca Marcato ◽  
Hans Op ’t Veld
Keyword(s):  
Real Estate ◽  
Best Practices ◽  
Stock Returns ◽  
The Real Estate ◽  
Public Property ◽  
European Public ◽  
Property Companies ◽  
Real Estate Securities ◽  
The Impact ◽  
European Markets

By analyzing the adoption of the European Public Real Estate Association’s (EPRA) Sustainability Best Practices Recommendations (sBPR), we examine and discuss the application of transparent environmental, social and governance (ESG) ratings and their interaction with public real estate performance across European markets. Due to increasing concerns about the environment and the impact of investment on society at large, public property companies have made significant progress in improving transparency and enhancing the protection of shareholder value by sharing and reporting ESG best practices. We explore and review the EPRA sBPR database, which is highly useful for investors who are already screening listed real estate companies. Hence, in this project, we carefully study the diffusion process of this new ESG metric as a tool to enhance informational transparency regarding public real estate investment management and assess the effects of this transparency and ESG performance for the real estate stock returns. We find evidence of a sustainability premium that investors are willing to pay to access companies with better sustainable ratings.

Low-frequency volatility of real estate securities and macroeconomic risk

2017 ◽  
Vol 58 ◽  
pp. 311-342 ◽  
Author(s):  
Chyi Lin Lee ◽  
Simon Stevenson ◽  
Ming-Long Lee
Keyword(s):  
Real Estate ◽  
Low Frequency ◽  
Macroeconomic Risk ◽  
Real Estate Securities

scholarly journals Real estate as a portfolio risk diversifier

2016 ◽  
Vol 13 (2) ◽  
pp. 45-52
Author(s):  
Ahmad Etebari
Keyword(s):  
Real Estate ◽  
Portfolio Risk ◽  
Optimal Portfolios ◽  
Investment Performance ◽  
Optimization Framework ◽  
Expected Inflation ◽  
Common Stocks ◽  
Asset Class ◽  
The U.S ◽  
Return Data

This study provides evidence on the investment performance of real estate relative to bonds and common stocks in the U.S. Using quarterly total return data over the years 1978-2012, the analyses show that, over this period, on a risk-adjusted basis real estate was the top performing asset class, outperformed both bonds and stocks. Real estate, in the Eastern U.S., was the top performer, outperforming both bonds and stocks. The results also show that real estate provided a partial hedge against actual and expected inflation, and that, in combinations with bonds and stocks, it made up a major share of optimal portfolios constructed for various target returns within the Markowitz optimization framework

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