A Wavelet-Based Study of Systematic Risk: The Public Real Estate Markets Case

2018 ◽  
Author(s):  
Kim Hiang Liow ◽  
Xiaoxia Zhou
Keyword(s):  
Real Estate ◽  
Systematic Risk ◽  
Real Estate Markets ◽  
The Public

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.

Understanding Systematic Risk in Real Estate Markets

2013 ◽  
Vol 22 (2) ◽  
pp. 165-201 ◽  
Author(s):  
Cristian Voicu ◽  
Michael Seiler
Keyword(s):  
Real Estate ◽  
Systematic Risk ◽  
Real Estate Markets

scholarly journals The economic and spatial restructuring and development process in the North Sector of the Metropolitan Region of Belo Horizonte, Minas Gerais

2017 ◽  
Vol 19 (2) ◽  
pp. 310 ◽  
Author(s):  
Luciano Dos Santos Diniz ◽  
Maura Pardini Bicudo Véras
Keyword(s):  
Real Estate ◽  
Peripheral Region ◽  
Metropolitan Region ◽  
High Tech ◽  
Public Authorities ◽  
Real Estate Markets ◽  
The Public ◽  
The North ◽  
Spatial Restructuring ◽  
Belo Horizonte

This aim of this study is to evaluate the economic and spatial restructuring process implemented by the public authorities in the North Sector of the Metropolitan Region of Belo Horizonte, and the appropriation of space by the land and real estate markets in the north and periphery of the capital, seeking to identify the elements that have contributed to altering the land order and to the elitization of spaces. The metropolitan strategic plan sought to diversify the industrial base of the region by attracting investments and creating high-tech hubs. In order to ensure its greater competitiveness on the global stage, it was accompanied by large public infrastructure works and support services. The present study has concluded that the modifying actions undertaken by the public authorities have influenced the valorization of urban land, the appropriation of the space by the land/real estate markets and the elitization of the north and peripheral region of the capital, thus supporting the thesis of the city as an urban growth machine.

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