The Record of Long-Term Real Estate Securities

1936 ◽  
Vol 12 (1) ◽  
pp. 44 ◽  
Author(s):  
Ernest A. Johnson
Keyword(s):  
Real Estate ◽  
Real Estate Securities

An international analysis of time varying beta risk in listed real estate securities

2017 ◽  
Vol 35 (2) ◽  
pp. 116-134 ◽  
Author(s):  
Giacomo Morri ◽  
Federico Romito
Keyword(s):  
Real Estate ◽  
Stock Market ◽  
Recursive Least Squares ◽  
Time Varying ◽  
Content Type ◽  
The Real ◽  
The Real Estate ◽  
Beta Risk ◽  
Real Estate Securities

Purpose Listed real estate securities have historically been used to achieve an exposure to the real estate asset class and to obtain a broad spectrum of other specific features such as return enhancement, but whether they must be associated to the direct property or to the broad stock market is deceptive on a merely theoretical basis. Moreover, the global financial crisis (GFC) has questioned their risk/return characteristics. The purpose of this paper is to asses if listed real estate securities are still enough dissimilar from the broad stock market to provide remarkable diversification benefits for a long term investor. Design/methodology/approach The analysis has been developed on the FTSE EPRA/NAREIT Developed Index and at country level (USA, UK, France, Japan, Singapore, Hong Kong and Australia) from November 2001 to October 2013. The authors analysed the real estate index over a broad market index and adjusted for a possible bias related to heteroskedasticity and autocorrelation, using a least squared regression with Newey-West HAC Correction. A Recursive Least Squares (RLS) was also used to test the stability of the parameters with the CUSUM squared test and the Chow test. Finally the authors tested for cointegration with the Augmented Dickey Fuller and the Engle Granger tests. Findings The authors found that after the GFC the Beta-risk related to the stock market has witnessed a sharp increase, but with differences among country. While the USA, the UK and France have experienced a trend similar to the one described for the FTSE EPRA/NAREIT Developed Index, Asian Markets depict a quite stable Beta over the full sample (gradual increase for the Australian market). Evidence of a structural break in conjunction with 2008 crisis has been found only in USA, UK and France. Practical implications Listed real estate securities, even if characterised by time varying Beta-risk and partially reduced diversification benefits, are still worth to be included in long term horizon portfolios. However, more wary considerations should be drafted before investing in the Asian markets where evidence of cointegration was found only for the Japanese market. Originality/value Analysis of post GFC effect on direct property investment vs indirect listed investment worldwide.

The Practical Problems of Long-Term Real Estate Investing

1986 ◽  
Vol 1986 (1) ◽  
pp. 69-72
Author(s):  
David P. Feldman
Keyword(s):  
Real Estate

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.

The long‐term inflation hedging effectiveness of real estate and financial assets

2008 ◽  
Vol 25 (4) ◽  
pp. 267-278 ◽  
Author(s):  
Abeyratna Gunasekarage ◽  
David M. Power ◽  
Ting Ting Zhou
Keyword(s):  
Real Estate ◽  
Financial Assets ◽  
Hedging Effectiveness ◽  
Inflation Hedging

Crawford Development Co. and Southeast Bank of Texas

2007 ◽  
pp. 1-10
Author(s):  
Anton Ovchinnikov ◽  
Elena Loutskina ◽  
Casey Lichtendahl ◽  
Jayson Lipsey ◽  
Brian Burke
Keyword(s):  
Interest Rate ◽  
Real Estate ◽  
Financial Crises ◽  
Mortgage Market ◽  
Commercial Development ◽  
Residential Market ◽  
The Interest Rate ◽  
To Receive ◽  
Real Estate Financing

In the early months of the 2007-08 financial crises, a loan manager faces a real estate financing decision. Should he approve a bullet structure three-year loan to a longstanding client, a legendary Texan developer? The developer, who near retirement downsized his business, is seeking financing for his only project: residential or commercial development on an attractive piece of land in suburban Houston. The loan manager considers the decision in light of the mortgage market turmoil, seeing commercial projects as safer, but also factoring that the residential market could bring higher returns if the market stabilizes soon. The manager collects the data and asks an analyst to assess the risks; that ultimately requires assessing the economics of both projects from both the bank’s and the developer’s perspectives. The bank could still change the interest rate on the loan to receive adequate compensation for the risk it carries, but the loan manager knows that doing so will change their long-term client willingness to take on the loan.

International Real Estate Review

2016 ◽  
Vol 19 (3) ◽  
pp. 371-409
Author(s):  
Yuen-Meng Wong ◽  
Keyword(s):  
Real Estate ◽  
Interest Rates ◽  
Turn Of The Millennium ◽  
Market Returns ◽  
Stock Market Returns ◽  
Fully Integrated ◽  
Empirical Tests ◽  
Market Capitalisation ◽  
Domestic Stock

Real estate investment trusts (REITs) are a niche alternative investment class. Since their introduction in Asia at the turn of the millennium, the REIT market in the region has experienced phenomenal growth. In particular, the Malaysia REIT (M-REIT ) market capitalisation has seen a spectacular growth of close to 20 folds from its inception in 2005 until the end of 2013. This paper chronicles the development of the M-REIT market which is rather unique as it provides a common platform for the existence of both conventional and Islamic REITs. Empirical tests are also conducted to uncover the returns characteristics of the M-REIT market. M-REIT returns are significantly correlated with domestic stock markets but only weakly correlated with changes in interest rate, with long-term proxies having a stronger impact than short-term proxies. The results from a correlation analysis are further confirmed by regression testing which shows that M-REIT returns are most significantly driven by domestic stock market returns while only mildly by changes in interest rates and not significantly driven by returns in regional REIT markets. These findings possibly imply that M-REITs (i) subscribe more to the characteristics of equity than those of bonds, (ii) are not 'pure' yield-play instruments, (iii) are often regarded as long-term investment, and (iv) may not be fully integrated with global and regional REIT markets.

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