scholarly journals International Real Estate Review

2018 ◽  
Vol 21 (2) ◽  
pp. 145-168
Author(s):  
Yang Deng ◽  
◽  
Helen X. H. Bao ◽  
Pu Gong ◽  
◽  
...  
Keyword(s):  
Real Estate ◽  
Global Financial Crisis ◽  
Tail Dependence ◽  
Sampling Period ◽  
Real Estate Market ◽  
Securities Markets ◽  
Real Estate Markets ◽  
The Global Financial Crisis ◽  
Real Estate Securities ◽  
New Evidence

This study examines the tail dependence of returns in international public real estate markets. By using the daily returns of real estate securities in seven cities/countries from 2000 to 2018, we analyze how the interdependence of international securitized real estate markets has changed since the Global Financial Crisis. We divide our sampling period into the pre-crisis, crisis, and post-crisis periods, and estimate both upper and lower tail dependence coefficients for each sub- period. Our empirical results confirm that most city/country pairs have changed from tail-independent to tail-dependent since 2007. Strong tail dependence persists during the crisis and post-crisis periods. The findings from the post-crisis sub-sample provide new evidence on increased tail dependence in the global real estate market in recent years. We conclude that international real estate securities still offer diversification benefits nowadays but to a lesser extent than in the pre-crisis period. Investing in the global real estate securities markets is beneficial for cross-region, mixed-asset portfolios.

scholarly journals Pricing risk and its use in modelling real estate market yields

2020 ◽  
Vol 38 (5) ◽  
pp. 419-433
Author(s):  
Tony McGough ◽  
Jim Berry
Keyword(s):  
Real Estate ◽  
Global Financial Crisis ◽  
Real Estate Market ◽  
Commercial Real Estate ◽  
Government Bonds ◽  
Content Type ◽  
Real Estate Markets ◽  
Market Sentiment ◽  
The Global Financial Crisis ◽  
Risk Measurements

Purpose In the light of past financial and economic turmoil, there has been a marked increase in the volatility in real estate markets. This has impacted on the pricing of property assets, partly through market sentiment and particularly concerning risk. It also limits modelling accuracy model accuracy. The purpose of this paper is to create a new variable and model to enhance analysis of what drives real estate yields incorporating market sentiment to risk. Design/methodology/approach This paper specifically considers the modelling of property pricing within a volatile economic environment. The theoretical context begins by analysing the relationship between property yields and government bonds. The analytical context then moves on to specifically include a measurement of risk which stresses its role and importance in investment markets since the Global Financial Crisis. The model thus incorporates macroeconomic and real estate data, together with an international risk multiplier, which is calculated within the paper. Findings The paper finds the use of measurements of market sentiment and risk are more powerful tools for modelling yields than previous techniques alone. Research limitations/implications This is an initial paper outlining the creation of sentiment and risk measurements in the financial market and showing an example of its application to a commercial real estate market. The implication is that this could add a major new explanatory variable to modelling of yields. Practical implications The paper highlights the importance of risk in the pricing of commercial real estate, over and above normal variables. It highlights how this can help explain over and undershooting of yields within commercial real estate which would be of great importance in the investment world. Originality/value This paper attempts to explicitly measure market sentiment, pricing of risk and how this impacts real estate pricing.

Risk and Performance of Internationally Listed Real Estate Returns

2019 ◽  
Keyword(s):  
Real Estate ◽  
Performance Measures ◽  
Global Financial Crisis ◽  
Publicly Traded ◽  
Real Estate Returns ◽  
Full Picture ◽  
Huge Impact ◽  
And Performance ◽  
The Global Financial Crisis ◽  
Real Estate Securities

This article studies the performances of publicly traded real estate companies (real estate investment trusts and listed property companies) from 14 countries covering North America, Europe, and Asia as proxied by FTSE EPRA/NAREIT Global Real Estate Indexes over the period from 2000 to 2015. We implement robust normalized risk-adjusted performance measures and compare nine performance indicators before, during, and after the global financial crisis (GFC). Our findings show that the GFC had a huge impact on the ranking of internationally listed real estate securities’ relative performance. The study also stresses the importance of applying various performance measures to get a full picture of internationally listed real estate returns.

scholarly journals The loan-to-value ratio as a macroprudential tool and assessment of real estate in the post-crisis period

2020 ◽  
Vol 185 (9-10) ◽  
pp. 119-132
Author(s):  
Aleksandra Pisarska ◽  
◽  
Natalia Wasilewska ◽  
Keyword(s):  
Real Estate ◽  
Banking Sector ◽  
Global Financial Crisis ◽  
Banking System ◽  
Maximum Level ◽  
Central Banks ◽  
Real Estate Market ◽  
Mortgage Loans ◽  
The Global Financial Crisis ◽  
The Eu

For more than a decade, banking systems of many countries around the world have been trying to recover from the effects of the global financial crisis. The dynamics of one of the most important indicators of the effective operation of the banking sector - the level of fulfilment of loan obligations by the debtor - is analysed in the present paper. A nonperforming loan ratio (NPL) more than doubled in the EU in the period from 2008 until 2012, and the value of this indicator increased more than 20 times in the period from 2008 until 2017 in Ukraine. Many countries worldwide have focused on activities that aim at minimizing the risks associated with lending. The experience of more than 4,000 banks in 46 countries shows that one of the most effective macroprudential tools used by European central banks for mortgage loans is the loan-to-value ratio (LTV). According to research, central banks have recommended lowering the level of LTV. Thus, in Poland, the loan-to-value ratio used to be 100% and even higher, but from 2017 the maximum level should not exceed 80%. In China, the LTV level has dropped to 40% for the secondary real estate market. In Germany, the maximum loan-to-value ratio is 80%, and mortgages with LTV of less than 60% are financed at more favourable conditions by banks. Using macroprudential policy has made it possible to stabilize the situation in the banking system, therefore in 2020 the average level of non-performing loans in the EU decreased to 2.8%. In Poland, the level of NPL is slightly higher and is 6.2%, however in Ukraine the figure remains high and reaches 41%. This study aims to identify the dependence between the adequacy of fulfilment of the collateral and the debtor’s loan obligations, which is extremely important in order to stabilize and increase the liquidity and profitability of banking institutions. The obtained results are based on the assessment of 200 loan cases for which the execution time has come.

scholarly journals Real Estate Soars and Financial Crises: Recent Stories

2018 ◽  
Vol 10 (12) ◽  
pp. 4559 ◽  
Author(s):  
Hanwool Jang ◽  
Yena Song ◽  
Sungbin Sohn ◽  
Kwangwon Ahn
Keyword(s):  
Financial Crisis ◽  
Real Estate ◽  
Stock Market ◽  
Global Financial Crisis ◽  
Real Estate Market ◽  
Real Economy ◽  
The Real ◽  
The Real Estate ◽  
Real Estate Bubble ◽  
The Global Financial Crisis

This paper studies the contribution of real estate bubble to a financial crisis. First, we document symptoms of a real estate bubble along with a slowdown of the real economy and find indicators of an imminent crash of the stock market, triggering a sense of déjà vu from the 2008 crisis. However, we show that the relationship between real estate and financial markets has changed since the crisis. The empirical analyses provide evidence that the monetary policy has recovered its control over mortgage rates, which had been lost prior to the global financial crisis, and that the real estate market does not have a Granger causality relationship with the stock market any more. Findings suggest that an imminent financial market crash is not likely to be catalyzed by a real estate bubble.

Comovement of Greater China Real Estate Markets: Some Time Scale Evidence

2019 ◽  
Vol 41 (3) ◽  
pp. 473-512 ◽  
Author(s):  
Kim Hiang Liow ◽  
Xiaoxia Zhou ◽  
Qiang Li ◽  
Yuting Huang
Keyword(s):  
Real Estate ◽  
Stock Returns ◽  
Time Scale ◽  
Global Financial Crisis ◽  
Real Estate Market ◽  
Investment Horizon ◽  
Real Estate Markets ◽  
Greater China ◽  
Long Run ◽  
Wavelet Coherency

The novelty of this study is the use of wavelets, which make it possible to assess simultaneously how the Greater China (GC) and international securitized real estate markets comove at various frequencies. From the wavelet analysis, investors can extract the time scale that most interests them. We apply both continuous wavelet coherency modeling and discrete decompositions to unveil the multi-horizon nature of the co-movement relationship. We find that the examined real estate market co-movement is a “multi-scale” phenomenon. The strength of the return linkage increases with scales. The co-movement within and across the three GC markets is unstable and the pattern of the relationship is non-uniform across various time scales. The strongest degree of cross-market connection occurs during the global financial crisis period and at the longest investment horizon of 256–512 days. Moreover, the real estate-stock returns of the three GC economies are less correlated in the long run, implying potential opportunities for both time and scale in GC real estate-stock portfolio diversification activities.

Strategies of Residential Area Regeneration and Urban Development in China from the Perspective of Mismatch between Population Mobility and Land Supply: Take Shenzhen as Example

2021 ◽  
Vol 7 (6) ◽  
pp. 5741-5754
Author(s):  
Zhang Ling ◽  
Zhao Yang ◽  
Deng Yilian ◽  
Zhang Liying ◽  
Yu Yanliang
Keyword(s):  
Real Estate ◽  
Urban Development ◽  
Global Financial Crisis ◽  
Housing Price ◽  
Field Investigation ◽  
Real Estate Market ◽  
Regional Differentiation ◽  
Population Mobility ◽  
Residential Areas ◽  
The Global Financial Crisis

Objectives: After the global financial crisis in 2008, the housing price in cities of China turned from comprehensive prosperity to regional differentiation, and the phenomenon of coexistence of “high housing price” in some cities and “high inventory” in some other cities appeared. The problem of mismatch of land resources and population mobility in China has generated superimposed effect on the high housing price and high inventory in different areas, and the outbreak of COVID-19 in the world has also brought new challenges to the urban development modes; thus, how to develop mega-cities to guarantee the residents’ welfare has become an important academic issue and practical issue. In this paper, with Shenzhen, the most representative city in China, as an example, typical characteristics of real estate market in cities are analyzed, and the methods such as field investigation, questionnaire survey and behavior observation are adopted to analyze the conflicts between the spatial environment of the old residential areas and the demands of residents from the perspective of man-land mismatch. On the basis of expounding the corresponding relationship between the residents’ actual demands and the space, the intergeneration-integrated age-appropriate community regeneration strategy is proposed, and the corresponding suggestions on improving the residents’ welfare are proposed from the perspectives of aging of population, architectural space and urban development. This paper concretely reflects the real estate policy of “one policy for one city”, and proposes new thinking for the development of resilient cities in the post-epidemic era.

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