Journal of Real Estate Portfolio Management最新文献

{"title":"A Linkage Analysis of Türkiye Real Estate Sector Based on Input-Output Model and Interpretive Structural Modelling","authors":"Ishaq Alam, Yousaf Ali","doi":"10.1080/10835547.2024.2353933","DOIUrl":"https://doi.org/10.1080/10835547.2024.2353933","url":null,"abstract":"","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141269439","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Real Estate Portfolio Diversification by Sectors Using a RAL Approach","authors":"Ying Zhang, Wikrom Prombutr, J. A. Hansz","doi":"10.1080/10835547.2024.2313401","DOIUrl":"https://doi.org/10.1080/10835547.2024.2313401","url":null,"abstract":"","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-02-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140413803","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Spillover Effect of Large Building Construction on Neighborhood Office Rents","authors":"Kazushi Matsuo, Morito Tsutsumi, T. Imazeki","doi":"10.1080/10835547.2024.2303895","DOIUrl":"https://doi.org/10.1080/10835547.2024.2303895","url":null,"abstract":"","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-02-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139860106","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Spillover Effect of Large Building Construction on Neighborhood Office Rents","authors":"Kazushi Matsuo, Morito Tsutsumi, T. Imazeki","doi":"10.1080/10835547.2024.2303895","DOIUrl":"https://doi.org/10.1080/10835547.2024.2303895","url":null,"abstract":"","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-02-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139800332","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Real Estate Return Distributions with New NCREIF Data Series","authors":"Michael S. Young, Roger J. Brown","doi":"10.1080/10835547.2023.2213601","DOIUrl":"https://doi.org/10.1080/10835547.2023.2213601","url":null,"abstract":"AbstractThe accuracy of real estate return distribution parameter estimation is affected by the tools used to do the work as well as the data sets employed. Consistent with previous studies, investment risk models with infinite variance describe distributions of individual property returns in the new NCREIF Indicators: Capital Performance and Property Operations individual property database over the period 1990–2021. Applying Maximum Likelihood Estimation (MLE) to historic data shows real estate investment risk to be heteroscedastic, but the Characteristic Exponent of the investment risk function varies more among property types than previously reported whether computed by MLE or other estimation techniques.Keywords: Asset-specific riskMaximum Likelihood EstimationNon-normalityDiversificationNCREIF AcknowledgementsThe authors wish to thank Jeffrey D. Fisher, John P. Nolan, Marlyn L. Hicks, and Kenneth M. Lusht for their considerable support in this project. All errors remain solely those of the authors.Disclosure statementNo potential conflict of interest was reported by the author(s).Notes1 The implementation of other analytical techniques up until the availability of Maximum Likelihood Estimators (MLE) for Levy-stable distributions is related in Young and Graff (Citation1995).2 Less frequently there are problems with market value estimates in a quarter such as recording a downpayment as the initial market value followed by the balance of the purchase price as the market value in the subsequent quarter. These cause extreme distortion of quarterly returns for individual properties, but are largely obscured in the aggregate NPI returns commonly cited as representative of the asset class. However, when working with individual property returns or smaller aggregations of property returns as in this study, these problems would necessarily distort the return distribution statistics as they unfortunately did in earlier NPI-based studies.3 Perhaps it should be noted that there have been other attempts to test the null hypothesis that real estate return distributions are Gaussian Normal using more conventional statistical techniques. The authors know of no cases that resulted in failing to reject the null. For example, there have been studies in the U.S. and even more in the U.K. using Chi-Square, Kolmogorov-Smirnov, or Anderson-Darling tests of common distributions like Logistic, Normal, Student’s t, or Extreme Value. For a summary of these studies pre-2000, see Lizieri and Ward (Citation2001).4 It may be worth noting that the numerators of the Price and Cash Flow formulas are those originally proposed by Young et al. (Citation1995, Citation1996) as replacements for the so-called Capital and Income Returns. Since NCREIF did not adopt the changes and retained the original formulation of Capital and Income Returns, the new Price and Cash Flow formulas were introduced for researchers interested in the Young, Geltner, McIntosh, and Poutasse concept. Notice t","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-10-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135738604","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Investable Real Estate Allocations in a Mixed Asset Portfolio; Both Long Term and During Different Cycles","authors":"Glenn R. Mueller, Andrew G. Mueller","doi":"10.1080/10835547.2023.2247172","DOIUrl":"https://doi.org/10.1080/10835547.2023.2247172","url":null,"abstract":"AbstractThe NCREIF Property Index (NPI) data starts in 1978 and has been used as a benchmark index for over 45 years. In 2006 NCREIF created the NCREIF Open-End Diversified Core Equity Index (ODCE) and used historic fund level data to create performance data back to 1978. ODCE was the first “investable index” in direct real estate for institutional investors, family offices, and high net worth investors who can meet these direct funds’ minimum investment levels (typically $5 million). Individual investors with less money can also access ODCE returns through Interval Funds or “Fund-of-Funds” that invest in and are designed to track or beat the ODCE Index. Since 2009 general partners of funds are required to update their net asset value (NAV) to “fair market value” on a quarterly basis as a result of Topic 820 of the Financial Accounting Standards Board. Both ODCE funds and interval funds have improved their liquidity with either monthly or quarterly redemption options, making them more competitive (from a liquidity aspect) with publicly traded securities. We analyze portfolio allocations over 45 years – the longest time frame ever studied and over 6 NEBR economic cycles and 4 ODCE real estate return cycles using Markowitz efficient frontier analysis. We inspect up-cycle and down-cycle periods separately and add to the literature by analyzing the ¼, ½, and ¾ points (low, medium, and high risk/return points) along the Markowitz efficient frontier. Our findings support many of the 45 studies published, but conflict with some depending upon their study methodology and time frame (9 to 25 years) studied. We conclude that real estate would have improved historic risk adjusted returns in many cycle periods.KEY FINDINGSDirect real estate investment and public REIT inclusion in a mixed asset portfolio with stocks and bonds are analyzed over a 45-year period (the longest period ever studied) through 6-economic cycles and 4-real estate cycles. Optimal asset class allocations are analyzed at low – medium – and high risk/return points on the Markowitz efficient frontier curve. The results show that both direct real estate and REITs improved historic mixed asset portfolio returns. Direct real estate’s high-income return (76% of total return historically in the NPI-ODCE Index) – potentially makes real estate a bond like substitute. Real estate was historically a very competitive asset class, with strong efficient frontier allocations overall (especially in higher return portfolios) and in most economic and real estate cycle periods. Investors should consider increasing future direct and public real estate (REIT) allocations in their portfolios.Keywords: Portfolio allocationefficient frontierMarkowitzdirect real estateREITsinvestingdiversification Disclosure statementNo potential conflict of interest was reported by the author(s).","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135194827","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Can at-the-Market Offerings Affect REIT Debt Maturity Choice?","authors":"Zhilu Lin, Wentao Wu, Suyan Zheng","doi":"10.1080/10835547.2023.2248450","DOIUrl":"https://doi.org/10.1080/10835547.2023.2248450","url":null,"abstract":"","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47529363","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Creating the XLRE: Market Implications for REITs and the Real Estate Sector","authors":"K. Goodwin, Shinhua Liu","doi":"10.1080/10835547.2023.2246004","DOIUrl":"https://doi.org/10.1080/10835547.2023.2246004","url":null,"abstract":"","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46886874","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Volatility Transmission: Evidence from U.K. REIT & Stock Market Implied Volatility","authors":"M. Katyoka, S. Stevenson","doi":"10.1080/10835547.2023.2232118","DOIUrl":"https://doi.org/10.1080/10835547.2023.2232118","url":null,"abstract":"","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48295982","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Diversification and Cost of Public Debt for REITs: Evidence from the US","authors":"Islam Ibrahim, Heidi Falkenbach","doi":"10.1080/10835547.2023.2233348","DOIUrl":"https://doi.org/10.1080/10835547.2023.2233348","url":null,"abstract":"","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42848770","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}