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An Ownership Framework for Managers' Accelerated Seo Decisions: The Importance of Connected Institutional Investors in the Reit Industry 经理人加速Seo决策的所有权框架:关联机构投资者在Reit行业的重要性
Journal of Real Estate Portfolio Management Pub Date : 2016-01-01 DOI: 10.1080/10835547.2016.12089989
Jocelyn D. Evans, T. Jones, G. Mitchener
{"title":"An Ownership Framework for Managers' Accelerated Seo Decisions: The Importance of Connected Institutional Investors in the Reit Industry","authors":"Jocelyn D. Evans, T. Jones, G. Mitchener","doi":"10.1080/10835547.2016.12089989","DOIUrl":"https://doi.org/10.1080/10835547.2016.12089989","url":null,"abstract":"Executive Summary. In this paper, we present a mathematical simulation of a secondary equity offer (SEO) decision that captures the payoffs for investors with either low (e.g., actively managed funds) or high (e.g., passive index investors) monitoring costs. The calibrated solutions are consistent with overvalued SEOs being issued when institutions with high monitoring costs are present. Institutions with low monitoring costs either incentivize management to issue fairly priced SEOs or lead to greater ex post discipline of the CEO for value decreasing issuances. The existence of institutions with business relationships creates uncertainty regarding the value of SEOs. Ownership network alliances are beneficial.","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73047769","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}
引用次数: 2
Forecasting Real Estate Cycle Risks in Portfolios of Office Properties Across Cities 城市写字楼投资组合的房地产周期风险预测
Journal of Real Estate Portfolio Management Pub Date : 2016-01-01 DOI: 10.1080/10835547.2016.12089991
R. D. Evans, Andrew G. Mueller
{"title":"Forecasting Real Estate Cycle Risks in Portfolios of Office Properties Across Cities","authors":"R. D. Evans, Andrew G. Mueller","doi":"10.1080/10835547.2016.12089991","DOIUrl":"https://doi.org/10.1080/10835547.2016.12089991","url":null,"abstract":"Executive Summary. Relatively low-level Markov chain methods and widely available information allow this extension of real estate cycle risk analysis to office portfolios across cities initially in different cycle conditions. Examples include evaluation of cycle conditions at the end of a holding period and for cash flows from operations across a span of quarters. Standard spreadsheet functions serve to provide examples of changes in real estate cycle prospects, including before/after changes in portfolio weights, applying mean-variance dominance, mean-semivariance dominance, and stochastic dominance analysis.","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88172371","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}
引用次数: 1
Industrial Real Estate Cycles: Markov Chain Applications 工业房地产周期:马尔可夫链应用
Journal of Real Estate Portfolio Management Pub Date : 2016-01-01 DOI: 10.1080/10835547.2016.12089981
R. D. Evans, Andrew G. Mueller
{"title":"Industrial Real Estate Cycles: Markov Chain Applications","authors":"R. D. Evans, Andrew G. Mueller","doi":"10.1080/10835547.2016.12089981","DOIUrl":"https://doi.org/10.1080/10835547.2016.12089981","url":null,"abstract":"Executive Summary Adding a stochastic element to a well-understood real estate cycle model offers opportunities like those seen in earlier such syntheses of real estate analysis and statistics. The discrete real estate cycle points in the model require a discrete probability model, here a first order Markov chain. Many statistical applications flow from the combined model. Three Markov chain count variables have obvious real estate cycle appeal. Staying time, first recurrence time, and first passage time already exist in the Markov chain literature but only staying time is in the real estate cycle literature. The most fundamental innovation is in probabilistic forecasting. Being able to describe real estate cycle risk, cycle point by cycle point many quarters ahead, could improve evaluation of prospects for property disposal. It is also a simple spreadsheet application to describe real estate cycle risks that influence cash flows from operations across four-quarter spans.","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89814395","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}
引用次数: 2
What Have 25 Years of Performance Data Taught Us About Private Equity Real Estate 关于私募股权房地产，25年的业绩数据教会了我们什么
Journal of Real Estate Portfolio Management Pub Date : 2015-10-20 DOI: 10.1080/10835547.2015.12089968
B. Case
{"title":"What Have 25 Years of Performance Data Taught Us About Private Equity Real Estate","authors":"B. Case","doi":"10.1080/10835547.2015.12089968","DOIUrl":"https://doi.org/10.1080/10835547.2015.12089968","url":null,"abstract":"Executive Summary NCREIF has published performance data covering a 25-year historical period for institutional investments following core, value-add, and opportunistic strategies in private equity real estate assets. In this paper, I summarize salient observations regarding capital appreciation, income, fees and expenses, the income share of total return, the effects of cash reserves and leverage, net total returns, systematic risk, and risk-adjusted performance during five informative market periods: two severe real estate market downturns, one complete real estate bull market, and two incomplete bull market periods. The available data challenge several points of conventional wisdom regarding private equity real estate returns.","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2015-10-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84682966","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}
引用次数: 9
Dynamic co-movements between economic policy uncertainty and housing market returns 经济政策不确定性与房地产市场回报之间的动态协同运动
Journal of Real Estate Portfolio Management Pub Date : 2015-02-28 DOI: 10.5555/1083-5547-21.1.53
N. Antonakakis, Rangan Gupta, C. André
{"title":"Dynamic co-movements between economic policy uncertainty and housing market returns","authors":"N. Antonakakis, Rangan Gupta, C. André","doi":"10.5555/1083-5547-21.1.53","DOIUrl":"https://doi.org/10.5555/1083-5547-21.1.53","url":null,"abstract":"We examine dynamic correlations between housing market returns and economic policy uncertainty in the United States. Our findings suggest that correlations are time-varying and sensitive to economic fundamentals and US recessions.","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2015-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89568590","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}
引用次数: 71
A Pure-Play Timberland Return Index Based On Securitized Timber Firms 基于证券化木材企业的纯林地收益指数
Journal of Real Estate Portfolio Management Pub Date : 2015-01-01 DOI: 10.1080/10835547.2015.12089972
B. Mei
{"title":"A Pure-Play Timberland Return Index Based On Securitized Timber Firms","authors":"B. Mei","doi":"10.1080/10835547.2015.12089972","DOIUrl":"https://doi.org/10.1080/10835547.2015.12089972","url":null,"abstract":"Executive Summary Based on asset values of different business segments, I derive a pure-play timberland return index using monthly data of public timber firms for the 2010–2014 period. Returns on public timber firms are first unleveraged and then regressed on the holding percentages of each firm' assets in timber and non-timberland business segments. The regression provides pure-play portfolios with specified long and short positions in those public timber firms, with a minimum idiosyncratic volatility, that have pure exposure to the timberland business segment and eliminate all exposure to non-timberland segments. Results reveal that this pure-play index better depicts returns on securitized timberland assets and differs significantly from various NCREIF timberland indices in mean and variance, and that returns of public-market vehicles of timberland investments tend to lead private ones for about one quarter.","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2015-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89678352","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}
引用次数: 7
Contagion versus Interdependence Across Regional U.S. Housing Markets and Implications for RMBS Geographic Diversification Strategy 美国地区住房市场的传染与相互依赖及其对RMBS地域多元化策略的影响
Journal of Real Estate Portfolio Management Pub Date : 2015-01-01 DOI: 10.5555/1083-5547-21.1.33
W. Miles
{"title":"Contagion versus Interdependence Across Regional U.S. Housing Markets and Implications for RMBS Geographic Diversification Strategy","authors":"W. Miles","doi":"10.5555/1083-5547-21.1.33","DOIUrl":"https://doi.org/10.5555/1083-5547-21.1.33","url":null,"abstract":"Executive Summary Home prices in the United States often exhibit little (and sometimes even negative) correlation across different regions. This reflects segmentation in the national housing market and also provides an apparent opportunity for investors to diversify their exposure to regional downturns by creating residential mortgage-backed securities (RMBSs) out of geographically dispersed home loans. Unfortunately, in a crisis, correlations may rise, and the benefits from geographical diversification may disappear just when investors most desire them. Using a flexible generalized autoregressive conditional heteroscedasticity (GARCH) technique, I find that regional correlations indeed rose dramatically during the latest downturn, in some cases to unprecedented levels. Moreover, this increase in co-movement was clearly financial contagion, and not merely interdependence. Investors in mortgage-backed and other housing securities should thus not rely on house price correlations calculated during “normal” t...","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2015-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79115104","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}
引用次数: 2
Systematic Risk of Islamic REITs and Conventional REITs in Malaysia 马来西亚伊斯兰房地产投资信托基金和传统房地产投资信托基金的系统风险
Journal of Real Estate Portfolio Management Pub Date : 2015-01-01 DOI: 10.1080/10835547.2015.12089973
M. N. Razali, T. Sing
{"title":"Systematic Risk of Islamic REITs and Conventional REITs in Malaysia","authors":"M. N. Razali, T. Sing","doi":"10.1080/10835547.2015.12089973","DOIUrl":"https://doi.org/10.1080/10835547.2015.12089973","url":null,"abstract":"In this paper, we evaluate the systematic risks of Islamic real estate invest- ment trusts (REITs) and conventional REITs in Ma- laysia for the period from August 3, 2005 to De- cember 19, 2014. Our results show that IREITs have lower systematic risks than other conven- tional REITs. The results are consistent when sto- chastic betas are estimated using time-varying co- efficient models. We also find that new IREIT entry creates significant risk reduction effects for the con- ventional REIT markets. When we test the effects of the conversion of Axis REIT from a conventional REIT to an IREIT, we find that the systematic risks of Axis REIT significant reduce between the peri- ods ''before'' and ''after'' the conversion. The find- ings imply that the lower betas of IREITs could pro- tect IREIT investors against stock market volatilities that could not be diversified away.","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2015-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75242187","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}
引用次数: 12
Volatility Clustering, Risk-Return Relationship, and Asymmetric Adjustment in the Canadian Housing Market 波动聚类、风险收益关系与加拿大房地产市场的不对称调整
Journal of Real Estate Portfolio Management Pub Date : 2014-08-15 DOI: 10.1080/10835547.2014.12089961
Pin-te Lin, F. Fuerst
{"title":"Volatility Clustering, Risk-Return Relationship, and Asymmetric Adjustment in the Canadian Housing Market","authors":"Pin-te Lin, F. Fuerst","doi":"10.1080/10835547.2014.12089961","DOIUrl":"https://doi.org/10.1080/10835547.2014.12089961","url":null,"abstract":"In this study, we apply a Lagrange multiplier (LM) test for the autoregressive conditional heteroscedasticity (ARCH) effects and an exponential generalized autoregressive conditional heteroscedasticity-in-mean (EGARCH-M) model to assess whether regional house prices in Canada exhibit financial characteristics similar to stock indices. Volatility clustering, positive risk-return relationships, and leverage effects are empirically shown to exist in the majority of provincial housing markets of Canada. These volatility behaviors, which reflect regional idiosyncrasies, are further found to differ across provinces. More densely populated provinces exhibit stronger volatility clustering of house prices. The existence of these volatility patterns similar to stock indices has important implications ranging from proper portfolio management to government policy.","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2014-08-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89221971","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}
引用次数: 19
Point of view office property performance in live-work-play places 办公物业在生活、工作、娱乐场所的表现观点
Journal of Real Estate Portfolio Management Pub Date : 2014-08-15 DOI: 10.1080/10835547.2014.12089964
E. Malizia
{"title":"Point of view office property performance in live-work-play places","authors":"E. Malizia","doi":"10.1080/10835547.2014.12089964","DOIUrl":"https://doi.org/10.1080/10835547.2014.12089964","url":null,"abstract":"This analysis of central business districts (CBDs) and their suburban areas was inspired by the analysis of 24-hour cities by Kelly, Adair, McGreal, and Roulac (2013). The 44 cities are drawn from the 50 largest U.S. metro areas and include 24 of the 26 markets in the Kelly, Adair, McGreal, and Roulac article. Downtowns like the seven 24-hour cities offer live-workplay (LWP) environments that appear to be attracting young talent and tech-oriented companies. LWP places are compact, dense, connected, mixed use, diverse, and walkable with destinations, public spaces, and critical mass. Research conducted for NAIOP defined places with these features as ‘‘vibrant centers.’’ Subsequent work produced an index with nine face-valid measures of vibrancy for 65 cities. This analysis determines the extent to which the vibrancy index values are associated with the area-specific performance of office properties in these 44 large markets. The results indicate that strong associations do exist between downtown vibrancy a...","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2014-08-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77758543","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}
引用次数: 2
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