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Journal of Real Estate Portfolio Management最新文献

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Do Designated Sales Agents in ATM Offerings Exploit Post-Earnings-Announcement Drift? Evidence from Real Estate Investment Trusts ATM产品中的指定销售代理是否利用盈利公告后的漂移？房地产投资信托的证据
Journal of Real Estate Portfolio Management Pub Date : 2022-09-13 DOI: 10.1080/10835547.2022.2118100
Y. Pai, Dazhi Zheng, Suyan Zheng
{"title":"Do Designated Sales Agents in ATM Offerings Exploit Post-Earnings-Announcement Drift? Evidence from Real Estate Investment Trusts","authors":"Y. Pai, Dazhi Zheng, Suyan Zheng","doi":"10.1080/10835547.2022.2118100","DOIUrl":"https://doi.org/10.1080/10835547.2022.2118100","url":null,"abstract":"","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-09-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46378497","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: 0
Constructing a House Price Index for Saudi Arabia 构建沙特阿拉伯房价指数
Journal of Real Estate Portfolio Management Pub Date : 2022-08-29 DOI: 10.1080/10835547.2022.2105530
Saeed N. Algahtani
{"title":"Constructing a House Price Index for Saudi Arabia","authors":"Saeed N. Algahtani","doi":"10.1080/10835547.2022.2105530","DOIUrl":"https://doi.org/10.1080/10835547.2022.2105530","url":null,"abstract":"","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-08-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47201421","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: 0
Is Farmland a Common Risk Factor in Asset Pricing Models? 耕地是资产定价模型中常见的风险因素吗？
Journal of Real Estate Portfolio Management Pub Date : 2022-07-20 DOI: 10.1080/10835547.2022.2091089
Ashraf Noumir, M. Langemeier
{"title":"Is Farmland a Common Risk Factor in Asset Pricing Models?","authors":"Ashraf Noumir, M. Langemeier","doi":"10.1080/10835547.2022.2091089","DOIUrl":"https://doi.org/10.1080/10835547.2022.2091089","url":null,"abstract":"Farmland represents the largest share of the U.S. agricultural balance sheet , accounting for nearly 80% of U.S. farm assets. Motivated by the well-documented real estate risk factor and the similarities between farmland and real estate investing, this paper examines whether farmland has a risk factor, like real estate, that is affecting asset returns. The proposed farmland risk factor is proxied by the National Council of Real Estate Investment Fiduciaries farmland property index (Farmland NCREIF). Relying on quarterly data from 1991-Q1 to 2016-Q2, we employed the Generalized Method of Moments (GMM) to provide empirical evidence that even though farmland exhibit diversification benefits, it fails to be a risk factor. Instead, market frictions and / or nonrisk explanations might provide a more plausible description of farmland’s high risk-adjusted return.","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-07-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42654549","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: 0
Are REIT Dividend Changes a Firm-Specific or an Industry-Level Signal? Evidence From the Decomposition of Stock Returns 房地产投资信托基金股息变化是公司特有的信号还是行业层面的信号?来自股票收益分解的证据
Journal of Real Estate Portfolio Management Pub Date : 2022-07-20 DOI: 10.1080/10835547.2022.2079215
Jong-Rong Chiou, Gow-Cheng Huang, Kartono Liano, Ming-Shiun Pan
{"title":"Are REIT Dividend Changes a Firm-Specific or an Industry-Level Signal? Evidence From the Decomposition of Stock Returns","authors":"Jong-Rong Chiou, Gow-Cheng Huang, Kartono Liano, Ming-Shiun Pan","doi":"10.1080/10835547.2022.2079215","DOIUrl":"https://doi.org/10.1080/10835547.2022.2079215","url":null,"abstract":"","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-07-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41798201","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
Pandemic Proof Property Companies 防疫房地产公司
Journal of Real Estate Portfolio Management Pub Date : 2022-07-14 DOI: 10.1080/10835547.2022.2078531
David M. Harrison, Hainan Sheng
{"title":"Pandemic Proof Property Companies","authors":"David M. Harrison, Hainan Sheng","doi":"10.1080/10835547.2022.2078531","DOIUrl":"https://doi.org/10.1080/10835547.2022.2078531","url":null,"abstract":"Using a sample of 163 U.S. based equity real estate investment trusts (REITs), this paper explores the consequences of COVID-19 on securitized commercial property markets. More specifically, we first map the geographic location of each firm’s investment property holdings to gauge the degree of exposure of each REIT’s asset base to the pandemic. We next demonstrate these firm level exposure metrics are directly related to the negative returns encountered by REITs in the early months of the pandemic and explore what firm specific characteristics and attributes (notably financial flexibility and financing constraints) may moderate this relation and enhance the resiliency of their equity returns. Finally, we examine the impact of the Federal Reserve’s late-March intervention designed to address and soften the economic fallout of the pandemic and ensure the liquidity and stability of capital markets. After this intervention, previously observed relations and patterns between firm specific COVID-exposure levels and operating characteristics fail to retain their prior signs and significance. In sum, the magnitude of the government’s response to the economic challenges brought about by the coronavirus pandemic is shown to outweigh the importance of firm specific factors in predicting the resiliency of REIT returns during this crisis period.","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48039048","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
Short-Term REIT Performance under Pandemic Conditions 疫情条件下的短期房地产投资信托业绩
Journal of Real Estate Portfolio Management Pub Date : 2022-05-27 DOI: 10.1080/10835547.2022.2064594
Vivek Bhargava, H. Weeks
{"title":"Short-Term REIT Performance under Pandemic Conditions","authors":"Vivek Bhargava, H. Weeks","doi":"10.1080/10835547.2022.2064594","DOIUrl":"https://doi.org/10.1080/10835547.2022.2064594","url":null,"abstract":"The Corona virus pandemic and the subsequent economic slowdown provide an opportunity to examine the relative performance of US REITs during a period of extreme market disruption. We investigate the short-term response of US REITs during this period by employing event study methodology with four market models and three distinct pandemic related event dates. In order to examine the performance across market sectors the returns on REIT indexes are considered instead of individual REITs. The empirical results provide additional evidence with respect to the performance of REITs relative to the overall market and the benefits derived from including REITs in a portfolio during adverse market conditions.","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-05-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45066621","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: 0
Real Estate Investment Trusts and Commercial Property Markets in US 美国房地产投资信托与商业地产市场
Journal of Real Estate Portfolio Management Pub Date : 2022-04-07 DOI: 10.1080/10835547.2022.2033391
Majid Haghani Rizi
{"title":"Real Estate Investment Trusts and Commercial Property Markets in US","authors":"Majid Haghani Rizi","doi":"10.1080/10835547.2022.2033391","DOIUrl":"https://doi.org/10.1080/10835547.2022.2033391","url":null,"abstract":"","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-04-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46170153","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
Real Estate ETNs in Strategic Asset Allocation 战略资产配置中的房地产etn
Journal of Real Estate Portfolio Management Pub Date : 2022-04-04 DOI: 10.1080/10835547.2022.2033390
Steffen P. Sebastian, Bertram I. Steininger
{"title":"Real Estate ETNs in Strategic Asset Allocation","authors":"Steffen P. Sebastian, Bertram I. Steininger","doi":"10.1080/10835547.2022.2033390","DOIUrl":"https://doi.org/10.1080/10835547.2022.2033390","url":null,"abstract":"","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42541962","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: 0
GICS and the Real Estate Reclassification Revolution GICS与房地产再分类革命
Journal of Real Estate Portfolio Management Pub Date : 2022-01-05 DOI: 10.1080/10835547.2021.2003523
K. Goodwin, Shinhua Liu
{"title":"GICS and the Real Estate Reclassification Revolution","authors":"K. Goodwin, Shinhua Liu","doi":"10.1080/10835547.2021.2003523","DOIUrl":"https://doi.org/10.1080/10835547.2021.2003523","url":null,"abstract":"","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-01-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47691839","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: 3
A Comparison of NCREIF, INREV, and ANREV Open-End Core Fund Indices NCREIF、INREV和ANREV开放式核心基金指数的比较
Journal of Real Estate Portfolio Management Pub Date : 2022-01-05 DOI: 10.1080/10835547.2021.2003506
Barrett A. Slade, J. Fisher, Joseph D'Alessandro
{"title":"A Comparison of NCREIF, INREV, and ANREV Open-End Core Fund Indices","authors":"Barrett A. Slade, J. Fisher, Joseph D'Alessandro","doi":"10.1080/10835547.2021.2003506","DOIUrl":"https://doi.org/10.1080/10835547.2021.2003506","url":null,"abstract":"Cross-border investment in non-listed real estate is on the rise. This article aims to compare the U.S. NFI-ODCE index with the European INREV ODCE index and the recently released Asian ANREV ODCE index with the hope that this study will be helpful to cross-border investors in these major mar- kets. From 2016 through 2020 (five years), we found that the NCREIF fund count remained relatively flat, but the INREV and ANREV fund count increase steadily. At the end of 2020, NCREIF ’ s GAV was 270 billion dollars compared with INREVs 39 billion dollars and ANREV ’ s 16 billion dollars, a considerable size difference between the U.S. and the other two. However, much smaller ANREV Gross Asset Value grew much faster. When we calculated the 12-month rolling returns for the respective regions, we found that ANREV realized a 12-month rolling total return of 7.59% compared with INREV at 5.52% and NCREIF at 5.28%. When looking at a longer time period of 4 1 = 2 years, we calculated a lower SHARP Ratio of 1.36 for ANREV compared to INREV at 2.28 and NCREIF at 2.32, demonstrating that INREV and NCREIF have similar and more favorable reward to risk ratios than ANREV. Further analysis found that the INREV and NCREIF ODCE indices are highly correlated, but we found that they were not cointegrated; therefore, we could not use one index to predict the values in the other. We encourage caution when generalizing these results since they are based on relatively short periods. It will be interesting to make these comparisons again when we have a long history of performance for the INREV and ANREV indices.","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-01-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43817284","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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