Journal of Property Investment & Finance最新文献

{"title":"The dynamics of listed property companies in Indonesia","authors":"T. Nguyen, M. N. Razali","doi":"10.1108/jpif-06-2019-0073","DOIUrl":"https://doi.org/10.1108/jpif-06-2019-0073","url":null,"abstract":"PurposeAs an asset class, listed property companies (PCs) in the emerging Asian markets have taken on increased significance in recent years. Investors have seen Indonesian real estate investment trusts (REITs) being regulated to become a property investment vehicle in 2007. This sees macro-environment investment in the Indonesian property market taking off to a higher level regionally. In the background, Indonesian listed PCs maintain as one of the major investment vehicles for local and international investors. It has also been the subject of investment for REITs and property investment funds in Indonesia. The purpose of this paper is to assess the dynamics of risk-adjusted performances and portfolio diversification benefits of listed PCs in a mixed-asset portfolio context in Indonesia, from July 2006 to December 2018. The sub-periods of pre-global financial crisis (GFC), GFC and post-GFC of listed PCs is also assessed.Design/methodology/approachUsing monthly total returns, the risk-adjusted performance and portfolio diversification benefits of listed PCs from July 2006 to December 2018 are assessed, with extended efficient frontiers and asset allocation diagrams used to assess the role of listed PCs in a mixed-asset portfolio. Sub-period analyses are conducted to assess the post-GFC recovery of listed PCs.FindingsListed PCs delivered higher returns but carried higher risks compared to stocks before the GFC, with bonds having both the lowest returns and risks. The impact of the GFC was highest for Indonesian PCs compared to stocks, where properties did not deliver strong risk-adjusted returns. Notwithstanding the poor risk-adjusted performance, Indonesian PCs had low correlations with stocks and bonds, suggesting some level of diversification potential for stock and bond investors. Stocks outperformed listed PCs across the sub-periods and the full period. Over the post-GFC period, both stocks and listed PCs recovered from the crisis, with stocks turning around stronger. This analysis shows a prolonged recovering and slow bouncing adjustment of listed PCs from the economic changes. This research suggests selected listed PCs may be the outperformers, and, a future contract as a hedge form for listed PC to be implemented.Research limitations/implicationsThe use of the indices of Standard & Poor’s Indonesian property total return (for listed PCs) are as follows: MSCI Indonesia total return (for stocks), Indonesia’s ten-year bond’s total return (for bonds) and Indonesia’s three-month bill total return (for cash). This is used to study the Indonesian listed PCs and may have aggregation effects in its underperformance and therefore drawing a negative outcome. The results may reflect the common fact that the majority of listed PCs in Indonesia are property developers, which also sees underperformances in other emerging country markets.Practical implicationsListed PCs have been under increasingly adjusted and positively adapted regulations from the Indo","PeriodicalId":46429,"journal":{"name":"Journal of Property Investment & Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2020-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1108/jpif-06-2019-0073","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45860832","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":"Property investment: gearing and portfolio returns","authors":"N. French, Michael Patrick","doi":"10.1108/jpif-11-2020-0133","DOIUrl":"https://doi.org/10.1108/jpif-11-2020-0133","url":null,"abstract":"PurposeThe aim of this study is to comment upon the relatively straightforward but often misunderstood role of gearing (or leverage) on the potential equity return of a property investment portfolio.Design/methodology/approachThis education briefing is an explanation of the how the addition of individual assets to a portfolio can, with gearing, impact upon the portfolio return.FindingsAlthough, this case study is relatively straightforward, it shows how portfolios can be geared to give enhanced returns at differing, aggregate and levels of risk.Practical implicationsThe process of borrowing at a bank rate below the return rate on an investment project can increase the equity return of the project as long as all incomes and discount rate remain at appropriate levels.Originality/valueThis is a review of existing models.","PeriodicalId":46429,"journal":{"name":"Journal of Property Investment & Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2020-12-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42714835","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":"International capital movement towards the Spanish real estate sector","authors":"Sun Zhenyu, P. Taltavull","doi":"10.1108/jpif-05-2019-0067","DOIUrl":"https://doi.org/10.1108/jpif-05-2019-0067","url":null,"abstract":"The purpose of this paper is to examine the determinants that affect international capital flows (ICF) toward the Spanish real estate market over the period 1995 first quarter to 2017 fourth quarter.,VECM methodology is used to analyze time series and panel methods using pooled EGLS regression.,VECM parameter results for construction and real estate activities sectors, quickly suggesting a stable performance of capital flows toward Spanish real estate sector that the short-term fluctuation of foreign investment results contributes to the long-term equilibrium relatively soon. By applying the Monetary theory of Johnson, the model identifies a relevant role of M3 explaining capital flows to real estate, together with the lagged variables of construction and real estate activities capital flows, Spanish real interest rate and Spain’s economic growth rate; they are the significant determinants on capital movement to Spanish real estate sector. Interestingly, Spanish housing prices as an exogenous variable, directly, significantly and negatively affect real estate capital flows in all cases as a way to capture the assets price bubble.,Findings highlight reasons affecting capital flows to real estate and construction activities to Spanish sectors which allow capital Funds to take into account those drivers in their investment decisions.,This paper is the first attempt to analyze the determinants of ICF to Spanish real estate market; it has a significant meaning for both Spanish economy and international investors.","PeriodicalId":46429,"journal":{"name":"Journal of Property Investment & Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2020-12-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1108/jpif-05-2019-0067","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42998944","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":"Pricing risk and its use in modelling real estate market yields","authors":"T. McGough, J. Berry","doi":"10.1108/jpif-08-2019-0111","DOIUrl":"https://doi.org/10.1108/jpif-08-2019-0111","url":null,"abstract":"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.,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.,The paper finds the use of measurements of market sentiment and risk are more powerful tools for modelling yields than previous techniques alone.,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.,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.,This paper attempts to explicitly measure market sentiment, pricing of risk and how this impacts real estate pricing.","PeriodicalId":46429,"journal":{"name":"Journal of Property Investment & Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2020-12-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1108/jpif-08-2019-0111","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42428663","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":"Option effect of land transfer by city governments: a case study of Hangzhou","authors":"Ling Zhang, Minghui Zheng, Zheyan Zhang","doi":"10.1108/jpif-09-2020-0108","DOIUrl":"https://doi.org/10.1108/jpif-09-2020-0108","url":null,"abstract":"PurposeThis paper aims to study the impact of land options on the land transfer behaviour of Chinese city governments.Design/methodology/approachBased on the institutional environment of Hangzhou, China, the option pricing model is used to measure the option value of the trading plots. The effect of the option value on the land transfer price and the timing of transfers are estimated respectively, using the hedonic price model and the survival analysis models.FindingsThe results show that the option value has a significant explanation on land price and timing of land transfers. Under the effect of option value, the positive impact of fiscal pressure on the possibility of land transfer weakens. From the perspective of the annual option premium rate, the option premium is closely related to the real estate cycle. Option premiums are higher during booms but lower during recessions and in new urban areas.Practical implicationsBy revealing the distinction of land option premiums in different places and times, this paper provides a reference for city governments seeking a balance between real estate regulation and obtaining more land revenue.Originality/valueBy introducing policy variables that reflect the degree of tightness of real estate regulation and indicators of local government financial pressure, the paper discusses the impact of options on the transfer behaviour of local governments in different situations.","PeriodicalId":46429,"journal":{"name":"Journal of Property Investment & Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2020-12-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43023329","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":"The short-run dynamics of Australian real estate investment trusts and direct real estate at the subsector level","authors":"James Giannarelli, P. Tiwari","doi":"10.1108/jpif-08-2020-0088","DOIUrl":"https://doi.org/10.1108/jpif-08-2020-0088","url":null,"abstract":"PurposeThis paper examines the extent of the short-run relationship between Australian real estate investment trusts (A-REITs) and direct real estate returns on both a commercial property sector and a prime and secondary grade basis, i.e. a subsector basis.Design/methodology/approachTwo-step methodology is used. First, we identify the dynamic interdependencies between A-REITs and each commercial property subsector to determine whether the returns of A-REITs lead each subsector or vice versa. Second, short-run deviations between these asset returns are estimated by measuring their individual response behaviours to changes in key economic and financial market factors that are expected to influence these returns.FindingsResults suggest that each subsector shares a unique relationship to A-REITs, given each prime and secondary grade commercial property return series varies in behaviour. Some property subsector returns can be predicted by movements in A-REIT returns, whereas returns for others move independent to changes in A-REITs. Similarly, some subsectors commove with A-REITs in response to changes in certain market factors, whereas others diverge. As such, these findings have practical significance to fund managers and portfolio selection, as each commercial subsector embodies its own exposure to A-REITs and vulnerabilities to market forces. Subsectors that commove with A-REITs in response to certain market forces may be used as substitutes in a portfolio. Alternatively, subsectors that diverge from A-REITs in response to market forces may offer diversification benefits when combined.Practical implicationsThese findings extend beyond existing research to offer critical decision-making guidance at the acquisition level, as fund managers may more closely consider the impact that prime or secondary grade properties within a given commercial sector may have on a portfolio that consists of public and private Australian real estate. Ultimately, a more informed acquisition may be carried out as consideration of a property's asset grade allows for a deeper insight into the property's risk profile and its anticipated short-run impact on a portfolio.Originality/valueThis paper extends previous studies that focus mostly on aggregate or sector-level returns by measuring REIT and real estate dynamics at the subsector level, allowing for practical significance at not only the portfolio level but crucially at the acquisition level, a pivotal decision-making stage for fund managers. This is also the first paper to study REIT and real estate causality and response patterns to changes in market factors at the Australian sector level.","PeriodicalId":46429,"journal":{"name":"Journal of Property Investment & Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2020-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49260928","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":"The rise of PropTech: emerging industrial technologies and their impact on real estate","authors":"Christopher W. Starr, Jesse D. Saginor, Elaine Worzala","doi":"10.1108/jpif-08-2020-0090","DOIUrl":"https://doi.org/10.1108/jpif-08-2020-0090","url":null,"abstract":"PurposeIndustry 4.0 recognizes a broad set of technologies that rapidly redefine industry, including real estate. These broad technologies include the Internet of things (IoT), cloud computing, decision automation, machine learning and artificial intelligence. This paper explores applies Industry 4.0 to commercial real estate, resulting in a framework defined here as Real Estate 4.0, a concept that encompasses fintech and proptech.Design/methodology/approachThis research paper examines Industry 4.0 technology to construct a framework for Real Estate 4.0. We also focus on how the COVID-19 pandemic is accelerating proptech, particularly as it relates to getting employees back into their traditional work environments.FindingsAs a research paper, this is not a traditional research project with empirical findings. It is a primer on how the rapidly changing technologies of Industry 4.0 are now disrupting and transforming real estate today into what we are calling Real Estate 4.0.Practical implicationsPractitioner insight and future research are informed by a framework for Real Estate 4.0 drawn from the technologies of Industry 4.0. Additional implications are outlined for practical, systemic change as a result of the COVID-19 pandemic within the scope of Real Estate 4.0 technology.Originality/valueThis is a combined effort by experts in three contributing disciplines: systems science, planning and real estate. Our intent is to provide a primer for those of us in the latter two fields so that we can embrace the rapidly changing built environment landscape as it adjusts and adapts to a post COVID-19 environment that will be critical to maintain real estate investment values and enhance the real estate user's experience.","PeriodicalId":46429,"journal":{"name":"Journal of Property Investment & Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2020-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1108/jpif-08-2020-0090","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41516933","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":"The effectiveness of passive land value capture mechanisms in funding infrastructure","authors":"Chyi Lin Lee, Martin Locke","doi":"10.1108/jpif-07-2020-0084","DOIUrl":"https://doi.org/10.1108/jpif-07-2020-0084","url":null,"abstract":"PurposeThis study examines the effectiveness of passive value capture mechanisms as an effective form of mechanisms in funding infrastructure from an Australian perspective The lukewarm response of active value capture mechanisms such as betterment levies in Australia is also discussed Design/methodology/approachA case study of the Sydney Metro City and Southwest (SMCSW) project in Sydney is used to illustrate passive value capture mechanisms FindingsUnlike many developed countries, passive value capture mechanisms have been adopted in Australia This approach is an effective form of value capture mechanisms to capture the value uplift to offset the total development cost of the SMCSW project However, this approach is highly sensitive to property transaction activities that could be affected by the general economic conditions and unprecedented events such as the COVID-19 pandemic Further, there is a widespread discussion of the efficiency of land tax in New South Wales (NSW) in capturing all properties subject to the value uplift Consequently, a shift towards a broad-based land tax is recommended in which it would provide a more efficient way of infrastructure funding Practical implicationsPolicymakers should consider a broad-based land tax for residential and commercial properties in order to improve the efficiency of passive value capture mechanisms This also highlights property valuers should play a greater role in the development of broad-based land tax system Originality/valuePrevious studies have extensively demonstrated property value impacts of transit investments;very little research assesses the growth of value capture funding mechanisms, particularly passive value capture mechanisms Specifically, this paper is the first paper to assess the effectiveness of passive value capture mechanisms","PeriodicalId":46429,"journal":{"name":"Journal of Property Investment & Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2020-11-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1108/jpif-07-2020-0084","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49315499","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":"Estimating the value, ownership structure and turnover rate for investible commercial real estate from transaction datasets","authors":"Steven Devaney, D. Scofield","doi":"10.1108/jpif-05-2020-0052","DOIUrl":"https://doi.org/10.1108/jpif-05-2020-0052","url":null,"abstract":"Purpose: Commercial real estate (CRE) is a major investment asset. Yet detailed information on the value of investible CRE in different cities is lacking. We propose an innovative method to measure the value of investible CRE using transaction datasets. \u0000 \u0000Design/methodology/approach: We take transaction prices and index them to produce a time series of values for each asset. The sum of the values at each point represents the value of investible CRE at that date. Our method is applied to transaction data for New York, London and Toronto. \u0000 \u0000Findings: London had the highest proportions of institutional and foreign ownership, and its turnover was more resilient to the downturn in global CRE following the GFC. The results illustrate the potential of our method to shed light on the characteristics of investible CRE markets. \u0000 \u0000Originality: Our modification of the perpetual inventory technique is simple, novel and practical. We propose this approach given the absence of a building-by-building inventory of investible CRE in many markets. \u0000 \u0000Research limitations: We use data from Real Capital Analytics (RCA). This provides good coverage of transactions for investible CRE in the cities that we examine, but data from other sources might lead to different estimates. \u0000 \u0000Practical implications: Measuring the value and turnover of investible CRE is important for portfolio strategies that account for the size and liquidity of investment markets. Knowledge of these features, and of ownership patterns, provides a better understanding of market operation.","PeriodicalId":46429,"journal":{"name":"Journal of Property Investment & Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2020-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1108/jpif-05-2020-0052","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42698619","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":"Cost overruns and delays in infrastructure projects: the case of Stuttgart 21","authors":"Bertram I. Steininger, M. Groth, Brigitte Weber","doi":"10.1108/jpif-11-2019-0144","DOIUrl":"https://doi.org/10.1108/jpif-11-2019-0144","url":null,"abstract":"Cost overruns and delays in infrastructure projects are not a recent problem. They have systematically occurred globally, in different sectors, and over time. We find that various causes are relevant for the cost overrun and delay of Stuttgart 21 – one of the largest railway projects in Germany in the last 100 years. Among them are project scope changes, geological conditions, high risk-taking propensity, extended implementation, price overshoot, conflict of interests, and lack of citizens’ participation. To estimate the costs at an early stage, we apply the reference class forecasting model and thereby forecast the current estimated costs within a confidence interval. To estimate the time, we apply an OLS regression for the different subsections and underestimate or substantially overestimate the duration actually required.","PeriodicalId":46429,"journal":{"name":"Journal of Property Investment & Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2020-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1108/jpif-11-2019-0144","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46601557","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}