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Full-Text Articles in Real Estate

Random Walks And Market Efficiency: Evidence From Real Estate Investment Trusts (Reit) Subsectors, Fahad Almudhaf, Andrew J. Hansz Jan 2018

Random Walks And Market Efficiency: Evidence From Real Estate Investment Trusts (Reit) Subsectors, Fahad Almudhaf, Andrew J. Hansz

Finance Faculty Publications

This paper investigates the random walk behavior of real estate investment trust (REIT) subsectors using monthly return data from January 1994 to July 2015. Using variance ratio tests, we examine subsectors of lodging/ resorts and self-storage and find that they do not follow a random walk, contradicting the weak-form efficient market hypothesis. Nonparametric runs tests help us find that office, industrial, mixed, free standing, shopping centers, apartments, manufactured homes, and timberland subsectors are weak-form efficient. The evidence in this study supports the idea that some subsectors are more informationally efficient than other subsectors. Copyright © 2018 The Author(s).


Simulation Analysis Of The Blocking Effect Of Transaction Costs In China's Housing Market, Hong Zhang, Yue Wang, Yin Lin, Yang Zhang, Michael J. Seiler Jan 2013

Simulation Analysis Of The Blocking Effect Of Transaction Costs In China's Housing Market, Hong Zhang, Yue Wang, Yin Lin, Yang Zhang, Michael J. Seiler

Finance Faculty Publications

To examine the blocking effect of transaction costs on household mobility, we construct a housing consumption model including transaction costs and adopt an analog simulation methodology, analyzing how changes in household income and home prices influence household consumption, savings decisions and the transaction costs blocking effect. We find that changes in housing demand are the fundamental cause of the blocking effect of transaction costs. The more demand changes, the greater the blocking effect is. Besides, increased volatility in home prices worsens the household mobility problem with regards to the blocking effect of transaction costs, while a change in household income ...


Club Good Influence On Residential Transaction Prices, J. Andrew Hansz, Darren K. Hayunga Jan 2012

Club Good Influence On Residential Transaction Prices, J. Andrew Hansz, Darren K. Hayunga

Finance Faculty Publications

We examine residential real estate transactions in a market where an additional property right to a club good may have an influence on prices. We find that for single-family property, the market capitalizes approximately 50% of the full value of the extra property right. For condominiums, the amount reduces to approximately 25%. While these amounts are positive, they clearly are significantly lower than full value.


The Value Of "Green:" Evidence From The First Mandatory Residential Green Building Program, Ramya R. Aroul, J. Andrew Hansz Jan 2012

The Value Of "Green:" Evidence From The First Mandatory Residential Green Building Program, Ramya R. Aroul, J. Andrew Hansz

Finance Faculty Publications

There has been recent interest in green building and development practices and research. Resulting from growing environmental awareness and concerns, mandatory residential green building programs have been implemented nationally at the municipal level and Texas has passed legislation to create a statewide program. However, the impact of greenness on residential property values has not been rigorously evaluated. This study examines residential transaction prices in two cities and finds a statistically significant premium associated with "green" properties. Additionally, there is evidence of a larger premium associated with green properties located in Frisco, Texas which has the nations first mandatory green building ...


Real Estate Mutual Funds: A Style Analysis, Crystal Lin, Kenneth Yung Jan 2007

Real Estate Mutual Funds: A Style Analysis, Crystal Lin, Kenneth Yung

Finance Faculty Publications

We find that the characteristics of real estate related securities are different from those of the general common equities. To help investors understand better the products offered by real estate mutual funds, we develop style descriptors that are specifically created for real estate related securities. Among the universe of real estate securities, we find real estate funds tilt toward large stocks and favor growth moderately over value. Growth managers outperform value mangers in this sector by 1.51% to 2.30% per year. However, there is evidence of shifts in the investment style among the funds. Our results help investors ...


An Analysis Of The Cross Section Of Returns For Ereits Using A Varying-Risk Beta Model, C. Mitchell Conover, H. Swint Friday, Shelly W. Howton Apr 2000

An Analysis Of The Cross Section Of Returns For Ereits Using A Varying-Risk Beta Model, C. Mitchell Conover, H. Swint Friday, Shelly W. Howton

Finance Faculty Publications

A dual-beta asset pricing model is employed to examine the cross-section of realized equity real estate investment trust (EREIT) returns over bull and bear markets. No significant relationship is found between EREIT returns and a constant beta. However, beta explains cross-sectional returns when betas are allowed to vary across bull markets. This positive relationship exists for both January and non-January months. During bear-market months, no significant relationship is found between REIT betas and returns. But, during such months, size and book-to-market ratio are found to be negatively related to returns.


The Relationship Between Size And Return For Foreign Real Estate Investments, C. Mitchell Conover, H. Swint Friday, Shelly W. Howton Jan 1998

The Relationship Between Size And Return For Foreign Real Estate Investments, C. Mitchell Conover, H. Swint Friday, Shelly W. Howton

Finance Faculty Publications

In this study, we utilize a relatively new database to examine whether small foreign real estate firms have higher returns than large foreign real estate firms. We examine this issue from the perspective of a U.S. investor who forms portfolios of international real estate firms on the basis of U.S. dollar market value of equity. Using eleven years of foreign real estate data for more than 1200 observations in twenty countries, we find that large firms have higher returns and lower risk than small firms. These results hold when returns are denominated in either local currency or dollars ...