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Full-Text Articles in Real Estate

The Consequences Of Reit Index Membership For Return Patterns, Andrey Pavlov, Eva Steiner, Susan Wachter Jul 2019

The Consequences Of Reit Index Membership For Return Patterns, Andrey Pavlov, Eva Steiner, Susan Wachter

Eva Steiner

The impact of stock market index membership on REIT stock returns is unclear. Returns may become more like those of other indexed stocks and less like those of their underlying properties. Taking advantage of the inclusion of REITs in major S&P indexes starting in 2001, we find that shared index membership significantly increases the correlation between REIT returns. However, index membership also enhances the link between REIT returns and the underlying real estate, consistent with improved pricing efficiency.


Comparing Public And Private Real Estate Through Repeat-Sales Indexes And Unlevered Reit Returns, Griffin Amdur May 2018

Comparing Public And Private Real Estate Through Repeat-Sales Indexes And Unlevered Reit Returns, Griffin Amdur

Wharton Research Scholars

This paper constructs repeat-sales indexes using Real Capital Analytics (RCA) transaction data from central business districts (CBD) in Chicago, New York City (Manhattan), Philadelphia, Washington D.C., Los Angeles, San Francisco, and Boston. The indexes can be used to measure the historical returns of offices in these markets. This paper brings insight on whether public and private real estate should be treated as the same asset class. It was found that exposure to private real estate has a positive liquidity premium compared to public REITs. This was found by comparing RCA’s Manhattan Office Repeat-Sales Index to SL Green’s ...


Multifamily Reits: Columbia's Opportunity To Attract Foreign Capital, Juan Brito May 2018

Multifamily Reits: Columbia's Opportunity To Attract Foreign Capital, Juan Brito

Cornell Real Estate Review

The real estate market in Colombia has been very active during the past decade. Government spending through a free housing initiative and the stable and favorable political environment have incentivized capital flow into the country. All asset classes have benefited from the investments. Commercial real estate developments have taken advantage of this economic growth, but the residential market has been the strongest as an average of 230,000 units have been built and sold every year since 2013. Colombia still has room for residential expansion. Housing shortage is close to 4 million homes and it is estimated that 35% of ...


Fundamental Drivers Of Dependence In Reit Returns, Jamie Alcock, Eva Steiner Aug 2017

Fundamental Drivers Of Dependence In Reit Returns, Jamie Alcock, Eva Steiner

Eva Steiner

We analyse the empirical relationships between firm fundamentals and the dependence structure between individual REIT and stock market returns. In contrast to previous studies, we distinguish between the average systematic risk of REITs and their asymmetric risk in the sense of a disproportionate likelihood of joint negative return clusters between REITs and the stock market. We find that REITs with low systematic risk are typically small, with low short-term momentum, low turnover, high growth opportunities and strong long-term momentum. Holding systematic risk constant, the main driving forces of asymmetric risk are leverage and, to some extent, short-term momentum. Specifically, we ...


Unexpected Inflation, Capital Structure And Real Risk-Adjusted Firm Performance, Jamie Alcock, Eva Steiner Aug 2017

Unexpected Inflation, Capital Structure And Real Risk-Adjusted Firm Performance, Jamie Alcock, Eva Steiner

Eva Steiner

Managers can improve real risk-adjusted firm performance by matching nominal assets with nominal liabilities, thereby reducing the sensitivity of real risk-adjusted returns to unexpected inflation. The Net Asset Value (NAV) of US equity Real Estate Investment Trusts (REITs) serves as a good proxy for nominal assets and accordingly we use a sample of US REITs to test our hypothesis. We find that for the firms in our sample: (i) their real, risk-adjusted performance, and (ii) their inflation hedging qualities are inversely related to deviations from this “matching-nominals" argument. In addition to providing managers with a vehicle to maximise real, risk-adjusted ...


The Consequences Of Reit Index Membership For Return Patterns, Andrey Pavlov, Eva Steiner, Susan Wachter Jun 2017

The Consequences Of Reit Index Membership For Return Patterns, Andrey Pavlov, Eva Steiner, Susan Wachter

Articles and Chapters

The impact of stock market index membership on REIT stock returns is unclear. Returns may become more like those of other indexed stocks and less like those of their underlying properties. Taking advantage of the inclusion of REITs in major S&P indexes starting in 2001, we find that shared index membership significantly increases the correlation between REIT returns. However, index membership also enhances the link between REIT returns and the underlying real estate, consistent with improved pricing efficiency.


Unexpected Inflation, Capital Structure And Real Risk-Adjusted Firm Performance, Jamie Alcock, Eva Steiner Jun 2017

Unexpected Inflation, Capital Structure And Real Risk-Adjusted Firm Performance, Jamie Alcock, Eva Steiner

Articles and Chapters

Managers can improve real risk-adjusted firm performance by matching nominal assets with nominal liabilities, thereby reducing the sensitivity of real risk-adjusted returns to unexpected inflation. The Net Asset Value (NAV) of US equity Real Estate Investment Trusts (REITs) serves as a good proxy for nominal assets and accordingly we use a sample of US REITs to test our hypothesis. We find that for the firms in our sample: (i) their real, risk-adjusted performance, and (ii) their inflation hedging qualities are inversely related to deviations from this “matching-nominals" argument. In addition to providing managers with a vehicle to maximise real, risk-adjusted ...


The Consequences Of Reit Index Membership For Return Patterns, Andrey Pavlov, Eva Steiner, Susan Wachter Oct 2016

The Consequences Of Reit Index Membership For Return Patterns, Andrey Pavlov, Eva Steiner, Susan Wachter

Eva Steiner

We study the impact of S&P index membership on REIT stock returns. Given the hybrid nature of REITs, their returns may become more like those of other indexed stocks and less like those of their underlying properties. The existing literature does not offer clear predictions on these potential outcomes. Taking advantage of the inclusion of REITs in major S&P indexes starting in 2001, we find that shared index membership significantly increases the correlation between REIT returns after controlling for the stock characteristics that determine index membership. We also document that index membership enhances the link between REIT stock ...


The Consequences Of Reit Index Membership For Return Patterns, Andrey Pavlov, Eva Steiner, Susan Wachter Oct 2016

The Consequences Of Reit Index Membership For Return Patterns, Andrey Pavlov, Eva Steiner, Susan Wachter

Working Papers

We study the impact of S&P index membership on REIT stock returns. Given the hybrid nature of REITs, their returns may become more like those of other indexed stocks and less like those of their underlying properties. The existing literature does not offer clear predictions on these potential outcomes. Taking advantage of the inclusion of REITs in major S&P indexes starting in 2001, we find that shared index membership significantly increases the correlation between REIT returns after controlling for the stock characteristics that determine index membership. We also document that index membership enhances the link between REIT stock ...


Fundamental Drivers Of Dependence In Reit Returns, Jamie Alcock, Eva Steiner May 2016

Fundamental Drivers Of Dependence In Reit Returns, Jamie Alcock, Eva Steiner

Articles and Chapters

We analyse the empirical relationships between firm fundamentals and the dependence structure between individual REIT and stock market returns. In contrast to previous studies, we distinguish between the average systematic risk of REITs and their asymmetric risk in the sense of a disproportionate likelihood of joint negative return clusters between REITs and the stock market. We find that REITs with low systematic risk are typically small, with low short-term momentum, low turnover, high growth opportunities and strong long-term momentum. Holding systematic risk constant, the main driving forces of asymmetric risk are leverage and, to some extent, short-term momentum. Specifically, we ...


The Interrelationships Between Reit Capital Structure And Investment, Jamie Alcock, Eva Steiner Dec 2015

The Interrelationships Between Reit Capital Structure And Investment, Jamie Alcock, Eva Steiner

Eva Steiner

We explore the interdependence of investment and financing choices in US listed Real Estate Investment Trusts (REITs) in the period 1973-2011. We find that the investment and financing choices of REITs are interdependent, but they are not made simultaneously. Our results suggest that investment determines leverage, but leverage has no apparent effect on investment decisions. Conversely, the debt-overhang conflict between shareholders and debt holders that theoretically drives the reverse influence of leverage on the optimal investment policy does not appear to filter through to the actual investment choices of REITs. Rather, we find that REIT managers utilize the maturity dimension ...


Healthcare Reits And Their Operator Partnerships, Matt Gottlieb Jun 2015

Healthcare Reits And Their Operator Partnerships, Matt Gottlieb

Cornell Real Estate Review

Over the past 10 to 15 years the senior living industry has grown to become a $315 billion nationwide business. This has spurred the development of healthcare focused real estate investment trusts (REITs) and large-scale senior living operators (REOCs), thus, beginning to consolidate a fragmented industry. In contrast with other real estate sectors, the REITs and REOCs are aligned or partnered with each other due to the vital focus on operational capability. They are also partnered because growth in senior living requires acquisitions of existing senior living businesses. While the large-scale operators bring their managerial expertise, the REITs bring their ...


Housing Policies In Singapore: Evaluation Of Recent Proposals And Recommendations For Reform, Sock Yong Phang, David K. C. Lee, Alan Cheong, Kok Fai Phoon, Karol Wee Jul 2014

Housing Policies In Singapore: Evaluation Of Recent Proposals And Recommendations For Reform, Sock Yong Phang, David K. C. Lee, Alan Cheong, Kok Fai Phoon, Karol Wee

David LEE Kuo Chuen

The Singapore housing market is unusual in its high homeownership rate, the dominance of HDB housing, and the extensive intervention of the government in regulating housing supply and demand in both the HDB and private housing sectors. Recent rapid population increases in a low interest rate and high global liquidity environment has resulted in accelerated house prices increases in Singapore. Earlier this year, the government launched “Our Singapore Conversation” of which discussion on housing policies constitutes one major component. This “conversation” comes in the wake of several consecutive rounds of measures to stabilize housing prices using various instruments. This paper ...


Using Reits To Invest In Utility Scale Solar Projects, Brian Mckinley Jul 2014

Using Reits To Invest In Utility Scale Solar Projects, Brian Mckinley

Cornell Real Estate Review

[Excerpt] Public policy in the form of Renewable Portfolio Standards, rising electricity costs, and a sharp decline in upfront costs for commercial and utility scale solar power projects in recent years have allowed for the rapid growth of new solar power installations, and with them, a new opportunity for real estate investors. In this article we discuss solutions to one challenge in the growth of this asset class, securing a viable public financing structure through the utilization of Real Estate Investment Trusts (REITs) that will allow large scale investment to take place and the cost of capital to fall.


Interest Rate Risk Of Australian Reits: A Panel Analysis, Jaime L. Yong, Abhay Singh Jan 2014

Interest Rate Risk Of Australian Reits: A Panel Analysis, Jaime L. Yong, Abhay Singh

ECU Publications Post 2013

Management structures of many Australian REITs have shifted towards internal property management since 2001. Sector returns have been rewarding until the Global Financial Crisis, but rising costs of debt and years of aggressive borrowing have eroded REIT values. Externally managed trusts had relatively higher levels of debt than internally managed counterparts thus increasing the sensitivities to interest rate risks. Yet internally managed REITs engage in a wider set of operating activities which compound market and financial risks. This study uses panel and panel quantile regressions to examine the joint impact of financial leverage and management structure on REIT returns in ...


Unexpected Inflation, Capital Structure And Real Risk-Adjusted Firm Performance, Jamie Alcock, Eva Steiner Dec 2013

Unexpected Inflation, Capital Structure And Real Risk-Adjusted Firm Performance, Jamie Alcock, Eva Steiner

Eva Steiner

Managers can improve real risk-adjusted #12;rm performance by matching nominal assets with nominal liabilities, thereby reducing the sensitivity of real risk-adjusted returns to unexpected inflation. The Net Asset Value (NAV) of US equity Real Estate Investment Trusts (REITs) serves as a good proxy for nominal assets and accordingly we use a sample of US REITs to test our hypothesis. We #12;find that for the firms in our sample: (i) their real, risk-adjusted performance, and (ii) their inflation hedging qualities are inversely related to deviations from this "matching-nominals" argument. In addition to providing managers with a vehicle to maximize ...


Housing Policies In Singapore: Evaluation Of Recent Proposals And Recommendations For Reform, Sock Yong Phang, David Kuo Chuen Lee, Alan Cheong, Kok Fai Phoon, Karol Wee Aug 2013

Housing Policies In Singapore: Evaluation Of Recent Proposals And Recommendations For Reform, Sock Yong Phang, David Kuo Chuen Lee, Alan Cheong, Kok Fai Phoon, Karol Wee

Research Collection School Of Economics

The Singapore housing market is unusual in its high homeownership rate, the dominance of HDB housing, and the extensive intervention of the government in regulating housing supply and demand in both the HDB and private housing sectors. Recent rapid population increases in a low interest rate and high global liquidity environment has resulted in accelerated house prices increases in Singapore. Earlier this year, the government launched “Our Singapore Conversation” of which discussion on housing policies constitutes one major component. This “conversation” comes in the wake of several consecutive rounds of measures to stabilize housing prices using various instruments. This paper ...


The Composition Of Market Proxy In Reits Risk Premium Estimation, Xiaolong Liu, Peng Liu Jan 2012

The Composition Of Market Proxy In Reits Risk Premium Estimation, Xiaolong Liu, Peng Liu

Articles and Chapters

A market portfolio is constructed in this paper that is in the spirit of Roll (1977). It consists of equity assets, fixed-income securities, and real estate, and tests whether the real estate investment trust (REIT) risk premium that is estimated using an equity index alone is robust to the misspecification of the market portfolio. The results show that REIT betas increase significantly relative to a more complete market proxy. Moreover, adding real estate to the market portfolio accounts for a significant portion of the bias in the estimated REIT market risk premium.


Analyst Behavior And Underwriter Choice, Walter I. Boudry, Jarl G. Kallberg, Crocker H. Liu Jan 2011

Analyst Behavior And Underwriter Choice, Walter I. Boudry, Jarl G. Kallberg, Crocker H. Liu

Articles and Chapters

We examine the role that analysts play in a firm's choice of underwriter using a sample of major U.S. investment banks. In order to best capture the competitive environment, which is critical to the potential role that analysts play, we limit our sample of firms to 161 real estate investment trusts (REITs) issuing debt or equity between 1996 and 2004. Using the estimation technique of Ljungqvist et al. (Journal of Finance 61:301–340 2006), which accounts for the endogeneity of analyst behavior and the coverage self-selection decision, we find that target prices that are optimistic relative to ...


What Drives The Property-Type Focus Of Reits?, Seunghan Ro Dec 2010

What Drives The Property-Type Focus Of Reits?, Seunghan Ro

Real Estate Dissertations

Using a sample of 678 property portfolio changes (acquisitions, dispositions and joint ventures) of U.S. REITs during the period 1990 to 2009, I investigate the issue of what drives the property sector focus of REITs. Geltner and Miller (2001) argue that investors prefer to make their own diversification decisions using narrowly focused REITs as an explanation for the lack of diversification. On the basis of their argument, I develop and examine the research question of how investors react to a change in a REIT’s property type focus. I find a significantly negative market reaction to acquisition and acquisitional ...


An Investigation Into Reit Performance Persistency, Xiaorong Zhou Jan 2009

An Investigation Into Reit Performance Persistency, Xiaorong Zhou

Real Estate Dissertations

Using a sample of EREIT returns during the period 1993 to 2006 from the CRSP/Ziman REITs database, I construct portfolios of equity REITs based on past raw returns and evaluate their raw returns and risk-adjusted returns during the holding period for persistence. After adjusting for risk with Carhart (1997)’s 4-factor model, I find no evidence of persistence. By implication, a momentum strategy of buying historical winners and short-selling losers does not generate statistically significant abnormal returns. However, I do find strong evidence of performance reversal based on two-year and three-year ranking and holding periods. Consistent with DeBondt and ...


The Role Of Corporate Governance In Initial Public Offerings: Evidence From Real Estate Investment Trusts, Jay C. Hartzell, Jarl G. Kallberg, Crocker H. Liu Aug 2008

The Role Of Corporate Governance In Initial Public Offerings: Evidence From Real Estate Investment Trusts, Jay C. Hartzell, Jarl G. Kallberg, Crocker H. Liu

Articles and Chapters

This study analyzes the impact of corporate governance structures at the initial public offering (IPO) date. We test hypotheses that firms with more shareholder-oriented governance structures receive higher valuations at the IPO stage and have better long-term performance. Our sample is a set of 107 IPOs of real estate investment trusts (REITs) between 1991 and 1998. Using a single industry and REITs in particular reduces potentially confounding effects due to differences in risk, transparency, and growth potential. We believe this—combined with our use of IPOs—mitigates the endogeneity problem present in studies of the impact of governance on seasoned ...


Updating Expectations: An Analysis Of Post-9/11 Returns, Jarl Kallberg, Crocker H. Liu, Paolo Pasquariello Jan 2008

Updating Expectations: An Analysis Of Post-9/11 Returns, Jarl Kallberg, Crocker H. Liu, Paolo Pasquariello

Articles and Chapters

This study analyzes how three groups of market participants—insiders, analysts, and all other investors—revised their expectations on New York Real Estate Investment Trusts (REITs) in response to the catastrophic events of September 11, 2001. Our analysis reveals that, on the day when markets reopened, REITs with significant exposure to the New York area outperformed a broad REIT office index by 4:1%. However, we find that, according to several metrics of real market behavior, this anticipated superior performance of New York office properties did not materialize. Further analysis of market participants’ activity in office REIT stocks indicates that ...


Executive Profile: Bill Sanders, Cornell Real Estate Review Editorial Board, Bill Sanders Jul 2007

Executive Profile: Bill Sanders, Cornell Real Estate Review Editorial Board, Bill Sanders

Cornell Real Estate Review

[Excerpt] William “Bill” Sanders is renowned as one of the greatest innovators in the world of real estate finance. Over the last 40 years, Mr. Sanders has been instrumental in the creation and operation of some of the largest and most successful real estate ventures ever undertaken. He has been described as the ‘Warren Buffett of real estate’ and is considered to be one of the most influential real estate strategists in the country. Mr. Sanders is both a member of the Cornell University Board of Trustees and the Cornell Real Estate Advisory Board.


Is Real Estate A Fad?, Michael Orscheln Jan 2006

Is Real Estate A Fad?, Michael Orscheln

Cornell Real Estate Review

[Excerpt] According to the American Heritage Dictionary of the English Language, (Fourth Edition Copyright 2000 by Houghton Mifflin Company), a fad is defined as: “A fashion that is taken up with great enthusiasm for a brief period of time; a craze.” Could real estate investors be subject to “a craze”? It sure feels that way.

The scene is a crowded market and all around me people feel desperate to purchase at least one of what is being sold. Am I describing my experience of buying a pet rock as a child or today’s world of investing in real estate ...


Evolution And Revolution Of The Like-Kind Exchange Market, David C. Rupert Jan 2006

Evolution And Revolution Of The Like-Kind Exchange Market, David C. Rupert

Cornell Real Estate Review

[Excerpt] Executive Summary

Section 1031 has been part of the Internal Revenue Service tax code since 1921, but recent changes to Section 1031 and recent guidance provided by the IRS have significantly broadened the appeal and use of this provision within the U.S. commercial real estate industry. The exponential increase in Section 1031 transaction volume experienced over the past several years has generated recognition, both good and bad, for the many companies and investors who participate in this sector of the market.2 In this article I hope to shed some light upon these new like-kind transactions, explain why ...


The Role Of The Underlying Real Asset Market In Reit Ipos, Jay C. Hartzell, Jarl G. Kallberg, Crocker H. Liu Jan 2005

The Role Of The Underlying Real Asset Market In Reit Ipos, Jay C. Hartzell, Jarl G. Kallberg, Crocker H. Liu

Articles and Chapters

A leading explanation for IPO cycles is time‐varying supply and demand for the underlying assets of the firms that are considering going public. We test this hypothesis using REIT IPOs, taking advantage of the relative transparency of the underlying real asset markets. We document links between REIT IPO activity and both the conditions of the underlying real estate market and the price of REITs. We find no significant relation between the heat of the IPO market and post‐IPO operating performance, implying homogeneous firm quality across IPO cycles. Finally, we show that lagged IPO proceeds are related to future ...


Dividend Pricing Models And Reits, Jarl G. Kallberg, Crocker H. Liu, Anand Srinivasan Jan 2003

Dividend Pricing Models And Reits, Jarl G. Kallberg, Crocker H. Liu, Anand Srinivasan

Articles and Chapters

Dividend pricing/present value models relate current stock prices to expectations of future dividends. In this study we apply the West and Campbell–Shiller tests of the dividend pricing relation to an index of real estate investment trusts (REITs). REITs provide a unique test of these models since, during our study period, REITs were mandated to pay out at least 95% of taxable income as dividends. While our results complement previous research which finds that the dividend pricing model cannot be rejected if share repurchase is included as part of dividends, our data contain a much less significant amount of ...


Evaluating Stock Price Volatility: The Case Of Reits, Jarl Kallberg, Crocker H. Liu, Anand Srinivasan Mar 1998

Evaluating Stock Price Volatility: The Case Of Reits, Jarl Kallberg, Crocker H. Liu, Anand Srinivasan

Working Papers

One of the most controversial topics in modem financial economics is "excess volatility:" the notion that stock prices move too much to be explained by fundamental economic and firm-specific factors. This article measures the degree of excess volatility in a special class of equities: real estate investment trusts (REITs). The structure of REITs, specifically, the constraints on dividend payout, the passive approach to asset management and the detailed data available on REIT composition, make them ideal for this investigation. The tests are conducted using the Shiller-West variance bounds methodology and by estimating the volatility of the underlying assets. We find ...


Superior Real Estate Investment Performance: Enigma Or Illusion? A Critical Review Of The Literature, Crocker H. Liu, Terry V. Grissom, David J. Hartzell Jan 1995

Superior Real Estate Investment Performance: Enigma Or Illusion? A Critical Review Of The Literature, Crocker H. Liu, Terry V. Grissom, David J. Hartzell

Articles and Chapters

[Excerpt] The purpose of this paper is to critique the existing empirical evidence on the investment performance of real estate relative to alternative asset categories. The key issue which guides this review of the investment performance literature is whether abnormal real estate returns are merely an illusion which arises from the shortcomings associated with various real estate performance studies or are the result of an omission of more fundamental factors. We suggest that any superior return is a short-run phenomenon, because, according to capital market theory, all assets should exhibit similar risk and return characteristics in the long run. If ...