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1
Corgel, John B. "Hotel Real Estate Markets." Journal of Portfolio Management 31, no. 5 (September 30, 2005): 91–99. http://dx.doi.org/10.3905/jpm.2005.593891.
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Newell, Graeme. "The changing real estate market transparency in the European real estate markets." Journal of Property Investment & Finance 34, no. 4 (July 4, 2016): 407–20. http://dx.doi.org/10.1108/jpif-07-2015-0053.
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Purpose – Real estate market transparency is an important factor in real estate investment and occupier decision making. The purpose of this paper is to assess real estate transparency over 2004-2014 to determine whether the European real estate markets have become more transparent in a regional and global context. Design/methodology/approach – Using the JLL real estate transparency index over 2004-2014, changes in real estate market transparency are assessed for 102 real estate markets. This JLL real estate market transparency index is also assessed against corruption levels and business competitiveness in these markets. Findings – Improvements in real estate transparency are clearly evident in many European real estate markets, with several of these European real estate markets seen to be the major improvers in transparency from a global real estate markets perspective. Practical implications – Institutional investors and occupiers see real estate market transparency as a key factor in their strategic real estate investment and occupancy decision making. By assessing changes in real estate transparency across 102 real estate markets, investors and occupiers are able to make more informed real estate investment decisions across the global real estate markets. In particular, this relates to both investors and occupiers being able to more fully understand the risk dimensions of their international real estate decisions. Originality/value – This paper is the first paper to assess the dynamics of real estate market transparency over 2004-2014, with a particular focus on the 33 European real estate markets in a global context to facilitate more informed real estate investment and occupancy decision making.
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Liow, Kim Hiang, and Felix Schindler. "International Real Estate Review." International Real Estate Review 17, no. 2 (August 31, 2014): 157–202. http://dx.doi.org/10.53383/100183.
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The primary contribution of this study is to comprehensively assess whether public real estate and stock markets are linked at the local, regional, and global levels, and assess the evolution of their dynamic relationship and gradual integration during the last two decades. For individual pairs of real estate and stock markets, our analysis shows that the current levels of local, regional, and global correlations between real estate and stock markets are time-varying, and at most, moderate at the respective integration levels. The real estate and stock markets are both contemporaneously and causally linked in their returns and volatilities; however, the causality relationship appears weaker. In the long run, the real estate markets have slowly become more integrated with the global and regional stock markets, while less integrated with the local stock markets. In addition, the extracted common factors allow for a direct assessment of the dynamic relationships between the real estate and stock markets as a group, and thereby complement the individual results. Finally, there appears to be a declining real estate and stock return dispersion and differential at the local, regional, and global levels for all nine economies studied in this research work, which indicate a tendency of return convergence between real estate and stock markets in the international environment.
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Li, Zongyuan, and Rose Lai. "International Real Estate Review." International Real Estate Review 24, no. 1 (March 31, 2021): 19–58. http://dx.doi.org/10.53383/100315.
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This paper is about investigating how different bank liquidity creation activities affect housing markets. Using data of 401 metropolitan statistical areas/metropolitan statistical area divisions (MSAs/MSADs) of the U.S. between 1990 and 2018, we show that not all bank liquidity creation activities boost the housing markets. In particular, unlike assetside and off- balance sheet liquidity creations, funding-side liquidity creation dampens housing markets. The relationships between liquidity creation activities and housing markets are stronger in regions with inelastic house supply, but flip when banks face external liquidity shocks. We also find that housing markets dominated by large banks are more sensitive to off-balance sheet liquidity creation activities. Finally, as expected, asset-side and off-balance sheet liquidity creations boost housing markets by driving house prices away from fundamental values. Our results offer a more thorough explanation of how bank liquidity creation fuels the momentum of housing markets.
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Liow, Kim, and Jeongseop Song. "International Real Estate Review." International Real Estate Review 22, no. 4 (December 31, 2019): 463–512. http://dx.doi.org/10.53383/100288.
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The market integration of real estate investment trusts (REITs) in the US and four Asian markets as well as between their local stock and REIT markets are investigated in this paper. Using a number of modern econometric techniques on three integration indictors/proxies: time-varying conditional correlations, dynamic risk connectivity (variance-covariance) and cause and effect dependency of linear /nonlinear spillover and connectedness, we find that the five REIT markets show less integration than their corresponding stock markets. Moreover, the modelling of the portfolio risk spillover and connectedness (with covariance) shows a higher average level of market integration for the Asian REIT group. The REIT markets have experienced some significant shifts in their net total and net-pairwise directional risk connectivity. Additionally, investors and policymakers are reminded that any modelling of the cause and effect dependency of the REIT markets should be implemented with linear regression equations and a nonlinear value at risk system in risk spillover and connectedness (with covariance). Finally, significant contagious effects are identified across the REIT markets and stock and REIT portfolios during the global financial crisis and China stock market crash.
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Haran, Martin, Michael McCord, Peadar Davis, John McCord, Colm Lauder, and Graeme Newell. "European emerging real estate markets." Journal of Property Investment & Finance 34, no. 1 (February 1, 2016): 27–50. http://dx.doi.org/10.1108/jpif-04-2015-0024.
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Purpose – The purpose of this paper is to improve the transparency of European emerging real estate market dynamics and performance attributes in the wake of the 2007-2008 global financial crisis (GFC). The paper examines the extent and nature of inter-relationships between three emerging real estate markets namely, the Czech Republic, Hungary and Poland as well as determining the rationale for including emerging real estate markets within a Pan-European investment portfolio. The paper affords a timely update following the reinstatement of lending provision for European emerging real estate investment markets in 2014. Design/methodology/approach – The paper employs lead-lag correlations and Grainger causality to examine inter and intra relationships across three emerging European real estate markets, namely the Czech Republic, Hungary and Poland over the period 2006-2014. Optimal portfolio analysis is undertaken to explore the role of emerging real estate markets within the confines of a multi-asset investment portfolio as well as a Pan-European real estate investment portfolio. Findings – The findings demonstrate the opportunities afforded by the European emerging real estate markets in terms of both performance enhancement and risk diversification. Significantly, the findings highlight the lack of “uniformity” across the European emerging markets in terms of their investment potential, with Grainger causality confirming that the real estate markets in the Czech Republic, Hungary and Poland are not endogenous functions of one-another’s performance. Practical implications – This paper makes a considered contribution to the analytical interpretation of European emerging property market performance across the real estate cycle. The research demonstrates that the real estate markets in the Czech Republic, Hungary and Poland exhibit specific investment characteristics which differentiate them from the more developed real estate markets across Europe. Indeed emerging markets have the propensity to serve as both a risk diversifier as well as performance enhancer within the confines of a pan-European real estate investment portfolio. However, as the research clearly articulates, intricate understanding of the attributes afforded by the different emerging markets as well as the divergence in sectoral dynamics/performance is integral to portfolio allocation strategies. Originality/value – Robust academic research on Europe’s emerging real estate markets has been hampered by deficiencies in data provision. This study makes an innovative and timely contribution to redressing the research vacuum through delineated examination of the performance dynamics of three markets namely, the Czech Republic, Hungary and Poland, across the real estate cycle. The role and function of emerging markets is depicted within the confines of a Pan-European direct real estate investment portfolio at the all property level and in terms of sectoral specific allocations comprising retail, office and industrial. The explicit added value of the paper is the propensity to bench-mark the performance of emerging markets real estate markets on a like-for-like basis with developed real estate markets across Europe facilitating the exploration of the role and function of emerging real estate markets within a Pan-European investment context.
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Schindler, Felix. "International Real Estate Review." International Real Estate Review 14, no. 1 (April 30, 2011): 27–60. http://dx.doi.org/10.53383/100133.
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This paper analyzes long- and short-term co-movements between 14 international real estate stock markets based on cointegration and correlation analyses. The results indicate that there exist strong long-term relationships within economic and geographical regions, but less long-run linkages between real estate markets in different continents. Thus, investors would benefit from broadening their investment horizon from their domestic continent to Australia, Europe, and North America. Furthermore, it is shown that within each region, there are one or two key markets that influence neighboring markets, such as Australia in the Asia-Pacific region, the US in the Anglo-Saxon countries, and France and the Netherlands in the European Monetary Union (EMU). Therefore, from an investor!|s point of view, it is implied that it should be sufficient to only focus on these central markets. With respect to the efficient market hypothesis, the findings by the cointegration analysis further question its validity for securitized real estate markets.
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Fung, Hung-Gay. "Real Estate and Related Markets." Chinese Economy 47, no. 2 (March 2014): 3–4. http://dx.doi.org/10.2753/ces1097-1475470200.
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Louargand, Marc. "Information and Real Estate Markets." Journal of Real Estate Portfolio Management 4, no. 1 (January 1, 1998): 79–81. http://dx.doi.org/10.1080/10835547.1998.12089549.
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Li, Yuming. "International Real Estate Review." International Real Estate Review 2, no. 1 (June 30, 1999): 94–109. http://dx.doi.org/10.53383/100014.
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One of the most important issues in emerging markets is the timing and intensity of land development decisions and how these decisions affect property values. In these markets, newly developed office space and residential units often account for a substantial proportion of the aggregate supply of similar types of developed properties. In this article I use a real option model to study the land development problem faced by a central planner. The optimal capital intensity, the value of land and the post- development rents and property values in these markets are strikingly lower than the corresponding values in the markets where the demand is perfectly elastic. Furthermore, the optimal capital intensity and the value of land are most sensitive to the market demand conditions in the emerging markets experiencing the fastest growth or greatest uncertainty, or at times when interest rates or construction costs are lowest.
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Tsai, I.-Chun, and Che-Chun Lin. "International Real Estate Review." International Real Estate Review 22, no. 1 (March 31, 2019): 27–58. http://dx.doi.org/10.53383/100274.
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This paper uses the house price indices of 20 metropolitan statistical areas (MSAs) across the United States from January 1991 to April 2018 to analyze the dynamic connectedness of the housing markets in these MSAs. By estimating the connectedness of the entire sample before, during, and after the subprime mortgage crisis, this paper compares the changes in the impact of each regional housing market in the abovementioned MSAs during the stated time period. The results show that housing markets in west coast MSAs are the most influential, and the spatial distribution of this influence is affected by the subprime mortgage crisis because, compared to other periods, the fewest MSAs have a positive net impact during the crisis period and are found along the coast. The influence of the west coast cities increases after the subprime mortgage crisis compared to that before the crisis, probably because the house prices in these cities recover more quickly. In addition, an increase in connectedness represents more systematic risks and also influences the connectedness of the housing markets with other financial markets. The results of this paper also indicate that if the Federal Reserve uses monetary policies to interfere with the housing market, this might increase the default risks of the entire housing market across the United States, and a financial crisis from the spread of default risks might ensue. By discussing the linkage of the regional housing markets across the United States, we provide another warning indicator for the risks of housing markets, risks linked to other financial markets, and uncertainty risks for the overall economy.
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Chau, K. W. "International Real Estate Review." International Real Estate Review 1, no. 1 (June 30, 1998): 1–16. http://dx.doi.org/10.53383/100001.
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The growth in real estate research in Asia has been very significant over the past decade. Figure 1 shows the trend of the research papers on Asian real estate markets published in 17 real estate academic journals. A list of the journals surveyed is shown in Table 1. This number represents only a fraction of all the studies on the Asian real estate markets since books, research monographs, research reports, conference papers, and journal papers published in languages other than English are not included. Figure 2 shows the breakdown by markets.
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Liow, Kim Hiang, and Zhuo Lee. "International Real Estate Review." International Real Estate Review 16, no. 2 (August 31, 2013): 147–65. http://dx.doi.org/10.53383/100168.
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The main contribution of this study is to examine the extreme dependence between the real estate securities and stock markets in Australia, China, Hong Kong, Japan, Malaysia, the Philippines, Singapore and Taiwan between January 1995 and March 2011. For each market, we derive time series tail dependence coefficients (TDC) which measure how likely financial returns move in extreme market conditions by using the dynamic conditional correlation (DCC) methodology provided by Engle (2002). Overall, our results indicate that Singapore, the Philippines and Hong Kong have the highest extreme real estate–stock market co-movement of at least 50%. In addition, during the global financial crisis (GFC) period, the securitized real estate and common stock markets in China, Hong Kong, Japan, the Philippines and Singapore displayed the highest extreme dependence to react together to financial turmoil. The results in this paper also show that the extreme dependence patterns of real estate stock markets are similar for many of the Asia-Pacific economies. Finally, correlation coefficients are not adequate for explaining extreme co-movements between the securitized real estate and common stock markets in the longer period, as well as in the two-year GFC periods. Our TDC modeling with Asia-Pacific securitized real estate and stock markets provide useful information and advice to international investors and risk management personnel in tactical asset allocation so as to manage the extreme dependence between securitized real estate and common stock market.
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Cruz, Prince Christian. "International Real Estate Review." International Real Estate Review 11, no. 1 (June 30, 2008): 128–50. http://dx.doi.org/10.53383/100094.
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Asia is home to some of the fastest growing cities in the world. As urbanization increases, demand for housing also increases. Well functioning housing markets can minimize problems associated with rapid urbanization such as unaffordable housing and urban slums. This paper explores the different aspects of the residential property sales markets in Asian countries. Using data gathered by the Global Property Guide, transaction costs associated with residential property purchases are analyzed. Housing markets are also examined in terms of tenure, protection of property rights, and openness and transparency. Roundtrip transaction costs for buying properties are high, above 10% in several countries in Asia. High transaction costs and unaffordable housing combined with weak protection of property rights are seen to be conducive to the creation of urban slums.
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Wang, Ko, Yuqing Zhou, Su Han Chan, and K. W. Chau. "International Real Estate Review." International Real Estate Review 3, no. 1 (June 30, 2000): 93–108. http://dx.doi.org/10.53383/100023.
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Studies on the calibration of subjective probabilities find that people tend to over-estimate the precision of their knowledge. In this paper we develop a semi-rational model and apply it to the real estate markets in Hong Kong and other Asian countries. The key point is that a person is rational about her/his private information until her/his private information is confirmed by a clearly defined market signal. Using a pre-sale as a mechanism of updating a developer's beliefs, this paper analyzes the impact of over-confidence on overbuilding and cycles in real estate markets. Our finding indicates that a pre-sale activity will increase the magnitude of over-building and over-confidence will increase the volatility in real estate markets. Our model also has implications to the well-established literature dealing with the issue of over-capacity in many industrial sectors.
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Al-Abduljader:, Sulaiman T. "International Real Estate Review." International Real Estate Review 21, no. 1 (March 31, 2018): 93–112. http://dx.doi.org/10.53383/100256.
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The paper investigates the effects of international diversification in reducing risk. A test is applied on real estate returns by analyzing global portfolios that invest in the real estate of Gulf Cooperating Countries (GCC). The correlations between markets are not low enough to produce effective diversification. Nine out of the twelve portfolios have produced high enough correlations that when opposite positions (long and short) are taken, only then we begin to see significant reduction in risk. When comparing the effects of the real estate of the GCC with those of the real estate of Brazil, Russia, India and China (BRIC) in the context of a global equity portfolio, both the real estate of the GCC and BRIC do not produce diversification benefits when a long position is taken in developed markets. Nonetheless, when taking a long position in the real estate of the GCC, effective diversification is found when taking a short position in the developed markets. A similar case can also be concluded when taking a long position in the real estate of the BRIC countries and shorting the developed markets. The results suggest serious concerns on effective diversification among global investors with the current long only exposure to real estate in the region and suggests the introduction of shorting financial instruments for active hedging and portfolio optimization.
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Sarathy, P. Sanjay. "International Real Estate Review." International Real Estate Review 14, no. 3 (December 31, 2011): 354–73. http://dx.doi.org/10.53383/100146.
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The purpose of this research paper is to examine the influence of opinion leaders in real estate markets. First, we provide a literature review of opinion leaders and real estate markets in India. Secondly, the variables that influence the opinion leaders are established and their measurement is well defined. Thirdly, a survey has been conducted by using a self- administered questionnaire, which was sent to 234 individuals who are responsible for handling real estate firms. The research model is empirically tested in a sample of 128 respondents by using a chi-square analysis. This study finds that opinion leaders in real estate markets possess significantly higher levels in exposure to media sources, social involvement, product knowledge, innovativeness, and computer usage than non-leaders. Opinion leaders also possess a higher degree of social networking and have used the internet more frequently for longer sessions than non-leaders. Finally, we identify the key implications, conclude the research finding and explore potential avenues for future research.
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Caudill, Steven B., and Franklin G. Mixon. "Estimating Bargaining Power in Real Estate Pricing Models: Conceptual and Empirical Issues." Journal of Risk and Financial Management 13, no. 5 (May 23, 2020): 105. http://dx.doi.org/10.3390/jrfm13050105.
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The relative bargaining power of the buyer and seller is a key feature of real estate pricing models. Classic real estate studies have sought to address bargaining effects in hedonic regression models. Prior research proposes a procedure to estimate bargaining effects in hedonic regression models that depends critically on a substitution to eliminate omitted variables bias. This study shows that the proposed solution that is often cited in the real estate economics literature does not solve the omitted variables problem given that both models are merely different parameterizations of the same model, and thus produces biased estimates of bargaining power when certain property characteristics are omitted. A classic hedonic regression model of real estate prices using Corsican apartment data supports our contention, even when the assumption of bargaining power symmetry is relaxed.
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Courchane, Marsha J., and Cynthia Holmes. "International Real Estate Review." International Real Estate Review 17, no. 1 (April 30, 2014): 109–35. http://dx.doi.org/10.53383/100181.
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Canadian and U.S. real estate markets have compared similarly along dimensions such as inflation, mortgage interest rates, population and income growth and other measures. With respect to house prices, however, the series have moved in similar ways at some times, but then significantly diverged by the second quarter of 2007. For example, Canadian and U.S. house price indices reached essentially identical levels in 1987Q2, 1995Q1 and 2007Q2. As a consequence of the U.S. financial crisis and precipitous decline in house prices, the U.S. and Canadian indices have sharply diverged. Our paper examines whether or not the house price indices were driven by fundamentals during these time periods, or whether they diverged from fundamentals. We find that the U.S. house prices closely aligned with fundamentals until the mortgage markets crashed in 2008. We find that Canadian house prices continue to align with fundamentals. However, there have been some significant market changes between the two countries and key housing market measures indicate that Canadian markets are now moving along some paths similar to those taken by the U.S. prior to the crash.
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Deng, Yang, Helen X. H. Bao, and Pu Gong. "International Real Estate Review." International Real Estate Review 21, no. 2 (June 30, 2018): 145–68. http://dx.doi.org/10.53383/100258.
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This study examines the tail dependence of returns in international public real estate markets. By using the daily returns of real estate securities in seven cities/countries from 2000 to 2018, we analyze how the interdependence of international securitized real estate markets has changed since the Global Financial Crisis. We divide our sampling period into the pre-crisis, crisis, and post-crisis periods, and estimate both upper and lower tail dependence coefficients for each sub- period. Our empirical results confirm that most city/country pairs have changed from tail-independent to tail-dependent since 2007. Strong tail dependence persists during the crisis and post-crisis periods. The findings from the post-crisis sub-sample provide new evidence on increased tail dependence in the global real estate market in recent years. We conclude that international real estate securities still offer diversification benefits nowadays but to a lesser extent than in the pre-crisis period. Investing in the global real estate securities markets is beneficial for cross-region, mixed-asset portfolios.
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Renigier-Biłozor, Małgorzata, and Radosław Wiśniewski. "REAL ESTATE MARKET RATING – NEED OR NECESSITY?" Real Estate Management and Valuation 21, no. 4 (December 1, 2013): 54–64. http://dx.doi.org/10.2478/remav-2013-0037.
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Abstract Rating systems developed in Poland and other countries are generally used to evaluate the performance of businesses, organizations, institutions and even entire economies. Comprehensive solutions for assessing real estate markets and individual properties have never been proposed (several systems for evaluating mostly commercial real estate have been developed). This deficiency could be attributed to an absence of databases describing the real estate market and market changes as well as a shortage of coherent methods for analyzing real estate markets. In most cases, however, market phenomena may be difficult to classify because they involve behavioral, social and stochastic elements. This article analyzes the existing systems for rating and ranking markets in different Polish regions and cities. They were compared with information about the classification of real estate markets on the example of selected property markets in Poland. Selected categories were evaluated to determine whether rating methods for real estate markets, including housing markets, should be developed for different Polish cities and regions. The growth potential of local real estate markets was also analyzed.
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Hua, Chang-I. "International Real Estate Review." International Real Estate Review 20, no. 4 (December 31, 2017): 397–416. http://dx.doi.org/10.53383/100248.
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This paper presents a structural model of nine equations that connect the unobserved housing service and the observed house transaction markets. Endogenous variables include two prices, supply, demand, stock of houses for sale on the market, average time on the market, stock of all houses, total vacant houses, and average house size. The search process of households for houses generates a stochastic process which results in an uncleared stock of houses on the market. The friction cost is specifically measured. The model should improve many practices in housing market research, and may be extended to other durable goods markets and beyond.
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Cheung, William Mingyan, James Chicheong Lei, and Desmond Tsang. "International Real Estate Review." International Real Estate Review 19, no. 1 (March 31, 2016): 27–49. http://dx.doi.org/10.53383/100214.
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This study examines whether property transaction affects the price discovery process in real estate markets. Prior literature shows that price discovery generally first takes place in the securitized public real estate investment trust (REIT) market. We conjecture that property transaction provides novel information to the direct real estate market and can change the dynamics between public and private real estate returns. We employ a unique dataset of property transactions to construct "transaction windows¨ and specifically examine the causality between public and private real estate markets around these periods. We form firm-level pairs of public and private price series, and estimate the normalized common factor loadings per Gonzalo and Granger (1995) by using a vector error-correction model. Our findings show that a significant proportion of price discovery happens in the private market instead of the public REIT market. Our results are robust to investments of different property types and different lengths of transaction windows. Overall, the findings in this study imply that property acquisition and disposition provide crucial information to the private real estate market and induce a reverse causality between the public and private markets.
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Fisher, Jeffrey D., Susan Hudson-Wilson, and Charles H. Wurtzebach. "Equilibrium in Commercial Real Estate Markets." Journal of Portfolio Management 19, no. 4 (July 31, 1993): 101–7. http://dx.doi.org/10.3905/jpm.1993.409453.
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Pederson, Rick A. "Corporate real estate and capital markets." Journal of Corporate Real Estate 1, no. 4 (October 1999): 343–47. http://dx.doi.org/10.1108/14630019910811123.
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Sahling, Leonard G. "Real Estate Markets in the 1990s." Challenge 34, no. 4 (July 1991): 43–52. http://dx.doi.org/10.1080/05775132.1991.11471523.
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Su, Jen-Je, Adrian (Wai-Kong) Cheung, and Eduardo Roca. "Are securitised real estate markets efficient?" Economic Modelling 29, no. 3 (May 2012): 684–90. http://dx.doi.org/10.1016/j.econmod.2012.01.015.
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Monfared, Sam, and Andrey Pavlov. "Political Risk Affects Real Estate Markets." Journal of Real Estate Finance and Economics 58, no. 1 (August 29, 2017): 1–20. http://dx.doi.org/10.1007/s11146-017-9619-y.
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Cadenillas, Abel, Robert J. Elliott, Hong Miao, and Zhenyu Wu. "Risk-Hedging in Real Estate Markets." Asia-Pacific Financial Markets 16, no. 4 (July 18, 2009): 265–85. http://dx.doi.org/10.1007/s10690-009-9095-3.
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Stevenson, Simon. "International Real Estate Review." International Real Estate Review 4, no. 1 (June 30, 2001): 26–42. http://dx.doi.org/10.53383/100027.
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This study re-examines the relationship between real estate securities and inflation in a total of ten international markets. In addition to the raw data, both the orthogonalized and hedged approaches were adopted in order to strip out the general impact of the domestic equity market. The results revealed that there is minimal evidence of a positive relationship between real estate securities and inflation, which is in line with existing empirical evidence. However, the strong evidence of perverse relationship, noted in previous studies of REITs, is not robust throughout the other nine markets. The hedged and orthogonalized data also provided minimal evidence in favour of a positive relationship, both in the short and long terms.
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Chu, Yongqiang, and Tien Sing. "International Real Estate Review." International Real Estate Review 24, no. 1 (March 31, 2021): 1–17. http://dx.doi.org/10.53383/100314.
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Developers make decisions around timing and intensity simultaneously when exercising a development option. Built on the early real options models, we allow the demand shock and the cost functions to be dependent on the intensity of real estate development. Based on a set of input parameters, the numerical results show that demand uncertainty delays development activities, and the rental elasticity to density change has an inverse effect on the deferment option values. In a market where the intensity impact on rental income is small, development activities are likely to be curtailed when market volatility increases. More empirical tests could be conducted on whether more smaller-scale projects are triggered in down markets relative to up markets.
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Shaw, Joe. "Platform Real Estate: theory and practice of new urban real estate markets." Urban Geography 41, no. 8 (October 17, 2018): 1037–64. http://dx.doi.org/10.1080/02723638.2018.1524653.
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Wong, Yuen-Meng. "International Real Estate Review." International Real Estate Review 19, no. 3 (September 30, 2016): 371–409. http://dx.doi.org/10.53383/100227.
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Real estate investment trusts (REITs) are a niche alternative investment class. Since their introduction in Asia at the turn of the millennium, the REIT market in the region has experienced phenomenal growth. In particular, the Malaysia REIT (M-REIT ) market capitalisation has seen a spectacular growth of close to 20 folds from its inception in 2005 until the end of 2013. This paper chronicles the development of the M-REIT market which is rather unique as it provides a common platform for the existence of both conventional and Islamic REITs. Empirical tests are also conducted to uncover the returns characteristics of the M-REIT market. M-REIT returns are significantly correlated with domestic stock markets but only weakly correlated with changes in interest rate, with long-term proxies having a stronger impact than short-term proxies. The results from a correlation analysis are further confirmed by regression testing which shows that M-REIT returns are most significantly driven by domestic stock market returns while only mildly by changes in interest rates and not significantly driven by returns in regional REIT markets. These findings possibly imply that M-REITs (i) subscribe more to the characteristics of equity than those of bonds, (ii) are not 'pure' yield-play instruments, (iii) are often regarded as long-term investment, and (iv) may not be fully integrated with global and regional REIT markets.
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Liow, Kim Hiang, Xiaoxia Zhou, Qiang Li, and Yuting Huang. "Time–Scale Relationship between Securitized Real Estate and Local Stock Markets: Some Wavelet Evidence." Journal of Risk and Financial Management 12, no. 1 (January 20, 2019): 16. http://dx.doi.org/10.3390/jrfm12010016.
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: This study revisits the relationship between securitized real estate and local stock markets by focusing on their time-scale co-movement and contagion dynamics across five developed countries. Since securitized real estate market is an important capital component of the domestic stock market in the respective economies, it is linked to the stock market. Earlier research does not have satisfactory results, because traditional methods average different relationships over various time and frequency domains between securitized real estate and local stock markets. According to our novel wavelet analysis, the relationship between the two asset markets is time–frequency varying. The average long run real estate–stock correlation fails to outweigh the average short run correlation, indicating the real estate markets examined may have become increasingly less sensitive to the domestic stock markets in the long-run in recent years. Moreover, securitized real estate markets appear to lead stock markets in the short run, whereas stock markets tend to lead securitized real estate markets in the long run, and to a lesser degree medium-term. Finally, we find incomplete real estate and local stock market integration among the five developed economies, given only weaker long-run integration beyond crisis periods.
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Lisi, Gaetano. "International Real Estate Review." International Real Estate Review 17, no. 1 (April 30, 2014): 47–62. http://dx.doi.org/10.53383/100179.
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The housing market matching model in this paper considers two types of home-seekers: people who search for a house both in the rental and the homeownership markets, and people who only search in the homeownership market. The house-search process leads to several types of matching and in turn, this implies different prices of equilibrium. Also, the house-search process connects the rental market with the homeownership market. This model is thus able to explain both the relationship between the rental and the selling prices and the price dispersion which exists in the housing market. Furthermore, this theoretical model can be used to study the impact of taxation in the two markets. Precisely, it is straightforward for showing the effects of two different taxes: tax on property sales and tax on rental income.
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Anoruo, Emmanuel, and Habtu Braha. "International Real Estate Review." International Real Estate Review 13, no. 3 (December 31, 2010): 261–81. http://dx.doi.org/10.53383/100128.
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This study examines the long memory properties of composite, equity, mortgage, and hybrid real estate investment trust (REIT) returns by using semi-parametric and wavelet estimators. In particular, this paper applies the GPH semi-parametric estimator, the Haar and the Daubechies wavelet procedures to investigate the long memory properties of REIT returns. The results from the various procedures reveal that composite, equity, mortgage, and hybrid REIT returns are long memory processes with anti- persistence. The existence of long memory suggests that the dynamics which govern the four return series contain predictable components. This finding indicates that the markets for composite, equity, mortgage, and hybrid REITs are inefficient. The fact that these markets are inefficient suggests that investors can devise profitable strategies by using historical data or past information.
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Ng, Edward. "International Real Estate Review." International Real Estate Review 1, no. 1 (June 30, 1998): 45–63. http://dx.doi.org/10.53383/100003.
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Prices in the Asian residential property markets have skyrocketed over the past decade. A high rate of economic growth is one of the major reasons for the price spiral. Most Asian residential property markets are, however, concentrated and national in nature. Maintaining an artificially high price level through coordination amongst producers is not impossible and would be the natural choice of oligopolistic behavior (Scherer and Ross, 1990). This study examines price responses to changes in economic determinants in Singapore. The focus is on supply. Cointegration and error-correction techniques are employed to test if upward and downward adjustment speeds are similar. The results verify the impact of GDP growth, but also show that price response to the supply of housing units is significantly downward rigid. This is not inconsistent with the hypothesis of collusive price setting by property developers.
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KOBAYASHI, Masahiro. "Japanese real estate markets interconnected with global financial markets." Japanese Journal of Real Estate Sciences 26, no. 1 (2012): 47. http://dx.doi.org/10.5736/jares.26.1_47.
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Nallathiga, Ramakrishna. "International Real Estate Review." International Real Estate Review 9, no. 1 (June 30, 2006): 132–52. http://dx.doi.org/10.53383/100072.
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TThe economic justification for regulation of land markets through land use controls and other policy instruments is a well-studied subject in developed countries. However, in the recent years, there has been an increasing realisation that the regulation of urban land use and its development has been resulting in some undesirable impacts, in particularly, on the operation of land or property markets, which result in increases in land prices and a reduction in the welfare of people. This paper presents an empirical evaluation of the density regulation impact on land prices in Mumbai city. The study finds that the impact of density regulation is highest on the already highly demanded space in the CBD; also, the impact is significant in the suburbs. The study results, however, need to be interpreted more carefully in the light of other land use and housing regulations already in operation.
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Hoesli, Martin, Eva Liljeblom, and Anders Löflund. "International Real Estate Review." International Real Estate Review 17, no. 1 (April 30, 2014): 1–22. http://dx.doi.org/10.53383/100177.
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We test relative illiquidity, exemplified through a temporary lock-up, as a partial explanation for the gap between theoretical and empirical weights for real estate in a multi-asset portfolio. Since asset correlations are known to increase in bear markets, which reduce their diversification benefits, the ex-ante knowledge of a lock-up in an asset class that offers diversification benefits in bull markets (Hung et al., 2008) may reduce the optimal weight that an investor wishes to put in it ex-ante. By using dynamic multiperiod portfolio policies by Brandt and Santa-Clara (2006), and introducing a lock-up in line as per de Roon et al. (2009), we study the effects of a partial lock-up on the weight for REITs in a U.S. stock and bond portfolio. We find support for our prediction, in the form of lower weights for the illiquid asset once a lock-up is introduced.
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Evans, Richard D., and Glenn R. Mueller. "International Real Estate Review." International Real Estate Review 19, no. 3 (September 30, 2016): 265–96. http://dx.doi.org/10.53383/100223.
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Metro market real estate cycles for office, industrial, retail, apartment, and hotel properties may be specified as first order Markov chains, which allow analysts to use a well-developed application, ¡§staying time¡¨. Anticipations for time spent at each cycle point are consistent with the perception of analysts that these cycle changes speed up, slow down, and pause over time. We find that these five different property types in U.S. markets appear to have different first order Markov chain specifications, with different staying time characteristics. Each of the five property types have their longest mean staying time at the troughs of recessions. Moreover, industrial and office markets have much longer mean staying times in very poor trough conditions. Most of the shortest mean staying times are in hyper supply and recession phases, with the range across property types being narrow in these cycle points. Analysts and investors should be able to use this research to better estimate future occupancy and rent estimates in their discounted cash flow (DCF) models.
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Park, Yun, and Doowon Bang. "International Real Estate Review." International Real Estate Review 16, no. 2 (August 31, 2013): 166–88. http://dx.doi.org/10.53383/100169.
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We examine a unique Korean data set, the Kookmin Bank apartment price index, which is based on broker appraisals, in order to shed light on how brokers determine valuation over real estate cycles. We build a repeat sales apartment price index as well as a hedonic apartment price index by using the transaction data, which have become available in the public domain since 2006, and compare them with the Kookmin Bank apartment price index. By examining the volatility in the broker appraisals as well as the partial adjustment models of broker appraisals, we find that the appraisals are smoothed. Furthermore, the smoothing is asymmetrical and greater during down markets than up markets. These findings are consistent with the hypothesis that brokers impound new transaction prices by using the quality of information as weight. The extent of smoothing and asymmetry in smoothing broker appraisals persist over two subsequent cycles contrary to the expectation that they would become more sensitive to transaction prices as transaction prices become more widely spread.
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Miller, Norman G., Michael A. Sklarz, and Thomas Thibodeau. "International Real Estate Review." International Real Estate Review 8, no. 1 (June 30, 2005): 27–43. http://dx.doi.org/10.53383/100059.
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This research examines how well nominal income, nominal interest rates and employment explain temporal variation in nominal metropolitan area house prices. Rather than use a traditional model of real house prices, we explain nominal house prices with a measure of "intrinsic" house value that combines local economic factors with an affordable price based upon what the local median income household could afford to pay at prevailing interest rates. The affordable price variable captures local household income trends and current interest rates. We then relate temporal variation in observed house prices to "intrinsic" value and estimate the parameters of separate autoregressive house price models for 316 cities. We observe that the coastal markets exhibit much greater appreciation/ depreciation rates and much more volatility than cities in the central portions of the country. Here we focus primarily on the impact of interest rates on nominal prices in various MSAs, a factor that many housing analyst have pointed to when debating the existence of housing bubbles. Some markets are much more or less responsive to interest rates than others. Supply constraints may explain some of this increased responsiveness.
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Hu, Yuqing, and Piyush Tiwari. "International Real Estate Review." International Real Estate Review 24, no. 2 (June 30, 2021): 293–322. http://dx.doi.org/10.53383/100323.
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This paper identifies the impact of macroeconomic determinants of commercial property investment and development markets in Australia. A Hodrick-Prescott (HP) filter is used to filter the cyclical components of commercial property investment and development time series. In order to identify the long-run relationships and short-run dynamics, coupled with causality between these factors and property cycles, the investment and development property cycles are analyed with respect to the movement of nine macroeconomic factors by using time series data from 1987 to 2016. The empirical results suggest that the Australian commercial property market is often in an overdemand situation rather than oversupply, which can be explained by the different patterns of the property cycles on the demand and supply sides. Property investment cycles are shorter and more volatile than development cycles at around 8-10 years and more than 20 years, respectively, since there is a larger elasticity of the macroeconomic factors that underlie the investment market with short-term dynamics, while the development cycle is mainly affected by such factors moderately in the long run. Both the investment and development markets are intensively affected by financing related variables rather than market-sentiment and economic-cycle related variables.
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Wong, Siu Kei, Ling Li, and Paavo Monkkonen. "International Real Estate Review." International Real Estate Review 22, no. 3 (September 30, 2019): 307–31. http://dx.doi.org/10.53383/100283.
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The profiteering developer is a common figure in debates over housing policy. Governments increasingly use developer profits to justify policies like inclusionary housing. Yet we actually understand little about the competitiveness of housing development. One unresolved question is whether developers use market power to profit when selling new units, especially in highly concentrated markets. We use the case of Hong Kong, where the five largest developers build almost two-thirds of new housing units, to address this question. Using a repeat-sales approach, we find that new condominiums sell at a discount, not a premium. We attribute this lack of market power to the resalable feature of durable goods ¡V the discount is larger when more re-sellers are located nearby ¡V as well as the need for liquidation ¡V the discount is larger when developers have to sell more units simultaneously. Our results suggest that the first-hand market, even in a highly concentrated market, is competitive. They add to a growing body of research work on the role of new housing in affordability, and invite further study of competitiveness in different kinds of housing markets.
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Mills, Edwin S. "International Real Estate Review." International Real Estate Review 5, no. 1 (June 30, 2002): 1–11. http://dx.doi.org/10.53383/100034.
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Government controls on urban land use are as pervasive as death and taxes. Certainly, I have never been in or seen reference to a country that placed no or even almost no, controls on how owners could develop and use urban land. The most comprehensive study of urban housing development policies, Angel and Mayo (1996), which covers 53 countries that include 80 percent of the world’s population, included none that approximated free markets in housing.
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Hui, Eddie C. M., and Ka Kwan Kevin Chan. "ARE THE GLOBAL REAL ESTATE MARKETS CONTAGIOUS?" International Journal of Strategic Property Management 16, no. 3 (October 2, 2012): 219–35. http://dx.doi.org/10.3846/1648715x.2011.645904.
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The aim of this paper is to investigate the contagion across real estate markets of four countries: Hong Kong, China, U.S. and U.K., during the financial tsunami in 2008. We use the Forbes-Rigobon test, the coskewness test and the cokurtosis test. We propose a new cokurtosis test constructed by extending the method of constructing the coskewness test to further higher order moments. It can show additional channels of contagion that other tests fail to show, and hence can provide more information on the direction of contagion, and reflect a more complete picture of the contagion pattern. The coskewness and cokurtosis tests show that contagion exists between the four countries, and the contagion effect is stronger between Hong Kong and China, and between U.S. and U.K. This provides clues for investors on how to diversify their investment to reduce their risk. This paper bridges the gap that previous works on contagion across real estate markets give mixed results, and gives a first insight into the contagion pattern of global real estate markets during the financial tsunami.
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Webb, Earl. "Assessing Real Estate Markets: Pothole or Sinkhole?" CFA Institute Conference Proceedings Quarterly 26, no. 4 (December 2009): 54–63. http://dx.doi.org/10.2469/cp.v26.n4.8.
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Gau, George W. "Efficient Real Estate Markets: Paradox or Paradigm?+." Real Estate Economics 15, no. 2 (June 1987): 1–12. http://dx.doi.org/10.1111/1540-6229.00415.
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Smith, Harry. "Slums: how informal real estate markets work." Housing Studies 33, no. 3 (January 12, 2018): 495–97. http://dx.doi.org/10.1080/02673037.2018.1419909.
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