Suchergebnisse

PurposeThe study examines Asia Pacific (APAC) non-listed non-core real estate funds' capital calls (investor equity drawdowns) sequence for varying vehicle strategies.Design/methodology/approachAnalysis starts with a cursory data interpretation that extracts a typical investors' equity drawdowns schedule. Thousands of simulations are then computed for each vehicle strategy for each year to further interpretation.FindingsData and methodological limitations notwithstanding, overall estimates suggest that funds exhibit a contrasting capital calls sequence. As a group, APAC non-core non-listed real estate funds call circa 76.3% of investors' committed capital during the first four years of the fund life. Single sector, single country and value added vehicles have a greater capital calls velocity compared to their multi sector, multi country and opportunity peers. However, the two fund groups exhibit a notable standard deviation heterogeneity of drawdowns.Practical implicationsInvestors should therefore budget accordingly when choosing either of vehicle strategies to invest in.Originality/valueThe study adds additional evidence on the topic of capital calls velocity. Results should assist LPs with their non-listed APAC real estate funds investment programme further.

PurposeThe study is set to explore a viability for substituting part of cash holdings within European open-end diversified core equity (ODCE) real-estate funds with listed real-estate exchange-traded fund (ETF) alternative. Academically, this research bridges a knowledge gap within private real-estate market research.Design/methodology/approachFirst, the study investigates the correlation between ODCE and ETFs to assess series interdependence. Next, the study generates a blended ODCE and ETF portfolio and examines its performance by quantifying a) the contribution to returns and b) the diversification benefits.FindingsThe findings suggest that a 1 percent spare cash allocation to an ETF increases ODCE fund returns by few bps although the diversification benefits are more nuanced.Practical implicationsReal estate and other investment vehicles are encouraged to review their cash-holding strategies. Real estate, infrastructure or private equity vehicles could designate a small proportion of available cash to asset class-specific ETFs. These cash substitutes are likely to increase returns and could strengthen diversification, although there are some caveats. For ESG-conscious investors, sustainable ETFs and associated passive conduits with strong responsible investment characteristics could provide cash replacement alternatives at the margin.Originality/valueThe study adds additional evidence on the contested issue of blending private and public real estate.

Purpose
The purpose of this paper is to build a case for globally diversified core real estate funds portfolio.


Design/methodology/approach
It uses Monte Carlo simulation technique to construct synthetic real estate funds portfolios.


Findings
Benefit of maintaining globally diversified real estate funds portfolio merits admission. An optimal portfolio has an almost even split between Europe, USA and Asia Pacific, ceteris paribus. Likewise, currency effect for Europe domiciled investors is undeniable.


Practical implications
The overall estimates suggest that a blend of APAC, European and US allocations enhance portfolio risk return profile.


Originality/value
The study adds additional evidence on the contested issue of real estate diversification.

Econometric modelling of the property market has been exercised for several decades. Despite advancements in the field, there is still an element of uncertainty in property market modelling and forecasting. This uncertainty arises due to prevailing modelling practices. On one hand, researchers select the best performing model and disregard alternatives. On the other hand, researchers face a dilemma in deciding which model to choose when competing specifications produce different results. A possible solution is to use the principle of combination forecasting to reduce uncertainty and improve accuracy. Certainly, combination forecasting has its limitations. One criticism is that combination forecasting has predominantly focused on national property markets analysis. To enhance the application of combination forecasting, it would be useful to use it in research on regional markets analysis.

PurposeThe purpose of this paper is to examine whether Real Estate Investment Trusts (REITs) returns on the different days of the week differ from each other.Design/methodology/approachIt uses European Public Real Estate Association (EPRA)/National Association of Real Estate Investment Trusts (NAREIT) UK index daily closing values (GBP) and its two sub-indices FTSE EPRA/NAREIT UK REITs and non-REITs as dependent variables. It employs Kruskal-Wallis tests and dummy-variable regression to test the hypothesis.FindingsThe overall findings provide evidence that return anomalies exist in the UK REITs.Practical implicationsThought significant, the absolute returns differences are modest for investors to gain superior returns in UK REITs. However, by recognising the day-of-the-week effect, investors can buy/sell UK REITs more effectively.Originality/valueThis research brings updated evidence of the contested calendar anomalies issues in REITs.

Purpose– The commercial property market is complex, but the literature suggests that simple models can forecast it. To confirm the claim, the purpose of this paper is to assess a set of models to forecast UK commercial property market.Design/methodology/approach– The employs five modelling techniques, including Autoregressive Integrated Moving Average (ARIMA), ARIMA with a vector of an explanatory variable(s) (ARIMAX), Simple Regression (SR), Multiple Regression, and Vector Autoregression (VAR) to model IPD UK All Property Rents Index. The Bank Rate, Construction Orders, Employment, Expenditure, FTSE AS Index, Gross Domestic Product (GDP), and Inflation are all explanatory variables selected for the research.Findings– The modelling results confirm that increased model complexity does not necessarily yield greater forecasting accuracy. The analysis shows that although the more complex VAR specification is amongst the best fitting models, its accuracy in producing out-of-sample forecasts is poorer than of some less complex specifications. The average Theil'sU-value for VAR model is around 0.65, which is higher than that of less complex SR with Expenditure (0.176) or ARIMAX (3,0,3) with GDP (0.31) as an explanatory variable models.Practical implications– The paper calls analysts to make forecasts more user-friendly, which are easy to use or understand, and for researchers to pay greater attention to the development and improvement of simpler forecasting techniques or simplification of more complex structures.Originality/value– The paper addresses the issue of complexity in modelling commercial property market. It advocates for simplicity in modelling and forecasting.

Purpose– The paper aims to discuss the major and auxiliary types of cycles found in the literature.Design/methodology/approach– The existence of cycles within economy and its sub-sectors has been studied for a number of years. In the wake of the recent cyclical downturn, interest in cycles has increased. To mitigate future risks, scholars and investors seek new insights for a better understanding of the cyclical phenomenon. The paper presents systematic review of the existing copious cyclical literature. It then discusses general characteristics and the key forces that produce these cycles.Findings– The study finds four major and eight auxiliary cycles. It suggests that each cycle has its own distinct empirical periodicity and theoretical underpinnings. The longer the cycles are the greater controversy which surrounds them.Practical implications– Cycles are monumental to a proper understanding of complex property market dynamics. Their existence implies that economies, whilst not deterministic, have a rhythm. Cyclical awareness can therefore advance property market participants.Originality/value– The paper uncovers four major and eight auxiliary types of cycles and argues their importance.

PurposeThe purpose of this paper is to assess the duration of the UK commercial property cycles, their volatility and persistence to gauge future market direction.Design/methodology/approachThe study employs a novel approach to dissect cycles in a form of a three-step algorithm. First, the Hodrick-Prescott de-trends the selected variables. Second, volatility (measured by the variance) screens periods of atypical fluctuations in the series. Finally, the series is regressed against its past values to assess the level of persistence. The sequential steps screen the length of the cycles in UK commercial property market to facilitate interpretation.FindingsThe estimates suggest that UK commercial property market follows an eight-year cycle. Combined modelling results indicate that the current market trend is likely to change over the coming year. The modelling suggests increasing probability of a market correction in late 2016/early 2017.Practical implicationsThis updated appreciation of the UK commercial property cycle duration allows for better market timing and investment decision making.Originality/valueThe paper adds additional evidence on the contested issue of UK commercial property cycle duration.