Suchergebnisse

AbstractThis study investigates the presence of common factors in the securitized real estate markets of the Untied States (US), United Kingdom (UK), Hong Kong (HK), and Singapore (SG). Using a combination of factor analysis and canonical correlation analysis on 10‐year monthly return data for 142 real estate securities in the four markets, more common risk factors among real estate securities within a country than across countries are detected. In addition, there is at least one common securitized real estate market factor that is moderately correlated with the world real estate market, and to a lesser extent, with the world stock market. However, the degree of linkage across the four securitized real estate markets is much weaker than the strong linkages present across the four economies. It further appears that the extent to which correlations are found in international securitized real estate markets might largely be due to the increasing integrated nature of the world real economy, rather than a result of the globalization of financial markets. The results are preliminary, but indicative, and suggest that more studies exploring how common factors, together with the local market portfolio, could help explain the return‐generating process of securitized real estate.

ABSTRACTRecent disclosures about problem commercial real estate loans have exposed the underwriting process to intense scrutiny. This study focuses on mortgage loan underwriters of life insurance companies. After a review of the tax changes that affected commercial real estate from 1969 through 1988, the study tests how loan underwriters reacted to changes in tax benefits. To overcome the interdependent effects of interest rates and capitalization rates, a variation of the Black‐Scholes pricing model is used to test the impact of changes in tax benefits. The results indicate that the underwriters do not fully incorporate the value of tax benefits in the underwriting decision. During the period of the largest tax benefits, 1982 to 1986, underwriters became more conservative and increased their equity requirements.

ABSTRACTDiversification gains in mean‐variance efficiency derived from including real estate in financial asset portfolios are examined. Optimal financial and mixed‐asset portfolios were generated by selecting from an investment universe including several distinct financial and real estate media. Deficiencies of previous studies were overcome by employing data with improved representativeness and comparability. The efficient mixed‐asset portfolios dominated the efficient financial asset portfolios implying that purely financial asset diversification is inefficient. The optimal mixed‐asset portfolio prescribed that approximately two‐thirds of the investment wealth be allocated to real estate and one‐third to the financial media.

PurposeFew countries have sufficiently long and detailed returns data for real estate to permit sophisticated analysis. This paper aims to examine the potential diversification of private real estate investments using returns data for major regional centres in Ireland and the UK.Design/methodology/approachOptimal real estate‐only portfolios are constructed using total returns, income returns and appreciation returns for office and retail real estate in ten cities within Ireland and the UK. The analysis uses IPD data for the period 1984 to 2002. Total return, income return and appreciation returns are treated as separate asset streams in the modelling of portfolios.FindingsThe results show different risk levels; in particular the income stream carries low risk, whereas the capital appreciation element is much more volatile and risky. Optimal portfolios, office or retail, whether income, appreciation or total returns, indicate that provincial markets perform well and are capable of pushing London out of the optimised portfolios.Research limitations/implicationsLimitations stem from the optimal portfolios being based on return series without a consideration of market depth. Future research will seek to construct weighted portfolios.Originality/valueThe paper constructs optimal portfolios for three scenarios: low return; medium return; and high return across sectors, return streams and major regional centres in Ireland and the UK. The results show that regional centres perform well and can exclude London real estate from optimal portfolios.

The leading real estate journals in the USA, UK, Asia and Australia are analysed over 1991‐2000 to assess the impact of international real estate research in these journals. It is found that the focus on international real estate has expanded considerably in recent years, with this focus more evident in the leading UK real estate journals rather than the leading USA real estate journals. Reasons for this difference between the USA and UK real estate journals are identified. Issues relating to international authorship are assessed, with the leading international authors and universities identified.