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 Volume 6, Number 2, 2000 of the Journal of Real Estate Portfolio Management
All articles listed here are available for download in portable document format. |
The Asymmetric REIT-Beta Puzzle Arjun Chatrath, Youguo Liang, and Willard McIntosh Recent investigations into the behavior of real estate investment trusts (REITs) point to an asymmetric relationship between the returns of REITs and those of the general market. Specifically, REIT returns more closely track the general market when markets are declining than when they are rising. In this article, we provide further evidence on the nature of this 'return-dependence' in REIT betas and investigate its origins. We advance and test three explanations for this pattern, namely (1) the decay in the REITs-stock market relationship: (2) dividend-related effects; and (3) small-stock effects. The evidence suggests that the asymmetry in beta is not the product of dividend effects or a declining REIT-market relationship. Instead, the pattern in REIT betas is similar to small capitalization stocks in general. However, the traditional explanations fro the small stock effect in betas are not found to satisfactorily describe the beta pattern in REITs. Notably, the asymmetry in betas, particularly in small stocks, has been thought to arise from returns being related to their variances.We find that the asymmetry in REITs's betas persist even when we control for such variance effects.   Return to the top of this web page |
Institutional Investment in REIT Common Stocks: An Examination of the Prudent Man Investment Hypothesis Scott D. Below, Stanley R. Stansel, and Mark Coffin This study examines the determinants of institutional investment demand for real estate investment trust (REIT) common strock and whether institutional investment decisions are influenced by REIT financial ratios. We estimate the institutional investor demand function using a common set of financial ratios. We perform several different analyzes using linear regression and two types of neutral network models. The results indicate that some financial ratios appear to influence institutional investment decisions, and that preferences for many ratios change over time. Finally, the results indicate that in terms of prediction, the linear regression models are generally superior to the two neural network models. Return to the top of this web page |
A Note on Intracity Geographic Diversification of Real Estate Portfolios: Evidence from Hong Kong Roger Brown, Ling Hin Li, and Kenneth Lusht There is a mixed evidence on the effectiveness of diversifying real estate portfolios geographically Some suggest disappointing results are traceable to the use od geographic areas that are too crudely defined. We divide Hong Kong into submarkets, and find that this intracity geographic diversification produces marginally improved portfolio performance in some cases, but that several naive diversification strategies are effectively efficient. Return to the top of this web page |
Regional Comparison of Office Prices and Rentals in China: Evidence from Shanghai, Guangzhou and Shenzhen James R. Webb and Raymond Y.C. Tse This article examines the market converging behaviors and the feedback effects between office prices and rentals in Shanghai, Guangzhou and Shenzhen. Comparisons are made among the three markets using Granger causality, and market convergence tests through linking up the asset and space markets. The findings indicate that the office property prices in Guangzhou and Shenzhen consistently contain highly significant information about the future movements of office property prices in Shanghai. However, the results do not indicate any lead-lag relationship between the prices in Shenzhen and Guangzhou. Because of their proximity to Hong Kong, the office markets may be affected by common macroeconomic factors in Hong Kong. Return to the top of this web page |
Risk and Return Perceptions of Institutional Investors Elaine Worzala, G. Stacy Sirmans, and Emily N. Zietz This study examines the responses of a survey mailed to portfolio managers for large pension funds and insurers regarding their perceptions of the inherent risk and return of twenty investment choices. The purpose of the study is to determine whether large portfolio managers perceive the inherent risk of a specific asset to be consistent with the expected return for that investment vehicle. Results from a means difference test on responses indicate that these investors generally do not feel that the inherent risk of many assets is justified by the return expected for a particular asset. For many asset classes respondents inidcate that they perceive an asset to have a greater inherent risk level thatn the expected return for that asset class. This indicates that investors may be applying different risk and return levels for various assets in their portfolio allocation processes. Findings could partially explain why actual portfolio allocations often do not follow theoretically suggested guidelines. Return to the top of this web page |
Retail Leasing in a Web Enabled World Norman G. Miller As retail marketing through the Internet expands, traditional retail showrooms will take on new roles in the collection of data for use in direct marketing efforts. How will successful property managers take advantage of total connectivity to assist tenants with the new modes of marketing? In addition, how will leasing agents and owners value physical space when many sales are redirected through other modes of marketing and distribution? These questions are addressed in this article with some speculation on how real estate owners will measure and capture the true value of physical retail space. Return to the top of this web page |
The Effect of Technology on Retail Sales, Commercial Property Values and Percentage Rates John S. Baen This study examines the impact of e-commerce and the effect of technology on traditional retail sales, commercial property values and percentage rents. This study analyzes standard retail leases and seeks evidence of retailers shifting on-site sales to off-site e-commerce and catalog operations. These results indicate that of those surveyed, most shopping center owners, managers and leases contain no provisions for these sales, which have value implications to owners. In addition, this study presents both theoretical concepts and empirical results that suggest commercial leases need to be altered to account for online and catalog sales. Alternative uses for vacant bank buildings and retail spaces are suggested as well as specific recommendations to owners/tenants to reduce the threat of e-commerce to retail centers. Return to the top of this web page |
Uses of Websites for Effective Real Estate Marketing Michael T. Bond, Michael J. Seiler, Vicky L. Seoler, and Ben Blake The Internet is quickly becoming the place where customers first look to buy products and services. The real estate brokerage industry is no exception. Whether relocating across town or across the country, individuals are shopping more and more over the Internet. It is the fastest and least expensive information source available. As such, it is becoming increasingly more important that brokerage firms remain competitive by offering their properties on the Net. This study examines the efforts of residential real estate brokers to keep up with this dynamic environment by gathering listing information of existing real estate brokerage websites. Return to the top of this web page |
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