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 Volume 6, Number 4, 2000 of the Journal of Real Estate Portfolio Management
All articles listed here are available for download in portable document format. |
Municipal Real Property Asset Management: An Overview of World Experience, Trends and Financial Implications Olga Kaganova and Ritu Nayyar-Stone In nearly all countries, municipalities own or control substantial amounts of real estate, but few municipal governments think of their holdings as a "portfolio" whose composition might be modified the better server public purposes. This study is based on research conducted for the World Bank, and discusses the conceptual evolution int his area during the last twenty to twenty-five years. It outlines a core set of features that are an integral part of an efficient and accountable asset management system, and also provides an in-dept analysis of asset management issues in countries in transition, where municipal governments often are the largest property owners.   Return to the top of this web page |
Institutional Property Tenure: Evidence from the NCREIF Database Jeffrey D. Fisher and Michael S. Young This article examines holding periods for commerical real estate held by institutional investors in the NCREIF database in the United States and contrasts them with those found in a United Kingdom study using the IPD database. The similarity of results suggests that there may be fundamental reasons for the relativity long holding period for real estate that is global and related to differences in the relative liquidity and lease structures. Evidence is also found that holding periods have been declining over time and that the volume of transactions, and consequently holding periods, may be related to market conditions and structural changes in the management of real estate assets. Return to the top of this web page |
Management Styles of REIT Funds F.C. Neil Myer and James R. Webb This study examines the ability of implied property type allocations to aid the explanation for the performance of real estate investment trust (REIT) funds. Implied allocations are estimated for ten institutional REIT managers and for nine mutual funds specializing in real estate from January, 1994 through September, 1996. The study finds evidence for the ability of the implied allocations to explain performance, but the tests for a statistically significant relationship are mixed. Return to the top of this web page |
The Efficiency of Equity REIT Prices James L. Kuhle and Jaime R. Alvayay Given the broad array of investment vehicles that investors can choose from in today's financial and capital markets, the knowledge of the efficiency of asset prices and the relative price volatility is essential to informed decision making. The purpose of this research is to determine if real estate investment trust (REIT) prices have been efficient. In order to test the efficiency of REIT prices, two statistical tests were performed - a runs test and an autocorrelation test. The results of both tests suggest a degree of inefficiency in REIT prices. Return to the top of this web page |
Long Run Underperformance in REITs Following Seasoned Equity Offerings Shawn D. Howton, Shelly W. Howton and H. Swint Friday This study examines the long-run performance of real estate investment trusts (REITs) following seasoned equity offerings (SEOs). Over 61% of the 178 REITs examined underperform an index of REITs for the first year after the issue, and over 72% of the firms underperform the index for three years following the issue. The sample is partitioned according to book-to-market value of equity ratio, market value of equity and REIT type. The results reveal that all REIT subsamples except the highest book-to-market quintile and the lowest size quintile exhibit the same patterns of underperformance observed in the full sample. In addition, equity REITs underperform the index for both one and three years while non-equity REITs underperform for three years but exhibit no underperformance for one year following the SEO. Return to the top of this web page |
Causal Relationships Between Apartment REIT Stock Returns and Unsecuritized Residential Real Estate Ling T. He This study performs a complete set of Granger causality tests to examine different types of causal relationships between apartment real estate investment trust REIT) stock returns and changes in unsecuritized residential real estate. Results of causality tests provide evidence that stock returns for apartment REITs Granger-cause alterations in new housing starts. On the other hand, changes in both new house prices and new housing starts provide relevant and useful information/feedback to revise expectations of unsecuritized residential real estate returns/cash flows. In addition, a very strong positive contemporaneous causality between apartment REIT stock returns and new house prices is detected. The result clearly suggests that the two series respond simultaneously to some fundamental changes, such as changes in interest rates. Return to the top of this web page |
The Inflation-Hedging Characteristics of Real Estate and Financial Assets in Singapore Tien-Foo Sing and Swee-Hiang Yvonne Low This study empirically tests the inflation hedging characteristics of real estate and financial assets in Singapore. the results show that real estate provides a better hedge against inflation than stock and securitized real estate. Industrial property is the most effective hedge against both expected and unexpected inflation, whereas shop offers only significant hedge against the expected inflation. The returns of the two assets establish more thatn one-to-one correspondence relationships with inflation. When the inflation hedging characteristics of assets are tested in different inflation environments, residential property hedges effectively against unexpected inflation in the low inflation regime, whereas the hedging performance of industrial property against both types of inflation is better in the high inflation regime. Return to the top of this web page |
Institutional Real Estate Investing Processes, Due Diligence Practices and Market Conditions Stephen E. Roulac The institutionalization of the real estate capital markets has created a market in which those who put capital markets has created a market in which those who put capital at risk are increasingly separated from those who make the investment decisions. Investors expect their investment fiduciaries' actions to be consistent with the prudent man standard, employing appropriate due diligence prior to investing. Effective due diligence can improve the prospects of investment performance and mitigate loss exposure. The findings confirm that more resources are devoted to due diligence during times of difficult market conditions than during times of optimistic expectations. The preponderance of due diligence factors are considered by the institutional investor to be important, indicating that for it to be effective, it must be comprehensively rather than selectively implemented. Return to the top of this web page |
Styles of Higher Return Strategies Joel W. Stoesser and Robert C. Hess No abstract or executive summary. Return to the top of this web page |
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