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Real Estate Portfolio Diversification by Sources of Return Kwame Addae-Dapaah, Ser Gek Wee, and M. Shahid Ebrahim The basis of the superior performance of the contrarian strategy is a lively debate in the finance literature. In relation to real property, the contrarian strategy implies that properties with high running yield (i.e., value properties) could outperform properties with low running yield (i.e., growth properties). Williams (1995) was the first to hypothesize and demonstrate that the greater the relative balance of return (percentage) from operating and reversion, the more diversified the portfolio, and thus the better the portfolio performance. This study modified the model to conform to the Markowitz routine, and found that the association between the cash flow concentration level and the portfolio performance index, and between the diversification index and the portfolio performance index was stronger than depicted by Williams. This implies that diversification by sources of return could improve real estate portfolio performance.   Return to the top of this web page |
Diversification Benefits from Foreign Real Estate Investments C. Mitchell Conover, H. Swint Friday, and G. Stacy Sirmans Previous research has questioned the stability of international equity diversification. This study examines whether foreign real estate exists in a more segmented market and whether foreign real estate provides any diversification benefit beyond that obtainable from foreign stocks. Using data encompassing the stock market crash of 1987, foreign real estate was found to have a lower correlation with U.S. stocks than foreign stocks. This lower correlation is shown to be stable through time as foreign real estate has a lower correlation in nearly the entire time period. Foreign real estate was also found to have a significant weight in efficient international portfolios. Return to the top of this web page |
International Asset Allocation with Real Estate Securities in a Shortfall Risk Framework: The Viewpoint of German and U.S. Investors Raimond Maurer and Frank Reiner This study analyses the diversification potential of integrating indirect real estate investments in international investment portfolios. To this end, monthly index-return time-series for the time-period from January, 1985, through June, 2001, from real estate investment companies, common stocks and bonds in France, Germany, Great Britain, Switzerland and the United States were used. Due to the critical normal distribution assumption, a mean/lower-partial-moment framework was employed. In order to take into account the influence of the currency risk for international investments, the analyses have been undertaken with and without hedging the currency risk. The viewpoint of a German as well as that of a U.S. investor was taken to gain insight into the dependency of the diversification potential on the reference currency of the investor. Return to the top of this web page |
Synthetic Debt: Off-Balance-Sheet Corporate Finance for the Twenty-First Century Richard A. Graff Off-balance-sheet fixed-income financial obligations can arise in an efficiently regulated market environment. Recent advances in financial technology have resulted in a class of lease-based fixedincome products to finance off-balance-sheet corporate acquisitions of tangible assets. Such products as synthetic leases and synthetic debt enable corporations to lease assets and also benefit from any increase in asset valuation while the assets are under lessee control. Synthetic lease finance imposes a number of constraints in return for the off-balance-sheet benefit. By contrast, synthetic debt finance provides corporate financiers with cost and flexibility comparable to conventional senior corporate debt. |
An Analysis of the Impact of the Taxpayer Relief Act of 1997 on the Valuation of REITs and the Adverse Selection Component of the Bid/Ask Spread
Richard L. Ott and Robert A. Van Ness |
Real Estate Research Needs of the Plan Sponsor Community: What Do the Plan Sponsor Real Estate Investment Managers Want to Know? Elaine Worzala, David Gilliland, and Jacques Gordon
This article reports the results of a web-based survey of real estate
portfolio managers in |
The Integration of Retail Space Markets G. Donald Jud, Tony R. Wingler, and Daniel T. Winkler This study estimates optimized portfolios on an efficient frontier of real estate investment in the retail sector of fifty-eight metropolitan markets (MSAs), using quarterly sample data covering 1987 2000. The efficient opportunity sets and associated percentage allocations are determined for the entire sample of fifty-eight MSAs, as well as for subsets for each region of the country. Findings indicate that some regions offer much higher performance in a risk/return occupancy context than others. Also, the occupancy risk/return performance improves substantially when allocations are not limited to particular regions, suggesting that the retail space markets are relatively segmented. Return to the top of this web pageThe Rodney Dangerfield Effect
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