Abstracts for Vol. 7, No. 1 of the Journal of Real Estate Portfolio Management

Real Estate Investment in an Asset/Liability Modeling Context

Philip M. Booth

The role of real estate in a pension plan is examined using an asset/liability modeling framework. The study developed a representative liability model of a pension fund to find the impact of different liability structures on asset allocation. Efficient real estate allocations in the pension-plan context are found to be very different from those that are efficient in an asset only framework and the liability structure has a significant impact on the composition of efficient portfolios, including allocations to real estate.

Return to the top of this web page

Ex-Ante and Ex-Post Performance of Optimal REIT Portfolios

Simon Stevenson

This study examines the out-of sample performance of equity real estate investment trust portfolios based on the NAREIT sector indices. The article examines the use of alternative techniques to reduce estimation error and this improves out-of-sample performance. The findings reveal that unlike previous studies of the capital markets, the tangency portfolios tend to out-perform out-of-sample, despite the instability in the weights and the presence of corner solutions. The minimum-variance portfolio continues to under-perform despite the reduction in estimation error.

Return to the top of this web page

Real Estate Market Reaction to Public Listings and Acquisition News of Malaysian REITs

Tien F. Sing, K. H. D. Ho, and Mei F. Mak

This study examines the market reactions of Malaysia’s real estate investments trusts (REITs) and property stocks to corporate restructuring activities. Tests of price behavior of fifty- eight listed property stocks and three property trusts in Malaysia towards the new listing of Mayban Property Trust Fund One in 1997 show that REIT and property stock prices react significantly with a negative abnormal return of 2.3% and 4.9% respectively during the [ 10, 0] event interval. In the tests of the acquisition announcement, the results show a significantly negative 1.9% price adjustment during the [ 1, 0] event interval in the REIT market, but no significant excess returns in the listed property stock market around the event interval.

Return to the top of this web page

An Examination of Volatility Spillovers in REIT Returns

Simon Stevenson

This study examines whether volatility in a variety of equity and fixed income sectors based in the United States influence the monthly volatility of real estate investment trusts (REITs). The analysis is based on two alternative GARCH and EGARCH specifications and reveals a number of issues in relation to volatility spillovers. As with existing evidence with regard to returns, a causal relationship is revealed from Equity REITs to the other REIT sectors. In addition, the
main influencing asset classes with regard to REITs are small cap stocks and value stocks, which given the characteristics of REITs, is in line with expectations. Finally, Mortgage REITs are not generally influenced by volatility in the fixed income sector.

Return to the top of this web page

The Importance of Entertainment in the Shopping Center Experience: Evidence from Singapore

Muhammad F. Ibrahim, and Ng C. Wee

The existence of entertaining shopping experiences has been previously investigated,
nevertheless few studies have thoroughly examined the factors that induce these experiences. Using a sequential mixed method design, involving a qualitative and quantitative sequence, this study provides insights into the factors that influence entertaining shopping experiences. In addition to retailer and customer factors, transport mode/travel factors also play an important role in enhancing
a shopper’s experience. Retailer factors include shopping center features, atmosphere and value-added features. Customer factors are hedonic oriented and utilitarian oriented while transport mode/travel factors incorporate effort, protection, comfort, enjoyment and tension.

Return to the top of this web page

The Location of Executive Suites and Business Centers in the United States

Peter Byrne, Colin Lizieri, and Elaine Worzala

In the 1990s, the executive suites market grew rapidly, responding to changing occupational requirements. Business centers provide tenants with fully serviced space and short leases. This provides flexibility but at a considerable premium to conventional rents. This study focuses on the distribution of executive suites and business centers in the United States. The number of centers in a metropolitan statistical area is found to be positively associated with the size of financial and business services employment. However, over a threshold, negative effects set in, dampening the number of centers found. There is an association between economic structure, economic dynamism and the concentration of business centers.

Return to the top of this web page