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 Volume 9, Number 1, 2003 of the Journal of Real Estate Portfolio Management
All articles listed here are available for download in portable document format. |
Project and Portfolio Management Decisions: A Framework and Body of Knowledge Model for Cycle Research Stephen A. Pyhrr, Waldo Born, Christopher A. Manning, and Stephen E. Roulac Investors and portfolio managers have recognized the critical importance of real estate cycles, their pervasive and dynamic impacts on investment returns and risks, and their strategic implications for project and portfolio decisions. Despite the extensive global interest in cycles that has developed over the past ten years, there is not a common body of knowledge that is recognized, nor is there a common terminology, theoretical framework and methodology for cycle research by academic and industry researchers. The purpose of this study is to provide a perspective on real estate cycles research; present a user-friendly research framework and classification model for this evolving literature, based on a grounded theory survey of cycle experts; classify existing real estate cycles literature according to this framework and model; provide a reference bibliography on cycles; and provide commentary on the gaps of knowledge on cycles, a proposed research agenda for the future, and a means of accessing better real estate cycle information and data throughout the world.   Return to the top of this web page |
REIT Selection and Portfolio Construction: Using Operating Efficiency as an Indicator of Performance Randy I. Anderson, and Thomas M. Springer A Real
Estate Investment Trust (REIT) selection and portfolio construction criteria
is developed based on REIT operating efficiency and pricing multiples
(price-to-net asset value). Portfolios of REITs are constructed of REITs
that have relatively high operating efficiency but are trading at a
relatively low price. The results show that these portfolios, constructed
with the use of filtering criteria, have superior first year performance in
all cases, with an average excess return of 600 basis points compared to the
NAREIT Equity Index. In most cases, the REITs also had superior second and
third year performance, suggesting performance persistence. Further research
is needed to examine if the filter works better with more frequent portfolio
rebalancing and if the criteria can be used to effectively execute a short
sale strategy. |
Performance of Property Companies in Hong Kong: A Style Analysis Approach K. W. Chau, S. K. Wong, and Graeme Newell This study analyzes the returns of publicly traded property companies using the style analysis approach. Our results show that the proportion of direct real estate has increased over time. This suggests that indirect and direct real estate are becoming closer substitutes for each other. Furthermore, the findings indicate that the performance of most property companies is not significantly different from the performance of the underlying implied portfolio before transaction costs are taken into account. This implies that the performance of a property company is mainly attributable to its investment style characterized by the implied portfolio rather than management skills. |
Correlation Shifts and Real Estate Portfolio Management
Stephen L. Lee |
Some Structural Attributes of Institutional Office Investments Robert Hess,
and Youguo Liang |
Regional Models for Portfolio Diversification Theron R. Nelson, amd Susan L. Nelson This research is an extension of
earlier efforts to develop geographic diversification strategies based upon
economic factors, particularly employment-related measures. A much broader
set of measures is used to search for broad macroeconomic cycles. Seven
groups of states, labeled ‘‘Capacity Clusters’’ due to the emphasis on
economic and development capacity, are identified. Although there are clear
signs of geographic influence, the clusters are not at all synonymous with
‘‘pure’’ geographic regions of contiguous states. Utilizing NCREIF property
returns data, the ability to develop well diversified portfolios based upon
the capacity clusters is tested. The results suggest that superior
diversification benefits may be found with the Capacity |
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How Long Can Real Estate Investments Defy Weak Supply/Demand Conditions? Hessam Nadji |