Are REITs real estate? Evidence from international sector level data

Hoesli, Martin; Oikarinen, Elias

doi:10.1016/j.jimonfin.2012.05.017

Cited by 144 publications

(69 citation statements)

References 49 publications

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“…However, short-term deviations from the long-run equilibrium relationship reduce diversification benefits for investors who hold direct and indirect real estate. Hoesli and Oikarinen (2012) then extended the study to include stock market and macroeconomic variables for the USA, UK and Australia, to provide more evidence to their earlier conclusions. Yunus et al (2012) also provide the same findings in their study of the real estate markets of Australia, the Netherlands, UK and USA.…”

Section: Jpif 334mentioning

confidence: 99%

The long-term linkages between direct and indirect property in Australia

Yong

Pham

2015

Journal of Property Investment &Amp; Finance

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The authors study the linkages between direct and indirect Australian property sectors from 1985 to 2013, with shares and bonds. This paper employs an Autoregressive Fractionally Integrated Moving Average (ARFIMA) process to de-smooth a valuationbased direct property index. The authors establish directional lead-lag relationships between markets using bi-variate Granger causality tests. Johansen cointegration tests are carried out to examine how direct and indirect property markets adjust to an equilibrium long-term relationship and short-term deviations from such a relationship with other asset classes. Findings – The authors find the use of appraisal-based property data creates a smoothing bias which masks the extent of how information is transmitted between the indirect property sector, stock and bond markets, and influences returns. The authors demonstrate that an ARFIMA process accounting for a smoothing bias up to lags of four quarters can overcome the overstatement of the smoothing bias from traditional AR models, after individually appraised constituent properties are aggregated into an overall index. The results show that direct property adjusts to information transmitted from markettraded A-REITs and stocks. Practical implications – The study shows direct property investments and A-REITs are substitutible in a multi-asset portfolio in the long and short term. Originality/value – The authors apply an ARFIMA(p, d, q) model to de-smooth Australian property returns, as proposed by Bond and Hwang (2007). The authors expect the findings will contribute to the discussion on whether direct property and REITs are substitutes in a multi-asset portfolio

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Section: Jpif 334mentioning

confidence: 99%

The long-term linkages between direct and indirect property in Australia

Yong

Pham

2015

Journal of Property Investment &Amp; Finance

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“…Domestic co-integration between indicated investment markets was confirmed, inter alia, by: Myer and Webb [14], MacKinnon and Clayton [19], Liow [20], Morawski et al [21], Lin and Lin (in the case of the selected economies) [22], Hoesli and Oikarinen [23], Kołtu-niak in the case of Poland [9]. Domestic segmentation between indicated investment markets was confirmed, inter alia, by: Liu et al [18], Gyourko and Keim [24], Okunew et al [25], Ling and Naranjo [26], Lin and Lin (in the case of the selected economies) [22].…”

Section: Literature Reviewmentioning

confidence: 97%

Examination of the International Causal Directions between Rates of Return on the Price Indices of the Selected Real Estate Markets in the CEE Region Using Wavelet Analysis

Kołtuniak

2016

Acta Phys. Pol. A

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The objective of this study is to verify the existence of the spillover effects within the complex system of internationally co-integrated real estate and financial markets in the case of the growth rates of the price indices of the direct real estate and indirect real estate investment markets within the selected national economies in the CEE region and to discuss the time stability of their directions, using research methods with physics and econometrics origins. The article considers the case of potential spillover effects between the Polish and Austrian national economies. Presented results have been obtained using wavelet analysis methods, such as wavelet coherency, wavelet phase difference, and wavelet partial phase difference analyses, enabling to check the indicated stability both in the time and frequency domains and to detect any potential structural changes dates. The results have not confirmed the hypotheses that the directions of the mentioned spillover effects displayed time stability in the examined period (Q4 2004-Q4 2014), which disproves the usefulness of the knowledge of the current directions of the indicated effects in the scope of performing long term investment policy, as well as in the scope of projecting the long term internal housing policies and long term internal macroprudential policies within the complex system.

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“…Among the few examples, Chang, Chen, and Leung () discuss how term structures play divergent roles in housing, REIT, and stock asset dynamics. Regarding REIT–housing and REIT–stock linkages, on the one hand, Hoesli and Oikarinen () explore diversification opportunities across these three assets in an international context, and they argue that REITs serve as good substitutes for housing assets in the long horizon. On the other hand, Sa‐Aadu, Shilling, and Tiwari () suggest that housing assets serve as powerful vehicles for hedging against adverse shocks to consumption, and they are thus able to improve portfolio performance.…”

Section: Literature Reviewmentioning

confidence: 99%

Risk diversification gains from metropolitan housing assets

Huang

2019

Rev Financ Econ

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The study analyzes the roles of metropolitan housing assets in risk diversification by assessing intertemporal hedging demands for multi‐asset portfolios, which include metropolitan houses, REITs, stocks, bonds, and riskless assets. Investors substitute housing assets in high‐population MSAs with those in low‐population cities, and they switch their holdings of housing assets to less risky bonds in the 2007–2008 housing bust. The findings from the multi‐period portfolio choice problem provide evidence for momentum reversal since forward‐looking investors substitute bottom metropolitan housing assets for top ones in the housing boom, and the GTTB index and the lagged REIT price return have negative impacts on various asset returns.

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Are REITs real estate? Evidence from international sector level data

Cited by 144 publications

References 49 publications

The long-term linkages between direct and indirect property in Australia

The long-term linkages between direct and indirect property in Australia

Examination of the International Causal Directions between Rates of Return on the Price Indices of the Selected Real Estate Markets in the CEE Region Using Wavelet Analysis

Risk diversification gains from metropolitan housing assets

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