Can Investors Hold More Real Estate? Evidence from Statistical Properties of Listed REIT versus Non-REIT Property Companies in the U.S.

Glascock, John L.; Prombutr, Wikrom; Zhang, Ying; Zhou, Tingyu

doi:10.1007/s11146-017-9601-8

Cited by 5 publications

(7 citation statements)

References 81 publications

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“…The findings also are not contradicting with our initial claim that investor shall choose REITs over direct asset as their portfolio choice for real estate asset investment. In terms of portfolio choice, we assert that our findings indirectly confirms the recent evidence by Glascock et al, (2017) that LPCs are not capable to be substitute to REITs. This is in accordance with our findings that REITs are bound to be tightly related to direct real estate in the long-run.…”

Section: Robustness Checksupporting

confidence: 87%

“…Moreover, our findings on tight relationship between REITs and direct real estate are robust when we replace the stock market variable to non-REITs Japan Listed Property Companies (LPCs) index. Since then, our robustness check validates the claim by Glascock, Prombutr, Zhang, & Zhou (2017) where LPCs and REITs are not a substitutable asset, specifically for the J-REITs context. Overall, we contend that J-REITs permit greater opportunity for liquid real estate investment than the direct asset in specialised property class.…”

Section: Introductionsupporting

confidence: 67%

“…REITs in general and all property sectors do not react to shocks from stock market. These findings is not contradict with Glascock et al (2017) where lagged asset market slowly respond to shocks from the lead market. Besides, all direct real estate seems to give negligible response to the shock from the stocks, despite of causality flows from the stock market.…”

Section: Impulse Response Functionsupporting

confidence: 55%

“…Thus, we can say that neither REITs nor direct real estate be the main source of common cointegrating trend to retain their long-run equilibrium 10 . Hence, the two assets will contribute their common cointegrating equilibrium (Glascock et al, 2017). In terms of portfolio choice, these two cointegrated assets provide the same diversification benefits, where it is not necessarily that these two assets can be included together in the portfolio.…”

Section: Theoretical Backgroundmentioning

confidence: 99%

“…The LPCs are non-REITs but real estate related stocks which participate actively in real-estate related activities, particularly on real estate management and development(Glascock et al, 2017;Newell & Chau, 1996). LPCs also are not being subjected to regulatory requirement on the dividend distribution as in the REITs.…”

mentioning

confidence: 99%

See 4 more Smart Citations

On the dynamic interactions between sector-level REITs, their direct real estate counterparts and the stock market in Japan

Razak¹,

Damianov²,

Newell³

2019

26th Annual European Real Estate Society Conference

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Despite their short history of existence, Japanese REITs (J-REITs) play an increasingly important role as a vehicle for property investment. In this paper we examine the long-run relationship and short-run dynamics between REITs, direct real estate assets, and the stock market in Japan. Using a vector error correction model, we explore whether J-REITs behave like direct real estate assets or like common stocks. Our study is based on general and sector specific appraisal-based monthly real estate indices covering the retail, office, residential and hotel sectors. Cointegration as well as exclusion, and weak exogeneity tests indicate that in the long run J-REITs are good substitutes for direct real estate assets but not for stocks. That is, they are a liquid alternative to unsecuritised real estate which offers diversification benefits to long-horizon investment in the Japanese stock market. These findings are robust and hold across all real estate sectors. Analysis of forecast error variance decompositions and impulse responses shows that shocks to the J-REITs market have a substantial impact on the direct real estate market and the stock market. In contrast, shocks these two markets contribute substantially less of the forecast error variance of J-REITs. Further, Granger causality tests reveal a unidirectional causal relationship from J-REITs to the other asset classes providing evidence that information aggregation and price discovery occurs predominantly in the J-REITs market.

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Section: Robustness Checksupporting

confidence: 87%

Section: Introductionsupporting

confidence: 67%

Section: Impulse Response Functionsupporting

confidence: 55%

Section: Theoretical Backgroundmentioning

confidence: 99%

mentioning

confidence: 99%

See 3 more Smart Citations

On the dynamic interactions between sector-level REITs, their direct real estate counterparts and the stock market in Japan

Razak¹,

Damianov²,

Newell³

2019

26th Annual European Real Estate Society Conference

View full text Add to dashboard Cite

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Real Estate Portfolio Diversification by Sectors Using a RAL Approach

Zhang,

Prombutr,

Hansz

2024

Journal of Real Estate Portfolio Management

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Optimization of Tourism Real Estate Development Project Based on Option Premium Model

Ying

2021

Discrete Dynamics in Nature and Society

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Compared with that of traditional housing real estate, the development of tourism real estate is time-consuming, complex, and irreversible. It is hard to guide investment decision-making on tourism real estate with the conventional discount cash flow (DCF) method. This paper aims to demonstrate that the real option method can improve and optimize the investment decision-making on tourism real estate. Through case analysis, the real option model, i.e., the classic American real option model, and binary tree value distribution model were adopted to analyze the factors affecting the real option of tourism real estate, optimize the development sequence of tourism real estate project, and demonstrate the phased development value of tourism real state, thereby enhancing the development value of tourism real estate projects. The case analysis proves that tourism real estate investment is fully consistent with real option in the uncertain spatiotemporal attributes: uncertainty, irreversibility, and timeliness. Therefore, tourism real estate project carries obvious features of real option. The decision-making by the real option model is much more scientific and superior than that by the conventional DCF method. Since the application of real option theory has been emphasizing housing real estate over tourism real estate, the research results enrich the theory on real option-based investment decision-making for real estate and expand the application scope of real option.

show abstract

Can Investors Hold More Real Estate? Evidence from Statistical Properties of Listed REIT versus Non-REIT Property Companies in the U.S.

Cited by 5 publications

References 81 publications

On the dynamic interactions between sector-level REITs, their direct real estate counterparts and the stock market in Japan

On the dynamic interactions between sector-level REITs, their direct real estate counterparts and the stock market in Japan

Real Estate Portfolio Diversification by Sectors Using a RAL Approach

Optimization of Tourism Real Estate Development Project Based on Option Premium Model

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