How Do Institutional Factors Affect International Real Estate Returns?

Edelstein, Robert H.; Qian, Wenlan; Tsang, Desmond

doi:10.1007/s11146-010-9245-4

Cited by 33 publications

(24 citation statements)

References 33 publications

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“…This result is not consistent with those presented by Edelstein et al (2011) who find that the components have a negative effect on all days (good combined with bad). It is possible that the narrow range in shareholder protection has influenced this result.…”

Section: Similarities Between Reits and Stockscontrasting

confidence: 99%

“…It is possible that the narrow range in shareholder protection has influenced this result. However, the relatively more positive and significant influence of the shareholder protection variable on bad control days is consistent with Edelstein et al (2011). That is to say, countries with higher shareholder protection experience a weaker depressed bad day effect on control days.…”

Section: Similarities Between Reits and Stockssupporting

confidence: 68%

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Calendar anomalies in REITs: international evidence

Khaled

Keef

2012

J of Property Inv & Finance

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Purpose -The purpose of this paper is to determine the relative magnitude of calendar anomalies in international Real Estate Investment Trusts (REITs). The anomalies are the prior day effect, the Monday effect, the turn-of-the-month effect and the January effect. The results are based on 14 countries. The corresponding stock index is used as the reference by which to gauge the anomalous behaviour of each REIT. Design/methodology/approach -There are two primary dimensions to the statistical design. Between-country differences, based on Gross Domestic Product (GDP) and a measure of shareholder protection, are examined using a panel model. Differences between the REITs and their stock index are examined using a repeated measures dependent variable design. Findings -The presence of the four calendar anomalies is apparent in the REITs and the stock indices. There is not sufficient evidence to show that the magnitudes of the Monday, the turn-of-the-month and the January anomalies differ between REITs and stock indices. However, there is evidence that the bad day effect is stronger for REITs compared to stocks. Research limitations/implications -In terms of market development, the sample of countries is unavoidably constrained. The sample represents developed economies. The degree that these results pertain to less developed economies has yet to be established. Originality/value -Existing research into the influence of calendar anomalies on REITs is based on US data. This paper examines the influence in 14 countries, including the USA, using a robust and efficient statistical design.

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Section: Similarities Between Reits and Stockscontrasting

confidence: 99%

Section: Similarities Between Reits and Stockssupporting

confidence: 68%

Calendar anomalies in REITs: international evidence

Khaled

Keef

2012

J of Property Inv & Finance

View full text Add to dashboard Cite

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“…A more recent study by Edelstein et al (2009) shows that the risk premia for listed property shares are partly determined by the quality of a country's legal system and corporate governance environment, after controlling for country-specific macro variables and firm-level characteristics like size and capital structure. The notion that information costs are a main performance driver of internationally diversified property companies is supported by surveys among institutional investors.…”

Section: Literature Review: Cross-border Real Estate Investmentsmentioning

confidence: 99%

Transparency, Integration, and the Cost of International Real Estate Investments

Eichholtz

Gugler

Kok

2010

J Real Estate Finan Econ

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This paper investigates the importance of market institutions for the performance of international property investors during the 1996-2007 period. The results show that international property companies underperform local property companies in the early years of the sample period. This underperformance is driven by the political environment, the level of economic integration, and the transparency of the real estate market in target countries. The underperformance of internationals disappears in the later years of the sample period, and so does the significance of the aforementioned factors in explaining performance differences among international companies. These findings suggest that the increased transparency of the global real estate industry has leveled the playing field for foreign property investors.

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“…For international REIT returns, Edelstein, Qian & Tsang (2011) and Pavlov, Steiner & Wachter (2015) identify importance of governance, legal and accounting principles, as well as the local credit market conditions, in addition to positive links with GDP and inflation and a negative one with term spread. find linkages between REIT returns and the GDP, interest rates, the term spread, stock returns, as well as country, size, and leverage.…”

Section: Literature Reviewmentioning

confidence: 99%

Risk Factors of U.S. Real Estate Investments

Hoesli¹,

Delfim²

2017

24th Annual European Real Estate Society Conference

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This research focuses on macroeconomic risk factors pertaining to the various types of real estate exposure, i.e. direct, listed and non-listed investments. We apply panel model techniques which make it possible to take advantage of both the cross-sectional and time series dimensions of our data. Much emphasis is placed on comparing sensitivities to risk factors across the types of real estate exposure. This is important in order to assess whether indirect (listed and non-listed) exposures react in the same way as direct investments to the macroeconomy and how well such investments replicate direct real estate behavior. The empirical analyses are conducted using U.S. data from 1984Q1 to 2016Q2. Allocations both by sector and geography are considered. For indirect exposures, we also control among other things for size and leverage. The various types of real estate exposure generally respond similarly to risk factors with GDP, money supply, construction costs, expected inflation, and expected economic activity positively impact returns, while the term and credit spreads, unemployment, and unexpected inflation negatively affect returns.

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How Do Institutional Factors Affect International Real Estate Returns?

Abstract: International real estate returns, REITs, Corporate governance, Legal environment, Accounting standards, Country risks, F36, F21, G15,

Cited by 33 publications

References 33 publications

Calendar anomalies in REITs: international evidence

Calendar anomalies in REITs: international evidence

Transparency, Integration, and the Cost of International Real Estate Investments

Risk Factors of U.S. Real Estate Investments

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