Local Beta: Has Local Real Estate Market Risk Been Priced in REIT Returns?

Zhu, Bing; Lizieri, Colin

doi:10.1007/s11146-022-09890-4

Cited by 16 publications

(5 citation statements)

References 63 publications

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“…Return of Investment (ROI) is used to measure a company's ability to generate profits from all of its assets (Setiawan & Rosa, 2023;Zhu & Lizieri, 2022). The result of ROI that is high, or the higher it is, the better the condition of the company.…”

Section: Return Of Investment (Roi)mentioning

confidence: 99%

Site Plan Analysis Based on Measured and Unmeasured Criteria for Housing Development According to Investor Assessment

Aryani

2024

Tekstur

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Tingginya laju urbanisasi mendorong pembangunan perumahan untuk memenuhi kebutuhan rumah, khususnya di wilayah perbatasan. Penelitian ini dilakukan untuk memperoleh data kelayakan investasi oleh investor. Tiga rancangan Site Plan yang mempunyai ukuran kavling dan tipe rumah berbeda dianalisa secara bersamaan. Metode kuantitatif dan kualitatif digunakan untuk menganalisis kriteria terukur dan kriteria tidak terukur. Hasil keduanya dinilai oleh investor dengan menggunakan model rasional-intuitif. Penelitian ini menemukan, analisis kriteria terukur menghasilkan Site Plan A mempunyai 60 lot dengan biaya produksi dan harga jual terendah. Sedangkan Site Plan B dan Site Plan C direncanakan sebanyak 37 dan 35 lot dengan biaya produksi dan harga jual lebih tinggi. Oleh karena itu, simulasi kelayakan finansial menghasilkan perbedaan yang signifikan. Hasil analisis kriteria yang tidak terukur menunjukkan bahwa perbedaan nilai kategori setiap Site Plan saling mendominasi. Model rasional-intuitif membagi persentase berdasarkan keuntungan, yaitu 75% terukur dan 25% tidak terukur. Hasil perhitungan menyatakan bahwa Site Plan A lebih layak dilaksanakan secara finansial dan memenuhi perencanaan sebagai bagian dari sebuah kawasan perkotaan. Kesimpulannya, hasil analisis terukur dan tidak terukur mempunyai perbedaan yang signifikan. Namun, dengan evaluasi model keputusan rasional-intuitif yang dilakukan oleh investor, keputusan yang memenuhi kedua jenis analisa tersebut dapat dihasilkan. Oleh karena itu, perhitungan kelayakan finansial bukanlah satu-satunya alat untuk menentukan kelayakan suatu proyek. Kemampuan seorang investor juga menjadi faktor penentu dalam menentukan kelayakan sebuah investasi.

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Section: Return Of Investment (Roi)mentioning

confidence: 99%

Site Plan Analysis Based on Measured and Unmeasured Criteria for Housing Development According to Investor Assessment

Aryani

2024

Tekstur

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“…Regarding the housing market, there are studies of the listed Real Estate Investment Trusts (REIT) industry applying multifactor models to measure the sensitivity of returns to exogenous factors (Allen et al , 2000), to economic uncertainty such as the one created by COVID-19 (Gholipour et al , 2021), to the local real estate risk (Zhu and Lizieri, 2022) and to a decline in the house prices (Nishigaki, 2007). The connections between stock prices and house prices have also been widely studied (Quan and Titman, 1999; Poterba, 2000; Case et al , 2005).…”

Section: Literature Reviewmentioning

confidence: 99%

Do real estate investment companies profit from house price growth? Evidence from Portugal

Cunha

Borges²,

Ferreira³

2023

IJHMA

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Purpose This study aims to study the sensitivity of nonlisted real estate investment companies’ accounting earnings to house prices. This study evaluates whether house price changes determined these companies’ return on equity (ROE) or if other factors influenced the industry’s profitability beyond house price growth. Design/methodology/approach The authors collected a ten-year sample with the aggregate ROE of Portugal’s real estate investment companies, split by regions, and data on house prices and the per capita gross domestic product as a control variable. The authors ran a national-level time series with the canonical cointegrating regression estimator, which is robust to a small sample size; the authors also performed a regression on regional-level panel data with the common correlated effects mean group estimator, thus allowing slope coefficient heterogeneity and controlling for cross-sectional dependence. The authors also ran ordinary least squares regressions as a means of comparison. Findings This study found that an increase in the house price is not translated into an increase in the aggregate ROE. The results are robust with a reduced survivorship-biased sample, meaning that even the best-succeeded real estate investment companies do not have their accounting ROE dependent on house price growth. Research limitations/implications The sample size is small and specific to one country. This paper did not study the housing market structure to verify whether it operates under monopolistic competition, which could further explain the attained results. Practical implications Policy decision-makers should know that there are no excess profits in the real estate investment companies’ industry because of house price growth that could be subject to windfall taxes. Originality/value To the best of the authors’ knowledge, the connections between house prices and real estate investment companies’ accounting earnings have never been studied.

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“…Edelstein et al, 2011) and property markets of different betas (e.g. Zhu and Lizieri, 2022). Year-fixed effects indicate the fiscal year for which the data is reported.…”

Section: Firm Value and Operating Efficiencymentioning

confidence: 99%

International diversification and European firm value: the role of operating efficiency

Ibrahim,

Falkenbach

2023

JERER

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PurposeThis study aims to investigate the impact of international diversification on the value and operating efficiency of European real estate firms.Design/methodology/approachThe study is conducted using a panel fixed effects regression model to estimate the relationship of international diversification with firm value and operating efficiency. International diversification is mainly measured via the negative of the Herfindahl–Hirschman Index (HHI) using property-level data. Firm value and operating efficiency are proxied by financial ratios observed annually from 2002 to 2021 at the firm level.FindingsThe results demonstrate that international diversification has a negative effect on firm value. Additionally, it lowers operating efficiency by weakening a firm's ability to generate operating earnings from its assets. By examining whether the reduction in operating efficiency is due to the rental income channel or the capital gains channel, the authors find strong statistical evidence that international diversification negatively impacts capital gains. International diversification is negatively associated with net gains from property valuations (unrealized capital gains) and net profits from property disposals (realized capital gains).Research limitations/implicationsThe empirical analysis is limited to Europe.Originality/valueThis paper extends the geographical diversification literature. While existing literature focuses on domestic diversification within the United States, this paper explores the effects of international diversification on European real estate firms. To the extent of the authors' knowledge, this is the first paper to examine the impact of geographical diversification on capital gains.

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Local Beta: Has Local Real Estate Market Risk Been Priced in REIT Returns?

Cited by 16 publications

References 63 publications

Site Plan Analysis Based on Measured and Unmeasured Criteria for Housing Development According to Investor Assessment

Site Plan Analysis Based on Measured and Unmeasured Criteria for Housing Development According to Investor Assessment

Do real estate investment companies profit from house price growth? Evidence from Portugal

International diversification and European firm value: the role of operating efficiency

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