Random Walks and Market Efficiency: Evidence From Real Estate Investment Trusts (Reit) Subsectors

Almudhaf, Fahad; Hansz, Andrew

doi:10.3846/ijspm.2018.440

Cited by 6 publications

(2 citation statements)

References 42 publications

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“…According to her, all methods show that, if any, diversification over types of property is a better strategy on the Swedish market than diversification across regions. Almudhaf and Hansz (2018) calculated the Sharpe ratio statistics for buy-and-hold and trading strategy portfolios of REIT subsectors for the sample period from January 1994 to July 2015 and found that some trading strategies' Sharpe ratios were larger than that of the buy and hold strategy. Almudhaf et al (2020) investigated the degree of return predictability of lodging/resort REITs for the period January 1994 to May 2016.…”

Section: Literature Reviewmentioning

confidence: 99%

Risk-Return Performances of Real Estate Investment Funds in Turkey Including the Covid-19 Period

Camlibel

Sümer

Hepşen

2021

International Journal of Strategic Property Management

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The purpose of this research is to give an insight into the Turkish real estate investment funds (T-REIFs) by comparing their risk-return performances with the main benchmark investment tool Istanbul Stock Exchange-100 (BIST-100) Index. This study evaluated the performance of T-REIFs in four different periods between January 2017 and December 2020 (2017m1–2017m12, 2018m1–2018m12, 2019m1–2019m12 and 2020m1–2020m12) including the Coronavirus Disease (Covid-19) period by applying the Sharpe and Treynor ratios. In a well-diversified portfolio both ratios give the same results, but in the presence of non-systematic risk and the portfolio is poorly diversified, the Treynor ratio is a better indicator than the Sharpe ratio. The findings of this study show that rankings of Sharpe and Treynor ratios may differ for each period. These results also support the fact that the portfolios of funds in the Turkish real estate market are not well diversified. By providing corporate tax exemptions, and by enabling the investors to diversify their investments and reduce their risks, real estate investment funds are important alternatives to direct real estate investments in Turkey. In that context, being one of the pioneer studies in this niche and a new topic in emerging markets, analyzing the return performances of T-REIFs and comparing them with the returns of the BIST-100 index is aimed to contribute to literature as well as provide insight to investors who may consider investing in the Turkish real estate capital market instruments.

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Section: Literature Reviewmentioning

confidence: 99%

Risk-Return Performances of Real Estate Investment Funds in Turkey Including the Covid-19 Period

Camlibel

Sümer

Hepşen

2021

International Journal of Strategic Property Management

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“…There is a different level of risk of return on investment from individual buildings according to the method of their use. This is one of the consequences of the inhomogeneity of the real estate market [12]. Another determinant of the value of buildings is also the length of their service life which is already taken into account during their construction.…”

Section: Literary Researchmentioning

confidence: 99%

Methodology for Calculating the Reproduction Value of Buildings

et al. 2021

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The article deals with the description of the methodology for calculating the reproduction value of buildings. It is a mathematical model that uses data obtained from a statistical survey and calculates the total reproduction value of buildings from a large data set. The model works with many variable inputs that describe the valued building. These include, for example, the use of the building, the enclosed space of the building, the floor area of the building, the building material of the supporting structures of the building, the age of the building, the technical condition of the building, the year the building was acquired and others. Based on the results, the model was calibrated and its parameters optimized to achieve the most accurate values.

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The Effects of Conventional and Unconventional Monetary Policy Shocks on US REITs Moments: Evidence from VARs with Functional Shocks

Wang,

Gupta,

Bonato

et al. 2024

J Real Estate Finan Econ

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We use a vector autoregressive model with functional shocks, capturing the shift of the entire term structure of interest rates on monetary policy announcement dates, to empirically evaluate the effects of conventional and unconventional monetary policy decisions on the Real Estate Investment Trusts (REITs) markets of the United States (US). Using 5-min interval intraday data, we analyze not only the impact on REITs returns, but also its realized variance (RV), realized jumps (RJ), realized skewness (RSK), and realized kurtosis (RKU) over the daily period of September 2008 to June 2021. While the effects of conventional monetary policy shocks on the moments of REITs returns tend to conform with economic theories, the same is not necessarily the case with unconventional monetary policy shocks. In addition, though monetary policy shocks have the most persistent and strongest effects on RJ, the extreme behaviour of the REITs market is also observed through RSK and RKU. Moreover, when we look into 10 REITs sectors, there is indeed heterogeneity in terms of the strength of the effect, but not so much in terms of the sign of responses of the various moments compared to the overall market. Our results have important implications for REITs market participants, given its exponential growth as an asset class.

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Random Walks and Market Efficiency: Evidence From Real Estate Investment Trusts (Reit) Subsectors

Cited by 6 publications

References 42 publications

Risk-Return Performances of Real Estate Investment Funds in Turkey Including the Covid-19 Period

Risk-Return Performances of Real Estate Investment Funds in Turkey Including the Covid-19 Period

Methodology for Calculating the Reproduction Value of Buildings

The Effects of Conventional and Unconventional Monetary Policy Shocks on US REITs Moments: Evidence from VARs with Functional Shocks

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