“…Their results differ substantially depending on the model speci®cation, however, in ranking the performance of individual REITs the choice of model speci®cation appeared relatively unimportant. Later studies like Chan et al (1990), Eichholtz and Huisman (2000) and Ling and Naranjo (2002) have shown similar ®ndings. Since our study focusses on the cross-sectional variation of stock performance of listed property, we will apply a single index model in combination with the most appropriate benchmarks.…”
This paper concerns the dilemma whether regulators should preclude tax-exempt property investment companies from engaging in property development activities. We analyze the economic effects of combinations of property investment and property development by looking at the performance of an international set of property investment companies with varying degrees of involvement in property development. We study the ®ve most important listed property markets in the world: the United States, Hong Kong, Australia, the United Kingdom and France. We examine the extent to which property investment companies participate in development projects by dividing the book value of their development projects by total assets. These development ratios yield remarkable differences both within and across national samples, with national averages varying between 2.23 percent for the United States and 21.34 percent for our Hong Kong sample. Analysis of property share performance yields results that consistently indicate that the cluster of property companies most involved in development projects is associated with both the highest total return and the highest systematic risk. We also ®nd a weak positive link between development involvement and the Jensen alpha of property shares. The statistical signi®cance of this link varies by country, with strong results for Hong Kong and Australia and less compelling results for the United States, the United Kingdom and France. Besides analyzing the stock performance of the companies in our samples we also focus on their operational pro®tability. Again, we consistently ®nd both the highest and most volatile performance for companies actively participating in property development projects.
“…Their results differ substantially depending on the model speci®cation, however, in ranking the performance of individual REITs the choice of model speci®cation appeared relatively unimportant. Later studies like Chan et al (1990), Eichholtz and Huisman (2000) and Ling and Naranjo (2002) have shown similar ®ndings. Since our study focusses on the cross-sectional variation of stock performance of listed property, we will apply a single index model in combination with the most appropriate benchmarks.…”
This paper concerns the dilemma whether regulators should preclude tax-exempt property investment companies from engaging in property development activities. We analyze the economic effects of combinations of property investment and property development by looking at the performance of an international set of property investment companies with varying degrees of involvement in property development. We study the ®ve most important listed property markets in the world: the United States, Hong Kong, Australia, the United Kingdom and France. We examine the extent to which property investment companies participate in development projects by dividing the book value of their development projects by total assets. These development ratios yield remarkable differences both within and across national samples, with national averages varying between 2.23 percent for the United States and 21.34 percent for our Hong Kong sample. Analysis of property share performance yields results that consistently indicate that the cluster of property companies most involved in development projects is associated with both the highest total return and the highest systematic risk. We also ®nd a weak positive link between development involvement and the Jensen alpha of property shares. The statistical signi®cance of this link varies by country, with strong results for Hong Kong and Australia and less compelling results for the United States, the United Kingdom and France. Besides analyzing the stock performance of the companies in our samples we also focus on their operational pro®tability. Again, we consistently ®nd both the highest and most volatile performance for companies actively participating in property development projects.
“…Although the Adjusted R 2 of 0.045 reported in may seem low at first glance, it may be because the data has been placed in first difference form. Low R‐squares are common with first differenced data (Mulligan 1999, Eichholtz and Nuisman 2001), as the effects of noise in the data are increased. Additionally, the f ‐statistic demonstrates strong significance in spite of the low R ‐squared.…”
This study examines corruption in relation to political, legal, and economic factors to see how these factors impact corruption over time and to test the direction of causality between these variables. To assess causality, cointegration analysis using an error correction model on data from over 100 countries spanning over 20 years was performed. Three antecedent variables are analyzed in relation to corruption. Over the long-term, increases in these variables result in decreases in corruption. However, there is no evidence that changes in corruption impact any of these same variables. Interestingly, increases in GDP per capita are found to increase corruption over the short-term while leading to a long-term reduction in corruption. Copyright 2007 Blackwell Publishing Ltd..
“…For a sample of 21 nations, Hamelink and Hoesli (2004) suggest that country, scale and value/growth factors provide significant explanations for real estate security returns. Eichholtz and Huisman (1999), examining firm level data, show that returns for a sample of international real estate companies are affected by the country factors, controlling for interest rate movements and firm size. For a sample of real estate firms in 7 East Asia countries, Ooi and Liow (2004) conclude that firm-specific as well as country macro-economic variates are determinants of returns.…”
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