Real Estate Research Journals
- TIAA-CREF Asset Management Research
- Journal of Real Estate Research
- Journal of Real Estate Portfolio Management
- International Real Estate Review
1. Real estate investing the REIT way by Barclays Global Investor
We discuss portfolio construction utilizing REITs, examining the diversification advantages and liquidity available, how REITs can push out an investor�s efficient frontier, and how they can work in combination with direct real estate investing. We also examine their role in defined contribution plans and the emergence of global REITs.
2. Commercial Real Estate: The Role of Global Listed Real Estate Equities in a Strategic Asset Allocation by Ibbotson
We analyzed the historical performance of six traditional asset classes plus North American, European, and Asian real estate from 1990 to 2005. Over 11 different levels of risk, as measured by the standard deviation of annual portfolio returns, ranging from 5% to 15%, the addition of these three asset sub-classes to the opportunity set improved efficient asset allocation returns by an average of 182 basis points! The vast majority of this benefit is attributed to the outstanding performance of North American real estate.
3. Cointegration of Real Estate Stocks and REITs with Common Stocks, Bonds and Consumer Price Inflation - An International Comparison by Westerheide, Peter (2006)
The average performance over the whole period (1990-2004) has been particularly high in capital market oriented countries in the sample (US, Australia), and also in France. Real estate securities have outperformed bond markets on a risk adjusted basis only in the US and in Australia, while an outperformance of stock markets can be observed also in Japan and France. Particularly in the period 2001 to 2004 real estate security market have soared in most countries with the notable exception of Germany. In general, real estate securities seem to represent an asset class distinct from bonds and stocks in most countries. In the long run they seem provide a potential for further diversification of asset portfolios. Additionally, real estate stocks provide a (weak) hedge against consumer price inflation in almost every country.
4. The Cross-Section of Expected REIT Returns by Chui, Andy C.W., Titman, Sheridan and Wei, K.C. John (March 3,2003)
In this study, we examine the cross-sectional determinants of expected REIT returns. We examine both the pre- and post-1990 periods, since the structure of the REIT market changed substantially around 1990. The determinants of expected returns differ between the two subperiods. In the pre-1990 subperiod, momentum, size, turnover and analyst coverage predict REIT returns. In the post-1990 period, momentum is the dominant predictor of REIT returns.
5. The Case for REITs in the Mixed-Asset Portfolio in the Short and Long Run by Stephen Lee and Simon Stevenson (2004)
The poor performance of the Stock Market in the United States up to the middle of 2003 has meant that real estate investment trusts (REITs) are increasingly been seen as an attractive addition to the mixed-asset portfolio. However, there is little evidence to indicate the consistency of the role REITs should play in the mixed-asset portfolio over different investment horizons. This study's results highlight that REITs do play a significant role over both different time horizons and holding periods. The findings show that REITs attractiveness as a diversification asset increase as the holding period increases. In addition, their diversification qualities span the entire efficient frontier, providing return enhancement properties at the lower end of the frontier, switching to risk reduction qualities at the top end of the frontier.
6. Extrapolation Theory and the Pricing of REIT Stocks by Joseph T.L. Ooi, James R. Webb, and Dingding Zhou
This paper is the winner of the best paper on Real Estate Investment Trusts award (sponsored by the National Association of Real Estate Investment Trusts (NAREIT)] presented at the 2005 American Real Estate Society Annual Meeting. This study evaluates the investment prospects of value stocks in the real estate investment trust (REIT) market. Value stocks are defined as those that carry low prices relative to their earnings, dividends, book assets, or other measures of fundamental value. The empirical results show that from 1990 onwards, value REITs provide superior returns without exposing investors to higher risks. The evidence is consistent with the extrapolation theory, which attributes the mispricing to investors over extrapolating past corporate results into the future. Interestingly, the findings reveal that such extrapolation is asymmetric in the REIT market. While value REITs are underpriced in accordance with the extrapolation theory, no evidence is found that growth REITs are overpriced. The value anomaly also exhibited several temporal traits. Firstly, the value premium varies over time. Secondly, the magnitude of the premium is inversely associated with the market performance. Finally, the value anomaly is not evident in the pricing of REITs in the 1980s.
7. The Role of Non-Traditional Real Estate Sectors in REIT Portfolios by Graeme Newell and Hsu Wen Peng (2006)
Recent years have seen increased attention given to the real estate investment opportunities available from the non-traditional real estate sectors such as self-storage, healthcare, and other specialty real estate sectors. In particular, these non-traditional real estate sectors in equity REITs currently account for over $43 billion in 23 REITs, representing 14.5% of the equity REIT sector market capitalization. This paper will assess the performance of these non-traditional real estate sector REITs compared to traditional sector REITs from 1994:Q1 through 2005:Q3. In particular, their riskadjusted performance and portfolio diversification benefits will be compared to the more traditional REIT sectors (office, retail, industrial, residential, etc.) and to real estate, stocks, and bonds. Sub-period analyses will also be performed to assess whether the investment dynamics and portfolio diversification benefits for these nontraditional real estate sector REITs have been enhanced in recent years.
8. Commercial Equity Real Estate: A Framework for Analysis by Christopher B. Philips, CFA, Vanguard Investment Counseling & Research, 08/17/2007
Executive summary. The U.S. commercial real estate market has been estimated to be as large as $5.3 trillion.1 Historically, commercial real estate has provided competitive real returns and diversification opportunities for traditional portfolios. Yet an important question remains: Can an investment in commercial real estate actually deliver the characteristics and benefits of the broad real estate market? Indeed, investment vehicles such as real estate investment trusts or even limited partnerships or private investment pools can look quite different than the broad real estate market. The complexity of this question is a possible reason why institutional investors on average allocate only 2.5% to 4% of their portfolios to commercial equity real estate (Greenwich Associates, 2006, and Pension Real Estate Association, 2005). In fact, in contrast to
the $5.3 trillion investable market, as of December 2006 private real estate holdings were estimated at $310 billion (Chin, Topintzi, and Hobbs, 2007) and public REITs at $400 billion. This analysis evaluates the commercial real estate market and offers perspective regarding the various investment options. We contend that:
• Commercial real estate represents a unique and significant asset class.
• A real estate investment trust index serves as a long-term proxy for the commercial real estate market.
• Since REITs represent exposure to the commercial real estate asset class, a specific allocation to REITs may be based on a portfolio’s mandated objective; expected returns, risks, and covariance to the portfolio; or a unique circumstance.
• Because REITs are part of a broad-based U.S. equity portfolio, when determining an appropriate allocation to REITs, investors must factor in the exposure already contained within the active and indexed portions of the portfolio.
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