Recently added articles from Journal of Real Estate Portfolio Management:
Introduction
Oct 01, 2008; ... As part of its mission to provide members with timely, relevant, and thought provoking research, PREA partnered with the American Real Estate Society (ARES) to produce a special issue of the Journal of Real Estate Portfolio Management with papers focused on current and emerging topics of ...
Time-Varying Diversification Effect of Real Estate in Institutional Portfolios: When Alternative Assets Are Considered
Oct 01, 2008; ... Executive Summary. This study examines the role of direct and indirect real estate in a multi-asset portfolio and the benefit of a dynamic asset allocation strategy for institutional investors. The diversification benefits of real estate are well documented in the literature ....
Private Real Estate as an Inflation Hedge: An Updated Look with a Global Perspective
Oct 01, 2008; ... Executive Summary. This study uses correlations and time-series regressions to revisit the inflation-hedging ability of Canadian direct real estate over the 1973-2007 period. Full-period results show that real estate hedges against inflation, and both expected and unexpected inflation ....
Assessing and Managing Risk in Institutional Real Estate Investing
Oct 01, 2008; ... Executive Summary. In the current environment, investors are increasingly asking: does real estate offer enough return to warrant the risk? In particular, do investors really understand the increased risk they are taking on in the trend of recent years toward ever higher risk strategies ...
Real Estate Investment Style and Style Purity
Oct 01, 2008; ... Executive Summary. In this paper, target returns for real estate investment styles are defined using the distribution of NCREIF Property Index (NPI) total returns. The findings show that the target returns defined by these measurements differentiate across styles in a statistically ...
Liquidity Dynamics in Commercial Real Estate
Oct 01, 2008; ... Executive Summary. This paper examines private real estate market liquidity dynamics using the recently introduced family of Transactions-Based Indices (TBIs) calculated from the NCREIF database. The paper derives a Liquidity Index from a combination of the TBI Price Index and the TBI ...
Risks, Returns, and Correlations for Global Private Real Estate Markets
Oct 01, 2008; ... Executive Summary. This paper attempts to provide estimates of the main inputs for constructing a global private real estate portfolio. Existing market sizes are examined in terms of both total and invested stock of real estate, the latter being a measure of the "market" portfolio ....
Integration of International Office Markets and Signal Extraction
Oct 01, 2008; ... Executive Summary. The paper examines whether three international office markets-London City, New York City, and Tokyo CBD-are linked by a long-run relationship. The greater economic and financial market linkages and cross-border capital flows have increased the possibility that the ...
Capitalization Rates, Discount Rates, and Net Operating Income: The Case of Downtown Chicago Office Buildings
Oct 01, 2008; ... Executive Summary. The value of commercial real estate is its net operating income divided by the capitalization rate set by the buyer. This study examines both components of value. It also examines the close relationship between capitalization rates and risk-adjusted discount rates used ...
Clientele Effects, REITs, and Acquisition Premiums
Oct 01, 2008; ... Executive Summary. Existing empirical studies indicate that transaction participants, or clienteles, can impact real estate prices. This study extends current research on the impact of transaction participants on asset pricing to one type of institutional real estate investor, REITs, and ...
Does Green Pay Off?
Oct 01, 2008; ... Executive Summary. This study provides some comparison data on Energy Star and Leadership in Energy and Environmental Design (LEED)-certified buildings versus non-Energy Star or non-LEED-certified office property in the United States using the CoStar database. These results are promising ...
Shariah Compliance in Real Estate Investment
Oct 01, 2008; ... Executive Summary. This paper examines the cost of Shariah compliance in real estate investments by comparing synthetic Shariah compliant (SC) real estate investment (REIT) portfolios with unconstrained U.S. REIT portfolios, indexes, and real estate mutual funds (REMF). The performance ...
International Real Estate Volatility: A Tactical Investment Strategy
Oct 01, 2008; ... Executive Summary. In the last few years public real estate vehicles and the REIT concept have expanded into many countries including the United Kingdom in January 2007 and Germany in March 2007. With more investment opportunities, many new international real estate investment funds have ...
Bayesian REIT Volatility Estimation and Institutional Portfolio Allocation
Oct 01, 2008; ... Executive Summary. Volatility estimation is an integral part of institutional finance with applications in risk management and portfolio allocation. Real estate investment trust volatility is examined using a Bayesian asymmetric GARCH model and is found to better estimate the true ...