摘要:

The betas on equity real estate investment trusts (EREITs) have undergone a structural shift in the past 20 years. We show that this is the result of the lower variability of EREIT returns and argue that the decrease in the standard deviation of EREIT returns can be attributed to the increasing levels of information about EREITs. We find that the number of analysts following the EREITs industry, as measured by IBES, can significantly explain the drop in the standard deviation for most EREITs. This was also found to be the case for another proxy for the level of information—the trading volume of the EREIT inde

ISSN:1080-8620    

DOI:10.1111/1540-6229.00603

出版商:Blackwell Publishing Ltd    

年代:1993

数据来源: WILEY

摘要:

When a general partner raises capital for a real estate syndication, prospective investors should price‐protect against incentives of the general partner to misrepresent project cash flows. In this study, I evaluate the structure of the general partner's compensation and specific project characteristics to determine if compensation structure can mitigate agency costs. Results indicate that front‐end compensation is higher for the high reputation general partner and that the compensation structure varies with the degree of management expertise required and the financial risks of the investm

ISSN:1080-8620    

DOI:10.1111/1540-6229.00604

出版商:Blackwell Publishing Ltd    

年代:1993

数据来源: WILEY

摘要:

Temporal aggregation is defined as the use of spot valuations of properties occuring over an interval of time to impute the spot value of a property or of a real estate value index as of a single point in time. Temporal aggregation may characterize not only appraisal‐based indices but also indices based directly on transaction prices, such as the National Real Estate Index (NREI) and regression‐based indices such as hedonic or repeat‐sales indices. This paper analyzes the effect of temporal aggregation on the smoothing of the time series second moments in the resulting real estate return index. Assuming true spot returns are uncorrelated, temporal aggregation‐induced smoothing will cause the empirically observed real estate index to understate the own‐variance by one‐third and the beta by one‐half. This amount of bias in the second moments can have major implications for the real estate share in an optimal portfolio. Thus, empirical‐based investment analysis could be led astray by smoothing even if the real estate return index is “transaction‐based” rather t

ISSN:1080-8620    

DOI:10.1111/1540-6229.00605

出版商:Blackwell Publishing Ltd    

年代:1993

数据来源: WILEY

摘要:

A large, detailed data set is used to examine the effect of the Loma Prieta (World Series) earthquake on housing prices in the San Francisco Bay area. This relationship is examined while controlling for potential confounding variables, such as location‐specific risk and the timing of the earthquake. The results indicate that the Loma Prieta earthquake caused an area wide reduction in property values. In addition, it seems that individuals considered other measures of earthquake risk in their housing purchases, yielding a measurable price gradient. These results are relatively robust, remaining stable across estimated functional forms and independent variable set

ISSN:1080-8620    

DOI:10.1111/1540-6229.00606

出版商:Blackwell Publishing Ltd    

年代:1993

数据来源: WILEY

摘要:

Previous research on real estate investment trusts (REITs) assumes that their dividend policies are determined solely by tax regulations. We observe, however, that REITs often pay out more dividends than are required by tax rules. This paper examines the dividend policies of REITs by drawing inferences from agency‐cost theory and tests for the determinants of REIT dividend payout ratios. The study also considers whether the stock market responds differently to the dividend announcement effects of equity and mortgage REITs based on asymmetric information. Our results support agency‐cost explanations for dividend policy and suggest a differential announcement eff

ISSN:1080-8620    

DOI:10.1111/1540-6229.00607

出版商:Blackwell Publishing Ltd    

年代:1993

数据来源: WILEY