Robust desmoothed real estate returns

ACKNOWLEDGMENTS We thank Shaun Bond, Marc Francke, David Geltner, and Jeffrey Fisher for inspiring thoughts and insights. We also extend our gratitude to Itzhak Ben-David, our discussant at the 2018 Real Estate Finance and Investment Symposium in Gainesville, Florida, and participants at this event for their useful comments.Peer reviewedPostprin

Pourquoi les institutionnels investissent-ils si peu en immobilier ?

La quasi-totalité des études académiques font apparaître que la part de l'immobilier dans un portefeuille "mixte", c'est-à-dire un portefeuille composé de plusieurs classes d'actif, devrait se situer dans une fourchette de 20-30%. Malgré cette assez belle unanimité concernant le rôle bénéfique que devrait jouer l'investissement immobilier dans la diversification d'un portefeuille, les investisseurs institutionnels allouent en pratique souvent une part sensiblement plus faible de leurs avoirs à cette classe d'actif. Le but de cet article est de proposer quelques pistes de réflexion concernant les causes de l'écart entre allocation théorique et allocation effective à l'immobilier dans le portefeuille des institutionnels

Real estate research in europe

Purpose – Against the background of initiatives, which have taken place to foster real estate research in Europe, this article seeks to analyse important dimensions of that research. Design/methodology/approach – The article investigates the evolution from 2000 to 2015 in the proportion of papers published by authors with a European affiliation in the three main international real estate journals (Real Estate Economics, Journal of Real Estate Finance and Economics and Journal of Real Estate Research). Then, focusing on papers with at least one European author and/or concentrating on Europe, the article analyses papers published from 2008 to 2015 in the two main European real estate journals (Journal of European Real Estate Research and Journal of Property Research) by authors' country of affiliation, by country of study and by theme. Finally, we analyse links between author's country of affiliation and country of study and theme, respectively. Findings – The results show that the proportion of papers published by European authors in the three main international real estate journals has increased during the 2000-2015 period. The author's analyses of papers published in the two European real estate journals suggest that UK-based researchers are the most prolific. There is also a strong “home bias” in that authors largely focus on the country in which they are based. The interest in housing and valuation increased markedly during the period. Finally, the article reports linkages between country of affiliation and theme. Originality/value – This paper should provide a much clearer understanding of several aspects of real estate research in Europe

Rôle de l'immobilier dans la diversification d'un portefeuille : une analyse de la stabilité des conclusions

De nombreuses études ont mis en évidence le rôle positif que peuvent jouer les investissements immobiliers dans la diversification d'un portefeuille composé de différentes classes d'actifs. Il a été montré que pour un investisseur souhaitant s'exposer à peu de risque, la part optimale qui devrait être allouée à de l'immobilier est de 15-30%. Le but de cet article est d'examiner si cette conclusion est valable quelle que soit la période examinée. A cette fin, nous analysons toutes les périodes de 12 ans comprises dans la périodes 1979-1999. Notre étude montre que le poids optimal de l'immobilier dans un portefeuille à risque faible. En revanche, les parts relatives des différentes classes d'actifs varient assez fortement dans un portefeuille à risque élevé

An examination of the role of Geneva and Zurich housing in Swiss institutional portfolios

Swiss institutional investors hold approximately 19% of their wealth in property, and the bulk of the allocation to property is housing. The financial reasons which are often given to motivate this investment strategy are twofold. Firstly, property returns are hypothesised to be lowly correlated with the returns on stocks and bonds, and the inclusion of property in portfolios of financial assets should lead to diversification benefits. Secondly, property is viewed as acting as an effective hedge against inflation. The aim of this paper is to empirically investigate these two assumptions on the basis of hedonic price indices for Geneva and Zurich apartment buildings. In particular, it is examined whether an investor who already holds Geneva (Zurich) housing should invest in the other canton. It is also investigated whether real estate funds should be included in the portfolio in addition to direct real estate holdings. The results suggest that housing is an effective portfolio diversifier but does not provide any better short term inflation-hedging effectiveness than financial asset

A Hedonic Analysis of Rent and Rental Revenue in the exchange

A Hedonic Analysis of Rent and Rental Revenue in the exchange, do not hedge against inflation even though evidence exists that returns on the underlying real estate is positively related to both expected and unexpected inflation. The current study investigates whether this relationship is also valid for other countries since the design of the real estate security in some countries is such that the return on the real estate security is more representative of the return to the underlying real estate. Both a stationary and a nonstationary riskfree rate are alternatively used in conjunction with the Fama and Schwert (1977) methodology to investigate this question. The study also investigates the hypothesis of Geske and Roll (1983) that stock returns are the catalyst to changes in fiscal and monetary policy that cause an opposite change in the rate of inflation. Our results do not provide any evidence that real estate securities in other countries are better hedges against inflation than common stocks. In fact, we find that real estate securities appear to provide a worse hedge against inflation that common stocks in some countries. In addition to this, we find that of the three models of inflation, the data appear to more closely support the reverse causality model of Geske-Roll. Moreover, our results suggest that property trust returns provide a more accurate forecast of inflation than the returns on the stock market index for France and Switzerland. For all other countries however, the returns on common stocks provide just as good a signal on changes in inflationary expectations as property trust return

Are Securitized Real Estate Returns more Predictable than Stocks Return?

This paper examines whether the predictability of securitized real estate returns differs from that of stock returns. It also provides a cross-country comparison of securitized real estate return predictability. In contrast to most of the literature on this issue, the analysis is not based on a multifactor asset pricing framework as such analyses may bias the results. We use a time series approach and thus create a level playing field to compare the predictability of the two asset classes. Forecasts are performed with ARMA and ARMA-EGARCH models and evaluated by comparing the entire empirical distributions of prediction errors, as well as with a trading strategy. The results, based on daily data for the 1990-2007 period, show that securitized real estate returns are generally more predictable than stock returns in countries with mature and well established REIT regimes. ARMA-EGARCH models are found to have portfolio outperformance potential even in the presence of transaction costs, with generally better results for securitized real estate than for stocks