Advanced Search
MyIDEAS: Login

Commercial Real Estate Return Performance: A Cross-Country Analysis

Contents:

Author Info

  • Ling, David C
  • Naranjo, Andy

Abstract

This paper investigates the return performance of publicly traded real estate companies. The analysis spans the 1984-99 time period and includes return data on over 600 companies in 28 countries. The return data reveal a substantial amount of variation in mean real estate returns and standard deviations across countries. Moreover, standard Treynor ratios, which scale country excess returns by the estimated beta on the world wealth portfolio, also reveal substantial variation across countries in excess real estate returns per unit of systematic risk. However, when we estimate Jensen's alphas using both single and multifactor specifications, we detect little evidence of abnormal, risk-adjusted returns at the country level. We do, however, find evidence of a strong world-wide factor in international real estate returns. Furthermore, even after controlling for the effects of world-wide systematic risk, an orthogonalized country-specific factor is highly significant. This suggests that real estate securities may provide international diversification opportunities. Copyright 2002 by Kluwer Academic Publishers

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://journals.kluweronline.com/issn/0895-5638/contents
File Function: link to full text
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Springer in its journal Journal of Real Estate Finance & Economics.

Volume (Year): 24 (2002)
Issue (Month): 1-2 (Jan.-March)
Pages: 119-42

as in new window
Handle: RePEc:kap:jrefec:v:24:y:2002:i:1-2:p:119-42

Contact details of provider:
Web page: http://www.springerlink.com/link.asp?id=102945

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Voigtländer, Michael, 2010. "The Link between the Office Market and Labour Market in Germany," MPRA Paper 23994, University Library of Munich, Germany.
  2. Robert Edelstein & Wenlan Qian & Desmond Tsang, 2011. "How Do Institutional Factors Affect International Real Estate Returns?," The Journal of Real Estate Finance and Economics, Springer, vol. 43(1), pages 130-151, July.
  3. Ewa Kucharska-Stasiak & George Matysiak, 2004. "The Transition of the Polish Real Estate Market Within a Central and Eastern European Context," Real Estate & Planning Working Papers rep-wp2004-16, Henley Business School, Reading University.
  4. Veera Lenkkeri & Wessel Marquering & Ben Strunkmann-Meister, 2006. "The Friday Effect in European Securitized Real Estate Index Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 33(1), pages 31-50, August.
  5. Abdulnasser Hatemi-J & Eduardo Roca, 2011. "Are Real Estate Markets Integrated with the World Market?," Discussion Papers in Finance finance:201111, Griffith University, Department of Accounting, Finance and Economics.
  6. Foort HAMELINK & Martin HOESLI, 2003. "What Factors Determine International Real Estate Security Returns?," FAME Research Paper Series rp50, International Center for Financial Asset Management and Engineering.
  7. Joseph T.L. Ooi & James R. Webb & Dingding Zhou, 2007. "Extrapolation Theory and the Pricing of REIT Stocks," Journal of Real Estate Research, American Real Estate Society, vol. 29(1), pages 27-56.
  8. Graeme Newell & Chau Kwong Wing & Wong Siu Kei & Liow Kim Hiang, 2009. "The significance and performance of property securities markets in the Asian IFCs," Journal of Property Research, Taylor & Francis Journals, vol. 26(2), pages 125-148, October.
  9. Piet Eichholtz & Nils Gugler & Nils Kok, 2011. "Transparency, Integration, and the Cost of International Real Estate Investments," The Journal of Real Estate Finance and Economics, Springer, vol. 43(1), pages 152-173, July.
  10. Craig Ellis & Patrick J. Wilson & Ralf Zurbruegg, 2007. "Real Estate ‘Value’ Stocks and International Diversification," Journal of Property Research, Taylor & Francis Journals, vol. 24(3), pages 265-287, September.
  11. Hatemi-J, Abdulnasser & Roca, Eduardo & Al-Shayeb, Abdulrahman, 2014. "How integrated are real estate markets with the world market? Evidence from case-wise bootstrap analysis," Economic Modelling, Elsevier, vol. 37(C), pages 137-142.
  12. Barry, Christopher B. & Rodriguez, Mauricio, 2004. "Risk and return characteristics of property indices in emerging markets," Emerging Markets Review, Elsevier, vol. 5(2), pages 131-159, June.
  13. repec:ecu:wpaper:2009-04 is not listed on IDEAS
  14. Martin Hoesli & Kustrim Reka, 2013. "Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 47(1), pages 1-35, July.
  15. Dirk Brounen & Piet Eichholtz & David Ling, 2009. "The Liquidity of Property Shares: An International Comparison," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(3), pages 413-445.
  16. Liow, Kim Hiang & Webb, James R., 2009. "Common factors in international securitized real estate markets," Review of Financial Economics, Elsevier, vol. 18(2), pages 80-89, April.
  17. David Ling & Andy Naranjo & Michael Ryngaert, 2012. "Real Estate Ownership, Leasing Intensity, and Value: Do Stock Returns Reflect a Firm’s Real Estate Holdings?," The Journal of Real Estate Finance and Economics, Springer, vol. 44(1), pages 184-202, January.
  18. Ivo Wit, 2010. "International Diversification Strategies for Direct Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 41(4), pages 433-457, November.
  19. Pierpaolo Pattitoni & Barbara Petracci & Massimo Spisni, 2011. "Fee Structure, Financing, and Investment Decisions: The Case of REITs," Working Paper Series 30_11, The Rimini Centre for Economic Analysis.
  20. Kim Hiang Liow & James R. Webb, 2008. "Nonlinear Return Dependence in Major Real Estate Markets," Journal of Property Research, Taylor & Francis Journals, vol. 25(4), pages 285-319, December.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:kap:jrefec:v:24:y:2002:i:1-2:p:119-42. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F. Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.