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What Factors Determine International Real Estate Security Returns?

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  • Foort Hamelink
  • Martin Hoesli

Abstract

ERES:conference

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  • Foort Hamelink & Martin Hoesli, 2002. "What Factors Determine International Real Estate Security Returns?," ERES eres2002_196, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2002_196
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    File URL: https://eres.architexturez.net/doc/oai-eres-id-eres2002-196
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    References listed on IDEAS

    as
    1. Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    2. Piet M.A. Eichholtz, 1996. "The Stability of the Covariances of International Property Share Returns," Journal of Real Estate Research, American Real Estate Society, vol. 11(2), pages 149-158.
    3. Foort HAMELINK, & Hélène HARASTY & Pierre HILLION, 2001. "Country, Sector or Style: What Matters Most When Constructing Global Equity Portfolios? An Empirical Investigation from 1990-2001," FAME Research Paper Series rp35, International Center for Financial Asset Management and Engineering.
    4. Ling, David C & Naranjo, Andy, 2002. "Commercial Real Estate Return Performance: A Cross-Country Analysis," The Journal of Real Estate Finance and Economics, Springer, vol. 24(1-2), pages 119-142, Jan.-Marc.
    5. Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March.
    6. Graeme Newell & James R. Webb, 1996. "Assessing Risk for International Real Estate Investments," Journal of Real Estate Research, American Real Estate Society, vol. 11(2), pages 103-116.
    7. Alan J. Ziobrowski & Brigitte J. Ziobrowski & Sidney Rosenberg, 1997. "Currency Swaps and International Real Estate Investment," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 25(2), pages 223-251, June.
    8. Youguo Liang & Arjun Chatrath & Willard McIntosh, 1996. "Apartment REITs and Apartment Real Estate," Journal of Real Estate Research, American Real Estate Society, vol. 11(3), pages 277-290.
    9. Piet Eichholtz & Ronald Huisman & Kees Koedijk & Lisa Schuin, 1998. "Continental Factors in International Real Estate Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 26(3), pages 493-509, September.
    10. Crocker H. Liu & Jianping Mei, 1998. "The Predictability of International Real Estate Markets, Exchange Rate Risks and Diversification Consequences," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 26(1), pages 3-39, March.
    11. Simon Stevenson, 2000. "International Real Estate Diversification: Empirical Tests using Hedged Indices," Journal of Real Estate Research, American Real Estate Society, vol. 19(1), pages 105-131.
    12. Heston, Steven L. & Rouwenhorst, K. Geert, 1994. "Does industrial structure explain the benefits of international diversification?," Journal of Financial Economics, Elsevier, vol. 36(1), pages 3-27, August.
    13. Terence Khoo & David Hartzell & Martin Hoesli, 1993. "An Investigation of the Change in Real Estate Investment Trust Betas," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 21(2), pages 107-130, June.
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    Cited by:

    1. 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.
    2. De Santis, Paola & Drago, Carlo, 2014. "Asimmetria del rischio sistematico dei titoli immobiliari americani: nuove evidenze econometriche [Systematic Risk Asymmetry of the American Real Estate Securities: Some New Econometric Evidence]," MPRA Paper 59381, University Library of Munich, Germany.
    3. João da Rocha Lima & Carolina Andrea Garisto Gregório, 2006. "Investimento Em Real Estate Por Meio De Ações No Brasil," LARES lares_2006_artigo-joao-da, Latin American Real Estate Society (LARES).
    4. Benjamin E. Hermalin & Michael S. Weisbach, 2012. "Information Disclosure and Corporate Governance," Journal of Finance, American Finance Association, vol. 67(1), pages 195-234, February.
    5. Chinmoy Ghosh & Milena Petrova, 2021. "The Effect of Legal Environment and Regulatory Structure on Performance: Cross-Country Evidence from REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 63(1), pages 40-81, July.
    6. Miyakoshi, Tatsuyoshi & Shimada, Junji & Li, Kui-Wai, 2016. "The impacts of the 2008 and 2011 crises on the Japan REIT market," Journal of the Japanese and International Economies, Elsevier, vol. 41(C), pages 30-40.
    7. Joseph T.L. Ooi & Kim-Hiang Liow, 2004. "Risk-Adjusted Performance of Real Estate Stocks: Evidence From Developing Markets," Journal of Real Estate Research, American Real Estate Society, vol. 26(4), pages 371-396.
    8. Kim Hiang Liow & James R. Webb, 2009. "Common factors in international securitized real estate markets," Review of Financial Economics, John Wiley & Sons, vol. 18(2), pages 80-89, April.
    9. Olusegun Olaopin Olanrele, 2014. "Reit Performance Analysis: Are other Factor Determinants Constant?," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 4(4), pages 492-502, April.
    10. Gary A. Patterson, 2008. "International Real Estate," World Scientific Book Chapters, in: Hung-Gay Fung & Xiaoqing Eleanor Xu & Jot Yau (ed.), Advances In International Investments Traditional and Alternative Approaches, chapter 7, pages 161-182, World Scientific Publishing Co. Pte. Ltd..
    11. Huang, MeiChi & Wu, Chu-Hua & Cheng, I-Shan, 2021. "A truly global crisis? Evidence from contagion dependence across international REIT markets," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    12. John Glascock & Lynne Kelly, 2007. "The Relative Effect of Property Type and Country Factors in Reduction of Risk of Internationally Diversified Real Estate Portfolios," The Journal of Real Estate Finance and Economics, Springer, vol. 34(3), pages 369-384, April.
    13. Mansley, Nick & Tse, Tiffany Ching Man & Wang, Zilong, 2020. "Risk classification of Asian real estate funds and their performance," Pacific-Basin Finance Journal, Elsevier, vol. 63(C).
    14. Rydqvist, Kristian, 2010. "Tax Arbitrage with Risk and Effort Aversion - Swedish Lottery Bonds 1970-1990," SIFR Research Report Series 70, Institute for Financial Research.
    15. Andrey Pavlov & Eva Steiner & Susan Wachter, 2015. "Macroeconomic Risk Factors and the Role of Mispriced Credit in the Returns from International Real Estate Securities," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(1), pages 241-270, March.
    16. Cheng-Wen Lee & Shu-Hen Chiang & Zhong-Qin Wen, 2023. "Pursuing the Sustainability of Real Estate Market: The Case of Chinese Land Resources Diversification," Sustainability, MDPI, vol. 15(7), pages 1-19, March.
    17. Dreber, Anna & Rand, David G. & Garcia, Justin R. & Wernerfelt, Nils & Lum, J. Koji & Zeckhauser, Richard, 2010. "Dopamine and Risk Preferences in Different Domains," Working Paper Series rwp10-012, Harvard University, John F. Kennedy School of Government.
    18. 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.
    19. Elaine Worzala & C.F. Sirmans, 2003. "Investing in International Real Estate Stocks: A Review of the Literature," Urban Studies, Urban Studies Journal Limited, vol. 40(5-6), pages 1115-1149, May.
    20. 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.
    21. 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.
    22. Westerheide, Peter, 2006. "Cointegration of real estate stocks and REITs with common stocks, bonds and consumer price inflation: an international comparison," ZEW Discussion Papers 06-057, ZEW - Leibniz Centre for European Economic Research.

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    More about this item

    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

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