IDEAS home Printed from https://ideas.repec.org/p/arz/wpaper/eres2014_55.html
   My bibliography  Save this paper

Value premium in international REITs

Author

Listed:
  • Ytzen van der Werf
  • Fred Huibers

Abstract

We find evidence of a value premium of 12.7 per cent per annum for international developed REITs over the period Q2-1993-Q2-2013. REITs with a high book value compared to their market value (in the case of REITs book value is approximately equal to Net Asset Value (NAV)) perform significantly better than REITs with a low book to market multiple. Even after controlling for risk factors in the single factor CAPM model or the Fama French three factor model, the value strategy provides significant alpha. This suggests value premium is the result of naive extrapolation of past performance by real estate investors rather than a commensurate reward for risk. For real estate practitioners, the results provide the basis for the formulation and implementation of a viable indirect global investment strategy.

Suggested Citation

  • Ytzen van der Werf & Fred Huibers, 2014. "Value premium in international REITs," ERES eres2014_55, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2014_55
    as

    Download full text from publisher

    File URL: https://eres.architexturez.net/doc/oai-eres-id-eres2014-55
    Download Restriction: no
    ---><---

    More about this item

    JEL classification:

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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arz:wpaper:eres2014_55. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Architexturez Imprints (email available below). General contact details of provider: https://edirc.repec.org/data/eressea.html .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.