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Cash Premium in International Real Estate Value-Growth Strategies

Author

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  • Halil Memis

Abstract

It is well established that value firms with high book-to-market (BM) ratios earn a significant premium over growth firms with low BM ratios around the world, yet considerable debate exists about whether the return differential reflects compensation for risk or mispricing. Under mispricing explanations, prices of growth (value) stocks signal systematically optimistic (pessimistic) expectations; thus, the value-growth returns should be concentrated among firms with existent market expectation errors. Classifying real estate firms based upon whether expectations implied by current pricing multiples are congruent with their operating flexibility, we document that value-growth returns are concentrated among firms with ex ante market expectations, but absent among firms without such errors.

Suggested Citation

  • Halil Memis, 2022. "Cash Premium in International Real Estate Value-Growth Strategies," ERES 2022_160, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:2022_160
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    File URL: https://eres.architexturez.net/doc/eres-id-eres2022-160
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    More about this item

    Keywords

    cash premium; International real estate markets; Mispricing; Value;
    All these keywords.

    JEL classification:

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

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