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Real Estate (real + estate)
Terms modified by Real Estate Selected AbstractsFinancialization and the Role of Real Estate in Hong Kong's Regime of AccumulationECONOMIC GEOGRAPHY, Issue 2 2003Alan Smart Abstract: The greater dominance of finance in the global economic system is widely considered to have increased instability and created difficulties in constructing modes of regulation that could stabilize post-Fordist regimes of accumulation. Heightened competition and the discipline of global finance restrict the use of Fordist strategies that expand social wages to balance production and consumption. Robert Boyer suggested a model for a possible stable finance-led growth regime. His hypothesis is that once there are sufficient stocks of property in a nation, expenditures that are based on capital gains, dividends, interest, and pensions can compensate for diminished wage-based demand. We contend that the neglect of real estate is a serious limitation, since housing wealth is more significant than other forms of equity for most citizens, and thus that it fails to capture the impact of the perceptions and choices of ordinary citizens. We then argue that features of a finance-led regime of accumulation and a property-based mode of regulation appeared in Hong Kong relatively early. A case study of Hong Kong is used to extend Boyer's discussion, as well as to diagnose Hong Kong's experience for its lessons on the impact of such developments. [source] Economics, Real Estate and the Supply of Land, edited by Alan W. EvansJOURNAL OF REGIONAL SCIENCE, Issue 4 2006John Krainer No abstract is available for this article. [source] Economics, Real Estate and the Supply of Land.PAPERS IN REGIONAL SCIENCE, Issue 3 2005Robyn Welch No abstract is available for this article. [source] Parking Externalities in Commercial Real EstateREAL ESTATE ECONOMICS, Issue 2 2010Bowman Cutter IV Local governments have employed a variety of strategies to reduce street congestion through an increase in parking supply. These policies have been criticized as an implicit subsidy that shifts costs from drivers to the public at large. Others have noted that parking lots and structures can lead to increased water and air pollution. However, there has not been an examination of whether parking, presumably by reducing congestion, generates external benefits. We measure whether nearby parking availability influences commercial property prices after controlling for property characteristics, including on-site parking. We find that publicly accessible parking, such as commercial parking garages, generates significant aggregate externalities. We also find evidence of a significant complementary relationship between building and parking area in property values. This suggests that parking regulation could have a significant impact on property development through its effect on the value of the marginal square foot of building area. [source] Timing and the Holding Periods of Institutional Real EstateREAL ESTATE ECONOMICS, Issue 2 2003David Collett Literature on investors' holding periods for securities suggests that high transaction costs are associated with longer holding periods. Return volatility, by contrast, is associated with shorter holding periods. In real estate, high transaction costs and illiquidity imply longer holding periods. Research on depreciation and obsolescence suggests that there might be an optimal holding period. Sales rates and holding periods for U.K. institutional real estate are analyzed, using a proportional hazards model, over an 18-year period. The results show longer holding periods than those claimed by investors, with marked differences by type of property and over time. The results shed light on investor behavior. [source] Market Efficiency and Return Statistics: Evidence from Real Estate and Stock Markets Using a Present-Value ApproachREAL ESTATE ECONOMICS, Issue 2 2001Yuming Fu This paper develops a methodology to identify asset price response to news in the framework of the Campbell,Shiller log-linear present-value equation. We further show that a slow price adjustment in real estate markets not only induces a high serial autocorrelation in excess returns, but also dampens the return volatility and the correlation with excess returns in other asset markets. Using Hong Kong real estate and stock market data, we find that the quarterly real estate price assimilates only about half the effect of market news, whereas the quarterly stock price incorporates the news fully. Our analysis identifies a cumulative price adjustment that recovers lost information in real estate returns due to market inefficiency and thereby restores the real estate return volatility and the correlation between real estate and stock markets. [source] Estimating Returns on Commercial Real Estate: A New Methodology Using Latent-Variable ModelsREAL ESTATE ECONOMICS, Issue 2 2000David C. Ling Despite their widespreao use as benchmarks of U.S. commercial real estate returns, indexes produced by the National Council of Real Estate Investment Fiduciaries (NCREIF) are subject to measurement problems that severely impair their ability to capture the true risk,return characteristics,especially volatility,of privately held commercial real estate. We utilize latent-variable statistical methods to estimate an alternative index of privately held (unsecuritized) commercial real estate returns. Latent-variable methods have been extensively applied in the behavioral sciences and, more recently, in finance and economics. Unlike factor analysis or other unconditional statistical approaches, latent variable models allow us to extract interpretable common information about unobserved private real estate returns using the information contained in various competing measures of returns that are measured with error. We find that our latent-variable real estate return series is approximately twice as volatile as the aggregate NCREIF total return index, but less than half as volatile as the NAREIT equity index. Overall, our results strongly support the use of latent-variable statistical models in the construction of return series for commercial real estate. [source] Local Code: Real EstatesARCHITECTURAL DESIGN, Issue 3 2010Nicholas de Monchaux Abstract With the employment of a geographical information system (GIS), the city can be revealed and analysed with an alacrity that was never previously imagined possible: vacant sites and spaces between buildings can immediately be located. Nicholas de Monchaux describes his project Local Code: Real Estates, based in San Francisco, which has highlighted the potential and scale of residual spaces situated around highways and industry as a new collective resource for community design. Copyright © 2010 John Wiley & Sons, Ltd. [source] Real estate and corporate valuation: an asset pricing perspectiveMANAGERIAL AND DECISION ECONOMICS, Issue 7 2001Liow Kim Hiang Property is a significant asset in the balance sheets of some Singapore industrial/commerce firms and hotel corporations. In this research, we take on the task of examining the relationship between real estate and stock market valuation of these business firms from an asset pricing perspective. Specifically, the real estate sensitivity of ,property-intensive', non-real estate stocks is investigated in both a three-index (market, sector and property) of stock returns and in an arbitrage pricing theory (APT) framework. The APT model is further recast as a multivariate non-linear regression model with across-equation restrictions. Using weekly returns on ,property-intensive' stocks in the period 1989,1998 and three shorter-sample periods, iterated non-linear seemingly regression techniques (ITNSUR) are employed to obtain joint estimates of stock sensitivities and their associated APT risk ,prices'. The ,real estate' sensitivity is found to be systematic and priced in the APT sense of corporations being paid an ex ante premium for bearing property market risk in investing and owning properties in two of the three sample periods (1989,1991, 1992,1994). The empirical results provide some support that property is a factor in corporate valuation, and is broadly consistent with the efficient markets hypothesis. The implications for portfolio and corporate management are examined. Copyright © 2001 John Wiley & Sons, Ltd. [source] Geographies of the financial crisisAREA, Issue 1 2009Manuel Aalbers Real estate is, by definition, local as it is spatially fixed. Mortgage lending, however, has developed from a local to a national market and is increasingly a global market today. An understanding of the financial crisis is ultimately a spatialised understanding of the linkages between local and global. This article looks at the geographies of the mortgage crisis and credit crunch and asks the question: how are different places affected by the crisis? The article looks at different states, different cities, different neighbourhoods and different financial centres. Investors in many places had invested in residential mortgage backed securities and have seen their value drop. Housing bubbles, faltering economies and regulation together have shaped the geography of the financial crisis on the state and city level in the US. Subprime and predatory lending have affected low-income and minority communities more than others and we therefore not only see a concentration of foreclosures in certain cities, but also in certain neighbourhoods. On an international level, the long-term economical and political consequences of this are still mostly unknown, but it is clear that some financial centres in Asia (including the Middle East) will become more important now that globalisation is coming full circle. This article does not present new empirical research, but brings together work from different literatures that all in some way have a specific angle on the financial crisis. The aim of this article is to make the geographical dimensions of the financial crisis understandable to geographers that are not specialists in all , or even any , of these literatures, so that they can comprehend the spatialisation of this crisis. [source] Financialization and the Role of Real Estate in Hong Kong's Regime of AccumulationECONOMIC GEOGRAPHY, Issue 2 2003Alan Smart Abstract: The greater dominance of finance in the global economic system is widely considered to have increased instability and created difficulties in constructing modes of regulation that could stabilize post-Fordist regimes of accumulation. Heightened competition and the discipline of global finance restrict the use of Fordist strategies that expand social wages to balance production and consumption. Robert Boyer suggested a model for a possible stable finance-led growth regime. His hypothesis is that once there are sufficient stocks of property in a nation, expenditures that are based on capital gains, dividends, interest, and pensions can compensate for diminished wage-based demand. We contend that the neglect of real estate is a serious limitation, since housing wealth is more significant than other forms of equity for most citizens, and thus that it fails to capture the impact of the perceptions and choices of ordinary citizens. We then argue that features of a finance-led regime of accumulation and a property-based mode of regulation appeared in Hong Kong relatively early. A case study of Hong Kong is used to extend Boyer's discussion, as well as to diagnose Hong Kong's experience for its lessons on the impact of such developments. [source] The Market as the New EmperorINTERNATIONAL JOURNAL OF URBAN AND REGIONAL RESEARCH, Issue 1 2007ANNE HAILAArticle first published online: 7 FEB 200 In recent years readers of urban studies journals have been regaled with articles on urban development in China. Contrary to expectations, what we read is not a multiplicity of accounts, but instead a repetition of one story: (a) the land market has emerged in China; (b) however, the market is imperfect; (c) therefore the best policy is to define property rights. It is surprising how uncritically scholars have accepted the idea that the land market has emerged, without defining the concept of the market. Perhaps even more surprising is the approval of the recommendation to define property rights, without asking what the ideology behind such a recommendation is and what social and political consequences it might have. This article will examine and criticize studies of this type. First, I will reconstruct what seems to be a new fashion in real estate and urban development studies, and then criticize its weaknesses, which are connected to the ambiguity of the concept of the market, insufficient empirical evidence, and ontological and ideological problems. [source] The Global Financial Crisis and the Efficient Market Hypothesis: What Have We Learned?JOURNAL OF APPLIED CORPORATE FINANCE, Issue 4 2009Ray Ball The sharp economic downturn and turmoil in the financial markets, commonly referred to as the "global financial crisis," has spawned an impressive outpouring of blame. The efficient market hypothesis (EMH),the idea that competitive financial markets exploit all available information when setting security prices,has been singled out for particular attention. Like all successful theories, the EMH has major limitations, even as it continues to provide the foundation for not only past accomplishment, but future advances in the field of finance. Despite the theory's undoubted limitations, the claim that it is responsible for the current worldwide crisis seems wildly exaggerated. This essay shows the misreading of the theory and logical inconsistencies involved in popular arguments that EMH played a significant role in (1) the formation of the real estate and stock market bubbles, (2) investment practitioners' miscalculation of risks, and (3) the failure of regulators to recognize the bubbles and avert the crisis. At the same time, the author argues that the collapse of Lehman Brothers and other large financial institutions, far from resulting from excessive faith in efficient markets, reflects a failure to heed the lessons of efficient markets. In the author's words, "To me, Lehman's demise conclusively demonstrates that, in a competitive capital market, if you take massive risky positions financed with extraordinary leverage, you are bound to lose big one day,no matter how large and venerable you are." Finally, behavioral finance, widely considered as challenging and even supplanting efficient markets theory, is viewed in this article as complementing if not reinforcing efficient markets theory. As the author says, "it takes a theory to beat a theory." Behavioralism, for all its important contributions to finance literature, is described as not a theory but rather "a collection of ideas and results", one that depends for its existence on the theory of efficient markets. [source] Corporate real estate: Is treasury ready?JOURNAL OF CORPORATE ACCOUNTING & FINANCE, Issue 1 2005Oren Rosen Corporate real estate is becoming an emerging priorityfor treasury departments. That's because real estate,traditionally an operational consideration-,is becoming a strategic issue. Treasury must play more of an active role in decision making here. But are treasury departments ready and equipped to deal with these new demands? And where is the strategic opportunity? © 2005 Wiley Periodicals, Inc. [source] Relationships between Australian real estate and stock market prices,a case of market inefficiencyJOURNAL OF FORECASTING, Issue 3 2002John Okunev Abstract This paper explores the relationship between the Australian real estate and equity market between 1980 and 1999. The results from this study show three specific outcomes that extend the current literature on real estate finance. First, it is shown that structural shifts in stock and property markets can lead to the emergence of an unstable linear relationship between these markets. That is, full-sample results support bi-directional Granger causality between equity and real estate returns, whereas when sub-samples are chosen that account for structural shifts the results generally show that changes within stock market prices influence real estate market returns, but not vice versa. Second, the results also indicate that non-linear causality tests show a strong unidirectional relationship running from the stock market to the real estate market. Finally, from this empirical evidence a trading strategy is developed which offers superior performance when compared to adopting a passive strategy for investing in Australian securitized property. These results appear to have important implications for managing property assets in the funds management industry and also for the pricing efficiency within the Australian property market. Copyright © 2002 John Wiley & Sons, Ltd. [source] Economic inequality in Nepal: Patterns and changes during the late 1990s and early 2000sJOURNAL OF INTERNATIONAL DEVELOPMENT, Issue 5 2010Udaya R. Wagle Abstract Nepal has undergone enormous economic and political changes during the past two decades. Data suggest that these were accompanied by large and increasing economic inequality after the mid 1990s with income from house rental, employment, businesses and remittances as well as the stock of wealth in real estate and businesses constituting the leading sources. Considerable disparities existed by castes/ethnicities and spatial distinctions with upper caste Hindus and Newars and urban areas consolidating their command of resources. The deep-seated socio-cultural practices and changing political landscape appear to greatly affect the gulf between those with and without access to power. Copyright © 2009 John Wiley & Sons, Ltd. [source] Leadership behaviors that really count in an organization's performance in the Middle East: The case of DubaiJOURNAL OF LEADERSHIP STUDIES, Issue 2 2008Mohamed H. Behery This study is an examination of the relationships among leadership behaviors, knowledge sharing, and organizational performance in a non-Western context like Dubai. Using a sample of 504 managers from different business-services sectors (real estate, banks, insurance), the results suggest that transactional and transformational leadership are positively related to knowledge sharing and organizational performance. However, sharing knowledge was found to partially mediate the effect of leadership on organizational performance. In addition, an unexpected neutral effect of gender and citizenship or nationality has been detected. Limitations of this study and recommendations for future research and implications for managers are also provided. [source] Prudential Regulation and the "Credit Crunch": Evidence from JapanJOURNAL OF MONEY, CREDIT AND BANKING, Issue 2-3 2007WAKO WATANABE credit crunch; capital crunch; prudential regulation; instrumental variable The underlying causes of sharp declines in bank lending during recessions in large developed economies, as exemplified by the U.S. in the early 1990s and Japan in the late 1990s, are still being debated due to the lack of any convincing identification strategy of the supply side capital,lending relationship from lending demand. Using within bank share of real estate lending in the late 1980s as an instrumental variable for bank capital, we find that Japanese banks cut back on their lending in response to a large loss of bank capital in fiscal year 1997. [source] The marketing of industrial real estate: application of Taguchi loss functionsJOURNAL OF MULTI CRITERIA DECISION ANALYSIS, Issue 4 2001Troy A. Festervand Abstract The marketing of industrial real estate is a resource-consuming endeavour for all parties involved consisting of many objectives that, in many cases, may be in conflict with one another. One method of minimizing resource requirements, especially time, while increasing the probability of a successful match is to select properties for presentation that maximizes buyer utility. Zionts (1992) indicated one area for future research in multiple criteria decision-making (MCDM) is in the development of ,Eclectic Approaches' using old ideas in a new way to help develop MCDM approaches. In this paper Taguchi loss functions, a procedure commonly used in quality control, is proposed as a tool that can be used by industrial real estate professionals to more efficiently determine the property that most closely matches the buyer's needs. Copyright © 2001 John Wiley & Sons, Ltd. [source] The industry settings of leading organizational research: the role of economic and non-economic factorsJOURNAL OF ORGANIZATIONAL BEHAVIOR, Issue 4 2009Michael Boyer O'Leary Despite calls for attention to the role of context in organizational research, there have been no assessments of the distribution of industry contexts in organizational research. This paper explores that distribution in relation to the industry composition of the U.S. economy. Our analysis of 914 empirical field studies published in four leading journals from 1988 to 2002 reveals striking, persistent, and growing discrepancies between the industries that are economically important and the industries that have served as settings for organizational research. For example, education and manufacturing are oversampled in relation to their economic importance, while real estate, construction, wholesale, and retail are undersampled. We also develop and test a series of hypotheses predicting which industries serve as the contexts for leading research. Using negative binomial regression, we show that the percentage of recent MBA graduates in an industry and the percentage of employees with doctoral degrees in an industry predict the number of articles set in that industry, with the total number of employees and average establishment size in an industry enhancing the power of the model. We conclude by discussing the implications of our findings for advancing organizational theory and research methods. Copyright © 2008 John Wiley & Sons, Ltd. [source] Informational environments: Organizational contexts of online information useJOURNAL OF THE AMERICAN SOCIETY FOR INFORMATION SCIENCE AND TECHNOLOGY, Issue 2 2003Roberta Lamb Before the Web, the story of online information services was largely one of over-estimates and unmet expectations. This study examines sustained use and non-use of online services within organizations in a way that overcomes limitations of the traditional approaches that repeatedly led to exuberant usage projections. By adopting an open-systems view, we see that firms in highly technical and highly institutional environments have many more incentives to gather data and go online than do firms in low-tech, unregulated industries. But firms make important choices about partnering and outsourcing that can shift informational activities across organizational boundaries. Our analysis focuses on the informational environments of firms in three industries: law, real estate and biotech/pharmaceuticals. This environmental model provides richer conceptualizations about the use of information and communication technologies, including Internet technologies, and better projections about future use. In support of our analysis, we briefly discuss insights from an ongoing intranets study informed by an informational environments perspective. [source] Real estate and corporate valuation: an asset pricing perspectiveMANAGERIAL AND DECISION ECONOMICS, Issue 7 2001Liow Kim Hiang Property is a significant asset in the balance sheets of some Singapore industrial/commerce firms and hotel corporations. In this research, we take on the task of examining the relationship between real estate and stock market valuation of these business firms from an asset pricing perspective. Specifically, the real estate sensitivity of ,property-intensive', non-real estate stocks is investigated in both a three-index (market, sector and property) of stock returns and in an arbitrage pricing theory (APT) framework. The APT model is further recast as a multivariate non-linear regression model with across-equation restrictions. Using weekly returns on ,property-intensive' stocks in the period 1989,1998 and three shorter-sample periods, iterated non-linear seemingly regression techniques (ITNSUR) are employed to obtain joint estimates of stock sensitivities and their associated APT risk ,prices'. The ,real estate' sensitivity is found to be systematic and priced in the APT sense of corporations being paid an ex ante premium for bearing property market risk in investing and owning properties in two of the three sample periods (1989,1991, 1992,1994). The empirical results provide some support that property is a factor in corporate valuation, and is broadly consistent with the efficient markets hypothesis. The implications for portfolio and corporate management are examined. Copyright © 2001 John Wiley & Sons, Ltd. [source] 1.,The Role of Land Markets in Economic CrisesAMERICAN JOURNAL OF ECONOMICS AND SOCIOLOGY, Issue 4 2009Mason Gaffney It is widely recognized that the economic crisis of 2009 was caused by unsound lending for real estate. Largely ignored, however, is that this contraction was easily predicted on the basis of a well-established pattern of land speculation, premature subdivision, and excessive building on marginal land that recurs approximately once every 18 years. Capital locked up in projects that are started during a land bubble is effectively lost during the downturn, leaving the nation without sufficient capital to finance ordinary business operations during the recovery period. The best instrument for avoiding this boom-bust cycle is the property tax and, more specifically, the portion that falls on land. We explore here the ways in which the property tax influences the intensity, timing, and location of development. We also examine why frequent and accurate assessment are essential to make the property tax an effective method of preventing speculative real estate bubbles. [source] Occupation and risk of esophageal and gastric cardia adenocarcinoma,AMERICAN JOURNAL OF INDUSTRIAL MEDICINE, Issue 1 2002Lawrence S. Engel PhD Abstract Background Adenocarcinomas of the esophagus and gastric cardia have risen dramatically in incidence over the past few decades, however, little research has been conducted on the occupational risk factors for these cancers. Methods In this population-based case-control study, lifetime job histories were compared between cases of esophageal adenocarcinoma (n,=,283), gastric cardia adenocarcinoma (n,=,259), and population controls (n,=,689). Odds ratios (OR) and 95% confidence intervals (CI) for ever employment and by duration in various occupational and industrial categories were calculated using unconditional logistic regression. Results The risk of esophageal adenocarcinoma was elevated for persons ever employed in administrative support (OR,=,1.5; 95%CI,=,1.0,2.1); financial, insurance, and real estate (OR,=,1.6; 95%CI,=,1.0,2.4); and health services (OR,=,2.2; 95%CI,=,1.2,3.9). The risk of gastric cardia adenocarcinoma was increased among transportation workers (OR,=,1.7; 95%CI,=,1.1,2.6), as well as among carpenters (OR,=,1.8; 95%CI,=,0.9,3.9) and workers in the furniture manufacturing industry (OR,=,2.4; 95%CI,=,0.9,6.3). However, we observed few duration,response relations between length of employment in any category and cancer risk. Conclusions This study revealed associations of esophageal adenocarcinoma with employment in administrative support, health services, and a category of financial, insurance, and real estate industries, and of gastric cardia adenocarcinoma with transportation and certain woodworking occupations. Some of these findings may be due to the play of chance associated with the multiple comparisons made in this study. Our results suggest that, overall, workplace exposures play a minor role in the etiology and upward trend of esophageal and gastric cardia adenocarcinomas. Am. J. Ind. Med. 42:11,22, 2002. Published 2002 Wiley-Liss, Inc. [source] Illiquidity and Pricing Biases in the Real Estate MarketREAL ESTATE ECONOMICS, Issue 3 2007Zhenguo Lin This article addresses the micro-analytic foundations of illiquidity and price dynamics in the real estate market by integrating modern portfolio theory with models describing the real estate transaction process. Based on the notion that real estate is a heterogeneous good that is traded in decentralized markets and that transactions in these markets are often characterized by costly searches, we argue that the most important aspects defining real estate illiquidity in both residential and commercial markets are the time required for sale and the uncertainty of the marketing period. These aspects provide two sources of bias in the commonly adopted methods of real estate valuation, which are based solely on the prices of sold properties and implicitly assume immediate execution. We demonstrate that estimated returns must be biased upward and risks downward. These biases can be significant, especially when the marketing period is highly uncertain relative to the holding period. We also find that real estate risk is closely related to investors' time horizons, specifically that real estate risk decreases when the holding period increases. These results are consistent with the conventional wisdom that real estate is more favorable to long-term investors than to short-term investors. They also provide a theoretical foundation for the recent econometric literature, which finds evidence of smoothing of real estate returns. Our findings help explain the apparent risk-premium puzzle in real estate,that is, that ex post returns appear too high, given their apparent low volatility,and can lead to the formal derivation of adjustments that can define real estate's proper role in the mixed-asset portfolio. [source] Errors in Variables, Links between Variables and Recovery of Volatility Information in Appraisal-Based Real Estate Return IndexesREAL ESTATE ECONOMICS, Issue 4 2006Peijie Wang The present article proposes a multivariate approach to unsmoothing appraisal-based real estate return indexes to recover the true market volatility information in real estate returns. It scrutinizes the role played by errors in variables, in conjunction with an analysis of other economic activities relevant to real estate returns, to exploit the functional relationship and the mechanism of interactions between real estate returns and these economic activities. Appraisal smoothing can therefore be detected and corrected properly and efficiently, without presuming a weakly efficient real estate market. The approach is then applied to U.K. real estate indexes as empirical examples. The results suggest a reasonable volatility in U.K. real estate investment that is close to reality. It is found that the volatility of the true market return on real estate is 1.5404,1.9282 times that of the return on the appraisal-based indexes, in contrast to figures of 2.4862,5.8720 produced by the fully unsmoothing procedure. [source] Timing and the Holding Periods of Institutional Real EstateREAL ESTATE ECONOMICS, Issue 2 2003David Collett Literature on investors' holding periods for securities suggests that high transaction costs are associated with longer holding periods. Return volatility, by contrast, is associated with shorter holding periods. In real estate, high transaction costs and illiquidity imply longer holding periods. Research on depreciation and obsolescence suggests that there might be an optimal holding period. Sales rates and holding periods for U.K. institutional real estate are analyzed, using a proportional hazards model, over an 18-year period. The results show longer holding periods than those claimed by investors, with marked differences by type of property and over time. The results shed light on investor behavior. [source] Estimating the Lagging Error in Real Estate Price IndicesREAL ESTATE ECONOMICS, Issue 1 2003Yuming Fu Real estate indices based on appraisals or sale prices of properties are known for their slow response to market news. These indices can therefore be represented (in logarithm) as the sum of a latent "true" price index and a lagging error. We show that the latent appreciation return and the lagging error can be jointly estimated in a state,space model, which has two key features. First, it employs exogenous variables known to predict asset returns to predict the latent appreciation return. Second, it incorporates known sources of the lagging error, such as the partial adjustment in observed index to the latent appreciation return and the seasonality in reappraisal quality. We find that, after the estimated lagging errors are removed, the appraisal,based National Council of Real Estate Investment Fiduciaries returns become more informative and hence exhibit (i) greater variance, (ii) weaker auto correlation, (iii) higher correlation with the returns of the securitized real estate and (iv) more timely response to market news. [source] House Prices and InflationREAL ESTATE ECONOMICS, Issue 1 2002Ali Anari The present paper examines the long-run impact of inflation on homeowner equity by investigating the relationship between house prices and the prices of nonhousing goods and services, rather than return series and inflation rates as in previous empirical studies on the inflation hedging ability of real estate. There are two reasons for this methodological departure from prior practice: (1) while the total return on housing cannot be accurately measured, the total return on housing is fully reflected in housing prices, and (2) given that using returns or differencing a time series leads to a loss of long-run information contained in the series, valuable long-run information can be captured by using prices. Also, unlike previous related studies, we exclude housing costs from goods and services prices to avoid potential bias in estimating how inflation affects housing prices. Monthly data series are collected for existing and for new house prices as well as the consumer price index excluding housing costs for the period 1968,2000. Based on both autoregressive distributed lag (ARDL) models and recursive regressions, the empirical results yield estimated Fisher coefficients that are consistently greater than one over the sample period. Thus, we infer that house prices are a stable inflation hedge in the long run. [source] Market Efficiency and Return Statistics: Evidence from Real Estate and Stock Markets Using a Present-Value ApproachREAL ESTATE ECONOMICS, Issue 2 2001Yuming Fu This paper develops a methodology to identify asset price response to news in the framework of the Campbell,Shiller log-linear present-value equation. We further show that a slow price adjustment in real estate markets not only induces a high serial autocorrelation in excess returns, but also dampens the return volatility and the correlation with excess returns in other asset markets. Using Hong Kong real estate and stock market data, we find that the quarterly real estate price assimilates only about half the effect of market news, whereas the quarterly stock price incorporates the news fully. Our analysis identifies a cumulative price adjustment that recovers lost information in real estate returns due to market inefficiency and thereby restores the real estate return volatility and the correlation between real estate and stock markets. [source] | ||||||||||||||||