An Empirical Analysis of Real Estate Investment Trusts in Asia: Structure, Performance and Strategic Investment Implications

[1]  James Webb,et al.  Portfolio Considerations in the Valuation of Real Estate , 1986 .

[2]  B. Kim THE IMPACT OF THE GLOBAL FINANCIAL CRISIS ON ASIA-PACIFIC REAL ESTATE MARKETS: EVIDENCE FROM KOREA, JAPAN, AUSTRALIA AND U.S. REITs , 2009 .

[3]  G. Newell,et al.  Assessing Risk for International Real Estate Investments , 1996 .

[4]  T. Sing,et al.  Real Estate Market Reaction to Public Listings and Acquisition News of Malaysian REITs , 2002 .

[5]  Michael J. Seiler,et al.  Diversification Issues in Real Estate Investment , 1999 .

[6]  S. Ganesan,et al.  Property Investment in Hong Kong , 1996 .

[7]  L. Soenen,et al.  U.S. REITs as an Asset Class in International Investment Portfolios , 1997 .

[8]  S. Ganesan,et al.  The Inflation-Hedging Characteristics of Real and Financial Assets in Hong Kong , 1998 .

[9]  A. Chatrath,et al.  REITs and Inflation: A Long-Run Perspective , 1998 .

[10]  G. Brown Property Investment and the Capital Markets , 1991 .

[11]  Kam C. Chan,et al.  Risk and Return on Real Estate: Evidence from Equity Reits , 1990 .

[12]  Raymond W. So,et al.  Further Evidence on the Integration of REIT, Bond, and Stock Returns , 2000 .

[13]  K. Chau,et al.  Past and Future Sources of Real Estate Returns in Hong Kong , 1997 .

[14]  G. Karolyi,et al.  International Real Estate Returns: A Multifactor, Multicountry Approach , 2003 .

[15]  D. Miles Property and inflation , 1996 .

[16]  D. Geltner Bias in Appraisal‐Based Returns , 1989 .

[17]  G. Newell,et al.  The Development and Performance of REITs in Hong Kong , 2010 .

[18]  Yongqiang Chu,et al.  Inflation Hedging Characteristics of Chinese Real Estate Market , 2004 .

[19]  Elizabeth Yobaccio,et al.  The Inflation-Hedging Properties of Risk Assets: The Case of REITs , 2009 .

[20]  S. Titman,et al.  Intra-Industry Momentum: The Case of Reits , 2001 .

[21]  James Webb,et al.  How Much in Real Estate? A Surprising Answer , 1987 .

[22]  G. Newell,et al.  The Significance and Performance of Real Estate Markets in India , 2007 .

[23]  REITs, real estate, and inflation: Lessons from the gold market , 1995 .

[24]  G. Newell,et al.  Assessing the Importance of Factors Influencing the Future Development of REITs in Malaysia , 2010 .

[25]  C. Sirmans,et al.  Changes in REIT Stock Prices, Trading Volume and Institutional Ownership Resulting from S&P REIT Index Changes , 2006 .

[26]  C. F. Sirmans,et al.  International Direct Real Estate Investment: A Review of the Literature , 2003 .

[27]  Jim Clayton,et al.  The Time-Varying Nature of the Link between REIT, Real Estate and Financial Asset Returns , 2001 .

[28]  Richard A. Cohn,et al.  Returns on Alternative Investment Media and Implications for Portfolio Construction , 1972 .

[29]  Norman G. Miller,et al.  Commercial Real Estate Analysis and Investments , 2000 .

[30]  Ong Seow Eng Structural and Vector Autoregressive Approaches to Modelling Real Estateand Property Stock Prices in Singapore , 1994 .

[31]  A. Ziobrowski,et al.  Higher Real Estate Risk and Mixed-Asset Portfolio Performance , 1997 .

[32]  An Examination of the Inflation Hedging Ability of Irish Real Estate , 1999 .

[33]  G. Newell,et al.  Adjusting the volatility of the Hong Kong property market , 1996 .

[34]  P. Embrechts,et al.  Risk Management: Correlation and Dependence in Risk Management: Properties and Pitfalls , 2002 .

[35]  C. Ward,et al.  Property portfolio allocation: A multi‐factor model , 1987 .

[36]  A. Chatrath,et al.  Apartment REITs and Apartment Real Estate , 2009 .

[37]  G. William Schwert,et al.  Asset returns and inflation , 1977 .

[38]  Hoon Cho,et al.  Unsmoothing Commercial Property Returns: A Revision to Fisher–Geltner–Webb's Unsmoothing Methodology , 2003 .

[39]  R. Edelstein,et al.  How Does Appraisal Smoothing Bias Real Estate Returns Measurement? , 2006 .

[40]  Sing Tien,et al.  The Role of Singapore REITs in a Downside Risk Asset Allocation Framework , 2003 .

[41]  Vinod Chandrashekaran Time-Series Properties and Diversification Benefits of REIT Returns , 1999 .

[42]  The historical performance of Singapore property stocks , 1997 .

[43]  Raymond Y. C. Tse,et al.  Public vs. Private Real Estate in Hong Kong Using Adaptive Expectations , 2001 .

[44]  G. Newell,et al.  The development and preliminary performance analysis of Islamic REITs in Malaysia , 2009 .

[45]  D. Geltner,et al.  Unsmoothing British valuation‐based returns without assuming an efficient market , 1994 .

[46]  James W. Hoag,et al.  Towards Indices of Real Estate Value and Return , 1980 .

[47]  P. Embrechts,et al.  Correlation and Dependency in Risk Management , 2002 .

[48]  Martin Hoesli,et al.  Swiss real estate as a hedge against inflation: new evidence using hedonic and autoregressive models , 1996 .

[49]  Stephen C. Vogt,et al.  REITs and Their Management: An Analysis of Organizational Structure, Performance, and Management Compensation , 1995 .

[50]  Raymond Y. C. Tse,et al.  Public versus Private Real Estate in Hong Kong , 2000 .

[51]  Richard M. Ennis,et al.  Pension Fund Real Estate Investment Under a Simple Equilibrium Pricing Model , 1991 .

[52]  The causal relationships between residential property prices and rentals in Hong Kong: 1982–1991 , 1995 .

[53]  Martin Hoesli,et al.  Property Investment: Principles and Practice of Portfolio Management , 2000 .

[54]  J. MacFarlane,et al.  Risk estimation and appraisal-smoothing in UK property returns , 1996 .

[55]  J. Peek,et al.  Comovement after Joining an Index: Spillovers of Nonfundamental Effects , 2006 .

[56]  David C. Ling,et al.  Economic Risk Factors and Commercial Real Estate Returns , 1997 .

[57]  Stephen A. Ross,et al.  Risk and return in real estate , 1991 .

[58]  Stephen E. Roulac Can Real Estate Returns Outperform Common Stocks? , 1976 .

[59]  An Analysis of Relative Return Behavior: Reits vs Stocks , 2003 .

[60]  George A. Matysiak,et al.  The Short-Term Inflation-Hedging Characteristics of U.K. Real Estate , 1997 .

[61]  Kevin C. H. Chiang On The Comovement of REIT Prices , 2010 .

[62]  Elaine Worzala,et al.  Investing in International Real Estate Stocks: A Review of the Literature , 2003 .

[63]  A. Pham The dynamics of returns and volatility in the emerging and developed Asian REIT markets , 2012 .

[64]  K. Liow The Dynamics of Return Volatilty and Systematic Risk in International Real Estate Security Markets , 2007 .

[65]  John D. Benjamin,et al.  The Historical Environment of Real Estate Returns , 2009 .

[66]  T. Sing,et al.  Interest Alignment and Insider Shareholdings in the Emerging Asian REIT Markets , 2011 .

[67]  S. McGreal,et al.  Institutional Benchmarks for International Real Estate Investment , 2008 .

[68]  John D. Benjamin,et al.  Returns and Risk on Real Estate and Other Investments: More Evidence , 2001 .

[69]  K. Liow Co‐Movements and Correlations Across Asian Securitized Real Estate and Stock Markets , 2012 .

[70]  D. Geltner Estimating Real Estate's Systematic Risk from Aggregate Level Appraisal‐Based Returns , 1989 .

[71]  K. Chau,et al.  Excess Returns in the Hong Kong Commercial Real Estate Market , 1997 .

[72]  Adrian Pagan,et al.  The econometrics of financial markets , 1996 .

[73]  Piet Eichholtz The Stability of the Covariances of International Property Share Returns , 1996 .

[74]  P. Phillips Testing for a Unit Root in Time Series Regression , 1988 .

[75]  S. Ross,et al.  Real estate , 1988, The Law of Solicitors’ Liabilities.

[76]  Stephen Lee,et al.  A Real Estate Portfolio Strategy for Europe: A Review of the Options , 2009 .

[77]  M. Miles,et al.  Diversification Categories in Investment Real Estate , 1986 .

[78]  T. Sing,et al.  Diversification as a Value-Adding Strategy for Asian REITs: A Myth or Reality? , 2011 .

[79]  H. R. Fogler 20% in Real Estate: Can Theory Justify it? , 1984 .

[80]  G. Newell,et al.  The level of direct property in Hong Kong property company performance , 2004 .

[81]  S. Stevenson An Examination of Volatility Spillovers in REIT Returns , 2002 .

[82]  S. Ong,et al.  Seasoned Equity Issuance by Japan and Singapore REITs , 2011 .

[83]  R. Maurer,et al.  International Asset Allocation with Real Estate Securities in a Shortfall-Risk Framework : The Viewpoint of German and US Investors , 2001 .

[84]  J. Fisher,et al.  Real Estate Finance and Investments , 1996 .

[85]  Multivariate Modeling of Daily REIT Volatility , 2006, 1103.5660.

[86]  Time Variation in Diversification Benefits of Commodity, REITs, and TIPS , 2010 .

[87]  G. Newell,et al.  Linkages between direct and indirect property performance in Hong Kong , 1996 .

[88]  Michael Ball,et al.  The Economics of Commercial Property Markets , 1998 .

[89]  James Webb,et al.  The Effect of International Real Estate Securities on Portfolio Diversification , 2009 .

[90]  P. Wendt,et al.  INVESTMENT PERFORMANCE: COMMON STOCKS VERSUS APARTMENT HOUSES† , 1965 .

[91]  Tien Foo,et al.  A Comparative Analysis of Inflation-Hedging Characteristics of Property and Non-Property Assets in Singapore , 2000 .

[92]  Ong Seow Eng Singapore real estate and property stocks — a co‐integration test , 1995 .

[93]  I. Tsai,et al.  The convergent behavior in REIT markets , 2012 .

[94]  R. Brooks,et al.  The Pricing and Underwriting Costs of Japanese REIT IPOs , 2008 .

[95]  Sheridan Titman,et al.  The Cross-Section of Expected REIT Returns , 2003 .

[96]  S. Giliberto A Note on the use of Appraisal Data in Indexes of Performance Measurement , 1988 .

[97]  L. Peng,et al.  Does the Diversification Potential of Securitized Real Estate Vary Over Time and Should Investors Care? , 2013 .

[98]  Raymond Y. C. Tse,et al.  Regional Comparison of Office Prices and Rentals in China: Evidence from Shanghai, Guangzhou and Shenzhen , 2000 .

[99]  J. Kallberg,et al.  The Role of Real Estate in the Portfolio Allocation Process , 1996 .

[100]  Cointegration of Real Estate Stocks and Reits with Common Stocks, Bonds and Consumer Price Inflation - an International Comparison , 2006 .

[101]  J. MacKinnon,et al.  Estimation and inference in econometrics , 1994 .

[102]  Donald B. Keim,et al.  What Does the Stock Market Tell Us About Real Estate Returns , 1992 .

[103]  David C. Ling,et al.  The Predictability of Equity REIT Returns: Time Variation and Economic Significance , 2000 .

[104]  Conditional variance tests of integration between direct and indirect real estate markets , 2003 .

[105]  James Webb,et al.  Statistical properties of returns: Financial assets versus commercial real estate , 1994 .

[106]  Chiang Yat‐Hung,et al.  Time-varying performance of four Asia-Pacific REITs , 2008 .

[107]  Laurence B. Siegel,et al.  Real Estate Returns: A Comparison with Other Investments , 1984 .

[108]  Raymond Y. C. Tse,et al.  Office Property Returns in Shanghai, Guangzhou, and Shenzhen , 1999 .

[109]  K. Liow,et al.  The Risk and Return Profile of Asian Real Estate Stocks , 2006 .

[110]  Martin Hoesli,et al.  The Long-Run Dynamics between Direct and Securitized Real Estate , 2011 .

[111]  Bryan D. MacGregor,et al.  The allocation to property in the multi‐asset portfolio: The evidence and theory reconsidered , 1992 .

[112]  G. Newell,et al.  Performance of Property Companies in Hong Kong – A Style Analysis Approach , 2003 .

[113]  S. Stevenson,et al.  The Linkages Between Real Estate Securities in the Asia-Pacific , 2001 .

[114]  S. Giliberto Equity Real Estate Investment Trusts and Real Estate Returns , 2009 .

[115]  C. Sirmans,et al.  The historical perspective of real estate returns , 1987 .

[116]  G. Newell,et al.  Factors Influencing the Performance of Hong Kong Real Estate Companies , 2007 .

[117]  David Geltner,et al.  Temporal Aggregation in Real Estate Return Indices , 1993 .

[118]  S. Ong,et al.  Securitising China real estate: a tale of two China‐centric REITs , 2008 .

[119]  K. Chau Political Uncertainty and the Real Estate Risk Premiums in Hong Kong , 1997 .

[120]  Andy Naranjo,et al.  The Integration of Commercial Real Estate Markets and Stock Markets , 1999 .

[121]  John Okunev,et al.  Spectral Analysis of Real Estate and Financial Assets Markets , 1999 .

[122]  Atsuyuki Naka,et al.  Diversification Benefits of Japanese Real Estate Over the Last Four Decades , 2006 .

[123]  C. F. Sirmans,et al.  Yields and Risk Measures for Real Estate, 1966–77 , 1980 .

[124]  C. L. Moigne,et al.  The Inflation-Hedging Ability of Canadian Direct Real Estate Return and its Components, Income, and Appreciation , 2008 .

[125]  A. Pham International Articles: The Significance and Performance of South Korean Reits in a Mixed-Asset Portfolio , 2011 .

[126]  Martin Hoesli,et al.  International Evidence on Real Estate as a Portfolio Diversifier , 2003 .

[127]  J. Mei,et al.  The Predictability of International Real Estate Markets, Exchange Rate Risks and Diversification Consequences , 1996 .

[128]  K. Liow,et al.  Correlation and Volatility Dynamics in International Real Estate Securities Markets , 2009 .

[129]  Donald J. Mullineaux,et al.  Are REITs inflation hedges? , 1990 .

[130]  The Relative Importance of Stock, Bond and Real Estate Factors in Explaining REIT Returns , 2002 .

[131]  D. Geltner Smoothing in appraisal-based returns , 1991 .

[132]  Craig H. Wisen,et al.  REIT Mimicking Portfolio Analysis , 2006 .

[133]  Ming‐Long Lee,et al.  Long-run inflation-hedging properties of United State equity real estate investment trusts (REITs): Before and after the structural break in the 1990s , 2012 .

[134]  Yongheng Deng,et al.  Correlation and Volatility Dynamics in REIT Returns: Performance and Portfolio Considerations , 2010, The Journal of Portfolio Management.

[135]  Sanjay Ramchander,et al.  The Asymmetric Response of Equity REIT Returns to Inflation , 2007 .

[136]  Martin Hoesli,et al.  An investigation of the change in real estate investment trust betas , 1993 .

[137]  Youguo Liang,et al.  The Historical Performance of Real Estate Investment Trusts , 1995 .

[138]  G. Newell The inflation‐hedging characteristics of Australian commercial property: 1984‐1995 , 1996 .

[139]  G. Newell,et al.  The significance and performance of property securities markets in the Asian IFCs , 2009 .

[140]  Assessing the future of property in the multi‐asset portfolio: The case of UK pension funds , 1996 .

[141]  Ting Kien Hwa,et al.  Linkages Between Malaysian Housing Prices, Property Companies and Stocks , 2011 .

[142]  William N. Goetzmann,et al.  Two Decades of Commercial Property Returns: A Repeated-Measures Regression-Based Version of the NCREIF Index , 2000 .

[143]  Glenn R. Mueller,et al.  The Impact of Inflation and Vacancy on Real Estate Returns , 2009 .

[144]  R. Chou,et al.  ARCH modeling in finance: A review of the theory and empirical evidence , 1992 .

[145]  Gregory H. MacKinnon,et al.  Real Estate for the Long Term: The Effect of Return Predictability on Long-Horizon Allocations , 2009 .

[146]  Bradford D. Jordan,et al.  Real Estate and the Arbitrage Pricing Theory: Macrovariables vs. Derived Factors , 1997 .

[147]  A. Pham The Performance of Thai-Reits in A Mixed-Asset Portfolio , 2011 .

[148]  G. Newell,et al.  The role of international property in investment portfolios , 1995 .

[149]  T. Nguyen THE SIGNIFICANCE AND PERFORMANCE OF LISTED PROPERTY COMPANIES IN VIETNAM , 2010 .

[150]  James D. Hamilton Time Series Analysis , 1994 .

[151]  K Addae-Dapaah,et al.  International diversity of property stock - a Singaporean investor's viewpoint , 1996 .

[152]  M. Andrew,et al.  Public and Private Real Estate in a Mixed-Asset Portfolio , 2003 .

[153]  P. M. Brown United Kingdom residential price expectations and inflation , 1990 .

[154]  Ming‐Long Lee,et al.  International Articles: Market Signals Associated with Taiwan Reit Ipos: Reactions of Non-Reit Real Estate Stocks , 2011 .

[155]  Xiaorong Zhou,et al.  The Inflation Hedging Ability of Real Estate in China , 2010 .

[156]  B. Case,et al.  Dynamic Correlations Among Asset Classes: REIT and Stock Returns , 2011 .

[157]  International Real Estate Diversification: Empirical Tests using Hedged Indices , 2000 .

[158]  James Webb,et al.  DIVERSIFICATION GAINS FROM INCLUDING REAL ESTATE IN MIXED-ASSET PORTFOLIOS* , 1988 .

[159]  M. Miles,et al.  Real Estate Returns and Inflation , 1987 .

[160]  James Webb,et al.  Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison , 2009 .

[161]  Deqing Li,et al.  REIT returns: between the Pacific and the Atlantic , 2007 .

[162]  G. Newell,et al.  The Significance and Performance of Japan REITs in a Mixed-Asset Portfolio , 2012 .

[163]  C. Ward,et al.  Property returns and inflation , 1988 .

[164]  W. Fang,et al.  Is Real Estate Really an Inflation Hedge? Evidence from Taiwan* , 2008 .

[165]  L. Hiang The Abnormal Return Performance of Singapore Property Companies , 2001 .

[166]  S. Irwin,et al.  Real estate, futures, and gold as portfolio assets , 1987 .

[167]  Hans Nordby,et al.  Benefits of Global Diversification on a Real Estate Portfolio , 2007 .

[168]  A. Adair,et al.  Do Asian real estate companies add value to investment portfolio , 2009 .

[169]  David K. Guilkey,et al.  Transactions-Driven Commercial Real Estate Returns: The Panacea to Asset Allocation Models? , 1992 .

[170]  G. Sirmans,et al.  Diversification Benefits from Foreign Real Estate Investments , 2002 .

[171]  Kee-Sang Kim,et al.  Performance Evaluation of Finite-Life Real Estate Investment Trusts , 1989 .

[172]  K. H. Ting,et al.  The role of Malaysian securitised real estate in a mixed‐asset portfolio , 2009 .

[173]  James Webb,et al.  The Inflation-Hedging Effectiveness of Real Estate , 1989 .

[174]  Adrian T. L. Chua The Role of International Real Estate in Global Mixed-Asset Investment Portfolios , 1999 .

[175]  K. Liow The dynamics of the Singapore commercial property market , 2000 .

[176]  Joseph Gyourko,et al.  Owner-occupied homes, income-producing properties, and REITs as inflation hedges: Empirical findings , 1988 .

[177]  Edward J. Schuck,et al.  Optimal Portfolio Allocations to Real Estate , 1996 .

[178]  C. B. Barry,et al.  Diversification Potential from Real Estate Companies in Emerging Capital Markets , 1996 .

[179]  Raymond W. So,et al.  REIT Returns and Inflation: Perverse or Reverse Causality Effects? , 2002 .

[180]  D. Geltner,et al.  Price Discovery in American and British Property Markets , 1995 .

[181]  Determinants of the Rate of Return for Nonresidential Real Estate: Inflation Expectations and Market Adjustment Lags , 1991 .

[182]  G. Newell,et al.  Real Estate Performance Benchmarks in New Zealand and South Africa , 1998 .

[183]  James Webb,et al.  Retail Stocks, Retail REITs, and Retail Real Estate , 1994 .