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1
Wang, Yunqing. "Essays on Real Estate Investment Trusts." ScholarWorks@UNO, 2007. http://scholarworks.uno.edu/td/589.
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The first essay of this dissertation investigates the relationship between downside risk and returns of real estate investment trusts (REITs) and assesses the performance of real estate mutual funds (REMFs). We measure the asymmetric risk through downside and upside betas and through the measures incorporated higher moments such as coskewness and Leland's beta. We do not find significant contemporary relationship between the asymmetric risk and returns of REITs. There are only a small portion of REITs reacting to up and down market conditions differently. We find weak evidence that this asymmetric movement of REITs to market may be due to small and value components embedded in REITs. We evaluate the performance of real estate mutual funds (REMFs) from the asymmetric risk perception. According to our results, most of REMFs do not outperform the market. The downside risk helps to explain some of the abnormal returns associated with REMFs. However, the evaluation may be sensitive to the choices of the model and the market index being used. The second essay examines the liquidity of Asian REITs. We use various measures to assess the liquidity of JREITs and SREITs. The overall evidence indicates that the liquidity of JREITs is greater than that of SREITs. Comparing to non-REIT stocks, JREITs are less liquid than Japanese common stocks while there is no significant difference in liquidity between SREITs and Singaporean common stocks. There is also strong evidence that US REITs have smaller spreads and are traded more often than both JREITs and SREITs. We also find that the primary determinants of JREIT spreads are turnover and return volatility. The secondary factors that affect the spread of JREITs are life and property holdings. The dominant factors affecting SREITs' spreads are price, return volatility, and life. The significance of life suggests that there is a learning effect existed in both JREIT and SREIT markets in 2005.
2
Zhu, Hui. "The diversification benefits of Asian REITS." View electronic thesis, 2008. http://dl.uncw.edu/etd/2008-3/r1/zhuh/huizhu.pdf.
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Prima, Annisa Dian. "Corporate governance ans Asian real estate investment trusts." Thesis, University of Reading, 2014. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.632829.
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The Asian REIT industry has evolved significantly since its introduction in Japan in 2001. Asian REITs have provided investors with various benefits including high dividend yields, stable returns, portfolio diversification, improved liquidity, higher transparency and greater access to pan-Asian and global real estate markets. However, their benefits and future development may be clouded by potential agency problems that may arise from their externally managed organisational structure, business-relationships with sponsors and regulatory provisions. This thesis aims to investigate whether Asian REITs suffer from agency problems and examine the role of corporate governance in mitigating these problems. The impacts of corporate governance on Asian REIT performance and valuation are also analysed in this thesis. The analyses of this thesis are based on the four largest REIT markets in Asia, namely Japan, Singapore, Hong Kong and Malaysia. The results show that REITs with stronger corporate governance and investor protection are associated with higher firm valuation and better perfonnance. This thesis also provides evidence that some Asian REITs suffer from overinvestment. Nevertheless, the degree of over investment is reduced when REITs have strong corporate governance mechanisms in place. The findings further reveal that business-relationships with sponsors do not lead to expropriation of minority unit holders' wealth when investor protection is weak. Moreover, an increase in sponsor ownership does not incentivise sponsors to entrench themselves. In fact, sponsors are able to provide REITs with a wide range of support when they have equity stakes in the REIT. Overall, this thesis highlights the significance of corporate governance in mitigating the agency problems and improving Asian REIT performance and valuation.
4
Luo, Yun, and 骆韵. "The impact of real estate market transparency on the linkages between direct and indirect real estate." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2013. http://hdl.handle.net/10722/193467.
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Global investors often invest in publicly traded indirect real estate (IRE) such as Real Estate Investment Trust (REIT) and listed property companies rather than physical real estate asset in order to get exposure in foreign real estate markets for a number of reasons that mainly originated from the high transaction cost in the direct real estate (DRE) market. However, in reality IRE is not a perfect substitute of DRE and that the substitutability between IRE and DRE varies across markets. Very little is known about the factors that contributed to the variation. One possible contributing factor is the variation in the degree of real estate market transparency across markets, which is seldom examined in the previous studies. This thesis provides empirical evidence on the impact of real estate market transparency on the linkages between IRE and DRE.
This study examines two aspects of IRE-DRE linkages, namely, return (first moment) linkages and volatility (second moment) linkages. This thesis uses style analysis to measure return linkages and variance decomposition to measure volatility linkages. After that, the correlations between IRE-DRE linkages and Jones Lang LaSalle (JLL)’s global real estate market transparency index will be examined.
The empirical results show that the JLL global real estate market transparency index does have a positive impact on the linkages between IRE and DRE, especially on the volatility linkages. In addition, regulatory and legal transparency sub-index as well as real estate transaction process transparency sub-index have the strongest impact on both return and volatility IRE-DRE linkages.
A highly-developed legal system as well as consistent regulatory enforcement (as measured by the degree of fairness treatment towards both domestic and foreign investors) ensures that real estate investors’ rights are well protected and thus the values of the underlying real estate asset are reflected in the IRE, which strengthens the IRE-DRE linkages. In addition, having a well-functioning regulatory and legal framework also means that DRE market transaction information is reliable which can be used for more accurate valuations. This assists investors in valuing the IRE based on their audited financial statements and thus strengthens the IRE-DRE linkages.
Real estate transaction process transparency refers to market transparency in both pre-sale and spot real estate market. The presale market is essentially a forward market. Price information in the spot market can assist investors in assessing the future prospect of IRE and thus facilitates the price discovery process between the IRE and DRE. High transparency in the presale market therefore lead to stronger IRE-DRE linkages.
The findings of this study provide several implications for global investors and local policy makers. Though emerging markets, which have low market transparency, are playing a more and more significant role in international real estate investment portfolios, global investors should understand the limitation of investing IRE as a means to gain exposure in DRE since the IRE-DRE linkages are usually weak in emergent markets. On the other hand, policy makers should spend more efforts to increase real estate market transparency if they wish to attract investments from global investors. In particular, policy makers should aim at improving the regulatory and legal framework as well as enhancing the transaction process transparency.published_or_final_version
Real Estate and Construction
Master
Master of Philosophy
5
Zhao, Yuan Y. "Real estate mutual funds." Thesis, University of Aberdeen, 2015. http://digitool.abdn.ac.uk:80/webclient/DeliveryManager?pid=227652.
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Durr, David W. "Three Essays on Real Estate Investment Trusts and Financial Markets." Thesis, University of North Texas, 1995. https://digital.library.unt.edu/ark:/67531/metadc278203/.
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This dissertation is structured as three essays on real estate investment trusts and financial markets. It addresses the financial performance and systematic risk of different REIT types, the information content of REIT bankruptcies, and the effect of recent tax law changes on the REIT industry.
7
Tse, David. "Conditional Systematic Risk of Equity Real Estate Investment Trusts." Scholarship @ Claremont, 2015. http://scholarship.claremont.edu/cmc_theses/1128.
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Bruin, Thomas M. "Real estate investment trusts and market sentiment in the United States & Europe." View electronic thesis (PDF), 2009. http://dl.uncw.edu/etd/2009-2/rp/bruint/thomasbruin.pdf.
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9
Joo, Jeong Hwan. "Effects of real estate cycles on valuation of U.S. real estate investment trusts (REITs)." Thesis, University of British Columbia, 2013. http://hdl.handle.net/2429/44672.
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This study investigates the relation between accounting depreciation bias and equity valuation in a unique industry setting, Real Estate Investment Trusts (REITs). REITs report funds from operations (FFO), an industry standardized pro forma performance measure that is computed by excluding the depreciation expense of real properties from GAAP net income. Researchers have examined short-period samples and found inconclusive results on the relative ability of FFO and GAAP net income to explain the market value of equity. This dissertation attempts to explain their results by finding that depreciation expense, the largest reconciling item between FFO and net income, has different biases over the phases of real estate business cycles.
This study uses modeling techniques to develop an industry-specific valuation model for REITs. In this model, the difference between the valuation coefficients on FFO and depreciation expense captures accounting depreciation bias and varies over the phases of real estate cycles. This model presents a theoretical link between accounting depreciation bias and the relative ability of FFO versus net income to explain the market value of equity.
Using the REIT valuation model, this study empirically examines the impact of real estate cycles on accounting depreciation bias and on the relative ability of FFO and net income to explain the market value of equity. This study finds that FFO explains stock prices better than net income does in a market boom and that there is no significant difference in explanatory power between FFO versus net income in a market bust. Further results indicate that the valuation coefficients on FFO and depreciation expense have opposite sensitivities to a state variable that summarizes information on the real estate cycle phase during a year. These results partially reconcile the mixed results of prior studies across different time periods.
10
Steiner, Eva Maria. "Essays on the capital structure of real estate investment trusts." Thesis, University of Cambridge, 2014. https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.707929.
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Han, Jun 1959. "The risk and return characteristics of real estate investment trusts." Thesis, Massachusetts Institute of Technology, 1991. http://hdl.handle.net/1721.1/13157.
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12
Pierce, Michael M. (Michael Murray). "Japanese Real Estate Investment Trusts : champagne bubbles or price bubble." Thesis, Massachusetts Institute of Technology, 2005. http://hdl.handle.net/1721.1/33179.
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Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Urban Studies and Planning, 2005.This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections.
Includes bibliographical references (leaves 79-81).
In September 2001 the Japanese real estate industry marked a new era of real estate investments by issuing on the Tokyo Stock Exchange the first Japan Real Estate Investment Trust (JREIT). The initial JREIT performance was not so impressive. Now, as the Japanese economy continues to recover and more investors are looking to real estate securitization as a means of limiting balance sheet liability and increase real estate investment liquidity, the JREIT is becoming a popular investment vehicle. On the surface the public securitization of real estate seems a great opportunity for the average investor to participate in real estate investment while keeping liquidity. What is the real story behind the JREIT: Are the assets in the JREIT overpriced? Is the race to issue new JREITs forming a price bubble in the Tokyo central business district? Is the JREIT a safe investment, or it just a way for real estate firms to pass off the associated risks of overpriced real estate? This paper will consider the status of the Japanese economy, the real estate industry, and the JREIT market from its beginnings to current levels.
by Michael M. Pierce.
S.M.
13
Speckhahn, Wolfgang. "Real estate investment trusts (REITS) in Europe - Europeanizing tax regimes." Thesis, Anglia Ruskin University, 2015. https://arro.anglia.ac.uk/id/eprint/579909/1/Wolfgang%20Speckhahn%20Final%20Thesis%20combined.pdf.
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The research investigated the impact of EU law and policies on direct taxation in
REITs, and movement towards a harmonised EU-REIT with common direct
taxation of REITs profits. It represents the first comparative study of EU member
state REIT regimes to identify an emerging common understanding informed by
European jurisprudence and Europeanization policy and theory.
After identifying the fundamental elements of a REIT (following the original US
model) within a context of Europeanization theory, the research examined EU
policy mechanisms (such as goodness of fit and adaptational soft pressure) and
the impact of relevant case law from the European Court of Justice. It then
presented in-depth case studies of three member states: France (example of a
well-established REIT regime), Bulgaria (a new accession state) and Spain (a
recent REIT regime).
The research found an emerging common understanding between member states’
REIT regimes, offering the prospect of a European harmonised REIT form
distinguishable from the US model. It also found negative approaches to direct
taxation in cross-border situations, and member state concerns about loss of
sovereignty and tax base, which should be recognised within any harmonised
direct tax regime.
The research can claim to be the first comparative analysis of MS REIT regimes to
address a common understanding, and thus is relevant to practitioners and
academics in the fields of European law and international taxation. It has potential
to contribute towards an improved common direct taxation approach and the
harmonisation of European REITs within the wider processes of Europeanization.
The research was limited to REIT regimes in EU member states, and further
research could analyse relevant member state tax regimes outside the 'common
understanding' REIT model, and further explores issues of loss of sovereignty and
tax base in member states.
14
Speckhahn, Wolfgang. "Real estate investment trusts (REITS) in Europe : Europeanizing tax regimes." Thesis, Anglia Ruskin University, 2015. http://arro.anglia.ac.uk/579909/.
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The research investigated the impact of EU law and policies on direct taxation in REITs, and movement towards a harmonised EU-REIT with common direct taxation of REITs profits. It represents the first comparative study of EU member state REIT regimes to identify an emerging common understanding informed by European jurisprudence and Europeanization policy and theory. After identifying the fundamental elements of a REIT (following the original US model) within a context of Europeanization theory, the research examined EU policy mechanisms (such as goodness of fit and adaptational soft pressure) and the impact of relevant case law from the European Court of Justice. It then presented in-depth case studies of three member states: France (example of a well-established REIT regime), Bulgaria (a new accession state) and Spain (a recent REIT regime). The research found an emerging common understanding between member states’ REIT regimes, offering the prospect of a European harmonised REIT form distinguishable from the US model. It also found negative approaches to direct taxation in cross-border situations, and member state concerns about loss of sovereignty and tax base, which should be recognised within any harmonised direct tax regime. The research can claim to be the first comparative analysis of MS REIT regimes to address a common understanding, and thus is relevant to practitioners and academics in the fields of European law and international taxation. It has potential to contribute towards an improved common direct taxation approach and the harmonisation of European REITs within the wider processes of Europeanization. The research was limited to REIT regimes in EU member states, and further research could analyse relevant member state tax regimes outside the 'common understanding' REIT model, and further explores issues of loss of sovereignty and tax base in member states.
15
Tan, Yen Keng. "Strategic investment issues for listed property trusts." Thesis, View thesis, 2004. http://handle.uws.edu.au:8081/1959.7/623.
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In the context of Listed Property Trusts (LPTs), three strategic investment issues have received considerable prominence in recent years. This thesis focuses on both the quantitative and qualitative aspects of these three strategic investment issues. 1/ the role of international property in LPTs 2/ the effect of stapled-securities management structure 3/ the performance of property securities funds. The three investment issues are assessed in some detail. The findings of the research suggest that the addition of international LPTs in the Australian LPT portfolio has resulted in significant diversification gains. The findings of the mixed-asset portfolio analysis suggest adding international LPTs to the Australian mixed-asset portfolio.Portfolio performance improved considerably. Mixed-asset portfolio performance is further enhanced when direct property is included. It is evident from the study that the property research discussed has led to the development of new LPT methodologies and a fuller understanding of the investment dynamics of the LPT sector in Australia.
16
Tan, Yen Keng. "Strategic investment issues for listed property trusts /." View thesis, 2004. http://library.uws.edu.au/adt-NUWS/public/adt-NUWS20050223.131622/index.html.
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Yu, Siyuan, and 俞思渊. "Real estate investment trusts (REITs) in China: with Hong Kong REITs as an approach." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2007. http://hub.hku.hk/bib/B4516728X.
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Yong, Jaime L. P. "Economic linkages between Australian REITs and the commerical real estate market." Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2013. https://ro.ecu.edu.au/theses/577.
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Commercial property investments have been favoured by investors because of the portfolio diversification benefits and the ability for property investments to hedge against inflation. Australian Real Estate Investment Trusts (A-REITs) are market traded forms of property investments but do not suffer from the relative illiquidity, large investment requirements and transaction costs inherent in the ownership of direct property assets. In order for A-REITs to be effective substitutes for property investments, they should exhibit similar characteristics and respond to market forces in the same way as real estate. However, there are some differences which may mask the ability of A-REITs to represent property assets. Because they are market traded, many believe that A-REITs are more like stocks and less like real estate. In addition, the different pricing mechanisms of the private and public property markets increase the divide in the suitability of A-REITs as property substitutes. Within the A-REIT sector, the past decade has seen the emergence of two distinct trust structures: the traditional (externally-managed) type and stapled (internally-managed) trust.
This thesis aims to address the linkages between the private and public property markets, to examine how each are related over time to other financial assets namely; stocks and bonds, and the ability of both to be effective hedges against inflation. Issues associated with a smoothing bias when dealing with appraisal-based property market data are also addressed. The grouping for traditional and stapled A-REITs into separate indices instead of merely observing an overall A-REIT index enables the study to capture different relationships with related markets and economic variables.
Cointegration tests and Vector Error Correction Models are estimated to establish the long-run relationships of property and A-REIT prices and how returns adjust in the short-run. The main empirical results from this study reveal that stapled AREITs are consistent representatives of commercial real estate, and provide an efficient hedge against inflation. Traditional and stapled A-REITs display different linkages with the stock and bond markets in the long and short-term. The implications of the thesis findings are that both A-REITs types should be considered separately instead of relying on a general index comprised of the two. This will affect the decisions of portfolio managers and investors looking to substitute property with A-REITs in their portfolios, as well as property appraisers who look to information transmitted from the stock market when making valuations.
19
Breetzke, Michael. "The taxation of Real Estate Investment Trusts (REIT) in South Africa." Thesis, Nelson Mandela Metropolitan University, 2014. http://hdl.handle.net/10948/d1020001.
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Real Estate Investment Trusts (REIT’s) provide certain benefits for investors as opposed to them directly investing in property. Many countries worldwide have already established tax systems for REIT’s which give natural persons and companies the benefit of not outlaying substantial capital, and provide certain tax dispensations to them. The concept of a REIT is new to South Africa. The vehicles that have been used by investors in the past to invest indirectly in property have been Property Unit Trusts (PUTs) and Property Loan Stock Companies (PLS). These different types of entities have had different taxation rules applied to them, as they differed in legal entity, i.e. a trust versus a company. The different types of entity were historically a deterrent to foreign investors who preferred to invest in countries that had the REIT structure and certain tax dispensations. The National Treasury and the South African Revenue Service (SARS) decided to collaborate in this matter so as to encourage foreign property investment, and launched with effect from 1 April 2013, a new REIT tax dispensation for investors in property portfolios. The REIT created a unified regime in South Africa. All portfolios wanting to call themselves REITs had to qualify under certain requirements, and then they would be eligible for the new section 25BB tax dispensation. The South African REIT market is relatively new when compared to the Australian REIT market, which is the second largest in the world. The Australian REIT market has been around for approximately forty three years more than the South African REIT market. The Australian REIT regime is analysed in terms of how REITs are taxed in that country. The final chapter provides a comparison between the South African and Australian REIT regimes. The major differences are identified as to how each country taxes the REITs and the respective shareholders, and from these a few proposals are made which could improve the South African REIT regime in order for it to stand up to worldwide scrutiny.
20
Chen, Yu, and 陈语. "The policies and financing behavior of Chinese real estate developers: analyzing "Zhonghai.Greentown" real estateinvestment trust fund project." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2012. http://hub.hku.hk/bib/B50254686.
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Tan, Yen Keng, University of Western Sydney, College of Law and Business, and of Construction Property and Planning School. "Strategic investment issues for listed property trusts." THESIS_CLAB_CPP_Tan_Y.xml, 2004. http://handle.uws.edu.au:8081/1959.7/623.
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In the context of Listed Property Trusts (LPTs), three strategic investment issues have received considerable prominence in recent years. This thesis focuses on both the quantitative and qualitative aspects of these three strategic investment issues. 1/ the role of international property in LPTs 2/ the effect of stapled-securities management structure 3/ the performance of property securities funds. The three investment issues are assessed in some detail. The findings of the research suggest that the addition of international LPTs in the Australian LPT portfolio has resulted in significant diversification gains. The findings of the mixed-asset portfolio analysis suggest adding international LPTs to the Australian mixed-asset portfolio.Portfolio performance improved considerably. Mixed-asset portfolio performance is further enhanced when direct property is included. It is evident from the study that the property research discussed has led to the development of new LPT methodologies and a fuller understanding of the investment dynamics of the LPT sector in Australia.Doctor of Philosophy (PhD)
22
Yildirim, Burak. "The Capital Structure Of Turkish Real Estate Investment Trusts A Thesis." Master's thesis, METU, 2008. http://etd.lib.metu.edu.tr/upload/12610104/index.pdf.
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To the best of my knowledge, there has not been any academic study about capital
structure of Turkish REITs so far. This study attempts to fulfill this gap in the
literature by analyzing the capital structure choices of Turkish REITs which are
listed in Istanbul Stock Exchange (ISE) over the period of 1998 - 2007. The key
contribution of this study is to understand whether the firm specific, institutional and
country specific factors that affect the capital structures of all institutional firms
including REITs in developed and developing countries are also applicable to the
Turkish REITs sector. The data analysis demonstrates that Turkish REITs employ
little long term debt in their capital structure and there exists strong short term debt
dominance in the sector. Employing Tobit regression and panel data models, it is
concluded that capital structure determinants that are significant in developed and
developing countries are also significant in Turkish REITs’
debt financing choices. However, we observe inconsistency in the sign and significance of some factors which give a way to understand the different institutional and country specific factors of Turkish real estate market and Turkish REITs.
23
Chen, Yong. "Real Estate Investment Trusts for China : market perspective and framework design." Thesis, University of Cambridge, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.597552.
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The purpose of this thesis is to investigate market perceptions of REITs in China. It adopts a questionnaire survey approach explicitly targeting all key stakeholders of the projected REIT regime to investigate their perceptions of market environment and key factors of REITs. Global REITs development, China’s legislation regarding property rights and investment vehicles, and REIT implications have been reviewed and investigated in this study. The review of global REITs development identifies key factors of REIT framework in different REIT regimes, which make reference to REITs for China. Legislation review examines current legal system for property rights and protection, and investigates legal provisions for companies, business trusts and securities investment funds, and legislations concerning investment especially listing and bankruptcy provisions. REIT implication review investigates impacts REITs could bring onto market demand and supply sides and the market as a whole. These review and investigations yield in-depth understandings, reveal potential legal obstacles, and provide incentives for the projected REIT regime in China. Market perceptions of key stakeholders will largely shape the framework of the REIT regime. A pilot survey has been conducted to identify key stakeholders and their perceptions of REITs. The results of the pilot survey were used for design of questionnaires which target all five interest parties of the REIT regime. Statistical analysis applies to the results of questionnaire survey to investigate market perceptions of general market environment and key factors of the REIT framework. Outstanding issues with reference to global REITs experience and China’s unique legal and market environment were further investigated before a REIT framework was proposed.
24
Burch, R. King (Ray King). "Hotels and real estate investment trusts : are the conflicts worth it?" Thesis, Massachusetts Institute of Technology, 1996. http://hdl.handle.net/1721.1/10609.
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Thesis (M.S.)--Massachusetts Institute of Technology, Dept. of Urban Studies and Planning, 1996.Includes bibliographical references (leaves 129-131).
by R. King Burch and R. Steven Taylor.
M.S.
25
Strange, William B. (William Bryan) 1948, and Duo 1972 Tang. "Firm level factors that affect returns to real estate investment trusts." Thesis, Massachusetts Institute of Technology, 2000. http://hdl.handle.net/1721.1/32195.
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Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Urban Studies and Planning, 2000.Includes bibliographical references (leaves 72-73).
This thesis examines the historical financial data for publicly traded securities issued by Real Estate Investment Trusts (REITS). The inquiry isolates certain quantifiable firm specific financial data and organizes that data into pooled, time-series cross-sections. Annual returns to capital are determined for certain equity REITS from 1990 to 1999 and are used as the dependent variable in a statistical regression analysis. The analysis includes independent variables drawn from a database and includes variables to adjust results for the impact of macroeconomic factors. In addition, indexes for the broader markets are identified and included in the regressions to adjust for the impact of trends in the general market. Following adjustments for macroeconomic factors and general market trends the regression results identify various firm specific variables that display a statistically significant relationship to relative returns to capital in REIT securities over time. Negative impacts on returns are observed for increases in firm size and for certain debt features such as variable rate debt, unsecured debt, and total debt. Positive impacts on returns are associated with higher levels of asset growth as well as relatively higher levels of secured debt and preferred stock. The expected positive correlation of returns with increases in broader stock market indexes and negative correlation with increasing short-term interest rates is not displayed. For the period from 1993 to 1999, the data indicate an inverse correlation of REIT returns to the stock market as represented by the S&P 500 index and a direct relation with short-term interest rates. Interpretations of the results are provided in a form that relates the firm level determinates of returns to capital with the history of REITS and their organizational and tax characteristics. Alternatives for further inquiry are identified and implications for investors and REIT managers are discussed.
by William B. Strange, III and Duo Tang.
S.M.
26
Lee, Haegyu, and Wonho Seo. "Analysis of Korean real estate investment trusts and share price determinants." Thesis, Massachusetts Institute of Technology, 2007. http://hdl.handle.net/1721.1/42030.
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Thesis (S.M. in Real Estate Development)--Massachusetts Institute of Technology, Dept. of Architecture, 2007.This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections.
Includes bibliographical references (leaf 53).
Korean REITs started as CR-REITs, vehicles with specific objectives to relieve real estate liabilities off the balance sheets of distressed companies and liquidize them back into the real estate market. CR-REITs were finite-lived, closed-end, passively managed vehicles with public offerings heavily weighed to institutional investors. Not only was REITs a new investment vehicle but CR-REITs and its AMC were also brand new companies with no proven track records. A finite-lived REIT has two sources of income, the first being monthly rental income which is paid out as dividends and the second being the capital gain redistributed at reversion when the REIT is terminated. Analysis shows that Korean REIT prices are more connected with appreciation earnings than rental income earnings specifically due to their finite-lived, passively managed structure. Not to be mistaken, average annual dividend yields were at historically around 9% giving them the highest REIT returns in the Asian market. This thesis aims to study the overall REITs market in Korea and conduct detailed analysis on REITs stock price determinants using various factors in the Korean financial and real estate market. Individual Korean REITs were analyzed in detail sorting out categories such as stock price, shareholder characteristics, underlying assets, Net Asset Value, Earnings and Dividends. REITs Linear regression analysis on Korean REIT stock returns were conducted to show performance relation with the financial market. Further P/NAV analysis were focused on analyzing the different P/NAV patterns and eventually developed into REIT price connected with its underlying assets, especially with the appreciation value of the land. Additional analysis on Korean REIT P/E ratios were conducted using various factors such as sales & lease back, buy-back options and asset composition.
by Haegyu Lee and Wonho Seo.
S.M.in Real Estate Development
27
Nenadál, Petr. "Specifika Real Estate Investment Trust." Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-149929.
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The thesis is aimed to describe and approach the REIT practice that is, especially in the U. S. very enhanced. In the first part, general parameters of real estate investment trusts are introduced and understated in connection with the depiction of the advantages and disadvantages of this issue. In chronological sequence, the development and progress of the U. S. real estate market is approached. The thesis further undertakes the current subject of the global financial crisis with a special focus on the REIT involvement and the potential application of the new EU directive - AIFMD (Alternative Investment Fund Managers Directive). This directive is expected to harmonize the joint investments. The objective of the thesis is a detailed description and specification of REIT in selected developed countries (U. S., Western Europe, and Australia) followed by a comparation of these regimes and an analysis of the considerable real estate investment companies in the Czech Republic including the financial analysis of the public joint-stock companies. A development of Czech real estate market during the mortgage crisis is also depicted and a market forecast is prognosed. The thesis concludes potential restraints of the REIT legal introduction in the Czech Republic as this corporative type has not been lawfully validated there.
28
Mühlhofer, Tobias. "Trading constraints and the investment value of real estate investment trusts : an empirical examination." Thesis, London School of Economics and Political Science (University of London), 2005. http://etheses.lse.ac.uk/328/.
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This study focuses on the property-derived cash flows that a REIT investor earns. We observe that, in the short run, REIT investors are only exposed to the income cash flows of a REIT's underlying portfolio and not to its property price fluctuations. Specifically, investors miss out on the component of appreciation returns not contained in income. Chapter 3 observes this phenomenon and argues, without proof, that this is due to the trading restrictions that REITs face in order to operate tax free, which impose minimum holding periods on properties in REITs' portfolios. Chapters 4 and 5 show that the trading-restrictions explanation is indeed the reason for this phenomenon. Specifically, chapter 4 tests how REITs with different firm characteristics are differently affected by the trading constraints. Firstly, we test for size effects and find that medium-sized and large firms offer investors better exposure to short-term fluctuations in property appreciation than small firms. This supports the trading restrictions hypothesis, as large firms are less affected by these. Secondly, we test for the effects of the degree of diversification in a REIT's portfolio and find that, while investing in a REIT which is diversified by property type gives an investor better exposure to appreciation cash flows, investing in one whose portfolio is merely geographically diversified does not. Finally, we test whether UPREITs give an investor better exposure to property appreciation cash flows and find strongly that this is so. Since the partnership that holds the property in an UPREIT is not subject to selling constraints, we find our hypothesis strongly supported. Chapter 5 analyzes holding periods and selling decisions. We firstly simulate a possible filter-based market timing strategy which significantly outperforms a simple buy-and-hold strategy, and demonstrate to what extent holding periods shorter than what is allowed are required. We then analyze actual holding periods of properties in REITs' portfolios and model the decision to hold a property beyond four years, finding strong evidence that there is an incentive to do so in a rising market. This gives strong support to the trading-restrictions explanation.
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Goldstein, Mark (Mark E. ). 1968. "The relationship between real estate investment trusts and building-centric telecommunications providers." Thesis, Massachusetts Institute of Technology, 2000. http://hdl.handle.net/1721.1/32188.
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Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Architecture, 2000.Includes bibliographical references (leaves 55-57).
This exploratory paper will examine the business relationships that have developed between REITs and building-centric telecommunications providers (BCTPs), including what types of business relationships are being formed between them, why they are being formed and what is important about these relationships. It shall be demonstrated that though there are a number of driving forces behind the proliferation of the REIT/BCTP relationship, including direct economic benefits to REITs and the influence of Wall Street, it is the indirect economic benefits that ultimately drives this relationship.
by Mark Goldstein.
S.M.
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Terpins, Nicole Mattar Haddad. "A natureza jurídica dos fundos de investimento imobiliários." Universidade de São Paulo, 2014. http://www.teses.usp.br/teses/disponiveis/2/2132/tde-14052015-145102/.
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O presente trabalho trata de tema extremamente útil, porém ainda pouco trabalhado pela doutrina brasileira. A Lei no 8.668/93, que criou os Fundos de Investimento Imobiliário (FII) no Brasil, foi o primeiro diploma a permitir a securitização e fracionamento da propriedade imobiliária, convertendo-a em valores mobiliários passíveis de negociação no mercado de capitais. Os Fundos de Investimento Imobiliário viabilizaram o acesso de pequenos investidores, incluindo pessoas físicas, ao mercado imobiliário, viabilizando a aplicação em empreendimentos de alto retorno que, entretanto, demandam grandes investimentos. A análise da natureza jurídica do FII se justifica pela importância econômica e social do instituto, mas a esta não se restringe, tendo em vista a riqueza do conteúdo jurídico-normativo que culminou na criação de uma modalidade diferenciada de fundo de investimento, espelhada no modelo norte americano, o Real Estate Investment Trust. O Fundo de Investimento Imobiliário é um exemplo bem sucedido da criatividade legislativa, que através da combinação de institutos alcançou o que consideramos ser a figura no Brasil que mais se assemelha ao trust anglo saxão. A estrutura atribuída ao FII, marcada, em especial, pela propriedade fiduciária e pelo regime de afetação, revestem o Fundo de peculiaridades que reclamam a análise de sua natureza jurídica sob uma perspectiva própria, e diferenciada dos demais fundos de investimento. A investigação acerca da natureza jurídica do FII requer a releitura de conceitos que transitam entre o Direito Civil e o Direito Comercial, tais como de comunhão, condomínio e sociedade, negócio fiduciário, negócio indireto, propriedade, direitos reais e pessoais, patrimônio separado, pessoa jurídica e sujeito de direito, de cujo resultado decorre o reconhecimento do Fundo de Investimento Imobiliário como contrato de sociedade, caracterizado pela perseguição de uma finalidade econômica através de uma organização. O escolha do tema e a metodologia empregada no desenvolvimento deste trabalho tiveram por objetivo não só o aprofundamento da matéria, mas também a inspiração de outros estudos com base na common law, que possam igualmente levar à conclusão a respeito da beleza e eficiência de um sistema legal construído sobre estruturas abertas e mais flexíveis.The theme of this paperwork is extremely useful, but not so much explored by Brazilian doctrine. The Law 8.668/93, which created in Brazil the Real Estate Investment Funds (Fundos de Investimento Imobiliário FII), was the first statute to allow the securitization and fractionation of real estate, converting it into subject securities traded in the capital market. The Real Estate Investment Funds enabled retail investors, including individuals, to access the real estate market, qualifying them to apply their resources on high-return ventures that, however, require large investments. The analysis of the legal nature of the FII is justified by the economic and social importance of the institute, but is not restricted thereto taken the enriched content of the legal-normative framework that culminated in the creation of a unique model of investment fund, mirrored in the North American Real Estate Investment Trust. The Real Estate Investment Fund is a successful example of legislative creativity that by combining institutes reached what we consider to be the figure in Brazil that most resembles the Anglo Saxon trust. The structure assigned to the FII, marked in particular by the fiduciary property and the rules of affectation, lines the Fund with certain peculiarities that demand the analysis of its legal nature under its own perspective, isolated from the other investment funds. Research on the legal nature of FII requires the reinterpretation of concepts that integrate both the Civil and Commercial Law, such as communion, condominium and company, fiduciary relationship, indirect relationship, property, real rights and personal rights, separated patrimony, legal person and capacity, which result leads to a due recognition of the Real Estate Investment Fund as a corporate agreement, characterized by the pursuit of an economic purpose through an organization. The choice of the theme and the methodology applied for the development of this paperwork aimed not only to deepen the matter, but also to inspire further studies based on the common law that could also lead to the conclusion about the beauty and efficiency of a legal system built on open and more flexible structures.
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Lowder, Lawrence Wade. "Implementing the information technology information library (ITIL) framework." [Denver, Colo.] : Regis University, 2009. http://adr.coalliance.org/codr/fez/view/codr:24.
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Chuweni, Nor Nazihah. "Performance analysis of Malaysian Islamic real estate investment trusts: The management approach to best practice." Thesis, Queensland University of Technology, 2018. https://eprints.qut.edu.au/118620/1/Nor%20Nazihah_Chuweni_Thesis.pdf.
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A real estate investment trust (REIT) is a fund that predominantly invests in income-producing assets. Islamic REITs, an alternative investment, must observe an additional layer of Sharia requirements. This study is the first to provide analysis addressing the Sharia compliance effect in developing a best practice model. Malaysian Islamic REITs were found to exhibit persistently higher efficiency performance than conventional REITs, implying that Sharia requirements do not hinder their efficiency performance. This study extends current knowledge about performance measurements for the under-researched Islamic REITs market, which would be of great interest to REIT investors, policy makers, and managers.
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Gujar, Purva (Purva Prakash). "Organizational structure in the hospitality industry : a comparative analysis of hotel real estate investment trusts (REITs) and hotel C-Corporations." Thesis, Massachusetts Institute of Technology, 2012. http://hdl.handle.net/1721.1/77122.
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Thesis (S.M. in Real Estate Development)--Massachusetts Institute of Technology, Program in Real Estate Development in Conjunction with the Center for Real Estate, 2012.Cataloged from department-submitted PDF version of thesis. This electronic version was submitted and approved by the author's academic department as part of an electronic thesis pilot project. The certified thesis is available in the Institute Archives and Special Collections.
Includes bibliographical references (p. 102-108).
Current legislation has made it possible for real estate investment trusts (REITs) to earn income beyond purely passive sources such as rents from real property or interest from mortgages on real property. As a result, both the number and market capitalization of hotel REITs have substantially increased, and the difference between hotel REITs and hotel C-corporations has narrowed. However, companies such as Starwood Hotels have reverted back to the C-corporation structure. Given these organizational changes and the increasing dominance of hotel REITs, there is a need to analyze hotel REITs and hotel C-corporations in a comparative framework. Equity REITs and C-corporations have been studied extensively. However, research on various organizational forms in the hospitality industry is somewhat limited. This study attempts to fill this gap by comparing the stock market performance of publicly traded hotel REITs with hotel C-Corporations from 1993 to 2011. Furthermore, the impact of significant events such as mergers and acquisitions and legislative amendments on firms' stock price are also observed. Finally, detailed case studies of companies that underwent corporate restructuring are conducted. The research objective of this thesis is to examine (a) whether REITs are an efficient organizational structure for the lodging industry; and (b) whether the tax benefits of REITs offset the regulatory constraints they face. The study infers that REIT acquirers have an advantage in mergers and acquisitions, but in all other situations, the net benefits of REITs are not as clear. On market cap basis, the performance of hotel REITs and hotel C-Corporations was almost identical, however when equally weighted, hotel REITs outperformed their C-Corporation counterparts. In addition, the results show that the REIT returns are highly volatile. On a broad level the hospitality business has two distinct segments -- ownership of hotels and management of hotels and the degree of operating flexibility offered is one of the main factors that differentiate REITs from the C-Corporation counterparts. Therefore, this study concludes that the choice of corporate structure depends greatly on a firm's business strategy.
by Purva Gujar.
S.M.in Real Estate Development
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Chane-Teng, Xavier, and Cecile Manni. "Investigations on the real estate market." Thesis, Umeå University, Umeå School of Business, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-1782.
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Title: Investigations on the real estate market, what are the main factors influencing the performance of the French Real Estate Investments Trusts?
Problem: In 2003, the French government implemented a new tax-exempt structure in the real estate market. Like REITs in the United States, SIICs are listed French companies that aim to improve the performance of real estate stocks on Paris Stock Exchange. The problem consists of determining the performance of the SIICs’ portfolio, identifying the major influences of economic factors and capturing financial behaviour in asset portfolio management.
Purpose: Recently, the subprime crisis has largely brought out uncertainty of financial actors in the real estate sector. In this context, we try to apprehend the performance of these specific
SIICs investment vehicles related to financial, economic and managerial influences, by quantifying their stock performance in a five-year time frame.
Methodology: A deductive approach guides our thesis to emphasize our research question. Our business strategy entails positivism and objectivism considerations and relies on a case analysis research design using the multifactor model. Besides, the data collection process is following a quantitative approach of twenty chosen French SIICs between 2003 and 2007.
Result / Conclusion: Even if the multifactor model used by the authors may be viewed as unspecified, useful results can still be extracted and analysed. The hotel & LDG sector slightly performs better than others depending on the strategy of investment and the state of economy. Long-term interest rate acts as the principal explanatory factor. Investors do not necessarily respond in favour of the general market confidence indicator.
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Daniels, Joseph A. "Securitizing spectacle : property, real estate investment trusts, and the financialization of retail space in Singapore." Thesis, University of British Columbia, 2015. http://hdl.handle.net/2429/55203.
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In this thesis I explore several intersections of the work on financialization, urbanization, the real estate financial nexus, and spectacle urbanism. Taking the recently formed Singapore real estate investment trust (REIT) market as its case, this thesis contributes to efforts to build out our understanding of the consequences of urban financialization: among them, argued here, being the production of ‘spectacle urbanism’ as an everyday experience in retail spaces. Entangled within state initiatives to develop Singapore as a leading financial center, the REIT market was initiated in 2002 as part of a wider effort to deepen financial markets in the city-state. Its existence has become a current political issue in parliament, manifestly centered upon the politics over claims to property and its seeming capture by financial actors as a “purely financial asset”. And it is here that the thesis begins in Chapter 1 to outline the contemporary relevance of this study. In Chapter 2 I argue that urbanizing financialization—that is to concern ourselves with financialization and urbanization as interdependent processes—is necessary for understanding the spatial dynamics of financialization. The strategic starting point is to focus upon the material and spatial processes that enable property to be treated as a “pure financial asset”. In Chapter 3, drawing upon interviews conducted in the Singaporean REIT market, I demonstrate the material and spatial process that REIT managers concern themselves with to realize property as a ‘pure financial asset’, guided by the notion of producing liquidity or ‘unlocking value’. Chapter 4 considers the effects of these processes and argues that a constructive dialogue is to be had between the work on spectacle urbanism and financialization. I argue that not only does financialization accelerate spectacle urbanism, but that this in turn largely sustains urban financialization in a recursive process. Finally, the thesis concludes with a reflection upon the implications of the empirical chapters and the ‘politics’ of this research—highlighting the urgency of future research on the role of the state in creating these infrastructures of financialization.Arts, Faculty of
Geography, Department of
Graduate
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Jacobs, Judson D. (Judson Dowling). "Why developers go public--the use of real estate investment trusts in the development process." Thesis, Massachusetts Institute of Technology, 1990. http://hdl.handle.net/1721.1/67393.
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McDonough, Gail. "Comparison of pricing differences between the private and public regional mall : real estate investment trusts." Thesis, Massachusetts Institute of Technology, 1995. http://hdl.handle.net/1721.1/68773.
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McMillan, William Bradford. "The effect of geographic diversification on the returns of real estate investment trusts : an analysis." Thesis, Massachusetts Institute of Technology, 1992. http://hdl.handle.net/1721.1/68749.
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Hsu, Hui-hsiung, and 許輝雄. "On Real Estate Investment Trusts." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/34974262903350318109.
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碩士國立高雄第一科技大學
金融營運所
95
This paper analyzes the regulation on the securitization of real estate and the real estate markets of various countries, trying to investigate whether REITs can enhance the performance of investment. The result shows that REITs, stock market, and bond market are scarcely related and are rarely affected by business cycles. Due to the relatively stable rate of return, putting REITs into an investment portfolio may reduce risks.
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Tcherednitchenko, Margarita. "Performance of Canadian real estate investment trusts." Thesis, 2006. http://spectrum.library.concordia.ca/9287/1/MR14380.pdf.
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The Canadian REIT sector has experienced rapid growth that has coincided with the strong performance of the real estate sector. Thus, this thesis examines the risk-adjusted return performance in the secondary and primary (IPO) markets and interest rate sensitivity of all non-mortgage REITS that traded on the TSX during the 1996-2004 period. Smaller REITs offer lower risk-adjusted returns since the value-weighted REIT index has about the same mean monthly return but much lower standard deviation than its equally-weighted counterpart. Based on the Sharpe ratio and the Jensen alphas, both equally- and value-weighted REIT indexes outperform the market. Although mean first-day unweighted and size-weighted IPO returns are significant and negative, the size-weighted counterparts are approximately equal to the commissions saved by new issue versus secondary market purchase. Mean mispricing in the first and not second subperiod suggests that earlier overpricing of IPOs has corrected, and that more recent REIT IPOs are approximately correctly priced on average. Consistent with studies of US REITs, Canadian REITs do not outperform (or underperform) the market during the year after initial issue. If past performance is reflective of what can be expected in the future, REITs provide investors with a "fairly" priced vehicle for participating in real estate investment. REITs are more interest-rate sensitive than other equities but the sensitivity depends upon the interest rate change proxy used. REIT returns are inversely related with bond premia. This interest-rate sensitivity has implications for the management of risk for this asset class within an investor's portfolio.
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LIN, T.-H., and 林再興. "A Study of Real Estate Investment Trusts." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/47167967745179470978.
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Hsiang, Yuan-Ching, and 向元慶. "Study of Real Estate Investment Trusts in Taiwan." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/3c5566.
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碩士國立中山大學
高階經營碩士班
95
As the result of the real estate bubble on 1990, the domestic real estate market is constantly sluggish which makes an impact on the development of relevant industries in Taiwan. In recent 15 years, the housing industry has been deeply impacted in particular. In order to stimulate the recovery of the real estate market and the development of economy, Taiwan government promoted many related projects in order to boost the prosperity of Real Estate industry. Such as “Improving Real Estate Market Polices”, “Two-year Reduction Policy of Land Value Increment Tax to Half”, release limitations on foreign ownership of Taiwan property “Real Estate Appraisal regulation““Certified Real Estate Registration Agent Code” Legislation of real estate management”. Meanwhile “The Conference of National Economy and development”, “A series of strengthen economy quality” and “Economic Development Advisory Conference” have been convoked and recommended “real estate securitization” might be the workable way. In 23rd July 2003 the Legislative Yuan passed the Real Estate Securitization Statute and Enforcement Rules of the Real Estate Securitization Statute. The purpose of the enactment was through securitization stimulating the real estate market and effectively developing real estate. Real estate securitization, by definition, the financing mechanism alters the investor’s investment, from a direct investment to a securitized investment. The trust company issues securities over a portfolio of properties to raise fund from the capital market other than mortgage loans from banking system. The implementation of the real estate securitization can combine the real estate market with the capital market and effectively facilitate the development of real estate resources. These transactions have grown increasingly popular over time, providing the long-awaited fueling of the domestic real estate market. Therefore not only the real estate industry enables to utilize the funds raised from the general public, but also improves distressed government finance . By referring to the experience of the US and Japan , Taiwan Real Estate Securitization Statute was constructed by two kinds of Real Estate Securitization, the investment trust of real estate (REITs) and real estate assets trust (REATs). The Act being adopted from the Real Estate Investment Trust system of USA; and the Real Estate Asset Trust system of Japan. The real estate securitization has been brought into practice for over 3 years since implementation of Taiwan’s Real Estate Securitization Statute. Till the end 2006, Financial Supervisory Commission ratified 15 cases of real estate securitized products, over NTD 69,694 million of real estate securities was issued. Among them, 7 cases regard REITs as the structure issues NTD 51,800 million which about 75% of total market share. The purpose of this study is to discuss the Development of Real Estate Investment Trust in Taiwan by analyzing and referring the current situations and relevant legal mechanisms in US and in Japan. Through real case study probes actual operation of REITs also gives suggestions for their prospective development and impacts. In addition, the research provides recommendation and valuable information to the current market and insights about the future development of Taiwan’s REIT market.
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Tsao, Wen-Hu, and 曹文琥. "Monetary Environments and Real Estate Investment Trusts Market." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/23328881601197082713.
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博士淡江大學
財務金融學系博士班
103
This dissertation investigates the effects of the stance of monetary policy on real estate investment trust (REIT) market utilizing the newly developed GARCH technique of modeling returns series analysis over the period 1972-2014. The contribution with respect to existing literature is threefold. First, the works show that the market’s response of REITs significantly differs from the unexpected changes of Federal Funds Rate in the difference of monetary environments, which indicate that the negative interest rate sensitivity of REIT real returns in restrictive periods is greater than that in expansive periods. Second, there is no relationship between the reaction of REIT returns and output grows. This implies that the prices of REITs asset have effectively reflected the potential value of economic fundament and the anticipated mentality of market rate. Third, this dissertation demonstrates that the GARCH-HeavyTailed (GARCH-HT) model with non-normal distribution allows to overcome the common problems of both the distribution and variance of error term, as well as provide more efficient evaluation of empirical model. Finally, This dissertation also concludes that the asymmetric effects in shocks of monetary policy exist in the U.S. REITs market.
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Faro, Miguel Bernardo Dias. "Real estate investment trusts : a historical performance analysis." Master's thesis, 2020. http://hdl.handle.net/10400.14/32094.
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Esta tese avalia a performance e os riscos de três Real Estate Investment Trusts (REIT) portfólios: EREIT, MREIT e AREIT. O portfólio EREIT é composto apenas por ações REIT, MREIT é composto por ações REIT hipotecárias e AREIT composto por ambas as ações descritas. Ao analisar os retornos excessivos, desvio padrão e Sharpe Ratio, os resultados sugerem que o portfólio que contém ambos os tipos de ações REIT (AREIT) teve a melhor performance de todos, para o período em análise (janeiro de 2000 até janeiro de 2020). A performance dos índices S&P500 e Russell 2000 foi igualmente avaliada. Os resultados obtidos sugerem que o Russell 2000 teve melhor performance do que o índice S&P500. Quando todos os ativos foram comparados - MREIT, EREIT, AREIT, S&P500 e Russell 2000 – verificou-se que o portfólio que contém ambos os tipos de ações REIT (AREIT) teve a melhor performance, para o período em análise. O presente trabalho desenvolve a sua análise ao estudar a capacidade explicativa que o modelo de três fatores de Fama e French (1992), o modelo de três fatores de Fama e French (1992) aumentado com o fator momento (MOM) do modelo de Carhart (1997) e ainda o modelo de cinco fatores de Fama e French (2015) têm em explicar os retornos excessivos em cada um dos portfólios REIT. Os resultados obtidos sugerem os fatores MKTRF, SMB e HML como sendo os mais capazes de explicar os retornos excessivos. Quando comparando qual ou quais os modelos mais válidos para explicar os retornos de cada um dos portfólios REIT, verificou-se que o modelo de três fatores de Fama e French (1992) é o único capaz de os explicar. Verificou-se igualmente que o modelo de quatro fatores de Carhart (1997) e o modelo de cinco fatores de Fama e French (2015) não acrescentam valor, ao não serem capazes de explicar os retornos excessivos em cada portfólio.This paper examines the performance and risk sensitivities of three (Real Estate Investment Trusts (REIT) portfolios, when compared to more conventional funds: MREIT, EREIT and AREIT. The MREIT portfolio includes only the returns on investment of mortgage REIT stocks (MREIT), the EREIT portfolio includes the returns on investment of equity REIT stocks (EREIT) and the AREIT portfolio includes the returns on investment of both equity and mortgage REIT stocks (AREIT). Analyzing excess returns, standard deviation and Sharpe Ratio, results suggest that the portfolio holding all types of REIT stocks (AREIT) was the most attractive investment during the twenty-year period covered (January 2000 - January 2020). The performance of a large capitalization index (S&P500) and a small capitalization index (Russell 2000) were also tested. Results suggest that the Russell 2000 index outperformed the S&P500 index. When risk-adjusted returns of all commodities were evaluated - MREIT, EREIT, AREIT, S&P500 index and Russell 2000 index - results obtained indicate the AREIT portfolio as the one which performed the best among all. This thesis broadens its scope evaluating the explanatory capacity for the Fama and French (1992) asset pricing model augmented with the Carhart (1997) momentum factor and the Fama and French (2015) five-factor model to help explain excess returns in REIT portfolios. Results suggest the market risk-free (MKTRF), small minus big (SMB) factor and the high minus low (HML) factors, as the main variables capable of explaining their excess returns. Results also show that the Fama and French (1992) three-factor model is the most capable at explaining the REIT portfolio excess returns. It was also shown that Carhart (1997) four-factor model and Fama and French (2015) are insufficient at explaining excess returns in any REIT portfolio.
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YU, TING-SHIUAN, and 游庭瑄. "The Diversification Effects of Real Estate Investment Trusts." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/87177597391612524496.
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碩士國立暨南國際大學
財務金融學系
104
Traditionally, most of literatures have discussed about the portfolio optimization, which focus on stocks or bond assets. Differ from these literatures, we use pure real estate securities to examine the best portfolio criterion. We use Min CLPM, Min variance and Min VaR portfolio criteria to optimal portfolio and compare their performance. We use eight largest and most developed REIT markets to examine the performance of portfolio strategies and the similarity between strategies. In static estimation, Min CLPM has better performance than other portfolio strategies. In order to ensure its robustness, we use dynamic rolling method to analysis portfolio criteria. The result is more robust and the performance has significant difference than static estimation. We further examine the similarity of the asset allocation. The analysis indicates that Min variance and Min VaR have similar allocation, most of them get 99% similar. On the other hand, the allocation of Min CLPM is different than other portfolio strategies and has less assets in the portfolio.
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Ford, Gregory Jason, and 傅桂瑞. "Real Estate Investment Trusts in the United States." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/89967627439989652369.
Full textAbstract:
碩士輔仁大學
國際創業與經營管理學程碩士在職專班
100
This thesis analyzes Real Estate Investment Trusts (REITs) in the United States. The thesis starts off by describing the history of how REITs came into existence. The paper then goes to analyze the legislative history and the implications the legislation had on REITs. The paper then selects one specific publicly traded REIT to analyze operationally and financially. The REIT that will be analyzed is in the health care sector. This paper will discuss the positive and negative aspects of the REIT as an investment vehicle. It will also address what type of investors is best suited to invest in a REIT. The thesis is concluded with a summary.
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HO, LU REID, and 盧瑞和. "A Study on the Real Estate Investment Trusts Valuation and Empirical ResearchA Study on the Real Estate Investment Trusts Valuation and Empirical ResearchA Study on the Real Estate Investment Trusts Valuation and Empirical Research." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/04885771635119838205.
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碩士長庚大學
企業管理研究所
95
Since the release of the Real Estate Securitization Statute in Taiwan in July 2003, real estate securitization products have been mushrooming, like a breath of fresh air in the real estate market in Taiwan. Both in Taiwan and around the world, REITs have become the mainstream product in the real estate securitization. There are no specific regulations governing the evaluation methods of REITs as they have characteristics of both 「securities」 and 「real estates」. Therefore, this paper adopts the concept of revenue capitalization and discounted cashflow method to estimate the values of the REITs already issued in Taiwan. The conclusion before a comprehensive analysis is made on these valuations. Empirical results are observed as below： 1.This paper finds that among all the publicly issued REITs, their values of real estates are all higher than the ceiling of the funds raised by the REITs, except for Trident Real Estate’s REIT whose value of the real estate is slightly lower than the approximately NT$40 million estimated based on discounted cashflows. Therefore, the risks associated with the asset quality of the allocated real estates should not be high. 2.A vast majority of REITs on the Taiwanese marketplace are equity products. REITs mainly invest in office buildings in metropolitan areas with superior locations; therefore, their returns on assets are relatively higher than that of other areas. 3.The characteristic of REITs is the creation of greater liquidity for investments in real estates through securitization. Given the issue size in Taiwan of REITs in the future should range between NT$5 billion and NT$8.5 billion to meet the local market demands in terms of liquidity and economic scale. Key words: real estate securitization；REITs；valuation
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Chang, Ting-An, and 張定安. "The Development of Real Estate Investment Trusts in Taiwan." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/vycq8x.
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碩士國立臺灣科技大學
管理研究所
95
Since the regulation of Real Estate Securitization approved in 2003 up to the mid 2007, the market of securitization in Taiwan has published eight REITs products, which indicates the local securitization market has formed gradually. This thesis is based on local REITs product that published by the regulation of Real Estate Securitization as the study purpose, through semi-structured and in-depth interviews to analyze the future opportunities and factors of restrictions upon REITs products. Until May 2007, the total amount of 8 REITs in Taiwan REITs market is US$150M. The investment moves fast to the global REITs Funds of those who move later but reach first. Meanwhile, the average delivery-to-issue period for each REITs lasts nine months. So many business opportunities were gone just because of the quick changes of the market. It also drags Taiwan way behind Hongkong and Singapore. The conclusion of this research shows that the local REITs market will shrink to the least developing status awkwardly if Taiwan doesn't make faster progress and set up a professional organization to promote the REITs business by attracting the business owners in both legal and issuing aspects .With the present higher interest rate and smaller interest difference, it is also a good timing for the local governmental organizations to set strategies in advance. So that Taiwan REITs market would not lose attractiveness or even take the risk of the REITs collaps when facing the high interest status. The most grown matured market of REITs worldwide is in the US, the Taiwan market is similar to Japan’s, therefore I introduced the market in the US and Japan in the second chapter so as to explore the differences between the US and Japan to figure out the opportunities and factors of restrictions, and future development of local REITs. The fourth chapter analyzes differences and common points with information from interview of six executive managers who work in the fields of funds, real estate, and securities. Following the fifth chapter of conclusion offers suggests for local REITs development, also the research limitations and directions.
49
Yue, Wu. "The development of real estate investment trusts in Asia." Thesis, 2011. http://handle.uws.edu.au:8081/1959.7/517842.
Full textAbstract:
Nowadays, property securities (indirect property) have been an important vehicle for investors to invest in commercial real estate at a global platform. Comparing to direct property ownership, they bring unique advantages to a property investment, such as high divisibility and liquidity, lower cost, professional management skills and expertise, and more flexible portfolio diversifications. These factors essentially make property securities an increasingly important asset in strategic investment by institutional investors, as well as retail investors. Among the variety of securitised property investment vehicles, listed Real Estate Operating Corporation (REOCs) and listed Real Estate Investment Trusts (REITs) are two key indirect property investment vehicles. Given that the emergence of REITs is significant in various Asian markets, the landscape of property investment in Asia has improved and reshaped. The establishment of Asian REIT markets not only strengthens the development of property securities market in Asia, but also makes a big step toward the global property securities arena. Therefore, the author was motivated to conduct this research, which focuses on the emerging Asian REIT markets. The overriding theme of this research is to present a profile of the significant development of REIT markets in Asia, empirically assess the performance via developing a series of Asian REIT benchmarks. Furthermore the evaluation of Asian REITs in local mixed-assets portfolios, as well as Asian REITs in global REITs portfolios, explores the potential diversification benefits via adding Asian REITs. Therefore, findings from this empirical research could confirm the portfolio consideration and provide strategic implications via strategic investing in Asian REITs; not only for Asian local investors, but also for property securities fund managers in Australia. Overall, the issue of strategic REITs investment, particularly through the inclusion of emerging Asian REITs has gained increasing importance in current property investment. The significant roles of Asian REITs in a global context have been assessed and evidenced from this research. It clearly fulfils the understandings and insights into the global REIT market, and further provides a contribution to the discipline of the role of REITs in property investment. In the future, given that these emerging Asian REIT market trends will be consolidated, and more potential Asian REITs will emerge (e.g.: China and India), Asian REITs will continue to play a more effective, competitive and significant role in the property investment market globally.
50
Wen, Chu-Ting, and 溫筑婷. "Improving the VaRs Estimated of Real Estate Investment Trusts." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/73000674454195971444.
Full textAbstract:
碩士國立東華大學
公司理財碩士學位學程
97
This dissertation investigates a comparison of the value at risk estimates in real estate investment trusts. These models are considered to estimate REITs VaR included the historical simulation, the exponentially weighted moving average, the Monte Carlo simulation and the GARCH models. We also propose two methods to improve VaRs estimates via considering the higher moments of asset returns and composite models combined with the above individual models. Based on the performances of the average failure error, the root mean squared relative bias indicators and back-testing procedures, the composite model outperforms other individual models significantly. Individual GARCH models accounting for higher moments do not produce better VaR estimates in the real estate industry. However, we can improve the estimated efficiency of VaR via the composite GARCH models along with other models, but it is not feasible to improve VaR estimates by considering more information content of REITs returns.