Landmark buildings and diversification opportunities in the residential market

2016 ◽  
Vol 9 (4) ◽  
pp. 429-445 ◽  
Author(s):  
Lucia Gibilaro ◽  
Gianluca Mattarocci
Keyword(s):  
Asset Allocation ◽  
Time Horizon ◽  
Efficient Frontier ◽  
Diversification Strategy ◽  
Content Type ◽  
Risk Return ◽  
Good Investment ◽  
Asset Class ◽  
Housing Investments

Purpose This article aims to analyze the performance and risk of landmark building in the housing sector and to evaluate their usefulness for a diversification strategy. Design/methodology/approach After comparing summary statistics on the performance of landmark building with respect to other types of housing investments, the article evaluates their usefulness for a diversification strategy. The role of landmark buildings is studied using the modern portfolio theory and evaluating the role of this type of asset in the optimal asset allocation. The analysis is performed considering both the risk/return trade-off in a one-year and a multiple-year time horizon. Findings The results show that a landmark building can be a good investment opportunity, especially for high-risk/return investors. A not perfect correlation of the returns of this asset class with other types of housing investments implies the existence of a minimum investment in this asset class for almost all portfolios on the efficient frontier. Results are robust with respect to the length of the investment time horizon. Originality/value The article presents a unique analysis of intra-housing market diversification opportunities focusing on the role of landmark building in the portfolio construction. Empirical evidence supports the hypothesis that real estate investors can take advantage of investing in landmark buildings in the residential sector as well because there are no reasons to limit such investments to trophy buildings in the office and commercial sectors.

The emergence and performance of German REITs

2018 ◽  
Vol 36 (1) ◽  
pp. 91-103 ◽  
Author(s):  
Graeme Newell ◽  
Muhammad Jufri Marzuki
Keyword(s):  
Asset Allocation ◽  
Global Financial Crisis ◽  
Investment Decision ◽  
Efficient Frontier ◽  
Portfolio Diversification ◽  
Portfolio Risk ◽  
Content Type ◽  
Property Companies ◽  
Asset Portfolio

Purpose German real estate investment trusts (REITs) are a small but important property investment vehicle in the European REIT landscape, offering German commercial property investment exposure in a liquid format, compared to the more property development-focused German listed property companies and the popular German open-ended property funds. The purpose of this paper is to assess the emergence of the German REIT market and the risk-adjusted performance and portfolio diversification benefits of German REITs in a mixed-asset portfolio over 2007-2015. The post-global financial crisis (GFC) recovery of German REITs is highlighted. Enabling strategies for the ongoing development of the German REIT market are also identified. Design/methodology/approach Using monthly total returns, the risk-adjusted performance and portfolio diversification benefits of German REITs over 2007-2015 are assessed. Efficient frontier and asset allocation diagrams are used to assess the role of German REITs (and German property companies) in a mixed-asset portfolio. Sub-period analysis is used to assess the post-GFC recovery of German REITs. Findings German REITs delivered lesser risk-adjusted returns compared to German stocks over 2007-2015, with limited portfolio diversification benefits. However, since the GFC, German REITs have delivered strong risk-adjusted returns, but with continued limited portfolio diversification benefits with German stocks. German REITs also out-performed German property companies. Importantly, this sees German REITs as strongly contributing to the German mixed-asset portfolio across the portfolio risk spectrum in the post-GFC environment. Practical implications German REITs are a small but important market at a local, European and global REIT level. The results highlight the major role of German REITs in a German mixed-asset portfolio in the post-GFC context. The strong risk-adjusted performance of German REITs compared to German stocks sees German REITs contributing to the mixed-asset portfolio across the portfolio risk spectrum. This is particularly important, as many investors (e.g. small pension funds) use German REITs (and German listed property companies) to obtain their German property exposure in a liquid format, as well as the increased importance of blended property portfolios of listed property and direct property. Originality/value This paper is the first published empirical research analysis of the risk-adjusted performance of German REITs, and the role of German REITs as a listed property vehicle in a mixed-asset portfolio. This research enables empirically validated, more informed and practical property investment decision making regarding the strategic role of German REITs in a portfolio.

The significance and performance of UK-REITs in a mixed-asset portfolio

2016 ◽  
Vol 9 (2) ◽  
pp. 171-182 ◽  
Author(s):  
Graeme Newell ◽  
Muhammad Jufri Bin Marzuki
Keyword(s):  
Asset Allocation ◽  
Global Financial Crisis ◽  
Investment Decision ◽  
Efficient Frontier ◽  
Portfolio Diversification ◽  
Defined Contribution ◽  
Portfolio Risk ◽  
Content Type ◽  
Asset Portfolio

Purpose UK-Real Estate Investment Trusts (REITs) are an important property investment vehicle, being the fourth largest REIT market globally. The purpose of this paper is to assess the significance, risk-adjusted performance and portfolio diversification benefits of UK-REITs in a mixed-asset portfolio over 2007−2014. The post-global financial crisis (GFC) recovery of UK-REITs is highlighted. Design/methodology/approach Using total monthly returns, the risk-adjusted performance and portfolio diversification benefits of UK-REITs over 2007–2014 are assessed. Efficient frontier and asset allocation diagrams are used to assess the role of UK-REITs in a mixed-asset portfolio. Sub-period analysis is used to assess the post-GFC recovery of UK-REITs. Findings UK-REITs delivered poor risk-adjusted returns compared to UK stocks over 2007–2014 with limited portfolio diversification benefits. However, since the GFC, UK-REITs have delivered strong risk-adjusted returns, but with continued limited portfolio diversification benefits with UK stocks. Importantly, this sees UK-REITs as strongly contributing to the UK mixed-asset portfolio across the portfolio risk spectrum in the post-GFC environment. Practical implications UK-REITs are a significant market at a European and global REIT level. The results highlight the major role of UK-REITs in a UK mixed-asset portfolio in the post-GFC context. The strong risk-adjusted performance of UK-REITs compared to UK stocks sees UK-REITs contributing to the mixed-asset portfolio across the portfolio risk spectrum. This is particularly important, as many investors (e.g. small pension funds, defined contribution [DC] funds) use UK-REITs to obtain their property exposure in a liquid format, as well as the increased importance of blended property portfolios of listed property and direct property. Originality/value This paper is the first published empirical research analysis of the risk-adjusted performance of UK-REITs and the role of UK-REITs in a mixed-asset portfolio. This research enables empirically validated, more informed and practical property investment decision-making regarding the strategic role of UK-REITs in a portfolio.

The significance and performance of Singapore REITs in a mixed-asset portfolio

2015 ◽  
Vol 33 (1) ◽  
pp. 45-65 ◽  
Author(s):  
Graeme Newell ◽  
Anh Khoi Pham ◽  
Joseph Ooi
Keyword(s):  
Asset Allocation ◽  
Investment Decision ◽  
Portfolio Diversification ◽  
Content Type ◽  
Investment Decision Making ◽  
Strategic Role ◽  
Asset Portfolio ◽  
Asset Class ◽  
And Performance

Purpose – REITs have taken on increased significance in Asia in recent years, with Singapore REITs (S-REITs) becoming an important property investment vehicle since 2002. The purpose of this paper is to assess the significance, risk-adjusted performance and portfolio diversification benefits of S-REITs in a mixed-asset portfolio context in Singapore over 2003-2013. The post-GFC recovery of S-REITs is also assessed. Design/methodology/approach – Using monthly total returns, the risk-adjusted performance and portfolio diversification benefits of S-REITs over 2003-2013 is assessed, with efficient frontiers and asset allocation diagrams used to assess the role of S-REITs in a mixed-asset portfolio. Sub-period analyses are conducted to assess the post-GFC recovery of S-REITs. Findings – S-REITs delivered strong risk-adjusted returns, being the best-performed asset class, but with little portfolio diversification benefit over 2003-2013. Whilst taking on reduced risk, but with less portfolio diversification benefits in recent years, S-REITs are seen to be robust relative to the other major Singapore asset classes; contributing significantly across the risk spectrum; particularly in the post-GFC period, where S-REITs have been the best-performed asset class in Singapore. Practical implications – The results highlight the important strategic role of S-REITs in a Singapore mixed-asset portfolio. The strong risk-adjusted performance has highlighted the robustness of S-REITs, with S-REITs contributing to the mixed-asset portfolio across the portfolio risk spectrum; particularly in the post-GFC period. This robustness highlights the ongoing strategic role of S-REITs in a Singapore mixed-asset portfolio, as well as the ongoing development of S-REITs as an important pan-Asia hub for REITs. Originality/value – This paper is the first published empirical research analysis of the risk-adjusted performance of S-REITs and the role of S-REITs in a portfolio. Given the increased significance of REITs in Asia, this research enables empirically validated, more informed and practical property investment decision-making regarding the role of S-REITs in a mixed-asset portfolio and S-REIT performance in a post-GFC context.

Football stocks: a new asset class attractive to institutional investors? Empirical results and impulses for researching investor motivations beyond return

2020 ◽  
Vol 10 (4) ◽  
pp. 471-494 ◽  
Author(s):  
Stefan Prigge ◽  
Lars Tegtmeier
Keyword(s):  
Statistical Significance ◽  
Efficient Frontier ◽  
Content Type ◽  
Market Participants ◽  
Risk Return ◽  
Low Correlation ◽  
Football Clubs ◽  
Investment Opportunity Set ◽  
Asset Class ◽  
Sharpe Ratios

PurposeThe aims of the research are twofold: (1) exploring whether football club stocks can be considered an asset class of their own; (2) investigating whether football stocks enable well-diversified investors to achieve more efficient risk-return combinations.Design/methodology/approachUsing efficient frontier optimization, a base portfolio, with standard stocks and bonds, and a corresponding enhanced portfolio, which includes football stocks in the investment opportunity set, are defined. This procedure is applied to four portfolio composition rules. Pairwise comparisons of portfolio Sharpe ratios include a test for statistical significance.FindingsThe results indicate a low correlation of football stocks and standard stocks; thus, football stocks could be considered an asset class of their own. Nevertheless, the addition of football stocks to a well-diversified portfolio does not improve its risk-return efficiency because the weak performance of football stocks eliminates their advantage of low correlation.Research limitations/implicationsThis study contributes to the evidence that investments in football are different from ‘ordinary’ investments and need further research, particularly into market participants and their investment motives.Practical implicationsFootball stocks are not attractive to pure financial investors. Thus, football clubs need to know more about which side benefits are appreciated by which kind of investor and how much it costs to produce these side benefits.Originality/valueTo the best of authors’ knowledge, this is the first study to analyse the risk-return efficiency of football stocks from the perspective of a pure financial investor, i.e. an investor in football stocks who does not earn side benefits, such as strategic investors or fan investors.

scholarly journals Crowdfunding REITs: a new asset class for the real estate industry?

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Lucia Gibilaro ◽  
Gianluca Mattarocci
Keyword(s):  
Real Estate ◽  
The United States ◽  
Individual Investors ◽  
Diversification Strategy ◽  
Content Type ◽  
The Real ◽  
The Real Estate ◽  
Real Estate Sector ◽  
Real Estate Investments ◽  
Asset Class

PurposeThe paper aims to study the performance of crowdfunding REITs with respect to traditional REITs in order to evaluate the differences in the risk–return profile and their usefulness for a diversification strategy within the indirect real estate investments.Design/methodology/approachThe paper considers the crowdfunding REITs introduced after the JOBS act in the United States and evaluates their performance and risk during the time period 2016–2018. Performance achieved by crowdfunding REITs is compared with other types of REITs in order to evaluate their usefulness for constructing an optimal portfolio strategy based on a standard mean variance approach.FindingsResults show that the performance of crowdfunding REITs is more stable over time with respect to other REITs and the lack of correlation with traditional REITs may be exploited for constructing a more efficient diversified portfolio of indirect real estate investments.Practical implicationsCrowdfunding REITs have different performance with respect to standard REITs and, especially individual investors, may benefit from including this new investment opportunity in their portfolio.Originality/valueThe paper is the first study on the performance of the crowdfunding REITs that is evaluating their usefulness for a diversification strategy within the real estate sector.

The diverging role of the systematic risk factors: evidence from real estate stock markets

2015 ◽  
Vol 33 (1) ◽  
pp. 81-106 ◽  
Author(s):  
Stephan Lang ◽  
Alexander Scholz
Keyword(s):  
Risk Factors ◽  
Time Series ◽  
Asset Pricing ◽  
Real Estate ◽  
Systematic Risk ◽  
Content Type ◽  
Risk Return ◽  
Systematic Risk Factors ◽  
Relationship Of

Purpose – The risk-return relationship of real estate equities is of particular interest for investors, practitioners and researchers. The purpose of this paper is to examine, in an asset pricing framework, whether the systematic risk factors play a significantly different role in explaining the returns of listed real estate companies, compared to general equities. Design/methodology/approach – Running the difference test of the Fama-French three-factor and the liquidity-augmented asset pricing model, the authors analyze the effect of the systematic risk factors related to market, size, BE/ME and liquidity in a time-series setting over the period July 1992 to June 2012. By applying the propensity score matching (PSM) algorithm, the authors bypass the “curse of dimensionality” of traditional matching techniques and identify a comparable control sample of general equities, in terms of the relevant firm characteristics of size, BE/ME and liquidity. Findings – The empirical results indicate that European real estate equity returns load significantly differently on the size, value and liquidity factor, while the influence of the market factor seems to be equivalent. In addition, the authors find an economically and statistically significant underperformance of European real estate equities, after accounting for the diverging role of systematic risk factors. Running the conditional time-series regression, the authors further reveal that these findings are predominately caused by the divergent risk-return behavior of real estate equities in economic downturns. Practical implications – Due to the diverging role of the systematic risk factors in pricing real estate equities, the authors provide evidence of potential diversification benefits for investors and portfolio managers. Originality/value – This is the first real estate asset pricing study to dissect the unique risk-return relationship of real estate equities by employing propensity score matching.

scholarly journals An investigation into the role of listed property shares in a retirement fund portfolio in South Africa

2011 ◽  
Vol 12 (4) ◽  
pp. 392-400
Author(s):  
Mkhethwa Mkhize ◽  
Vuyani Bekwa
Keyword(s):  
South Africa ◽  
Efficient Frontier ◽  
Research Paper ◽  
Computer Programme ◽  
Investment Performance ◽  
Asset Class ◽  
Retirement Fund ◽  
Fund Portfolio ◽  
Objective Being

The main aim of this research paper was to investigate the role of listed property shares in a retirement fund portfolio in South Africa, one objective being to determine the appropriate weightings to be allocated to listed property shares. This research paper uses data collected from January 1995 to December 2004. The Elton and Gruber computer programme is used to test the data to give optimal weightings to the listed property sector and to produce an efficient frontier. The results of this research paper demonstrated the benefits offered by listed property shares and revealed that the sector should be treated as a separate asset class from equity owing to low correlation of returns between these two classes of assets. Results also demonstrated that an increase in the allocation to the listed property sector results in better investment performance over the study period.

Bitcoin’s value proposition: shorting expansionary monetary policies

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Thibaut Morillon
Keyword(s):  
Design Methodology ◽  
Financial Asset ◽  
Thought Process ◽  
Value Proposition ◽  
Monetary Policies ◽  
Content Type ◽  
Asset Class ◽  
Fundamental Value ◽  
The Impact

Purpose Professionals and academics alike hold polarized opinions about Bitcoin’s purpose and its fundamental value. This paper aims to describe Bitcoin’s unique features that make it such an intriguing asset and proposes a new way to consider Bitcoin and its underlying value. Design/methodology/approach In this paper the author discusses Bitcoin’s defining features that make it a unique asset. The author argues that Bitcoin should not be considered as a single purpose asset only, but rather as a new digital financial asset serving several functions, at least partially. The author discusses the role of Bitcoin in the traditional financial system, contrasts Bitcoin to gold, considers the implications of the continuance of expansionary policies on Bitcoin and discusses the impact of the emergence of cryptocurrencies as a new asset class on public policies. Findings In addition to functioning as a means of payment (at least partially) and a diversification tool, part of Bitcoin’s value proposition stems from its worth as a short position on modern expansionary monetary policies. Indeed, Bitcoin’s value should rise if expansionary monetary policies are maintained, amounting to a tool to short these policies, which should be considered in future attempts to value Bitcoin. Originality/value The author adds a new layer to the ongoing thought process by arguing of a function played by Bitcoin unaccounted for thus far by the literature. Additionally, the author describes the features and mechanisms, allowing Bitcoin to play that role.

How important are early investment experiences on subsequent investment decisions? A laboratory experiment on asset allocation

2015 ◽  
Vol 41 (6) ◽  
pp. 582-590 ◽  
Author(s):  
Dimitra Papadovasilaki ◽  
Federico Guerrero ◽  
James Sundali ◽  
Gregory Stone
Keyword(s):  
Asset Allocation ◽  
Design Methodology ◽  
Investment Decisions ◽  
Portfolio Allocation ◽  
Investment Behavior ◽  
Content Type ◽  
Aggregate Shocks ◽  
Riskless Asset ◽  
Allocation Decisions

Purpose – The purpose of this paper is to examine the influence of early investment experiences on subsequent portfolio allocation decisions in a laboratory setting. Design/methodology/approach – In an experiment in which the task consisted of allocating a portfolio between a risky and riskless asset for 20 periods, two groups of subjects were confronted with either a market boom or bust in the initial four periods. Findings – The findings suggest that after controlling for demographic characteristics, the timing of a boom or bust during the investment lifecycle matters greatly. Subjects that faced a bust early in their investment lifecycle held less of the risky asset in subsequent periods compared to subjects who experienced an early boom. Originality/value – To the best of the authors knowledge this is the first laboratory study investigating the role of early aggregate shocks on subsequent investment behavior.

The emergence of Spanish REITs

2018 ◽  
Vol 36 (5) ◽  
pp. 495-508 ◽  
Author(s):  
Muhammad Jufri Marzuki ◽  
Graeme Newell
Keyword(s):  
Asset Allocation ◽  
Investment Decision ◽  
Portfolio Diversification ◽  
Portfolio Risk ◽  
Property Market ◽  
Content Type ◽  
Investment Decision Making ◽  
Strategic Role ◽  
Asset Portfolio

PurposeSpanish real estate investment trusts (REITs) emerged as an important and rapidly expanding property investment vehicle, against the backdrop of improving Spain macro-economic fundamentals and commercial property market. This sees Spanish REITs being the 3rd largest REIT market in Europe, offering access to important Iberian and European property assets, with the added benefits of transparency, governance and liquidity. The purpose of this paper is to assess the significance, risk-adjusted performance and portfolio diversification benefits of Spanish REITs in a mixed-asset portfolio over August 2014–February 2018.Design/methodology/approachUsing monthly total returns, the risk-adjusted performance and portfolio diversification potential of Spanish REITs over August 2014–February 2018 are assessed. Asset allocation diagrams are used to assess the role of Spanish REITs in a mixed-asset portfolio.FindingsSpanish REITs delivered strong risk-adjusted returns compared to stocks over August 2014–February 2018, but with limited portfolio diversification benefits. Compared to bonds, Spanish REITs offered competitive risk-adjusted returns and excellent diversification benefits. Importantly, this sees Spanish REITs as strongly contributing to the Spanish mixed-asset portfolio across the portfolio risk spectrum.Practical implicationsThe 2012 Spanish REIT regulatory changes have been pivotal in providing a supportive environment for Spanish REITs’ growth. Spanish REITs are now a significant market in a European context. The results highlight the major role of Spanish REITs in a Spanish mixed-asset portfolio. The strong risk-adjusted performance of Spanish REITs compared to stocks sees Spanish REITs contributing to the mixed-asset portfolio across the portfolio risk spectrum. This is particularly important, as an increasing number of investors have utilised Spanish REITs to obtain their property exposure in a liquid format in recent years.Originality/valueThis paper is the first published empirical research analysis of the risk-adjusted performance of Spanish REITs, and the role of Spanish REITs in a mixed-asset portfolio. This research enables empirically validated, more informed and practical property investment decision-making regarding the strategic role of Spanish REITs in a portfolio.

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