Property-Type Diversification in Real Estate Portfolios: A Size and Return Perspective

Mueller, Glenn R.; Laposa, Steven

doi:10.1080/10835547.1995.12089514

Cited by 17 publications

(9 citation statements)

References 11 publications

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“…This may be due the fact that the portfolio weights used in Period 2 are based on the returns in Period 1, which as Table I shows corresponds with the market boom. Period 2 in contrast covers the start of the market decline thus the portfolio weights based on a boom period failed badly in a market decline confirming the results of Mueller and Laposa (1995), Myer and Webb (1991) and Pagliari et al (1995). However, in Period 3 all the investment strategies show greater return performance than the naïve portfolio and the market benchmark (IPDMI), as the portfolio weights (based on the performance of Period 2) are now reflecting the market decline.…”

Section: Empirical Analysissupporting

confidence: 57%

“…Thus the use of a portfolio selection procedure based on historical parameters that ignores the estimation risk due to the uncertain in mean returns is likely to produce sub-optimal results in subsequent periods. Indeed previous work on the application of MPT to the real estate portfolio shows this to be the case (Myer and Webb, 1991;Mueller and Laposa, 1995;Pagliari et al, 1995).…”

Section: Introductionmentioning

confidence: 89%

“…The second study by Mueller and Laposa (1995) investigated what allocation institutional investors should make to the different property-types: retail, office, apartments and warehousing using quarterly data in the USA. In particular Mueller and Laposa (1995) argue that property-type returns have gone through cycles in the past and estimating future returns depends on the cyclic movement within each property-type. In order to identify which property-type to invest in the future investors need to be aware of how each property-type as performed in different phases of the cycle.…”

Section: Previous Studiesmentioning

confidence: 99%

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Real estate portfolio construction and estimation risk

Stevenson

2005

Journal of Property Investment &Amp; Finance

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The use of MPT in the construction real estate portfolios has two serious limitations when used in an ex-ante framework: (1) the intertemporal instability of the portfolio weights and (2) the sharp deterioration in performance of the optimal portfolios outside the sample period used to estimate asset mean returns. Both problems can be traced to wide fluctuations in sample means Jorion (1985). Thus the use of a procedure that ignores the estimation risk due to the uncertain in mean returns is likely to produce sub-optimal results in subsequent periods. This suggests that the consideration of the issue of estimation risk is crucial in the use of MPT in developing a successful real estate portfolio strategy. Therefore, following Eun & Resnick (1988), this study extends previous ex-ante based studies by evaluating optimal portfolio allocations in subsequent test periods by using methods that have been proposed to reduce the effect of measurement error on optimal portfolio allocations.

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Section: Empirical Analysissupporting

confidence: 57%

Section: Introductionmentioning

confidence: 89%

Section: Previous Studiesmentioning

confidence: 99%

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Real estate portfolio construction and estimation risk

Stevenson

2005

Journal of Property Investment &Amp; Finance

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“…They also suggest that property type is a factor that has significant influence upon yields. Lee and Stevenson (2004) cite other studies, including one by Mueller and Laposa (1995) in the USA, showing that specific property types demonstrate their own cyclical movements. A number of sources show that time as a reflection of the macro-economic cycle has a significant influence upon property investment yields.…”

Section: Factors Specific To the Uk Retails Property Marketmentioning

confidence: 89%

“…Findings of this research fill in this knowledge gap by identifying the factors affecting the yields of banking-hall investment. As a sub-sector, bank premises do not necessarily correlate to the generic retail sector (Mueller and Laposa, 1995). With those factors, it becomes possible to maximize returns when assembling investment portfolios of such properties, and subsequently to develop a quantitative predictive model that can be used by professional practitioners and investors in predicting high yields for portfolio building purposes.…”

Section: Introductionmentioning

confidence: 99%

A case study of the investment yields of high street banks

Lam¹,

Tipping

2016

Journal of Property Investment &Amp; Finance

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Purpose – Sale-and-leaseback has become an increasingly common approach during the last two decades in the investment of high street banks (banking-halls) in the UK. One measure commonly used in making property investment decisions is the all risks yield (ARY) which is associated with the level of rental income. Investors and their advisors need to know which factors are likely to result in the highest ARY when assembling investment portfolios of such properties. The purpose of this paper is to identify those yield influences. Design/methodology/approach – A qualitative multiple-case study was adopted. A literature review generated a hypothesis which was tested by a qualitative study, based upon semi-structured interviews and a questionnaire, to establish the influencing factors. Expert interviews were held with the heads of those three major auction-houses dealing with auctions of all retail bank premises in the Great Britain market, whilst the questionnaire survey involved investment professionals from within the auction-houses. Findings – The study confirmed that the four factors influencing yields and investors’ decision-making when purchasing retail banking premises were tenant banking company (brand names), regional location (north and south super-regions), lot size (hammer price), and tenure (freehold or leasehold). Research limitations/implications – This investigation focuses on Great Britain’s geographical and political area which includes England, Scotland and Wales, but excludes Northern Ireland. This research focuses on banking-halls as a sub-class of retail property investment. The findings form a baseline upon which further research can be conducted on other sub-types of retail property such as high street shops and retail parks. The results will also underpin the development of a quantitative yield predictive model based on regression analysis. Practical implications – To maximize the returns on property investments, investors and their professional advisors can use those factors having the greatest influence on yields to make informed investment decisions for the building of property portfolios. Originality/value – As a sub-sector, bank premises do not necessarily correlate to the generic retail sector. This research consolidates the broad systematic drivers of retail yields into specific factors influencing the ARY of banking-halls. The findings provide better understanding of an active but sparsely analysed sub-market of banking hall investments, and by so-doing help investors to maximize their investment returns.

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Optimale Immobilieninvestments für Versicherungen

Gantenbein¹

Versicherungen Im Umbruch

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Property-Type Diversification in Real Estate Portfolios: A Size and Return Perspective

Cited by 17 publications

References 11 publications

Real estate portfolio construction and estimation risk

Real estate portfolio construction and estimation risk

A case study of the investment yields of high street banks

Optimale Immobilieninvestments für Versicherungen

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