Real Estate Risk Exposure of Equity Real Estate Investment Trusts

Lee, Ming-Long; Lee, Ming-Te; Chiang, Kevin C.H.

doi:10.1007/s11146-007-9058-2

Cited by 73 publications

(63 citation statements)

References 29 publications

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“…First, if there is an enduring element of correlated trading in REIT returns, it is only logical that pricing research on REITs should take this element into account (Goetzmann et al 2002, working paper). In addition, it is well known that equity REITs have higher average returns than private real estate (Lee et al 2008). 18 Does this extra return contain a premium for bearing excess correlated trading by individuals?…”

Section: Discussionmentioning

confidence: 99%

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The Role of Correlated Trading in Setting REIT Prices

Chiang

Lee

2009

J Real Estate Finan Econ

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Section: Discussionmentioning

confidence: 99%

“…According toLee et al (2008), during the 1993-2003 period, the mean quarterly excess return of NAREIT equity REIT Index is 2.25%, whereas the mean quarterly excess return of the Russell-NCREIF Property Index is 1.24%.…”

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confidence: 99%

The Role of Correlated Trading in Setting REIT Prices

Chiang

Lee

2009

J Real Estate Finan Econ

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“…They suggest that the returns to securitized real estate began to reflect the underlying real estate assets gradually beginning in the early 1990s. A recent study by Lee, Lee and Chiang (2008) reports a stronger relationship between the REIT sector and the private real estate market beginning in 1993.…”

Section: Real Estate Investment Trustsmentioning

confidence: 99%

An investigation into REIT performance persistency

Zhou

2009

Journal of Property Research

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Users of this dissertation not regularly enrolled as students at Georgia State University are required to attest acceptance of the preceding stipulations by signing below. Libraries borrowing this dissertation for the use of their patrons are required to see that each user records here the information requested. However, I do find strong evidence of performance reversal based on two-year and three-year ranking and holding periods. Consistent with DeBondt and Thaler (1985)'s overreaction theory, investors tend to overreact based on long-term rather than short-term performance records. This would suggest that investors tend to take a much longer period of time to formulate an opinion regarding a REIT's performance record than previously assumed by earlier researchers. While there is a measurable tendency toward performance reversal, the return spread between the best performing EREITs and worst performing xiii EREITs is marginal. This would indicate that the REIT markets are behaving in a generally efficient fashion. Name of User LIST OF TABLESThe investigation of the association of EREIT characteristics and performance persistence suggests a property type focus and geographic diversification strategy for EREITs. At the same time, EREITs with high leverage also tend to exhibit good performance persistently.

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“…For any real estate investments, investment environment plays an important role. Risk evaluation is an important task for real estate investment under a multicriteria environment (Lee et al, 2008). However, how to develop and design an effective model to evaluate the risk of this multi-criteria investment environment is an urgent and challenging problem.…”

Section: Introductionmentioning

confidence: 99%

A group consensus model for evaluating real estate investment alternatives

Kou

2016

Financ Innov

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Background: Individual decision-making largely influences the effectiveness of decisions and benefits of investments. Methods: In this article, a consensus model for group decision-making (GDM), based on the analytic hierarchy process (AHP), is developed to gather group ideas and analyze the real estate investment environment under multi-criteria problems. Twelve evaluation procedures of the developed model, which increase the convergence of the opinions of multiple experts, are proposed. Results: An empirical case about the real estate investment environment is applied to certify the feasibility of this developed model. Conclusions: the evaluation procedures have been fully observed with several rounds of discussions, and have manifested the experiences of experts. Besides, the evaluation results are in accordance with real-world situations, which demonstrates that our developed model is a feasible analysis tool for real estate investors to obtain better profits and lower risk.

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Real Estate Risk Exposure of Equity Real Estate Investment Trusts

Abstract: REIT, Real estate, Asset pricing, Real estate factor,

Cited by 73 publications

References 29 publications

The Role of Correlated Trading in Setting REIT Prices

The Role of Correlated Trading in Setting REIT Prices

An investigation into REIT performance persistency

A group consensus model for evaluating real estate investment alternatives

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