The Role of Real Estate in an Institutional Investor’s Portfolio Revisited

Chun, Gregory H.; Sa‐Aadu, Jarjisu; Shilling, James D.

doi:10.1023/b:real.0000036675.46796.21

Cited by 58 publications

(34 citation statements)

References 27 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…For robustness, we also apply AIC criteria to choose the optimal lag, and base on this lag to decide the causality relationship of the variables. 19 See Hamilton (1994) for more details.…”

Section: Granger Causality Analysismentioning

confidence: 99%

“…To improve our understanding, we would now dis-aggregate the IPO data by the company origin and employ the Granger Causality test for the analysis. 19 Since the test for some variables are very sensitive to the selected number of lags, we choose the lags from 1 to 6 for the monthly data set. The majority rule would decide whether X Granger causes Y.…”

Section: Granger Causality Analysismentioning

confidence: 99%

See 1 more Smart Citation

Speculating China Economic Growth Through Hong Kong? Evidence from the Stock Market IPO and Real Estate Markets

Leung

Tang

2010

SSRN Journal

View full text Add to dashboard Cite

This paper argues that since China closes her asset markets, investors turn to Hong Kong instead. The initial public offerings (IPO) of Chinese firms in the Hong Kong stock market and the local housing market of Hong Kong improve the prediction of each other, as they may serve as a coordinator of herds among investors. Alternative explanations such as the "production conjecture" and "underlying factor conjecture" are found to be inconsistent with the data. Our results are also consistent with the increasing importance of Chinese tourists in the world. Directions for future research are also discussed.Keywords: Animal Spirits conjecture, production conjecture, underlying factor conjecture, causality, wealth effect JEL classification numbers: G10, R20, R33 Coorespondence: Charles Leung and Edward Tang, Department of Economics and Finance, City University of Hong Kong, Kowloon Tong, Hong Kong, (phone) (852) 3442-9604; (email) kycleung@cityu.edu.hk ; edward.c.h.tang@gmail.com 2 "… But if we look up confidence in the dictionary, we see that it is more than a prediction. The dictionary says that it means "trust" or "full belief." The word comes from the Latin fido, meaning "I trust." The confidence crisis that we are in at the time of this writing is also called a credit crisis. The word credit derives from the Latin credo, meaning "I believe."… In good times, people trust. They make decisions spontaneously. They know instinctively that they will be successful… Asset values will be high and perhaps also increasing…. When people are confident they go out and buy; when they are unconfident they withdraw, and they sell. Economic history is full of such Empirical researches suggest that on average, a high economic growth is associated with a high return in the stock market.1 Thus, it would be natural to suggest that one should invest in the China stock market. On the other hand, it may not be easy for individual investors to "capture" such phenomenal growth financially. (Insert Figure 1) The case of Hong Kong is selected by this paper with good reasons. Despite its small geographical size, Hong Kong is an important financial market in the region. Hong Kong is the second largest Asian financial market Kong has a very good legal system . Leung, Wong and Cheung (2007) shows that in terms of the average number of transactions per unit of housing, Hong Kong play a more important role than institutional investors and developers. And since households would arguably be more vulnerable to "market sentiment" and "social interactions", the "market sentiment channel" may appear more significantly in the housing market than in the commercial real estate market. In fact, Wang et al (2000), Leung et al (2013) have proposed that "over-confidence" on the household side may explain a significant portion of the housing market dynamics in Hong Kong. This paper can be understood as an indirect test of that class of "conjecture". If the "market sentiment" is indeed the driving force, we would observe a positive and significant relati...

show abstract

“…For robustness, we also apply AIC criteria to choose the optimal lag, and base on this lag to decide the causality relationship of the variables. 19 See Hamilton (1994) for more details.…”

Section: Granger Causality Analysismentioning

confidence: 99%

Section: Granger Causality Analysismentioning

confidence: 99%

Speculating China Economic Growth Through Hong Kong? Evidence from the Stock Market IPO and Real Estate Markets

Leung

Tang

2010

SSRN Journal

View full text Add to dashboard Cite

show abstract

“…While there has been research on real estate mutual fund managers trading public real estate securities (Chiang et al 2008), and the performance of managers of public real estate companies (Brounen et al 2007), few studies have investigated the performance of large institutional real estate fund managers investing directly in commercial property assets. In many countries, such as the United Kingdom, this segment of the investment market dominates the value of publicly traded real estate funds or mutual fund-type products aimed at retail investors (see discussions in Chun et al 2004;Bond et al 2007).…”

Section: Introductionmentioning

confidence: 99%

Alpha and Persistence in Real Estate Fund Performance

Bond

Mitchell²

2010

J Real Estate Finan Econ

View full text Add to dashboard Cite

show abstract

“…13 In this view, no significant relationship is expected between CRE holdings and corporate leverage. In addition, since real estate can serve as collateral for borrowings, CRE holdings are expected to be positively associated with long term debt 14 . We employ the ratio of long term debt to total assets as a measure of level of debt to control for the effect of corporate leverage on CRE holdings.…”

Section: Level Of Debtmentioning

confidence: 99%

Return Enhancing, Cash-Rich or Simply Empire-Building? An Empirical Investigation of Corporate Real Estate Holdings

Leung

2013

SSRN Journal

View full text Add to dashboard Cite

No, we find no evidence for a return-enhancing role for corporate real estate holdings, which is consistent with the previous literature. Instead, our study based on a sample of U.S. listed corporations suggests that corporate real estate holdings are a form of managerial "empire building". Corporations with weaker corporate governance and a lower degree of financial constraint tend to have higher real estate holdings, whereas higher real estate holdings are associated with lower returns to shareholders. The impact of corporate governance on corporate real estate holdings seems to be stronger in manufacturing-related industries. Implications and future research directions are discussed. JEL classification Number: D210, G110, G300

show abstract

The Role of Real Estate in an Institutional Investor’s Portfolio Revisited

Cited by 58 publications

References 27 publications

Speculating China Economic Growth Through Hong Kong? Evidence from the Stock Market IPO and Real Estate Markets

Speculating China Economic Growth Through Hong Kong? Evidence from the Stock Market IPO and Real Estate Markets

Alpha and Persistence in Real Estate Fund Performance

Return Enhancing, Cash-Rich or Simply Empire-Building? An Empirical Investigation of Corporate Real Estate Holdings

Contact Info

Product

Resources

About