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International listed real estate returns: evidence from the global financial crisis

Alain Coën (Department of Finance, Université du Québec à Montréal, Montreal, Canada)
Patrick Lecomte (Department of Real Estate and Finance, Henley Business School, University of Reading Malaysia, Iskandar Puteri, Malaysia)

Journal of Property Investment & Finance

ISSN: 1463-578X

Article publication date: 9 January 2019

Issue publication date: 24 January 2019

Abstract

Purpose

The purpose of this paper is to analyze and revisit the risk and performance of publicly traded real estate companies from 14 countries over the period 2000–2015, marked by the unprecedented Global Financial Crisis, in presence of errors-in-variables (EIV) and illiquidity (measured by serial correlation, following Getmansky et al. (2004)).

Design/methodology/approach

The authors extend the seminal work of Bond et al. (2003), and shed a new light on the relative performance of listed real estate before and after the GFC. First, the authors suggest the use of various asset pricing models (APM) including the Fama and French (2015) five-factor APM with global and country-level factors. Second, the authors implement unbiased estimators to correct for the econometric bias induced by EIV in APM. Third, the authors deal with the impact of illiquidity (measured by serial correlation) on the risk properties of international securitized real estate returns.

Findings

The findings show that post-GFC, a radical change in international listed real estate risk factors has resulted in more homogeneous markets internationally and less diversification opportunities for international investors.

Practical implications

The authors suggest the use of robust linear APM (including the Fama and French (2015) five-factor APM) to analyze the risk and performance of publicly traded real estate companies from 14 countries over the period 2000–2015.

Originality/value

The authors analyze and revisit the risk and performance of publicly traded real estate companies from 14 countries over the period 2000–2015, marked by the unprecedented Global Financial Crisis.

Keywords

Citation

Coën, A. and Lecomte, P. (2019), "International listed real estate returns: evidence from the global financial crisis", Journal of Property Investment & Finance, Vol. 37 No. 1, pp. 72-91. https://doi.org/10.1108/JPIF-03-2018-0021

Publisher

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Emerald Publishing Limited

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