Search results

1 – 10 of over 3000
To view the access options for this content please click here
Article
Publication date: 6 August 2019

Maurizio d'Amato, Nikolaj Siniak and Giulia Mastrodonato

The purpose of this study is providing a possible methodological solution to the valuation of cyclical.assets. International Valuation Standards introduce a brand new…

Abstract

Purpose

The purpose of this study is providing a possible methodological solution to the valuation of cyclical.assets. International Valuation Standards introduce a brand new definition of property: the cyclical asset (International Valuation Standards Council 2017, IVS 105, p. 39 and p. 41). Among different property valuation methods, normally this kind of properties is appraised using income approach. In this group of methodology, the opinion of value is based on a proportional relationship between property value and rent. In the past years, a group of methods called cyclical capitalization has been proposed (d’Amato, 2003; d’Amato, 2013;d’Amato, 2015; d’Amato, 2017a; d’Amato 2017 b; d’Amato, 2017c). This method proposes an integration between property valuation and property market cycle.

Design/methodology/approach

Cyclical capitalization method is applied using a time series of property market rent of offices in prime location in the South Bank area in London. It consists of the determination of more than one all-risk yield to reproduce the property market cycle.

Findings

A comparison between the cyclical capitalization and two traditional capitalization rate shows how the proposed model is able to provide a stable opinion of value.

Research limitations/implications

The method may represent a contribution for the determination of the value of cyclical assets or for the mortgage lending value.

Practical implications

This paper provides the possibility to have a property valuation method less sensitive to upturn and downturn of the property market.

Social implications

The valuation based on cyclical capitalization are less sensitive to the upturn and the downturn of the market.

Originality/value

It is one of the first scientific paper addressing the problem of the determination of the value of cyclical assets.

Details

Journal of European Real Estate Research, vol. 12 no. 2
Type: Research Article
ISSN: 1753-9269

Keywords

To view the access options for this content please click here
Article
Publication date: 7 August 2017

Kim Hiang Liow and Shao Yue Angela

The purpose of this paper is to investigate the volatility spectral of five major public real estate markets, namely, the USA, the UK, Japan (JP), Hong Kong (HK), and…

Abstract

Purpose

The purpose of this paper is to investigate the volatility spectral of five major public real estate markets, namely, the USA, the UK, Japan (JP), Hong Kong (HK), and Singapore (SG), during the pre- and post-global financial crisis (GFC) periods.

Design/methodology/approach

First, univariate spectral analysis is concerned with discovering price cycles for the respective real estate markets. Second, bivariate cross-spectral analysis seeks to uncover whether any two real estate price series share common cycles with regard to their relative magnitudes and lead-lag patterns of the cyclical variations. Finally, to test the contagion effects, the authors estimate the exact percentage change in co-spectral density (cyclical covariance) due to high frequencies (short run) after the GFC.

Findings

The authors find that whilst none of the public real estate markets examined are spared from the crisis, the three Asian markets were less severely affected by the GFC and were accompanied by a reversal in volatility increase three years post-global financial crisis. Additionally, the public real estate markets studied have become more cyclically linked in recent years. This is particularly true at longer frequencies. Finally, these increased cyclical co-movements measure the outcomes of contagion and indicate fairly strong contagious effects between the public real estate markets examined due to the crisis.

Research limitations/implications

The implication of this research is that benefits to investors from international real estate diversification may not be as great during the present time compared to previous periods because national public real estate markets have become more correlated. Nevertheless, the findings do not imply the complete absence of diversification benefits. This is because although cyclical correlations increase in the short run, many of the correlation values are still between low and moderate range, indicating that some diversification benefits may still be realized.

Practical implications

Given the significant market share and the highest levels of securitization in Asia-Pacific markets including JP, HK/China, and SG, this cyclical research including major public real estate markets has practical implications for ongoing international real estate investment strategies, particularly for the USA/UK and Asian portfolio managers.

Originality/value

This paper contributes to the limited research on the cyclical return and co-movement dynamics among major public real estate markets during financial/economic crisis in international finance. Moreover, the frequency-domain analysis conducted in this paper adds to better understanding regarding the impact of GFC on the cyclical return volatility and co-movement dynamics of major developed public real estate markets in international investing.

Details

Journal of Property Investment & Finance, vol. 35 no. 5
Type: Research Article
ISSN: 1463-578X

Keywords

To view the access options for this content please click here
Article
Publication date: 4 July 2016

Elisa Menicucci and Guido Paolucci

The aim of this paper is to review the main results of accounting research literature examining the role of fair value accounting (FVA) within financial crisis. This…

Abstract

Purpose

The aim of this paper is to review the main results of accounting research literature examining the role of fair value accounting (FVA) within financial crisis. This research analyzes theoretical and empirical studies on the controversial topic about FVA and its alleged pro-cyclicality in the context of the financial crisis to offer solid reflections for improving the fair value research agenda.

Design/methodology/approach

This paper consists of a descriptive literature review. Theoretical and empirical research studies were investigated and then systematized in a framework to guide a literature-based analysis and critique of the relevant literature published about this topic.

Findings

The review reveals that there has been only a limited amount of research into the role of FVA within the financial crisis. This topic has not been researched extensively, and there is no empirical evidence that FVA caused the financial crunch and the subsequent financial crisis.

Research limitations/implications

The restricted amount of literature that directly deals with FVA in the context of the financial crisis is the main limitation of this paper. The specificity of the theme narrows the coverage. However, the adopted research methodology enabled the main contributions concerning this issue to be collected, to realize a concise and comprehensive portrait of the debate surrounding FVA and the financial crisis.

Practical implications

This paper can be of use to both researchers and practitioners interested in investigating strengths and weaknesses of the fair value concept for accounting purposes. The paper sets out the main findings of the academic literature and identifies future avenues of theoretical and practical research which may support standard setters to draw up improved accounting regulation.

Originality/value

Few existing studies consist of a literature review that examines theoretical and empirical researches on the influence of FVA on the financial system. This review offers a comprehensive overview on research literature concerning the responsibility of FVA in causing the financial crisis. The main contribution of this paper relates to further understanding the role and effects of accounting matters concerning fair value in a broad sense within the context of the financial crisis.

Details

Journal of Financial Reporting and Accounting, vol. 14 no. 1
Type: Research Article
ISSN: 1985-2517

Keywords

To view the access options for this content please click here
Article
Publication date: 12 July 2011

James DeLisle and Terry Grissom

Current economic conditions have identified a complication if not conflict in the application of valuation analysis assumptions with the free fall in asset prices observed…

Abstract

Purpose

Current economic conditions have identified a complication if not conflict in the application of valuation analysis assumptions with the free fall in asset prices observed since 2007. Discrepancies in debt obligations (from prior periods) with underlying collateral value have been opined to be an unforeseen anomaly. This investigation aims to observe an alternative perspective using data from 1900 to the present.

Design/methodology/approach

This 110‐year period of observation shows that return (value) volatility is the characteristic norm of the market system. Showing volatility as a fundamental characteristic of economic and property performance supports conjecture by definition, observation and rationality that valuation analysis had to be successfully employed in prior down cycles and across divergent economic regimes. A systematic literature search was conducted to identify the application of specific value theory, premises and concepts with appropriate valuation techniques in given economic regimes. The variables derived from the literature and practices observed and designated as operating across time emphasizing recorded recessions are then tested for statistically significant associations using χ2 tests.

Findings

The findings show that traditional value techniques are successfully applied in stabilized and even accelerated growth periods, but weaken and even break down during down markets. Alternative approaches and techniques are emphasized and developed during these periods that address specific problems but are befitting more general issues. The alternative perspectives are then observed to operate, generating much debate for extended periods. They are then incorporated as orthodox or disappear as issues. This study identifies a statistical link between the economic and valuation concerns of the Great Depression of the 1930s and the current Great Recession of 2007‐2009. The more relevant finding, however, is that the period following the depression of the 1930s, which shows a period characterized as using innovation and alternative valuation techniques, was continued into a period that ran from the 1950s into the mid‐1990s. This was a period of stabilization, at least into the early 1980s. The deregulation of the 1980s generated a period of fewer cycles but major magnitude shifts in the less frequent measures of volatility. Unfortunately, the sophistication in debate concerning valuation procedure and valuation premises, as statistically measured, declined from the 1990s into the present period. The present economy reflects statistical measures similar to those observed from 1900‐1930.

Originality/value

Given the 110 years considered in the study, the findings should not be considered original with regard to assisting the general welfare or professional decision making. However, given that the market shifted from being a useful institution to assist in the allocation and distribution of property to being a religious caveat that could only result in perfect solutions to solve all social needs, wants and ills, the findings emphasizing valuation techniques based on rational value premises that can operate to assist inference of future events subject to divergent and cyclical operations might be calmed to offer very useful assistance with procedure based on fundamentals and expression of behaviour that has long been vilified. The uses of the patterns identified in this study need to be incorporated into causal analysis.

Details

Journal of Property Investment & Finance, vol. 29 no. 4/5
Type: Research Article
ISSN: 1463-578X

Keywords

To view the access options for this content please click here
Article
Publication date: 21 November 2016

Doriana Cucinelli

This study aims to analyze bank lending behavior before and during the most recent financial crisis. Banks are more willing to grant loans during economic expansion…

Abstract

Purpose

This study aims to analyze bank lending behavior before and during the most recent financial crisis. Banks are more willing to grant loans during economic expansion. However, this behavior can result in reduced portfolio asset quality. The analysis tries to facilitate understanding of whether this relationship is always true. A second aim of the study is to highlight whether the impact of credit risk on bank lending behavior during a financial crisis is greater for banks that grew faster during the pre-crisis period than for other banks.

Design/methodology/approach

The analysis is based on a sample of banks in Italy, an example of a country undergoing a credit crunch without a lending bubble burst. The methodology is based on a panel regression and author uses different models to test his hypothesis: an ordinary least squares, a fixed effect, a least absolute regression and a Generalized Method of Momentum (GMM). This allows to mitigate some of the endogeneity problems.

Findings

The essay shows that effectively, most of the banks that grew faster during a pre-crisis period show a higher growth of non-performing loans and a greater reduction in lending activity during a financial crisis. However, 34 per cent of banks that grew faster during a pre-crisis period have a low growth of non-performing loans in the subsequent years. Finally, the results suggest that credit risk negatively affects bank lending behavior, but a higher impact relative to fast banks with respect to other banks cannot be emphasized.

Practical implications

Findings have some policy implications. First, given the adverse effect of the increase of non-performing loans (NPLs) on the bank’s lending activity and on the broad economy in general, there is merit to strengthen supervision to prevent a further increase and accumulation of NPLs in the bank’s credit portfolio. In addition, the supervisors could require that banks take always high credit standard when extend credit, both during positive economic cycle and during period of contraction. The using of higher credit standard could be helpful in the reduction of the pro-cyclicality of bank’s lending behavior and credit risk. Furthermore, the fact that high level of NPLs continues to impact on the bank’s lending activity and that this activity is very important for the economic recovery underlines that banks should clean-up their credit portfolios as soon as possible.

Originality/value

This paper contributes to the literature in various ways. The study analyzes the cyclical effect of credit growth, i.e. banks increase their bank lending behavior during good times, which leads to an increase in bad loans and a high credit risk in their portfolio. These cyclical effects are not knowingly studied together, but the literature usually analyzes the single steps of the cycle. Second, studying listed and unlisted banks allows to have a more representative sample and to analyze better the real bank lending activity considering both commercial than cooperative banks.

Details

The Journal of Risk Finance, vol. 17 no. 5
Type: Research Article
ISSN: 1526-5943

Keywords

To view the access options for this content please click here
Book part
Publication date: 9 November 2009

Risto Herrala

We test the hypothesis that credit quality deteriorates during credit booms. The test case is a pronounced cycle in connection with a banking crisis, ranked among the most…

Abstract

We test the hypothesis that credit quality deteriorates during credit booms. The test case is a pronounced cycle in connection with a banking crisis, ranked among the most extreme in international studies. A unique data set allows us to rate household borrowers during the cycle, and aggregate the ratings to the macroeconomic level. The post-crisis period is also studied to find changes in credit quality.

The method reveals significant variation in average ratings of household borrowers during the crisis cycle and its aftermath. We find that ‘point-in-time’ ratings, calculated with realised data, do not indicate deterioration in average credit quality during the credit boom. In contrast, ‘through-the-cycle’ ratings, constructed by using data that is cleaned from cyclical variation, behave in accordance with the hypothesis. By all measures used, a significant improvement in the average quality of borrowers is found during the post-crisis period.

Details

Credit, Currency, or Derivatives: Instruments of Global Financial Stability Or crisis?
Type: Book
ISBN: 978-1-84950-601-4

To view the access options for this content please click here
Article
Publication date: 6 July 2015

Zaid Alwan and Barry J. Gledson

The purpose of this paper is to provide a unique conceptual framework for integrated asset management strategy that includes making use of available facility assessment…

Abstract

Purpose

The purpose of this paper is to provide a unique conceptual framework for integrated asset management strategy that includes making use of available facility assessment methods and tools such as BREEAM In-Use, and Leadership in Energy and Environmental Design (LEED); and highlights proposes areas of commonality between these and the use of as-built Building Information Modelling, that ultimately becomes the Asset Information Model (AIM). This framework will consider the emerging requirements for the capture of Building Performance Attribute Data (BPAD), and how these can be managed in order to assist with effective post-construction building performance evaluation.

Design/methodology/approach

A review of the current process relevant to the development of as-built BIMs and AIMs was undertaken which included a discussion of BIM standards and of the COBie process. This was combined with data provided by industry practitioners. This led to the concept of BPADs being developed, to be used within existing green building tool, BREEAM In-Use, COBIE and FM/Asset management methods. In turn these methodologies were used to identify possible synergies and areas of integration in AIM-enabled environments.

Findings

Recognising the cyclical nature of asset management and BIM, a conceptual model was generated. It was found that BPADs could be aggregated within an AIM model which could influence the delivery of effective facilities and asset management. The model considers the use of existing Building Management Systems (BMS) and Computer Aided Facility Management Systems (CAFMs) and identifies issues associated with the overall sustainability strategy.

Originality/value

A conceptual framework is generated that proposes the use of effective information management and aggregation of BPAD within an AIM.

Details

Built Environment Project and Asset Management, vol. 5 no. 3
Type: Research Article
ISSN: 2044-124X

Keywords

To view the access options for this content please click here

Abstract

Details

Shipping Company Strategies
Type: Book
ISBN: 978-0-08-045806-9

To view the access options for this content please click here
Article
Publication date: 4 September 2017

David Scofield and Steven Devaney

The purpose of this paper is to understand what affects the liquidity of individual commercial real estate assets over the course of the economic cycle by exploring a…

Abstract

Purpose

The purpose of this paper is to understand what affects the liquidity of individual commercial real estate assets over the course of the economic cycle by exploring a range of variables and a number of time periods to identify key determinants of sale probability.

Design/methodology/approach

Analyzing 12,000 UK commercial real estate transactions (2003 to 2013) the authors use an innovative sampling technique akin to a perpetual inventory approach to generate a sample of held assets for each 12 month interval. Next, the authors use probit models to test how market, owner and property factors affect sale probability in different market environments.

Findings

The types of properties that are most likely to sell changes between strong and weak markets. Office and retail assets were more likely to sell than industrial both overall and in better market conditions, but were less likely to sell than industrial properties during the downturn from mid-2007 to mid-2009. Assets located in the City of London more likely to sell in both strong and weak markets. The behavior of different groups of owners changed over time, and this indicates that the type of owner might have implications for the liquidity of individual assets over and above their physical and locational attributes.

Practical implications

Variation in sale probability over time and across assets has implications for real estate investment management both in terms of asset selection and the ability to rebalance portfolios over the course of the cycle. Results also suggest that sample selection may be an issue for commercial real estate price indices around the globe and imply that indices based on a limited group of owners/sellers might be susceptible to further biases when tracking market performance through time.

Originality/value

The study differs from the existing literature on sale probability as the authors analyzed samples of transactions drawn from all investor types, a significant advantage over studies based on data restricted to samples of domestic institutional investors. As well, information on country of origin for buyers and sellers allows us to explore the influence of foreign ownership on the probability of sale. Finally, the authors not only analyze all transactions together, but the authors also look at transactions in five distinct periods that correspond with different phases of the UK commercial real estate cycle. This paper considers the UK real estate market, but it is likely that many of the findings hold for other major commercial real estate markets.

Details

Journal of Property Investment & Finance, vol. 35 no. 6
Type: Research Article
ISSN: 1463-578X

Keywords

To view the access options for this content please click here
Book part
Publication date: 16 August 2014

Michael Williams

This chapter examines the increased levels of cross-asset price comovement and its relationship with the recent rounds of “extraordinary intervention” from the US Federal…

Abstract

This chapter examines the increased levels of cross-asset price comovement and its relationship with the recent rounds of “extraordinary intervention” from the US Federal Reserve. The results show that, even after controlling for the preceding financial crisis, asset return volatility, investor risk perceptions, and channels of monetary stimulus, historically unrelated financial asset returns experienced abnormal changes in their conditional correlations. The strength of these cross-asset correlations is directly linked to periods of Federal Reserve interventions yet disappear when the interventions were (in fact or were perceived to be) withdrawn. Despite being studied extensively in the academic literature, no traditional intervention channels can explain the changes in cross-comovement. It is proposed that the Fed’s extraordinary stimulus caused investors to use Fed announcements as a common, low-cost information source on which they used to make common portfolio-allocation decisions. The changes in comovement during the intervention period may have reduced investor welfare for those with longer-horizon allocation strategies, those not prepared for the eventual ending of the stimulus, and for underfunded liability-optimizing portfolio managers (e.g., state pension funds).

Details

International Financial Markets
Type: Book
ISBN: 978-1-78190-312-4

Keywords

1 – 10 of over 3000