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Article
Publication date: 3 April 2017

James R. DeLisle and Terry V. Grissom

The purpose of this paper is to investigate changes in the commercial real estate market dynamics as a function of and conditional to the shifts in market state-space…

Abstract

Purpose

The purpose of this paper is to investigate changes in the commercial real estate market dynamics as a function of and conditional to the shifts in market state-space environment that can influence agent responses.

Design/methodology/approach

The analytical design uses a comparative computational experiment to address the performance of property assets in the current market based on comparison with prior structural patterns. The latent variables developed across market sectors are used to test agent behavior contingent on the perspectives of capital asset pricing conditionals (CAPM) and a behavioral momentum/herd construct. The state-space momentum analysis can assist the comparative analysis of current levels and shifts in property asset performance given the issues that have arisen with the financial crisis of 2007-2009.

Findings

An analytic approach is employed framed by a situation-dependent model. This frame considers risk profiles characterizing the perspectives and preferences guiding a delineated market state. This perspective is concerned with the possibility of shifts in market momentum and representativeness conditioning investor expectations. It is observed that the current market (post-crisis) has changed significantly from the prior operations (despite the diversity observed in prior market states). The dynamics of initial findings required an additional test anchored to the performance of the general capital market and the real economy across time. This context supports the use of a modified CAPM model allowing the consideration of opportunity cost in a space-time dynamic anchored with the consideration of equity, debt, riskless asset and liquidity options as they varied for the representative agents operating per market state.

Research limitations/implications

This paper integrates neoclassical and behavioral economic constructs. Combines asset pricing with prospect theory and allows the calculation of endogenous time-preferences, risk attitudes and formulation and testing of hyperbolic discounting functions.

Practical implications

The research shows that market structure and agent behavior since the financial crisis has changed from the investment and valuation perspectives operating as observed and measured from 1970 up to 2007. In contradiction to the long-term findings of Reinhart and Rogoff (2008), but in compliance with common perspectives and decision heuristics often employed by investors, this time things have changed! Discounting and expected rates of return are dynamic and are hyperbolic and not constant. Returns and investment for property assets are situational (market state-space specific) and offer a distinct asset class, not appropriately estimated by many of the traditional financial models.

Social implications

Assist in supporting insights to measure in errors and equations that result in inefficient resource allocation and beta discounting that supports the financial crisis created by assets subject to long-term decision needs (delta function).

Originality/value

The paper offers a combination and comparison of neoclassic asset pricing using a modified CAPM (two-pass) approach within the structural frame of Kahneman and Tversky’s (1979) prospect theory. This technique allows the consideration of the effects of present bias, beta-delta functions and the operation of the Allais Paradox in market states that are characterized by gains and losses and thus risk aversion and risk seeking behavior. This ability for differentiation allows for the development of endogenous time-preferences and hyperbolic discounting factors characteristic of commercial property investment.

Details

Journal of Property Investment & Finance, vol. 35 no. 3
Type: Research Article
ISSN: 1463-578X

Keywords

Article
Publication date: 4 May 2020

James R. DeLisle, Brent Never and Terry V. Grissom

The paper explores the emergence of the “big data regime” and the disruption that it is causing for the real estate industry. The paper defines big data and illustrates…

1048

Abstract

Purpose

The paper explores the emergence of the “big data regime” and the disruption that it is causing for the real estate industry. The paper defines big data and illustrates how an inductive, big data approach can help improve decision-making.

Design/methodology/approach

The paper demonstrates how big data can support inductive reasoning that can lead to enhanced real estate decisions. To help readers understand the dynamics and drivers of the big data regime shift, an extensive list of hyperlinks is included.

Findings

The paper concludes that it is possible to blend traditional and non-traditional data into a unified data environment to support enhanced decision-making. Through the application of design thinking, the paper illustrates how socially responsible development can be targeted to under-served urban areas and helps serve residents and the communities in which they live.

Research limitations/implications

The paper demonstrates how big data can be harnessed to support decision-making using a hypothetical project. The paper does not present advanced analytics but focuses aggregating disparate longitudinal data that could support such analysis in future research.

Practical implications

The paper focuses on the US market, but the methodology can be extended to other markets where big data is increasingly available.

Social implications

The paper illustrates how big data analytics can be used to help serve the needs of marginalized residents and tenants, as well as blighted areas.

Originality/value

This paper documents the big data movement and demonstrates how non-traditional data can support decision-making.

Details

Journal of Property Investment & Finance, vol. 38 no. 4
Type: Research Article
ISSN: 1463-578X

Keywords

Article
Publication date: 23 July 2020

James R. DeLisle, Terry V. Grissom and Brent Never

The purpose of this study is to explore spatiotemporal factors that affect the empirical analysis of whether crime rates in buffer areas surrounding abandoned properties…

Abstract

Purpose

The purpose of this study is to explore spatiotemporal factors that affect the empirical analysis of whether crime rates in buffer areas surrounding abandoned properties transferred to a Land Bank that differed among three regimes: before transfer, during Land Bank stewardship and after disposition and whether those differences were associated with differences in relative crime activity in the neighborhoods in which they were located.

Design/methodology/approach

This study analyzed crime incidents occurring between 2010 and 2018 in 0.1-mile buffer areas surrounding 31 abandoned properties sold by the Land Bank and their neighborhoods in which those properties were located. Using Copulas, researchers compared concordance/discordance in the buffer areas across the three regime states for each property and approximately matched time periods for associated neighborhoods.

Findings

In a substantial number of cases, the relative crime activity levels for buffer areas surrounding individual sold properties as measured by the Copulas shifted from concordant to discordant states and vice versa. Similarly, relative crime activity levels for neighborhoods shifted from concordant to discordant states across three matched regimes. In some cases, the property and neighborhood states matched, while in other cases they diverged. These cross-level interactions indicate that criminal behavioral patterns and target selection change over time and relative criminal activity. The introduction of Copulas can improve the reliability of such models over time and when and where they should be customized to add more granular insights needed by law enforcement agencies.

Research limitations/implications

The introduction of Copulas can improve the spatiotemporal reliability of the analysis of criminal activity over space and time.

Practical implications

Spatiotemporal considerations should be incorporated in setting interventions to manage criminal activity.

Social implications

This study provides support for policies supporting renovation of abandoned properties.

Originality/value

To the best of authors’ knowledge, this research is the first application of Copulas to crime impact studies. As noted, Copulas can help reduce the risk of applying intervention or enforcement programs that are no longer reliable or lack the precision provided by insights into convergent/divergent patterns of criminal activity.

Details

Journal of European Real Estate Research, vol. 15 no. 1
Type: Research Article
ISSN: 1753-9269

Keywords

Content available
Article
Publication date: 1 December 2001

James R. DeLisle

55

Abstract

Details

Property Management, vol. 19 no. 5
Type: Research Article
ISSN: 0263-7472

Content available
Article
Publication date: 1 December 2001

James R. DeLisle

63

Abstract

Details

Journal of Property Investment & Finance, vol. 19 no. 6
Type: Research Article
ISSN: 1463-578X

Article
Publication date: 1 March 1950

DOROTHY K. COVENEY

Medievalists have such reason to be grateful to the makers of manuscript catalogues in the last half century that any criticism of the products of their labours must…

Abstract

Medievalists have such reason to be grateful to the makers of manuscript catalogues in the last half century that any criticism of the products of their labours must inevitably sound ungracious. M. l'Abbé Leroquais may deny that the cataloguer, engaged on work ‘so varied and rich in surprises’, needs our pity, but he is, after all, speaking of France, where such work is sponsored by the State. The British cataloguer, frequently prompted only by his own urge, defraying often the expenses of his visits to the collections, hampered by shortness of time and lack of funds both for the work and for publication, must be revered as a pioneer. He ploughs a lone furrow, frequently self‐taught.

Details

Journal of Documentation, vol. 6 no. 3
Type: Research Article
ISSN: 0022-0418

Article
Publication date: 4 May 2012

Terry Grissom, Lay Cheng Lim and James DeLisle

The purpose of this paper is to investigate the strategy that a turnaround in the USA will portend a turnaround in the UK's economy and property market. For this strategy…

Abstract

Purpose

The purpose of this paper is to investigate the strategy that a turnaround in the USA will portend a turnaround in the UK's economy and property market. For this strategy to operate, it is assumed that the capital and property markets in and between the two nations are highly integrated with endogenous pricing functions.

Design/methodology/approach

Given the endogenous assumptions of the conjectured research statement, tests of integration (or segmentation) between two capital and property markets are conducted. Correlation, tracking error analysis, and a multiple systematic risk factor model are used to test the pricing relationships. The methodological form employs variant macroeconomic variable pricing models (MVM) of alternative combinations of systematic affects operating across and between the national markets.

Findings

Pricing integration is noted between the UK and US capital markets, while the property markets are economically and statistically segmented. Opportunities for arbitrage based on different prices/returns for equivalent risk exposures are statistically observed between the UK and USA. The effect is that systematic pricing between the two markets cannot be addressed solely by diversification options. This infers a potential for arbitrage (statistically, strategically or in practice) is possible, given that systematic risk exposures between the two markets are not equivalently priced across cyclical phases. In this context it is inferred that the probable measure of pricing differences across the two markets is more than a cyclical lag effect.

Originality/value

The paper delineates the degrees of integration/segmentation in the UK and US property and capital markets as a function of systematic risks in changing economic conditions. These differences support the existence of statistical arbitrage and the specification of investment behaviour as a function of differencing pricing expectations. These findings can assist in the formulation of investment and hedging strategies to assist in managing international portfolios subject to cyclical market exposures. This paper contributes to an understanding of and foundation for testing the nature and impact of cycles on property investment performance as a function of pricing changes.

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…

2031

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

Article
Publication date: 6 March 2017

Satakhun Kosavinta, Donyaprueth Krairit and Do Ba Khang

The purpose of this paper is to investigate the rationality of the decision making of residential developers in Thailand. Exploring its implications in the residential…

Abstract

Purpose

The purpose of this paper is to investigate the rationality of the decision making of residential developers in Thailand. Exploring its implications in the residential development field, the researchers propose the famous prospect theory as the primary cause of developers’ incompetent decisions during the pre-development stage of residential development.

Design/methodology/approach

The methodologies used in this research include literature review, expert interview, and experimental questionnaire.

Findings

The results show that Thai developers exhibit all five aspects of prospect theory: loss aversion, fourfold pattern, bias from rare events, mental accounting, and preference reversals (PR); however, in contrast to previous literature, the researchers found that Thai developers always choose to receive gains, and usually make risky choices to avoid losses, even if the risk of loss is low. Moreover, status quo bias has a low influence on Thai developers: they tend to become attached to the areas they develop, but remain flexible in selecting a project type that fits the land. In addition, PR and the framing effect affect only some groups of developers.

Practical implications

This research provides awareness to professionals in the residential development field to make sound judgements, using Thailand as a case study.

Originality/value

This paper reveals the existence of the unproven prospect theory in the residential development field using an empirical study in Thailand as a case study.

Details

Journal of Property Investment & Finance, vol. 35 no. 2
Type: Research Article
ISSN: 1463-578X

Keywords

Article
Publication date: 30 October 2018

William Buslepp, R. Jared DeLisle and Lisa Victoravich

Part II of the Public Company Accounting Oversight Board (PCAOB) inspection report is released only when firms fail to remediate quality control criticisms and is intended…

Abstract

Purpose

Part II of the Public Company Accounting Oversight Board (PCAOB) inspection report is released only when firms fail to remediate quality control criticisms and is intended to be a public signal of audit quality. The purpose of this paper is to reexamine whether audit clients react to the release of Part II of the PCAOB inspection report as a signal of audit quality.

Design/methodology/approach

This study uses a difference-in-difference regression model to examine the association between the release of Part II of the PCAOB inspection report and an audit firm’s change in market share. A sensitivity analysis is also performed to determine whether the main findings are robust to the timing of the release of the report and type of quality control criticism included in Part II of the inspection report.

Findings

After controlling for the prior year’s changes in market share, the authors find no evidence that clients react to the public release of Part II of the report. In the second part of the study, they examine when clients become aware of the contents of the Part II report prior to its release. Firms with audit performance criticisms experience a decrease in market share following the release of Part I. Firms with firm management criticisms experience a significant decrease in market share following the remediation period and before the public release of Part II.

Practical implications

The results suggest that Part II of the PCAOB inspection report does not provide new information to the market. Clients appear to be aware of the information contained in Part II of the PCAOB inspection report prior to its release. The authors believe that the delay in releasing the Part II report may create an information imbalance, and the PCAOB may want to consider ways to improve the timeliness of the information.

Originality/value

This study questions the generalizability of prior research which finds that Part II of the inspection report provides new information that is valued by the public company audit market as a signal of audit quality. The findings provide new evidence that the contents of Part II and the firm’s ability to remediate the quality control concerns are known to audit clients prior to the public release.

Details

Managerial Auditing Journal, vol. 33 no. 8/9
Type: Research Article
ISSN: 0268-6902

Keywords

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