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Corporate real estate (CRE) refers to the land and buildings owned by companies not primarily in the real estate business. Given a large concentration of corporate wealth in real estate and that management is committed to increasing shareholders’ wealth, this paper identifies and discusses three major issues regarding the authors’ understanding of strategic CRE analysis and management from the perspectives of end‐users, corporate finance and capital markets. The paper reviews recent studies and evidence related to these questions and considers future research that promises to be challenging and fruitful.

This research aims to investigate whether and to what extent the co-movements of cross-country business cycles, cross-country stock market cycles and cross-country real estate market cycles are linked across G7 from February 1990 to June 2014.

The empirical approaches include correlation analysis on Hodrick–Prescott (HP) cycles, HP cycle return spillovers effects using Diebold and Yilmaz’s (2012) spillover index methodology, as well as Croux et al.’s (2001) dynamic correlation and cohesion methodology.

There are fairly strong cycle-return spillover effects between the cross-country business cycles, cross-country stock market cycles and cross-country real estate market cycles. The interactions among the cross-country business cycles, cross-country stock market cycles and cross-country real estate market cycles in G7 are less positively pronounced or exhibit counter-cyclical behavior at the traditional business cycle (medium-term) frequency band when “pure” stock market cycles are considered.

The research is subject to the usual limitations concerning empirical research.

This study finds that real estate is an important factor in influencing the degree and behavior of the relationship between cross-country business cycles and cross-country stock market cycles in G7. It provides important empirical insights for portfolio investors to understand and forecast the differential benefits and pitfalls of portfolio diversification in the long-, medium- and short-cycle horizons, as well as for research studying the linkages between the real economy and financial sectors.

In adding to the existing body of knowledge concerning economic globalization and financial market interdependence, this study evaluates the linkages between business cycles, stock market cycles and public real estate market cycles cross G7 and adds to the academic real estate literature. Because public real estate market is a subset of stock market, our approach is to use an original stock market index, as well as a “pure” stock market index (with the influence of real estate market removed) to offer additional empirical insights from two key complementary perspectives.

With growing interdependence between financial markets, the goal of this paper is to examine the dynamic interdependence between corporate equity and public real estate markets for the USA and a select group of seven European developed economies under a cross-country framework in crisis and boom market conditions. Dynamic interdependence is related to four measures of market linkages of “correlation, spillover, connectedness and causality”.

This study adopts a four-step investigation. The authors first estimate “time-varying variance–covariance spillovers and implied correlations” modeled with the bivariate BEKK-MGARCH methods. Second, the methods of Diebold and Yilmaz (2012, 2014) measure the conditional volatility spillover-connectedness effects across the corporate equity and public real estate markets based on a decomposition of the forecast error variance. Third, the authors implement nonlinear bivariate and multivariate causality tests to understand the lead-lag dynamics of the two asset markets' returns, volatilities and net directional volatility connectedness across different sample periods. Finally, the authors conclude the study by providing a portfolio hedging analysis.

The authors find that corporate equity and public real estate are moderately interdependent to the extent that their diversification benefits increases in the longer term. Moreover, the authors find increased corporate equity-public real estate causal dependence of the market groups of the European and international portfolios during the GFC and INTERCRISIS periods. The nonlinear causality test findings indicate that the joint information of asset markets can be a useful source of prediction for future innovation of market risks. Additionally, policy makers may also be able to employ conditional volatility and volatility connectedness as two other measures to manage market stability in the cross-asset market dependence during highly volatile periods.

One major take away from this academic research is since international portfolio investors are not only concerned the long-term price relationship but also the correlation structure and volatility spillover-connectedness, the conditional BEKK modeling, generalized risk connectedness analysis and nonlinear causal dependence explorations from this multi-country study can shed fresh light on the nature of market interdependence and magnitude of volatility connectedness effects in a multi-portfolio framework.

The hedging performance analysis for portfolio diversification and risk management indicates that industrial stocks (“pure” equities) are valuable assets that can improve the hedging performance of a well-diversified corporate equity-public real estate portfolio during crisis periods. For policymakers, the findings provide important information about the nature of causal links and predictability during the crisis and asset-market boom periods. They can then equip with this information to manage and coordinate market stability in cross corporate equity-real estate relationships effectively.

Although traditional research has in general reported at least a moderate degree of relationship between the two asset markets, investors' knowledge of stock-public real estate market linkage is somewhat inadequate and confine mostly to broad stocks (i.e. stocks that are exposed to public real estate influence) in a single-country context. In this paper, the authors examine the interdependence dynamics in a multi-country (multi-portfolio) context. A clear understanding their changing market relationships in a multi-country context is of crucial importance for portfolio investors, financial institutions and policy makers. Moreover, since the authors use an orthogonal stock market index, the authors allow global investors to understand the potential diversification benefits from stock markets that are beyond the public real estate market under different market conditions.

The proportion of real estate in a non‐property company’s asset portfolio has increased to an extent where it has become an asset capable of enhancing corporate wealth. This initial study hopes to establish the foundation and provide background information on corporate real estate holding profiles of listed Singapore business firms. Using financial statement data and firm market values from 1987 to 1996, this paper provides an analysis of real estate holdings in both absolute and relative terms. Real estate holdings by business segment and asset subtype, growth in corporate real estate holdings over time; and key financial characteristics of corporate real estate (eg real estate as a percentage of shareholders’ equity and real estate relative to market value of the firm) are included in the paper.

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.

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.

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.

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.

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.

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.

Using a data set comprising 16 European office markets provided by the DTZ Research Institute from Q1 2003 to Q4 2013, the purpose of this paper is to measure the strength of the unconditional transmission of volatility in the returns to direct property between 16 European office markets with the objective of determining the degree of unconditional spillover between markets.

To examine volatility spillovers across the 16 office markets, the authors adopted the generalized VAR methodology, variance decomposition and the generalized spillover index of Diebold and Yilmaz (2012) by measuring cross-office market volatility transmission in asset pricing through estimates of several “volatility spillover indices.”

Volatility spillovers are important and time-varying across the leading office markets, with cross-market volatility interaction being bi-directional and of relative endogenous nature for many markets. The London office market is the “volatility leader” and has exerted significant net volatility influence on the other markets. Additionally, the volatility spillovers between business cycle fluctuations and asset market cycle volatilities are linked across some European economies.

Evidence of co-integration among the domestic volatility spillover cycles implies the presence of unobserved common shocks and might not be good news for international investors who pursue diversification strategies in European office real estate markets.

No previous study has addressed formally the measurement and assessment of the nature and intensity of volatility spillovers across direct office markets on such a broad range of European office markets. The relevance of the topic has been even increasing over the previous years as more and more investors seek for flexibility and participation in the investment process and asset management.

The purpose of this paper is to discuss three corporate real estate (CRE) perspectives (business, financial and capital market) as well as some potential issues, supported by key research studies and evidence drawn from listed retail companies in the USA, and European and Asian countries; as real estate has always been recognized as a key value driver in the retail industry.

A significant amount of capital is locked‐up in CRE by business firms, and so this paper analyzes the role of CRE from a combination of three perspectives: business, financial and capital market. These three CRE perspectives are discussed and some important issues reviewed, supported by key research studies and evidence drawn from listed retail companies in the USA and in European and Asian countries.

Arising from the review and perspectives offered in this paper, it is evident that performance measures are required to assess how CRE are being used and perceived by management and investors from the business, financial and capital market perspectives. This combined approach helps position the strategic role of the CRE in the context of “whole firm” that reflects the integration of trading and real estate activities.

With an effective CREAM system endorsed by top management, the CRE' s potential contribution and incremental performance can be factored into the financial plans of the “property‐rich” retail firms and appropriately reflected in corporate valuation.

This paper offers combined business, financial and capital market perspectives to assess the role of CRE in listed retail firms. Evidence and important issues in relation to the three perspectives are reviewed and evaluated.

This paper aims to investigate the interdependence of daily conditional volatility in seven FTSE‐NAREIT‐EPRA European developed real estate securities markets – the United Kingdom, France, Germany, The Netherlands, Italy, Sweden and Switzerland, from January 1990 to December 2011.

This paper employs the multivariate GARCH and the generalized VAR volatility spillover index methodologies.

The author finds that each of the seven European developed real estate securities markets is relatively endogenous and interacts well with the other markets. In particular, the French real estate securities market has the most dominant volatility impact on other markets over the full sample period. The introduction and implementation of the euro is associated with a moderate increase of the total volatility spillovers around the three‐year (January 1999‐January 2002) period among the sample markets. Moreover, these markets have experienced an increase in their volatility correlation, as well as becoming more open around the GFC period. Around this crisis period, the German real estate securities market emerges as the “volatility leader” in transmitting the conditional volatilities to other markets in the European region.

This is the first paper to examine whether each of the sample European real estate securities markets has influenced or has been more influenced by others from the conditional volatility spillover perspective in the context of economic globalization, monetary integration and financial crisis. Since international investors incorporate into their portfolio selections not only the return correlation structure but also the market volatility interaction, the results of this study can shed light on the extent to which investors can benefit from international real estate securities diversification in the European developed countries.

The purpose of this paper is to investigate the time series behavior of co‐movements among 11 European real estate securities markets, with each other as well as between country‐averages, over the sample period from January 1999 to January 2010 by utilizing the asymmetric dynamic conditional correlation (ADCC) technique, long‐memory tests and multiple structural break methodology.

First the ADCC from the multivariate GJR‐GARCH model is used to estimate the pair‐wise conditional correlations between the 11 securitized real estate markets. Then, the 11 country‐average conditional correlation series is subject to a battery of four long‐memory tests to form an “on the balance of evidence” picture; the semi‐parametric Geweke and Porter‐Hudak procedure and Robinson test, as well as the non‐parametric Hurst‐Mandelbrot R/S and Lo's modified R/S tests. Finally, the Bai and Perron's multiple structural break methodology seeks to test whether the average conditional correlations are subject to regime switching via the detection of breaks in the co‐movements of real estate securities returns.

Low to moderate conditional correlations are found for these European real estate securities market and a higher level of correlation in the aftermath of the global financial crisis. The long‐memory correlation effect is present for nine European real estate securities markets. In addition, the conditional correlations are subject to regime switching with two structural breaks in four country‐average correlation series. Across the regimes, a higher level of correlation is linked to a higher level of volatility and a lower level of return, and this happened around the global financial crisis period.

The findings that national real estate securities correlations exhibit time‐varying and asymmetric behavior can help investors understand how real estate securities will co‐move in different market scenarios (e.g. “crisis” and “non‐crisis” times). Moreover, the process of dynamic covariance analysis and forecasting (the ultimate objective in portfolio management) should not rely too much on short‐term autoregressive moving average models. Instead, a combination of some appropriate long‐range dependence models and regime‐switching specifications is needed.

This paper offers useful insights into the time series behavior of average dynamic conditional correlations in European public property markets.