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Listed real estate securities have historically been used to achieve an exposure to the real estate asset class and to obtain a broad spectrum of other specific features such as return enhancement, but whether they must be associated to the direct property or to the broad stock market is deceptive on a merely theoretical basis. Moreover, the global financial crisis (GFC) has questioned their risk/return characteristics. The purpose of this paper is to asses if listed real estate securities are still enough dissimilar from the broad stock market to provide remarkable diversification benefits for a long term investor.

The analysis has been developed on the FTSE EPRA/NAREIT Developed Index and at country level (USA, UK, France, Japan, Singapore, Hong Kong and Australia) from November 2001 to October 2013. The authors analysed the real estate index over a broad market index and adjusted for a possible bias related to heteroskedasticity and autocorrelation, using a least squared regression with Newey-West HAC Correction. A Recursive Least Squares (RLS) was also used to test the stability of the parameters with the CUSUM squared test and the Chow test. Finally the authors tested for cointegration with the Augmented Dickey Fuller and the Engle Granger tests.

The authors found that after the GFC the Beta-risk related to the stock market has witnessed a sharp increase, but with differences among country. While the USA, the UK and France have experienced a trend similar to the one described for the FTSE EPRA/NAREIT Developed Index, Asian Markets depict a quite stable Beta over the full sample (gradual increase for the Australian market). Evidence of a structural break in conjunction with 2008 crisis has been found only in USA, UK and France.

Listed real estate securities, even if characterised by time varying Beta-risk and partially reduced diversification benefits, are still worth to be included in long term horizon portfolios. However, more wary considerations should be drafted before investing in the Asian markets where evidence of cointegration was found only for the Japanese market.

Analysis of post GFC effect on direct property investment vs indirect listed investment worldwide.

The purpose of this paper is to provide a better understanding of the performance implications for UK DC pension fund investors who choose to combine global listed and UK unlisted real estate in a blended allocation relative to a pure unlisted solution.

Blended listed and unlisted real estate portfolios are constructed. Investor risk and returns are then studied over the full 15 year sample horizon and distinct cyclical phases over this period using a number of risk-return metrics. Performance is then contrasted with that of a pure unlisted solution, as well as UK equity market and bond total returns over the same period.

A UK DC pension fund investor choosing to construct a blended global listed and UK unlisted real estate portfolio would have experienced material return enhancement relative to a pure unlisted solution. The “price” of this enhanced performance and improved liquidity profile is, unsurprisingly, higher portfolio volatility. However, because of the improved returns, the impact upon measured risk adjusted returns is less significant.

Relatively liquid blended listed and unlisted real estate portfolios create efficient risk and return outcomes for investors.

This study uses actual fund rather than index data (i.e. measures delivered returns to investors), has chosen a global rather than single country listed real estate allocation and is focused on providing clarity around the real estate exposure for a specific investment requirement, the UK DC pension fund market.

The purpose of this paper is to test the extent to which company-specific attributes including market capitalisation, capital structure and investment focus impact upon the performance of European listed real estate companies. Enhanced understanding of firm-level performance drivers is important for investors in order to diversify their investment portfolios and to mitigate company-specific risks at different points in the real estate cycle.

The study centres on six key listed European real estate markets selected on the basis of market capitalisation, diversity, transparency and maturity. A series of statistical tests are undertaken using EPRA and Bloomberg data for the period of 2007–2017 using 113 listed property companies, all of whom were contemporaneous constituents of EPRA indices in this period. A series of customised performance indices were constructed to evaluate firm-level performance attributes.

Firm-level attributes collectively account for more variation of risk-adjusted return than sector-level attributes over the investigation period. The impact of firm-specific attributes on performance varies significantly from country to country attributable to the contrasting cyclical property market trends in the pre– and post–Global Financial Crisis period. REITs outperformed non-REITs on a risk-adjusted basis attributed to the strong performance of “niche” market entrants allied with stronger regulatory structure. Finally, the findings showcase that sector specialist firms outperform diversified companies inferring that investors should seek to attain diversification through portfolio-based approaches rather than firm-level strategies.

The results have implications for real estate companies aiming to raise capital internally for growth as higher return on equity in general signals reduced cost of capital. Secondly, the findings should be of practical use to multinationals specialising in international real estate trading in designing their business plans in general and formulating cross-country investment strategies in particular. Last but not least, a more refined conceptualisation of corporate-level performance drivers should complement existing professional practices in relation to business/company appraisal.

The research integrates EPRA and Bloomberg data sets to create a series of bespoke index constructs to measure the impact of firm-specific attributes on European listed real estate companies. Additionally, the authors construct a Herfindahl Index (H.I.) to further the debate on the impacts of diversification within the listed real estate sector. This serves to further heighten investor understanding of investment allocation and portfolio optimisation strategies for the listed real estate sector given the increasingly diverse range of investment opportunities within emerging sub-markets.

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)).

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.

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.

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.

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.

The purpose of this paper is to test the relationship between liquidity in listed real estate markets, company size and geography during different market cycles, specifically pre-crisis (2002-2006) and post-crisis (2010-2014). Further, the study analyses the impact of stock liquidity on stock performance. In a previous study the authors examined the impact of liquidity on the valuation of European real estate shares. The result showed that there is a strong relationship between liquidity, valuation and market capitalisation post the Global Financial Crisis.

The paper studies the linkages between regional market liquidity and company size for 60 listed real estate companies globally and determines the key drivers of company stock market liquidity pre- and post-crisis as well as the impact on stock performance. Analysis of variance is used to test cross-sectional independence in market liquidity combined with the Tukey’s post hoc test. The selected test indicators of liquidity to capture market depth and market tightness are daily stock turnover as percentage of market capitalisation and daily bid-ask spreads.

Findings confirm previous studies that market liquidity factors are correlated globally over time indicating markets interdependence. However, sample groups by company size and geography form independent samples with different sample means, thus specific liquidity levels in each market may be different. First, stock turnover levels have not recovered post-crisis to pre-crisis levels in the majority of markets while spreads have continued moving downward to nearly insignificant levels in line with the rest of the equity market. Second, with regards to stock performance, the European bias previously detected is not apparent in the USA, and there is no evidence of the small cap vs large cap effect of small companies achieving superior returns, although smaller companies have outperformed in Europe and Asia in each of the last three years (2012-2014).

The key implication is that although spread levels for smaller companies are higher, implying a slight risk premium when investing in small companies, this did not manifest into consistent superior stock market returns in the periods studied. In a mature market such as the USA or UK, liquidity levels in terms of stock turnover are higher and spreads are lower thus reducing trading costs, making them more attractive for investors.

This research brings together previous analysis on stock market liquidity and stock performance on a global market level. It further tests the dependence of market liquidity on two key indicators, namely, geography and company size and analyses market changes with respect to liquidity pre- and post-crisis.

Within the context of ESG (Environment, Social and Governance), environmental sustainability has taken on increased global importance in recent years. Similarly, real estate investment managers in developing their global real estate investment portfolios need a fuller understanding of the ESG and environmental sustainability dimensions of these global real estate markets for more informed real estate investment decisions. Using the JLL GRETI sustainability sub-index, this paper examines the environmental sustainability transparency status of 99 global real estate markets over 2016–2020 and explores various strategic issues regarding ESG and environmental sustainability; particularly the critical issues relating to climate risk mitigation, climate resilience and zero-carbon. The current status of environmental sustainability in these 99 real estate markets is assessed, with areas for “best practice” improvement identified to the benefit of real estate investment managers; particularly the improvements needed in ESG to support real estate investment in the emerging real estate markets.

The JLL GRETI sustainability sub-index is analysed to examine strategic issues relating to environmental sustainability transparency. 99 real estate markets are assessed globally for a range of critical ESG issues over 2016–2020. Differences between the developed and emerging real estate markets are highlighted.

Considerable variation was seen in the ESG and environmental sustainability practices, procedures and frameworks across these 99 real estate markets. This was particularly evident amongst the emerging real estate markets. Compared to the other five dimensions for real estate market transparency, environmental sustainability was seen to be well behind these other dimensions in most markets. Progress has been made in recent years, but it has been slow and steady rather than at a dynamic level. Clearly, more is needed globally to enhance the stature of environmental sustainability in the context of an increasing focus on ESG and specifically on climate risk mitigation, climate resilience and zero-carbon in real estate investment.

With ESG and environmental sustainability taking on increased importance across the international real estate markets, it is important that real estate fund managers have a full understanding of the ESG and environmental sustainability status of these real estate markets where they may be considering real estate investment opportunities; this includes both the developed and emerging real estate markets. This is essential to ensure future capital raising for new funds, as well as supporting the global ESG agenda by the real estate investment community. Specific strategies are also identified for emerging real estate markets to improve their environmental sustainability practices and ESG status.

This is the first paper to use the JLL GRETI sustainability sub-index to assess the environmental sustainability status of 99 real estate markets globally; providing strategic insights for real estate investment managers as they develop their global real estate portfolios and more fully embrace the challenges of ESG and environmental sustainability in the real estate space going forward. Specific strategies are clearly identified for all markets to improve their environmental sustainability ratings to the benefit of both global real estate investment and the broader communities.

This paper aims to explore the steps that need to be taken in developing a measure of global performance for direct real estate.

The paper starts by reviewing the major considerations concerning the available real estate performance series across the world. The paper explains the steps that work through the obstacles of deriving an aggregate performance measure for each of the three regions and then combining them to get a global property returns series. Back‐casting series and weighting assumptions are also covered.

Based on the preliminary results, the paper explores the correlations in the results between different countries, and the performance of “global” property relative to other major asset classes. The paper concludes by drawing out the research issues and implications, and the steps for further research.

Many challenges are involved in the construction of a global index of direct real estate market performance. On the one hand these are associated with the nature of real estate, which tends to be relatively illiquid and immature as an asset class. On the other, there are significant variations in the quality of data availability across countries. IPD has played a huge role in generating consistent data series across countries, and this increases the ability to move towards a “global index” of direct market performance.

The study examines the increasing need for a global performance benchmark for direct real estate and the way a practitioner approaches the limitations and challenges involved in constructing one.

The purpose of this paper is to examine the effects of real estate market factors on foreign real estate investment (FREI).

Applying panel data technique, this paper uses related observations from 31 countries (inclusive of developed countries and emerging market economies) between 2000 and 2008 to investigate the relationships between real estate market factors and FREI.

Controlling for market size, infrastructure and political stability, the results for all countries indicate that lower financing costs and higher levels of transparency in real estate market attract greater amounts of FREI. Moreover, the paper finds that foreign real estate investors favor countries with higher property prices. Interestingly, when the paper splits the sample in developed countries and emerging market economies the paper finds that there are some differences in results in terms of determinants of FREI.

While FREI is a large component of service FDI, currently there are no analyses of FREI determinants across a broad set of countries over time. Therefore, the present study has filled this gap.

The purpose of this paper is to provide new empirical evidence on the important role of market transparency in international real estate investment.

The authors apply the augmented panel regression method (or the correlated random effects approach) by using national panel data from 44 countries from 2004 to 2016.

Countries with better accessibility to market information and higher enforceability of regulations have less information asymmetry and attract more inward real estate investment. In contrast, the accounting quality of corporate governance is negatively correlated with investment, indicating the possibility that foreign investors enjoy high excess returns by investing in real estate in countries with poor accounting quality.

Countries lacking market transparency can increase inward investments by providing richer market information to foreign investors and by boosting enforceability of regulation to mitigate the uncertainty of returns on investment. Investors and public sectors in countries facing a saturated real estate market may expand investment by investigating less-explored markets and by seeking bilateral negotiations to secure higher predictability of return on investment in targeted countries.

The authors utilize updated multiple transparency indices instead of a conventional aggregate index to examine how the investment is attributed to different aspects of market transparency and employ the augmented panel regression method for investigation of the intra- and international determinants of the investment.

The purpose of this paper is to explore the levels and determinants of net asset value (NAV) premiums/discounts for publicly traded Australian Real Estate Investment Trust (A-REIT) market during the last decade. A-REITs were severely affected by the global financial crisis as S&P/ASX 200 A-REIT index-listed property stocks experienced 47 per cent discount to NAV, on average, in 2008–2009 crisis. Since 2013, A-REIT sector has exhibited a strong recovery from the financial crisis and traded at high premiums to date. Understanding the relationship between pricing in the public and private real estate markets has taken on great importance as A-REITs continue to trade at significant premium to NAV unlike their counterparts in the USA and Europe.

This paper follows a rational approach to explain variations in NAV premiums and explores the company-specific factors such as liquidity, financial leverage, size, stock price volatility and portfolio diversification behind the A-REIT NAV premiums/discounts. The study specifies and estimates a model of cross-sectional and time variation in premiums/discounts to NAV using semi-annual data for a sample of 40 A-REITs over the 2008–2018 period.

The results reveal that A-REIT premiums to NAV can be explained not only by the liquidity benefit of listed property stocks but also positive financial leverage effect. During the past decade, A-REITs have followed an aggressive approach in financing their growth by using borrowed funds to purchase assets as the income from the property offsets the cost of borrowing and the risk that accompanies it. Debt-to-equity ratio has to be considered as an important source of NAV premiums as highly geared A-REITs that favoured debt financing over equity financing traded at significant premiums to NAV of their underlying real estate assets.

The paper includes implications for the REIT market investors. The regression analysis shows that specialty A-REITs with a focus on creative market niches traded at higher premiums compared with other property stocks, especially in the post-GFC recovery period. Specialty REITs are more highly valued by the market than their traditional specialised counterparts (e.g. office and retail REITs), and those pursuing a diversified strategy.

This paper presents an Australian case study as the A-REIT market provides a suitable environment for testing the effect of financial gearing on the REIT premium to NAV. The study provides empirical evidence supporting the importance of debt-to-equity ratio in explaining the variation in A-REIT NAV premiums.