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The authors in this paper aim to investigate the performance of different portfolios of REITs which specialise by property type compared to the performance of a diversified free-float market capitalisation-weighted benchmark index to determine whether superior risk-adjusted returns can be achieved.

First, the authors examine the performance of portfolios constructed using the criteria of equal weight, minimum variance, maximum Sharpe and risk parity rather than free-float market capitalisation. Second, the authors apply an automated trading strategy of trend following to see if this filter will improve risk-adjusted returns.

The two-step process of forming combinations of REIT sectors with the subsequent addition of a trend following overlay can offer clear benefits relative to a passive benchmark investment.

Although three of the four strategies were shown to outperform the benchmark index on a risk-adjusted basis, one issue was that the efficient portfolios tended to have large weightings to relatively few sectors. The authors also found that maximum drawdowns (losses) of the strategies tended to be rather high, as was the benchmark.

The methods outlined in this paper can be applied to construct superior risk-adjusted REIT portfolios globally.

Although studies have been undertaken separately on REIT specialisation and trend following in equity and commodity markets, this paper is the first to combine the two topics, and therefore has particular value for real estate fund managers globally.

The study uses an AR(1)‐EGARCH(1,1) model to investigate the pricing behaviors of the real estate investment trusts (REITs) for four countries (Australia, Japan, Taiwan and the USA) before and after the 2007 financial crisis.

The study uses an AR(1)‐EGARCH(1,1) model to investigate the pricing behaviors of the REITs.

The results show that after the financial crisis, REITS returns show a stronger linkage to the overall market returns but they are not sensitive to expected interest rate movements, except for the Taiwanese REIT market, which shows a negative and significant reaction to the interest rates. There are stronger asymmetric effects of good and bad news on REIT returns particularly after the post financial crisis for the four REIT markets.

An examination of the relationship between REIT and the stock market provides information as how REIT provides an effective device related to the stock portfolio diversification.

It would be interesting to see how the Asian REIT markets differ from the US market on return and risk behavior.

The 2007 subprime crisis happened because of the decline of the real estate market prices in the USA. It represents a special opportunity to examine the time‐dependent behavior of REIT returns in a turbulent market environment.

The real estate market has evolved significantly over the past 10 years and has experienced rapid growth throughout the world in its various forms. Many emerging countries witnessed the significant growth in their commercial real estate markets that became a stable sector of their economies. These countries, after developing a reliable commercial real estate base within their economies subsequently developed real estate financial markets. The growth of the real estate investment trusts, REITs, markets in many countries within the past decade helped attract global capital that facilitated additional investments in local real estate developments. Significantly, this period of time may have witnessed a higher degree of integration of real estate with the broader financial markets due in large part to the securitization of mortgages. Yet the general real estate market was also impacted in many parts of the world with rising prices and subsequent price collapses. This section focuses on the various areas of the global real estate market and the changes that it has encountered as examined by researchers of real estate. This chapter also examines the recent trends in global real estate markets and explores how these changes have affected the broader investment community.

The purpose of this paper is to investigate the total direct costs of raising external equity capital for US real estate investment trust (REIT) initial public offerings (IPOs).

The study provides recent evidence on total direct costs for a comprehensive dataset of 125 US REIT IPOs from 1996 until June 2010. A multivariate OLS regression is performed to determine significant factors influencing the level of total direct costs and also underwriting fees and non‐underwriting direct expenses.

The study finds economies of scale in total direct costs, underwriting fees and non‐underwriting expenses. The equally (value) weighted average total direct costs are 8.33 percent (7.52 percent), consisting of 6.49 percent (6.30 percent) underwriting fees and 1.87 percent (1.22 percent) non‐underwriting direct expenses. The study finds a declining trend of total direct costs for post 2000 IPOs which is attributed to the declining trend in both underwriting fees and non‐underwriting direct expenses. Offer size is a critical determinant for both total direct costs and their individual components and inversely affects these costs. The total direct costs are found significantly higher for equity REITs than for mortgage REITs and are also significantly higher for offers listed in New York Stock Exchange (NYSE). Underwriting fees appear to be negatively influenced by the offer price, the number of representative underwriters involved in the issue, industry return volatility and the number of potential specific risk factors but positively influenced by prior quarter industry dividend yield and ownership limit identified in the prospectus. After controlling for time trend, the paper finds REIT IPOs incur higher non‐underwriting direct expenses in response to higher industry return volatility prior to the offer.

This paper adds to the international REIT IPO literature by exploring a number of new influencing factors behind total direct costs, underwriting fees and non‐underwriting direct expenses. The study includes data during the recent GFC period.

The purpose of this paper is to analyze the effect of investor sentiment, measured with Google internet search data, on volatility forecasts of the US REIT market.

The author uses the S&P US REIT index and collects search volume data from Google Trends for all US REIT. Two different Generalized Autoregressive Conditional Heteroskedastic models are then estimated, namely, the baseline model and the Google augmented model. Using these models, one-step-ahead forecasts are conducted and the forecast accuracies of both models are subsequently compared.

The empirical results reveal that search volume data can be used to predict volatility on the REIT market. Especially in periods of high volatility, Google augmented models outperform the baseline model.

The results imply that Google data can be used on the REIT market as a market indicator. Investors could use Google as an early warning system, especially in periods of high volatility.

This is the first paper to use Google search query data for volatility forecasts of the REIT market.

The purpose of this paper is to investigate whether there is a relationship between asset-specific online search interest and movements in the US REIT market.

The authors collect search volume (SV) data from “Google Trends” for a set of keywords representing the information demand of real estate (equity) investors. On this basis, the authors test hypothetical investment strategies based on changes in internet SV, to anticipate REIT market movements.

The results reveal that people’s information demand can indeed serve as a successful predictor for the US REIT market. Among other findings, evidence is provided that there is a significant relationship between asset-specific keywords and the US REIT market. Specifically, investment strategies based on weekly changes in Google SV would have outperformed a buy-and-hold strategy (0.1 percent p.a.) for the Morgan Stanley Capital International US REIT Index by a remarkable 15.4 percent p.a. between 2006 and 2013. Furthermore, the authors find that real-estate-related terms are more suitable than rather general, finance-related terms for predicting REIT market movements.

The findings should be of particular interest for REIT market investors, as the established relationships can potentially be utilized to anticipate short-term REIT market movements.

This is the first paper which applies Google search query data to the REIT market.

As significant listed property investment vehicles, industrial and logistics REITs (I&L REITs) have recently enhanced their property portfolios, often replacing the traditional industrial properties with logistic properties to gain strategic exposure to recent e-commerce trends. This paper aims to assess the investment performance of I&L REITs by assessing the significance, risk-adjusted performance and portfolio diversification benefits of I&L REITs in the Pacific Rim region from July 2011 to December 2018. The strategic property investment implications for I&L REITs are also identified.

Monthly total returns from July 2011 to December 2018 were used to analyse the risk-adjusted performance and portfolio diversification benefits for I&L REITs in the United States, Japan, Australia and Singapore. An asset allocation diagram was employed to assess the strategic role of I&L REITs in a mixed-asset portfolio in each case.

I&L REITs generally possessed superior average annual returns compared with the other sub-sector REITs, stocks and bonds in the United States, Japan, Australia and Singapore between July 2011 and December 2018, with desirable portfolio diversification benefits. Importantly, a more significant role for I&L REITs was generally observed in the mixed-asset portfolio compared to the other sub-sector REITs in each of these four markets across the broad portfolio risk spectrum. This reflects I&L REITs delivering enhanced portfolio returns and offering portfolio diversification benefits in a mixed-asset portfolio in the United States, Japan, Australia and Singapore.

Property investors, particularly property securities funds (PSFs) and income-oriented investors, should consider including I&L REITs in their mixed-asset portfolios, as Pacific Rim–based I&L REITs provided an attractive REIT investment sub-sector, co-existing alongside the other sub-sector REITs and major asset classes in a mixed-asset portfolio in a Pacific Rim context, as well as being a portfolio diversifier. These results confirm the added-value and strategic role of I&L REITs in a mixed-asset portfolio, seeing I&L REITs as an effective investment pathway for I&L property exposure in the Pacific Rim region.

This is the first study to assess the investment performance of I&L REITs in the Pacific Rim region, evaluating their significance, risk-adjusted performance and portfolio diversification benefits, and the role of I&L REITs in a mixed-asset portfolio in the United States, Japan, Australia and Singapore. More importantly, this research is the first paper to provide empirical evidence on I&L REITs, which have often transformed their traditional industrial property portfolios with increased levels of logistics property to gain exposure to recent e-commerce trends. This research enables more informed and practical property investment decision-making regarding I&L REITs and their added-value and strategic role in a mixed-asset portfolio, as well as delivering effective I&L property exposure in the Pacific Rim region, with the added benefits of liquidity, transparency and fiscal efficiency.

Given the evolving market integration, this study aims to explore the connectedness of 12 real estate investment trusts (REITs) during the COVID-19 period.

The connectedness of 12 REITs was examined by considering three sample periods: full period, COVID peak period and COVID recovery period by using the quantile vector autoregressive (VAR) approach.

The findings ascertain that REIT markets are sensitive to COVID, revealing significant connectedness during each sample period. The USA and The Netherlands are the major shock transmitters; thus, these countries are relatively better options for the predictive behavior of the rest of the REIT markets. In contrast, Hong Kong and Japan are the least favorable REIT markets with higher shock-receiving potential.

The study recommends implications for real estate industry agents and investors to evaluate and anticipate the direction of return connectedness at each phase of the pandemic, such that they can incorporate those global REITs less vulnerable to unplanned crises. Apart from these implications, the study is limited to the global REIT markets and only focused on the period of COVID-19, excluding the concept of other financial and health crises.

This study uses a novel approach of the quantile-based VAR to determine the connectedness among REITs. Furthermore, the present work is a pioneer study because it is targeting different time periods of the pandemic. Additionally, the outcomes of the study are valuable for investors, policymakers and portfolio managers to formulate future development strategies and consolidate REITs during the period of crisis.

This paper aims to examine the significance and performance analysis of the Malaysian Real Estate Investment Trust (M-REIT) from 2014 to 2018.

Performance analysis is done through operating ratio (current ratio), leverage ratio (debt ratio) and efficiency ratio (return on asset and return on equity).

M-REIT has been ranked 27th globally and 7th in Asia Pacific REIT market, implying the significance of the market. The trend of market capitalisation of M-REIT had flourished from 2014 to 2017 but declined in 2018. The total assets of M-REIT have been seen thriving over the years with both Islamic REIT market capitalisation and total assets showing improvements throughout the year. From the viewpoint of efficiency ratios of ROA and ROE, Islamic REIT is deemed more favourable to investors than conventional REITs, implying the high receptive of Islamic REITs.

In terms of efficiency of operation, it is evident that several sectors of REITs may be at risk of liquidity due to the decline in current ratio from 2014 to 2018, as current ratio of less than 1 is considered a red flag.

Performance analysis on the performance of each sector as the outcome of the research could ease investors’ decision-making as whether it can be considered as one of the viable investments available in the market.

This paper aims to analyse the risk and excess returns of the Spanish real estate investment trusts (S-REITs) using various methods, though focusing primarily on the Fama-French three-factor (FF3) model, over the period from 2007Q3 to 2017Q2.

The autoregressive distributed lag model is used for the empirical analysis to test long-term stable relationships between variables.

The findings indicate that the FF3 model is suitable for the S-REITs market, better explaining the S-REITs’ returns variation than the traditional single-index capital asset pricing model (CAPM) and the Carhart four-factor model. The empirical evidence is reasonably consistent with the FF3 model; the values for the market, size and value are highly statistically significant over the analysis period, with 68.7% variation in S-REITs’ returns explained by the model. In the long run, the market factor has less explanatory power than the size and value factors; the positive long-term multiplier of the size factor indicates that small S-REIT companies have higher returns, along with higher risk, while the negative multiplier of the value indicator suggests that S-REITs portfolios prefer to allocate growth REITs with low book-to-market ratios. The empirical findings from a modified FF3 model, which additionally incorporates Spain’s gross domestic product (GDP) growth rate, two consumer price index (CPI) macro-factors and three dummy variables, indicates that GDP growth rate and CPI also affect S-REITs’ yields, while investment funds with capital calls have a small influence on S-REITs’ returns.

The regression results of the standard and extended FF3 model can help researchers understand S-REITs’ risk and return through a general stock pattern. Potential investors are given more information to consider the new Spanish investment vehicle before making a decision.

The paper uses standard techniques but applies them for the first time to the S-REIT market.