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The real estate markets in Asia have attracted significant investor attention as they have grown rapidly in recent years. Both local and foreign investors continue to display a strong appetite for Asian real estate investment projects. Given the different characteristics of listed real estate stocks, the purpose of this paper is to focus on the causal relations between the financial variables of these stocks. This financial analysis can help investors to understand the characteristics of listed real estate companies, provide implications for optimal asset allocation decisions, and also increase the predictability of portfolio returns.

In this research, the paper investigates the contemporaneous and causal relations between stock returns, trading volume and volatility in a domestic market context and between different national markets for listed real estate companies in seven Asian economies.

The paper finds that there are positive contemporaneous relations between trading volume and both returns and absolute returns. When the paper examines the causal relations between the financial variables, the evidence implies that current trading volume helps to explain the returns indirectly by leading return volatility; however, trading volume does not help to explain future returns directly. Extending the causality test to international markets, the listed real estate portfolios of the four Southeast Asian countries are found to be more closely correlated than those of the other three countries studied here. Among the four Southeast Asian countries, Singapore, the only developed country, is found to play an influential role, its current financial variables having predictive power for the other countries.

This research provides global investors with a better understanding of the Asian listed real estate market, showing that trading volume contains important information regarding returns, that the characteristics of listed real estate companies are closer to those of the financial market than those of the real estate markets, and that the markets of the major economies have extensive influence over the smaller markets. Moreover, given the scarcity of research on the performance of Asian listed real estate companies themselves, this study improves the completeness of the academic literature.

The paper examined the long-run relationship between real estate equity (property listed stock) and non-real estate equity (common stock) in the Nigerian capital market and established the integration between the investments. The paper aims to discuss these issues.

The data collected comprised quarterly returns on property listed stock and All Share Index for the period of January 1999-December 2011. The calculated quarterly returns of the investments were subjected to the Philip-Person unit root test after which the integration between the investments was analysed using the Johansson integration test.

The results showed that real estate equity performed better the non-real estate equity but with corresponding higher risk level. Also, real estate equity had a slightly lower performance when compared with non-real estate equity on return/risk ratio basis. The findings showed that property listed stock (real estate equity) was integrated with common stock or non-real estate equity and suggest that the Nigerian listed property stock, by nature, was similar to REITs. This result negates the belief that property listed stock's returns are integrated with direct real estate market and are often influenced by the returns of the underlying direct real estate assets.

The paper implied that while investors could consider investing in real estate equity and earn better return than investing in common equity in the Nigerian capital market, the inclusion of both in a domestic portfolio could be expected to bring little or no diversification benefit.

The paper is one of the few attempts at assessing the long-run relationship between property listed stock as a form of real estate equity and non-real estate equity and especially from African emerging market perspective.

Real estate forms an important part of any economy and the investment in real estate, in turn, is impacted by the macroeconomic environment of that country. The purpose of the present research is to examine macroeconomic determinants of foreign and domestic non-listed real estate fund (NREF) flows and to examine whether they are similar or different for an emerging economy like India.

The long and short-run cointegration between the time-series variables is estimated using the autoregressive distributed lag (ARDL) bounds test and error correction model (ECM) using quarterly data across the 2005–2017 period. ARDL is a suitable method for short time-series data.

The empirical results indicate that domestic NREF flows are positively and significantly impacted by real GDP and performance of listed real estate stocks (i.e. BSE realty index). Whereas, foreign NREF flows are positively and significantly impacted by the exchange rate, performance of listed real estate stocks and domestic NREF flows.

The empirical results have significant implications for academicians, policy makers and real estate market practitioners. In the context of these results, some interesting insights are gained that would help in the implementation of the policies aimed toward increasing the fund flows in the real estate sector, which in turn would have a significant trickle-down effect on the Indian economy.

The existing literature looks at macroeconomic and other drivers of foreign investment in international real estate investments. However, there are very few studies on the determinants of domestic real estate investment flows and on determinants of NREFs' investment flows; particularly in emerging markets. The present study, in contrast, evaluates simultaneously the macroeconomic determinants of the domestic and foreign NREFs' investment flows in India. The ARDL and ECM method used has been applied for the first time to the study of NREFs.

Opportunity real estate funds are an important style of real estate investing for institutional investors seeking nonlisted real estate exposure. Importantly, institutional investors have sought exposure to the China real estate market, often via opportunity real estate funds. This has been by a pure China opportunity real estate fund (100% China opportunity real estate) or by a pan-Asia opportunity real estate fund where China opportunity real estate was part of this pan-Asia opportunity real estate portfolio. Using two bespoke China opportunity real estate indices developed by the authors, this paper aims to assess the risk-adjusted performance and portfolio diversification benefits of China opportunity real estate in a mixed-asset portfolio over 2008–2020. It also highlights critical issues for institutional investors going forward to factor into their real estate investment decision-making for effective China real estate exposure.

This paper develops two bespoke China opportunity real estate fund performance indices to assess the risk-adjusted performance and portfolio diversification benefits of China opportunity real estate funds in a mixed-asset portfolio over 2008–2020. An asset allocation diagram is used to assess the role of China opportunity real estate in a mixed-asset portfolio via both the non-listed and listed real estate investment channels.

Over 2008–2020, China opportunity real estate exposure via pan-Asia opportunity real estate funds were seen to outperform pure China opportunity real estate funds. In both formats, China opportunity real estate funds were seen to have a significant role in a China mixed-asset portfolio across most of the portfolio risk spectrum; particularly compared to listed real estate exposure in China. On-going issues regarding real estate risk management in China will take on increased importance for institutional investors seeking China real estate exposure.

Opportunity real estate funds are an important style of real estate investing, often used by institutional investors to gain non-listed real estate exposure in a developing real estate market. This style of real estate investing has been popular with institutional investors seeking exposure to China real estate as part of the China economic growth dynamic. The results of this research highlight the importance of opportunity real estate investing in China, both via a pure China opportunity real estate fund and via a pan-Asia opportunity real estate fund. Based on this empirical analysis, China opportunity real estate exposure is seen to be more effective via a pan-Asia opportunity real estate fund than a 100% China opportunity real estate fund. A range of practical China real estate investment issues are also highlighted for the effective delivery of China real estate exposure for institutional investors going forward; this particularly relates to the on-going risk management for real estate investment in China.

This paper is the first empirical research analysis of the risk-adjusted performance of China opportunity real estate and its role in a mixed-asset portfolio. Using bespoke China opportunity real estate fund indices developed by the authors, this research enables empirically-validated, more informed and practical opportunity real estate investment decision-making regarding the strategic role of China opportunity real estate in an institutional investor's portfolio. It also highlights the importance of various facets of real estate risk management in China going forward.

In 2014, real estate investment trust (REIT) emerged as a new alternative investment option in India. This research aims to give an empirical authentication of the Indian REITs performance from April 2019 to July 2022 across a range of investment variables.

Using monthly total returns in Indian Rupee, risk-adjusted Indian REIT performance and investment portfolio characteristics are examined. Indian REITs' potential in a diversified multi-asset portfolio is analysed using the mean-variance analysis, asset allocation diagram and efficient frontier.

During April 2019–July 2022, Indian REITs provided a lower return than stocks but outperformed bonds despite coronavirus disease 2019 (COVID-19) lockdowns, which hurt the traditional working from office concept. The study also examined REIT allocation to an Indian mixed-asset portfolio and the benefits of a diversified portfolio.

Indian REITs provide a liquid, transparent alternative to direct property for investors seeking exposure to Indian real estate markets. Indian REITs gave real estate companies an extra funding source and investors an alternate asset. This paper explores Indian REITs' potential opportunities, given that domestic and foreign investors' demand for transparent property investment in India. The analysis found a positive early performance despite a challenging environment.

This paper offers the first empirical performance validation of Indian REITs as a way to obtain exposure to commercial property in India and the REITs' role in a diversified asset portfolio. The authors' study improves investors' decision-making abilities by providing empirically validated, valuable and practicable property investing insights.

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.

The purpose of this paper is to test the hypothesis that the valuations of European real estate securities are, in part, determined by the relative liquidity in the companies’ shares.

Six groups are derived for our sample of European listed real estate companies. They are split between the UK and Europe, and then both sets are categorised by liquidity as large, medium or small. These are then tested for market depth, market tightness and difference in valuations over the cycle 2002-2012. Intuitively, it can be expected that the stock market valuation premium for companies with greater liquidity increases post the global financial crisis.

The key discriminating variable that drives companies’ liquidity and valuations is market capitalisation. For both the UK and Europe, the valuation premium of larger companies vs small companies has increased significantly since 2008 (by 20-40 per cent), which can be attributed to the increased value placed on liquidity post GFC.

The sample size is relatively small, and subject to individual company influences on stock market valuation.

The key implications from the findings are the cost and quantum of new equity capital available to companies with superior liquidity, and the possibility of exclusion from portfolios for companies with low liquidity.

Previous studies have focussed on returns for measuring a liquidity premium. This study focusses on relative valuations and how the liquidity premium changes throughout the cycle.

The purpose of this paper is to examine the impact of Broad-Based Black Economic Empowerment (BBBEE) on the risk and returns of listed and delisted property firms on the Johannesburg Stock Exchange (JSE). The study was investigated to understand the impact of Black Economic Empowerment (BEE) property sector charter and effect of government intervention on property listed markets.

The study examines the performance trends of the listed and delisted property firms on the JSE from January 2006 to January 2012. The data were obtained from McGregor BFA database to compute the risk and return measures of the listed and delisted property firms. The study employs a capital asset pricing model (CAPM) to derive the alpha (outperformance) and beta (risk) to examine the trend amongst the BEE and non-BEE firms, Sharpe ratio was also employed as a measurement of performance. A comparative study is employed to analyse the risks and returns between listed property firms that are BEE compliant and BEE non-compliant.

Results show that there exists differences in returns and risk between BEE-compliant firms and non-BEE-compliant firms. The study shows that BEE-compliant firms have higher returns than non-BEE firms and are less risky than non-BEE firms. By establishing this relationship, this possibly affects the investor’s decision to invest in BEE firms rather than non-BBBEE firms. This study can also assist the government in strategically adjusting the policy.

This study employs a CAPM which is a single-factor model. Further study could employ a multi-factor model.

The results of this investigation, with the effects of BEE on returns, using annualized returns, the Sharpe ratio and alpha (outperformance), results show that BEE firms perform better than non-BEE firms. These results pose several implications for investors particularly when structuring their portfolios, further study would need to examine the role of BEE on stock returns in line with other factors that affect stock returns. The results in this study have several implications for government agencies, there may be the need to monitor the effect of the BEE policies on firm returns and re-calibrate policies accordingly.

This study investigates the performance of listed property firms on the JSE which are BEE compliant. This is the first study to investigate listed property firms which are BEE compliant.

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 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.