Estate Portfolio Management Research Articles

Housing and Economic Policy Uncertainty in the OECD Countries

This study is aimed at examining the dynamic relationships between housing prices return and economic policy uncertainty (EPU) using a panel vector auto-regression (PVAR) approach and annual data for a panel of 16 OECD countries over the period 2004-2018. The study includes economic growth, short-term interest rate, and population as additional covariates. Empirical results show that a positive shock to EPU leads to decrease in housing prices while the EPU shows only a weak response to housing price shocks. The results imply that EPU has robust predictive power for the housing market, implying the need for evaluating the associated risks. The panel Granger causality tests indicate strong and robust Granger causality from the EPU to housing prices, but not vice versa. The causal links also indicate that the effect of the EPU on is direct rather than indirect through other variables. Based on these outcomes, policy recommendations are made for real estate agents, portfolio managers, and policy makers.

Real Estate’s Evolution as an Asset Class

In this introductory article, the editors of this issue examine the impact of the credit crisis on commercial and multifamily real estate and provide a post-crisis, evolutionary view of real estate as an asset class. This is done by putting the events of the last 18 months into a broad perspective and within a framework that encompasses these major themes: 1) capital market integration, financial leverage, and sentiment; 2) the “failure” of diversification; 3) innovations in real estate portfolio risk measurement and management; and 4) international real estate. The aim of the article is to help investors understand the evolving characteristics of the asset class and to help them improve the effectiveness of actions that anticipate, monitor, and manage risk. It also sets the stage for the collection of articles in this issue that offer new insights into how commercial and multifamily real estate investing lines up with assumptions about market efficiency, outlier risks, theories of diversification, and longer-term asset and risk allocation. <b>TOPICS:</b>Real estate, financial crises and financial market history, risk management, portfolio management/multi-asset allocation

Volatility Spillover in Australian Commercial Property

Extensive real estate studies have demonstrated the linkages between direct property and capital assets, particularly REITs by emphasising on the common movements in prices. However, the study of volatility spillover between these assets is relatively limited. This study aims to investigate the volatility linkages between Australian commercial property and capital assets by utilising generalised autoregressive conditional heteroskedasticity (GARCH) and Exponential GARCH (EGARCH) over the study period 1985-2006. The results reveal that direct commercial property is strongly influenced by LPTs and bonds. It is also shown that direct property is asymmetric to negative and positive news. These findings have provided additional insights into the knowledge base of real estate risk and portfolio management.

Putting corporate real estate executives in the driver’s seat: Information technology tools enable new possibilities

Tools for real estate planning, acquisition, disposition and portfolio management have improved dramatically over the past several years, creating new potential for corporate real estate executives to deliver workplace solutions in a more timely, cost‐effective manner throughout the occupancy life cycle. As large ‘customers’ in the real estate industry, corporate real estate (CRE) executives can impact the development and application of the next generation of information tools. In addition, widely expanded access to market information puts them in a more powerful position relative to other industry players. These factors uniquely position CRE executives to take advantage of new possibilities.