Real Estate Finance Research Articles

APPLICATION AND PERFORMANCE OF PENSION FUND IN REAL ESTATE INVESTMENT FINANCING IN NIGERIA

This study aimed at determining the effects of the application of real estate investment instruments on the performance of pension fund in real estate investment financing in Nigeria with the view of making recommendations for improved investing. The two real estate investment instruments studied were Real Estate Investment Trusts (REITs) and investing in Direct Real Estate Property (DREP). Three objectives were set to achieve this aim. First, to determine the application of real estate instruments in the investing of pension fund in Nigeria. Second, to determine the performance of pension fund in real estate investment financing in Nigeria. Third, to establish the relationship between application of real estate investment instruments and performance of pension fund in real estate financing in Nigeria. Secondary data from National Pension Commission (PenCom) was used to do this research and the study period was 2012 to 2021. Data were analysed using percentages and Multiple Regression Analysis. Findings showed that, the application of the investment instruments is poor with REIT and DREP asset classes having respective averages of 0.064% and 0.009%. Findings showed that, the performance of pension fund in real estate financing is poor with the average of 13.15%. The regression result showed that, the application of REIT has negative relationship with performance while that of DREP has positive relationship with correlation coefficients of –0.543 and 0.794 respectively. Based on findings it is concluded that, REIT asset class impacted negatively on performance while DREP asset class impacted positively. For there to be improved participation of pension fund in real estate financing it is recommended that, there must be increased investments in REIT and that, the range of investments in DREP should be maintained or most pleasantly increased. For there to be improved investing, it is further recommended that more real estate investment instruments be introduced.

Beyond REITs, Investing in Real Estate Funds

This study examines the performance of U.S. real estate funds of both exchange-traded funds (ETFs) and mutual funds, including passive ETFs, active ETFs, retail-class mutual funds, institutional-class mutual funds, and index mutual funds. The active ETF portfolio stands out with the highest returns and Sharpe ratio and consistently higher alphas in the factor models. It exhibits more prominent performance in downtrend markets and in recent years, whereas its peer retail-class mutual fund portfolio has consistently shown inferior performance. The passive ETF and the index mutual fund portfolios have never surpassed the performance of the active ETF portfolio. Neither choosing the cheap index strategy nor paying for high-cost mutual fund managers proves to be the optimal option for investors. The outperforming portfolio is found to be active ETFs, which sheds light on the continuing surge in their fund flows.

Towards a Better Uncertainty Quantification in Automated Valuation Models

AbstractThis study introduces a novel framework for quantifying prediction uncertainty in automated valuation models (AVMs), crucial tools in modern real estate finance. While non-linear AVMs excel in predictive performance, their limited methods for assessing prediction uncertainty reduces reliability and practical utility. We address this gap by proposing an approach for quantifying the uncertainty associated with predicted house prices and by introducing a model-specific AVM uncertainty estimate (AVMU) for AVM comparisons. Using a dataset of 51,747 historical apartment transactions in Oslo, Norway, we train three AVMs (XGBoost, random forest, support vector machine) to predict sales prices. Thereafter, we develop three base uncertainty estimators (direct loss estimation, bootstrap ensemble, quantile regression) and three meta estimators (average regressor, voting regressor, stacked generalization) for uncertainty quantification. Conformal calibration aligns the outputted uncertainty estimates from the six estimators with standard deviations of corresponding prediction errors. Having strong positive correlations with observed absolute prediction errors, the calibrated uncertainty estimators are shown to effectively capture prediction uncertainty. While the direct loss estimation excels among base estimators, the voting regressor and stacked generalization meta estimators consistently outperform it. Furthermore, by using the AVMU estimate from the stacked generalization meta estimator we can successfully identify the best-performing AVM for three separate apartment portfolios without knowing true sales prices. This alignment of the mean estimated prediction uncertainty with observed deviations underlines the utility of pre-factual AVMU estimates for model comparisons. In conclusion, our framework helps bridge prediction accuracy and uncertainty for AVMs, enhancing their reliability and supporting informed decision making for stakeholders.

Analysis Of Current Situation, Risk Causes and Countermeasures of Real Estate Finance--Taking Jiangsu Province as An Example

The real estate industry is not only an important engine of economic growth, but also a cornerstone of social stability and personal life. As a major economic province in China, Jiangsu Province is rich in natural resources and has a strong economic base. It is an important demonstration area for China's modernization and comprehensive development and plays an important role in promoting China's economic growth, scientific and technological innovation and social progress. In the economic structure of Jiangsu Province, the real estate market occupies a pivotal position, which not only contributes greatly to the local financial income, but also has a far-reaching impact on employment, consumption, investment and other aspects. The development of the real estate market in Jiangsu Province has an important impact on the national real estate market, thus this paper takes Jiangsu Province as the research object, discusses the credit risk of the real estate industry in Jiangsu Province from the perspectives of its status quo, risk causes, etc., and then puts forward policy recommendations to promote the sustainable development of the real estate market in Jiangsu Province.

The financialisation of contemporary urban planning policy discourse: insights into Serbian and Irish planning legislation

ABSTRACT While existing literature highlights the role of private real estate interests in shaping urban policy agendas, few studies have examined formal changes in planning legislation as a key site of influence. This paper investigates planning legislation reforms in Serbia and Ireland as illustrative cases of a broader trend of reducing investment risks and enhancing the financial viability of real estate development. Employing critical and context-sensitive narrative analysis of policy change, we present three key insights. First, we reveal how planning has been transformed into a tool for creating real estate assets driven primarily by financial considerations. Second, we demonstrate that public interest is often subordinated to private interests under a policy narrative dominated by financial sector logic and document how legislative and policy changes frequently introduce new barriers that restrict democratic engagement in planning policy formation. Third, we identify an increasing centralization in planning administrative structures, which undermines the principle of subsidiarity and provides opportunities for certain lobby groups to exert undue influence over policymakers. As the financial sector's influence on built environments grows globally, this study calls for more research into how real estate finance and planning systems affect each other, and how this plays out in practice.

A Study of Administrative Regulations on Real Estate Project Finance and Recent PF Market Issues

Real estate project financing is the process by which real estate developers secure funding. This study categorizes the types of real estate finance and analyzes investment types based on the degree of financial companies’ participation. Financial companies invest in real estate development projects either through direct financing, using PF loans, or through indirect financing via mechanisms such as collective investment schemes. However, if a financial company is not merely a financial investor but also acts directly as a developing entity, appropriate regulation is required. From an investor protection perspective, the Financial Act aims to alleviate information asymmetry and enhance the financial soundness of financial companies. An important issue is the regulation of financial companies directly implementing real estate development projects. In particular, if a real estate development project fails, the implementer bears primary responsibility. Therefore, granting enforcement authority to a financial company that controls the funding mechanism may pose a risk to financial companies. Real estate financing suggests that administrative regulations should be organized in a way that facilitates collaboration among multiple administrative agencies. The regulatory frameworks of both the Construction Act and the Financial Act should govern financial companies’ participation in real estate development projects, necessitating close cooperation among different administrative agencies. In the complex and specialized administrative legislative process, overlapping responsibilities among multiple administrative agencies, such as those under the Real Estate Investment Company Act, may occur; conversely, gaps in responsibilities may also arise. With this in mind, it is necessary to acknowledge the role of financial companies beyond their fundraising function in real estate finance and to investigate the complex and diverse legal relationships that may arise as a result. In particular, given the current situation—marked by the downturn in the real estate PF market that began last year, the subsequent workout of Taeyoung Construction, and concerns about the deterioration of savings banks’ soundness—, it is crucial to explore an effective regulatory system for real estate development finance by integrating the Construction Act and the Financial Act.

Comparison of Risks for Real Estate Finance in Asian: Evidence from China, Japan and Korea

Comparison of Risks for Real Estate Finance in Asian: Evidence from China, Japan and Korea

Comparison and Analysis of the Differences in Real Estate Financing Models Between Vanke and Sunac

Comparison and Analysis of the Differences in Real Estate Financing Models Between Vanke and Sunac

Do Fund Managers of Global Real Estate Funds Exhibit Superior Skill?

This study analyzes US-domiciled actively managed global real estate funds (GREMFs) from 1/2010 to 12/2023. The results show superior selectivity and adverse market timing skills of fund managers. On average, GREMFs deliver alpha ranging from 2.52 percent to 2.75 percent per year after controlling for premiums offered by the market, size, value, and momentum effects. The alpha range increases to 4.65 percent annually after including the quadratic term of excess market returns. The results also show that many funds exhibit superior selectivity skills, thus making a case for investors to invest in actively managed GREMFs rather than investing in passive indices. However, the results also indicate that GREMFs are unable to manage beta loadings to their advantage.

Geographic variations in corporate sponsorship for cancer center charity events.

e23116 Background: Most cancer centers rely on fundraising to support their clinical mission. However, the type and mission of companies sponsoring such events is not well known. Our goal was to determine if the source of philanthropy varies in different regions of the USA. Methods: Institutional websites and search engines were used to identify one signature fundraising event per NCI-designated Comprehensive Cancer Center. An event website and occurrence between January 2021 and January 2025 was required for inclusion. Principal corporate donors were inferred based on level of sponsorship (i.e., presenting, gold, etc.) or order of prominence. These were collapsed into 5 categories based on the Global Industry Classification Standard: 1) Consumer 2) Financial-Real Estate 3) Healthcare 4) IT-Communications, and 5) Materials-Industrial-Energy-Utilities. Chi-square analysis was used to compare sponsorship across 4 regions of the USA and Fischer’s exact test was used to make post-hoc exploratory analyses. All non-major corporate sponsors were excluded. Results: A total 493 corporate sponsorships were identified for 38 events that met inclusion criteria. Specifically, these were run/cycle/walks in 16 (42%), dinner galas in 15 (40%), concerts in 2 (5%) and other in 3 (8%). Most commonly, sponsors came from the Consumer (27%) and Healthcare (23%) industries. The relative number of companies in each category varied significantly among different regions (p < 0.001). Post-hoc testing revealed the health industry favored the northeast region compared to other regions for sponsorship (p = 0.0025). Conclusions: Charity events are philanthropically supported by different corporate sectors in different regions of the United States. This information can help cancer centers become more efficient at fundraising. [Table: see text]

Editorial − 2020 Real Estate Finance & Investment Symposium

In September and October 2020, the Real Estate Finance & Investment Symposium, sponsored and organized by the University of Cambridge, the University of Florida, the University of Geneva, and the National University of Singapore, was held online, given the COVID-19 pandemic. Ten papers on various research topics were presented in five two-hour sessions spread over five days. Each presentation was followed by remarks from a discussant as well as general discussion from the audience. This editorial discusses the five papers from the symposium that are included in this special issue.

Is there an optimal level of leverage? The case of banks and non-bank institutions in Europe

In this paper, we evaluate whether banks and non-banks size and systemic risk are affected by their level of leverage. We implement a threshold analysis to a sample of European traditional banks and non-banks (Finance services and Real Estate Finance Services) over 2006:1-2019:4. We find that Finance Services show positive co-movements between leverage and size, independently of the level of leverage, while for traditional banks the level of leverage matters. Both banks and non-banks show positive correlation between leverage and systemic risk. During periods of crisis, SRISK measure of systemic risk allows to identify an optimal level of leverage.

Unveiling the impact of SFDR on unlisted real estate funds: a J-Curve and panel regression analysis

PurposeThis paper investigates the relationship between the sustainable finance disclosure regulation (SFDR) and the performance of unlisted real estate funds.Design/methodology/approachWhile existing literature has primarily focused on the impact of voluntary sustainability disclosure, such as certifications or reporting standards, this study addresses a significant research gap by constructing and analyzing the financial J-Curve of 40 funds under the SFDR. The authors employ a panel regression analysis to examine the effects of different SFDR categories on fund performance.FindingsThe findings reveal that funds categorized under Article 8 of the SFDR do not exhibit significantly poorer performance compared to funds categorized under Article 6 during the initial phase after launch. On average, Article 8 funds even demonstrate positive returns earlier than their peers. However, the panel regression analysis suggests that Article 8 funds slightly underperform when compared to Article 6 funds over time.Practical implicationsWhile investors may not anticipate lower initial returns when opting for higher SFDR categories, they should nevertheless be aware of the limitations inherent in the existing SFDR labeling system within the unlisted real estate sector.Originality/valueTo the best of our knowledge, this study represents the first quantitative examination of unlisted real estate fund performance under the SFDR. By providing unique insights into the J-Curves of funds, our research contributes to the existing body of knowledge on the impact of sustainability regulations in the financial sector.

리츠(REITs) 배당가능이익에 대한 세제의 문제점 및 개선방안

REITs are indirect real estate investment products that collect funds from investors, invest them in real estate-related securities, and return the profits to investors. In the case of domestically listed REITs, if dividendable profits are generated, more than 90% must be paid as dividends. Through this, corporate tax is exempted. The government has made great efforts to expand the size of the public REITs and public real estate fund markets. Nevertheless, REIT investment is less active in some areas than major overseas countries. Recently, under the Corporate Tax Act, the principle is not to include valuation gains and losses in the tax base. However, arguments have raised that an exception should be recognized for REIT valuation losses. This is because undistributed profits due to valuation losses of REITs, which are indirect investment vehicles, are included in the taxable list, and corporate tax is paid, causing the double taxation problem for REIT investors. Considering this situation, this study examined the problems and improvement measures of the current REIT-related tax system for the growth of Korea's REIT market. In addition, we sought to derive implications for tax support for the REITs market through examples from significant countries. If we want to revitalize the REITs market more than currently, support from government policies is essential. Among them, tax support occupies the most important position. In order to dramatically grow the REITs market, it is necessary to provide bold tax benefits as in other countries. This study raised the need to improve Korea's current REIT tax system, as in the cases of the United States and Japan, and attempted to establish a taxation plan for the REIT tax system suitable for Korea's circumstances. One of the most urgent tasks in revitalizing REIT investment is to quickly resolve the conflicting issues between commercial law and corporate tax law to prevent double taxation of REITs. In addition, the tax support plan presented in this study is expected to minimize tax problems occurring in the REIT market and promote a reasonable taxation plan for the REIT market that is consistent with Korea. The policy alternatives in this study are expected to help use them as primary data when establishing policy alternatives for tax authorities or related ministries in the future.

Building Sustainable Social Housing System: A Singapore Case from New Institutionalism Economics Approach

Policymakers worldwide currently face challenges in planning, regulating, and managing the housing market. One of the primary solutions is the provision of affordable social housing fostering economic development, culture integration, technology empowerment, and social stability. Singapore is recognized as a successful model of well-balanced centralized legislation and market-augmented governance. However, current studies have mainly focused on urban planning and real estate finance fields. A holistic approach should be conducted to understand the effectiveness of the whole framework and policy conduit including affordability, inclusiveness, and connectivity. This study emphasizes the importance of the Housing and Development Board (HDB) governance and analyzes what policies make social housing schemes robust and sustainable by combining the Singapore case with the New Institutionalism Economics (NIE) approach. HDB decreases transaction costs by centralized planning and establishes a transparent system to increase housing affordability and ownership. Inclusiveness is achieved by inter-departmental joint force so that social capital can be maximized for diverse community cohesion. Socio-technical change and institutional evolution have mutual effects on each other for efficiency and connectivity. Digital innovations make sustainable communities and smart cities. As a result, this study proposes a practical framework for learning from Singapore's implications for national governance, institutional development, and policy formulation that holds universal reference value.

Unsmoothing Returns of Illiquid Funds

Abstract Funds investing in illiquid assets report returns with spurious autocorrelation. Consequently, investors need to unsmooth these funds’ returns when evaluating their risk exposures. We show that funds with similar investments share a common source of spurious autocorrelation not fully resolved by traditional unsmoothing methods and thereby leading to underestimation of systematic risk. Thus, we propose a generalized unsmoothing technique and apply it to hedge funds and private commercial real estate funds. Our method significantly improves the measurement of funds’ risk exposures and risk-adjusted performance, especially for highly illiquid funds. Overall, the average illiquid fund alpha is lower than previously thought. (JEL G11, G12, G23)

The “Dream Team” Approach to Teaching Real Estate Finance and Investment Analysis

The “Dream Team” Approach to Teaching Real Estate Finance and Investment Analysis

More different than alike: cross-sector volatility spillovers in Chinese stock sectors during COVID-19 pandemic

ABSTRACT The asymmetric spillovers and dynamic connectedness among sectors in Chinese stock market have not been fully studied, especially the impact of catastrophic events related to the COVID-19 pandemic on the linkages. In this paper, an asymmetric VAR-BEKK (DCC) – GARCH model is employed to measure the volatility spillovers and dynamic correlations among Chinese stock sectors before and during the COVID-19 pandemic. The empirical results indicate that volatility spillovers among sectors are significant, with evident differences before and during COVID-19. To be specific, the primary spillover transmitting sector has shifted from telecom business for the pre-pandemic period to the financial real estate sector after the outbreak. However, the role of the raw materials sector as the spillover receiver has not changed. Notably, the medical health sector forms closed-loop chains of transmission with the most other sectors during the COVID-19 period. In addition, asymmetric volatility spillovers and dynamic correlations among stock sectors are also significantly examined. The findings contribute to investors and decision makers in adjusting trading strategies and monitoring market risks.

ФИНАНСОВЫЕ РИСКИ В СФЕРЕ НЕДВИЖИМОСТИ

The real estate industry and the financial industry are interdependent, support each other and develop together. The ups and downs of the real estate market are inseparable from changes in real estate financing and related policies. The problems existing in the field of real estate financing in our country are mainly reflected in unjustified financing channels, lagging behind the legal registration of real estate financing and slow financial innovations. Therefore, it is necessary to strengthen national macro-control, expand real estate financing channels, cultivate and develop the financial real estate market, create a system of personal and corporate lending and contribute to the sustainable development of the real estate industry in our country.

An Analysis of the Causes of Evergrande Debt Crisis

Since August 2020, new regulations on real estate financing have been issued, emphasizing “the need to improve the marketization, standardization, and transparency of financing”. Subsequently, the capital liquidity crisis caused by Evergrande’s high debt and high turnover mode has become the focus of public attention in the market and has triggered the credit crisis of the real estate industry to a certain extent. This study is based on the public information such as the financial statements. To analyze and study the causes of the crisis, this paper will analyze the causes of the Evergrande Group crisis by comparing the previous financial statements of the company, using the balance sheet and comparing the profitability, and putting forward suggestions on the future liquidity and long-term development of Evergrande Group. The suggestions give inspiration to the same industry or enterprises in the same model. Warning the existing housing enterprises, Evergrande Group serves as the most negative example in textbooks, playing a warning role to prevent such a serious crisis from happening again.