Cost Improvements, Returns to Scale, and Cost Inefficiencies for Real Estate Investment Trusts

Cost Improvements, Returns to Scale, and Cost Inefficiencies for Real Estate Investment Trusts*

This paper extends the existing research on real estate investment trust (REIT) operating efficiencies. We estimate stochastic-frontier, panel-data models specifying a translog cost function. The specified model updates the cost frontier with new information as it becomes available over time. The model can identify frontier cost improvements, returns to scale, and cost inefficiencies over time....

The Effect of Geographic Diversification on the Returns of Real Estate Investment Trusts

In analyzing the effect of geographic diversification on the risk and volatility of real estate returns, past studies have suffered from several flaws. They have been performed on ex post portfolios constructed from a larger sample of properties, they have used appraisal-based return series, and the geographic regions analyzed did not bear any relation to the economic characteristics which unde...

CROSS LISTING OF REAL ESTATE INVESTMENT TRUSTS (REITs)

Structure Depreciation and Returns to Scale of Real Estate∗

This study analyzes the real estate production function and economic depreciation of structures by using data from Japan and the U.S. Real estate exhibits decreasing returns in the U.S. but constant returns in Japan. Land and structures are substitutes in both countries. The property depreciation rate is larger for newer and denser properties located away from the Central Business District (CBD...

Preliminary and Incomplete Deviations between Stock Price and Fundamental Value for Real Estate Investment Trusts

We document that real estate investment trust (REIT) stock prices deviate from net asset values (NAV), as measured by Green Street Advisors, a buy-side research firm. Using REIT data since 1990, we find large positive excess returns to a strategy of buying stocks that trade at a discount to NAV, and shorting stocks trading at a premium to NAV. Estimated alphas are between 1.2% and 1.8% per mont...