Empirical Analysis of the Average Asset Correlation for Real Estate Investment Trusts

CROSS LISTING OF REAL ESTATE INVESTMENT TRUSTS (REITs)

The Financial Rewards of Sustainability: A Global Performance Study of Real Estate Investment Trusts

This study shows for the first time, that investing comprehensively in sustainability as measured by the GRESB rating) pays off for REITs by enhancing operational performance and lowering risk exposure and volatility. Analyzing a sample of REITs from North America, Asia and Europe for the 2011-14 time period, it also appears that there is a great deal of untapped potential, particularly in the ...

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...

The Role of Corporate Governance in Initial Public Offerings: Evidence from Real Estate Investment Trusts

This study analyzes the impact of corporate governance structures at the initial public offering (IPO) date. We test hypotheses that firms with more shareholder-oriented governance structures receive higher valuations at the IPO stage and have better long-term performance. Our sample is a set of 107 IPOs of real estate investment trusts (REITs) between 1991 and 1998. Using a single industry and...

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...