International listed real estate returns: evidence from the global financial crisis

Alain Coën and Patrick Lecomte

Journal of Property Investment & Finance, 2019, vol. 37, issue 1, 72-91

Abstract: Purpose - The purpose of this paper is to analyze and revisit the risk and performance of publicly traded real estate companies from 14 countries over the period 2000–2015, marked by the unprecedented Global Financial Crisis, in presence of errors-in-variables (EIV) and illiquidity (measured by serial correlation, following Getmanskyet al.(2004)). Design/methodology/approach - The authors extend the seminal work of Bondet al.(2003), and shed a new light on the relative performance of listed real estate before and after the GFC. First, the authors suggest the use of various asset pricing models (APM) including the Fama and French (2015) five-factor APM with global and country-level factors. Second, the authors implement unbiased estimators to correct for the econometric bias induced by EIV in APM. Third, the authors deal with the impact of illiquidity (measured by serial correlation) on the risk properties of international securitized real estate returns. Findings - The findings show that post-GFC, a radical change in international listed real estate risk factors has resulted in more homogeneous markets internationally and less diversification opportunities for international investors. Practical implications - The authors suggest the use of robust linear APM (including the Fama and French (2015) five-factor APM) to analyze the risk and performance of publicly traded real estate companies from 14 countries over the period 2000–2015. Originality/value - The authors analyze and revisit the risk and performance of publicly traded real estate companies from 14 countries over the period 2000–2015, marked by the unprecedented Global Financial Crisis.

Keywords: REITs; Illiquidity; Asset pricing models; International real estate returns; Post-GFC; Risk adjusted performance; C19; C49; G12; G31 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eme:jpifpp:jpif-03-2018-0021

DOI: 10.1108/JPIF-03-2018-0021

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