In this paper we discuss the pricing of commercial real estate index linked swaps (CREILS). This particular pricing problem has been studied by Buttimer et al. (1997) in a previous paper. We show that their results are only approximately correct and that the true theoretical price of the swap is...

Welfare gains to long-horizon investors may derive from time diversification that exploits non-zero intertemporal return correlations associated with predictable returns. Real estate may thus become more desirable if its returns are negatively serially correlated. While it could be important for...

This study compares the information content of funds from operation (FFO) and net income (NI) in the real estate investment trust (REIT) industry. We find that models using FFO explain more of the variance in cumulative abnormal returns around earnings announcement dates than models using NI do....

During the October 2008 fund crisis, approximately one-third of German open-end real estate retail funds, with total assets under management of about EUR 30 billion, were forced to close (suspend share redemptions). A fund closure generally leads to fund liquidation, which poses a serious...

We test for differences in information asymmetry across two organizational forms (external and internal) in the REIT industry. We find significant differences with external REITs being significantly more transparent relative to internal REITs, and these differences are reflected in the loan...

The lack of hostile takeovers and relatively modest wealth gains associated with REIT mergers motivate two fundamental yet previously unexplored questions: how competitive are REIT takeovers, and how exactly does a REIT sell itself to another firm? This paper examines these questions using...

This study contributes new evidence to distinguish why mergers occur in the real estate industry by quantifying the combined firm return for nearly three decades of real estate mergers. As a measure of the overall change in shareholder wealth created by a merger, the combined firm return plays a...

Germany has attracted substantial real estate investments from abroad within the last years. Furthermore, German investors have also invested again a higher percentage of their capital earmarked for real estate at home. Therefore it has to be examined whether the German real estate returns have...

We test for the differences in information asymmetry across two organizational forms (external and internal) in the REIT industry. We find significant differences with external REITs being significantly more transparent relative to internal REITs, and these differences are reflected in the loan...

This paper offers a detailed discussion on managerial challenges and opportunities related to newly introduced real estate investment trust (REIT) in India. Features of the proposed REIT structure are critiqued in light of the existing body of knowledge about REITs. We revisit the debate...