This paper documents that development exposure is an important determinant of private real estate returns and market risk exposure. It also documents that open-end private real estate funds have time-varying, procyclical market risk exposure through their development activities. As such, these...

This study analyses underpricing in a sample of 41 Real Estate Investment Trusts (REITs) from the Spanish market between November 2013 and January 2019. The results show a significant underpricing on the initial-day (either when we compute raw or market-adjusted initial returns) concentrated in...

Prior empirical evidence regarding the impact of dividend taxes, corporate taxes, and corporate governance on firm valuation is inconclusive. This study avoids some of the complications encountered in previous empirical work by exploiting institutional characteristics of REITs, such as their...

Real estate has been a very large and important portion of wealth for thousands of years. Even as recently as a century ago, real estate dominated institutional portfolios and was classified as property. During recent decades, the preeminence of real estate has yielded to the growing importance...

This paper tests the random walk hypothesis and market efficiency for twelve emerging as well as for four developed securitized real estate markets from 1992 to 2009. Random walk properties of equity prices influence return dynamics, and market efficiency is often considered an essential...

This paper examines the influence of corporate social responsibility (CSR) on the performance of Australian Real Estate Investment Trusts (A-REITs). Rolling regressions are estimated to establish the risk-adjusted performance of low, average, and high-rated CSR A-REIT portfolios over time. We...

In this study, we are the first to analyze the illiquidity premia and their effect on the expected returns of German real estate securities. We show that illiquidity plays an important role in expected returns for real estate stocks and investment trusts (REITs), but have less clear effects on...

We examine the market for U.S. equity real estate investment trusts (REITs) for evidence of the volatility effect, in which low volatility stocks tend to outperform high volatility ones, as has been found in the general equity market by prior research. While there is some evidence of a...

We develop a model for valuing U.S. real estate investment trusts (REITs) that considers the tax liability impounded in REITs' property portfolios. This liability is a function of the portfolio's accumulated depreciation and is driven by different tax rates applied to individual components of...