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Leverage and NAV discount: evidence from Italian real estate investment funds
Morri, Giacomo; Benedetto, Paolo - In: Journal of European Real Estate Research 2 (2009) 1, pp. 33-55
Purpose – The closed‐end fund puzzle is one of the most famous unsolved issues in financial economics and as such, over time, it has raised the interest of many authors also in the real estate field. The aim of this paper is both to determine whether the effect of leverage on net asset value...
Persistent link: https://www.econbiz.de/10014862624
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The performance of Italian real estate mutual funds
Morri, Giacomo; Lee, Stephen L. - In: Journal of European Real Estate Research 2 (2009) 2, pp. 170-185
Purpose – Italian real estate mutual funds have shown enormous growth over the past few years, however, little is known about their performance. The purpose of this paper is to correct this oversight. Design/methodology/approach – The risk‐adjusted performance, as measured by the Sharpe...
Persistent link: https://www.econbiz.de/10014862631
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The impact of pensions and insurance on global yield curves
Greenwood, Robin; Vissing-Jørgensen, Annette - 2018
We document a strong effect of pension and insurance company (P&I) assets on the long end of the yield curve. Using … ratio of pension assets (in funded and private pension and life insurance arrangements) to GDP, suggesting that preferred …-habitat demand by the P&I sector for long-dated assets drives the long end of the yield curve. We draw on changes in regulations in …
Persistent link: https://www.econbiz.de/10011931879
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Categorizing sentiment and its impact on REIT returns
Huerta, Daniel; Jackson, Dave O.; Ngo, Thanh - In: Managerial finance 41 (2015) 9, pp. 958-973
Persistent link: https://www.econbiz.de/10011337154
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Direct investment positions held by captive financial institutions in Luxembourg affiliated to investment funds focusing on private equity or real estate
Di Filippo, Gabriele - 2024 - This version: 10 January 2024
Persistent link: https://www.econbiz.de/10014452393
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The turn-of-the-month effect in real estate investment trusts (REITs)
Compton, William S.; Johnson, Don T.; Kunkel, Robert A. - In: Managerial Finance 32 (2006), pp. 969-980
Purpose – This study seeks to examine the market returns of five domestic real estate investment trust (REIT) indices to determine whether they exhibit a turn-of-the-month (TOM) effect. Design/methodology/approach -A test is carried out for the TOM effect by employing a battery of parametric...
Persistent link: https://www.econbiz.de/10010747827
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How to evaluate risk for Italian real estate funds
Giannotti, Claudio; Mattarocci, Gianluca - In: Journal of European Real Estate Research 2 (2009) 2, pp. 132-150
Purpose – The purpose of this paper is to define an approach useful to evaluate real estate funds on the specific characteristics of the Italian market and on the basis of international best practices. Design/methodology/approach – The first step is to identify specific factors and portfolio...
Persistent link: https://www.econbiz.de/10014862629
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Public REITs' governance and regulatory structure: effects on NAV discount
Biasin, Massimo; Giacomini, Emanuela; Grazia Quaranta, Anna - In: Journal of European Real Estate Research 3 (2010) 3, pp. 161-181
Purpose – The purpose of this paper is to investigate the influence of the Italian real estate investment trusts (REITs)' governance and regulatory structure on the market prices discount to net asset values (NAV). Design/methodology/approach – The hypothesis is that the overall regulatory...
Persistent link: https://www.econbiz.de/10014862646
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The turn‐of‐the‐month effect in real estate investment trusts (REITs)
Compton, William S.; Johnson, Don T.; Kunkel, Robert A. - In: Managerial Finance 32 (2006) 12, pp. 969-980
Purpose – This study seeks to examine the market returns of five domestic real estate investment trust (REIT) indices to determine whether they exhibit a turn‐of‐the‐month (TOM) effect. Design/methodology/approach – A test is carried out for the TOM effect by employing a battery of...
Persistent link: https://www.econbiz.de/10014939896
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Categorizing sentiment and its impact on REIT returns
Huerta, Daniel; Jackson, Dave O.; Ngo, Thanh - In: Managerial Finance 41 (2015) 9, pp. 958-973
Purpose – The purpose of this paper is to reexamine the impact of investor sentiment on real estate investment trust (REIT) returns using direct, survey-based measures of sentiment to categorize sentiment from institutional and individual investors. Design/methodology/approach – The authors...
Persistent link: https://www.econbiz.de/10014941501