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Securitized Real Estate Asset Research
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Securitized Real Estate Asset Research

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Financial Markets".

Deadline for manuscript submissions: closed (30 June 2022) | Viewed by 7305

Special Issue Editor

Prof. Dr. Kim Hiang Liow

E-Mail Website
Guest Editor
Department of Real Estate, National University of Singapore, Singapore City, Singapore
Interests: real estate companies and real estate investment trusts; the dynamics of commercial real estate markets; economic globalization and financial market integration; securitized real estate markets, property companies, and real estate investment trusts; corporate investment and finance in real estate

Special Issue Information

Dear colleagues,

There has been continuing interest in theoretical and empirical research on securitized real estate. It is my pleasure to announce that I am editing a Special issue of the Journal of Risk and Financial Management on “Securitized Real Estate Asset Research”. Both theoretical and empirical contributions are welcome. This Special Issue will publish high-quality and rigorous financial and property research relating to all aspects of property stocks, real estate investment trusts, and other forms of securitized real estate investment vehicles including, but not limited to the following topics: global market and cycle dynamics, financial market integration, financial stress and economic policy uncertainty, influences of macroeconomic factors, mixed-asset portfolio diversification and hedging, valuation and risk management, asset pricing, behavioral finance, leverage and capital structure, asset and portfolio management, corporate growth, corporate control, and international financial management. This Special Issue will aim to reflect the diversity of topics in securitized real estate asset research. The closing date of this Special Issue is 30 June 2022.

Prof. Dr. Kim Hiang Liow
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • securitized real estate
  • property stocks
  • real estate investment trusts
  • global market and cycle dynamics
  • financial market integration
  • financial stress
  • economic policy uncertainty
  • macroeconomic factors
  • mixed-asset portfolio diversification and hedging
  • valuation and risk management
  • asset pricing
  • behavioral finance
  • leverage and capital structure
  • asset and portfolio management
  • corporate growth
  • corporate control
  • international financial management

Published Papers (3 papers)

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Research

14 pages, 1329 KiB  
Article
A Giant Falls: The Impact of Evergrande on Asian Stock Indexes
by Dora Almeida, Andreia Dionísio, Muhammad Enamul Haque and Paulo Ferreira
J. Risk Financial Manag. 2022, 15(8), 326; https://doi.org/10.3390/jrfm15080326 - 23 Jul 2022
Cited by 2 | Viewed by 2669
Abstract
The economic growth of China has been driven by the development of its real estate market, especially after the 2008 crisis. This growth is mostly related to the huge housing bubble and growing amounts of sovereign debt that have been redirected to corporations [...] Read more.
The economic growth of China has been driven by the development of its real estate market, especially after the 2008 crisis. This growth is mostly related to the huge housing bubble and growing amounts of sovereign debt that have been redirected to corporations in the sector. Evergrande is one of those corporations; it is a Chinese company in the construction and real estate sector, a global giant with investments in many parts of the world. Its bond default in September 2021 sounded alerts in financial markets. Several news outlets spoke of the “next Lehman Brothers”, and apprehension was very high, especially in Asian markets. This research work aims to evaluate the impact of Evergrande’s bond default on six Asian stock markets, using an event study approach. The results show a strong reaction from the markets towards the event in study, even anticipating it. Furthermore, it is worth mentioning a quick reversion to “normal” behavior, indicating the rapid absorption of information by the markets. Full article
(This article belongs to the Special Issue Securitized Real Estate Asset Research)
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13 pages, 278 KiB  
Article
Exploring a Three-Factor Dependence Structure of Conditional Volatilities: Some Quantile Regression Evidence from Real Estate Investment Trusts
by Kim Hiang Liow
J. Risk Financial Manag. 2022, 15(6), 234; https://doi.org/10.3390/jrfm15060234 - 25 May 2022
Cited by 4 | Viewed by 1636
Abstract
We propose a simple three-factor pricing model, consisting of a local stock market index, a global REIT market index, and a global stock market index, to examine the dependence structure of conditional volatilities in the real estate investment trust (REIT) market from 11 [...] Read more.
We propose a simple three-factor pricing model, consisting of a local stock market index, a global REIT market index, and a global stock market index, to examine the dependence structure of conditional volatilities in the real estate investment trust (REIT) market from 11 countries over the sample period from 1 June 2008 to 30 April 2021. The main quantile regression results reveal that a simultaneous dependence structure exists between each REIT market and local stock, global REIT market, and global stock market. There is a positive and significant dependence between REITs and three factors for every part of the quantiles. Across each quantile, Asia-Pacific REIT markets have a consistently higher average degree of dependence with their local stock markets than with the global stock and global REIT markets, whereas European REIT markets are generally more globally integrated. Furthermore, the lower and upper quantile estimates for over half of the REIT-quantiles for the three market factors are statistically different. Additionally, some REIT markets display asymmetric co-movement with at least one of the three factors as the degree of dependence increases when these markets are booming, but the dependence level declines when the markets are bearish. This evidence of dependence across the three influential factors and REIT markets provides meaningful insights into REIT market growth, international asset pricing, risk management, and dynamic linkages in the global economy. Full article
(This article belongs to the Special Issue Securitized Real Estate Asset Research)
16 pages, 1842 KiB  
Article
The Impact of COVID-19 on the Work of Property Valuers: A Glance at the Polish State of Play
by Małgorzata Uhruska and Agnieszka Małkowska
J. Risk Financial Manag. 2021, 14(8), 378; https://doi.org/10.3390/jrfm14080378 - 16 Aug 2021
Cited by 1 | Viewed by 2315
Abstract
This article presents how the COVID-19 pandemic affected the valuation profession in Poland in the early stages of its most severe restrictions and limitations. This study is the first to investigate the impact of COVID-19 on the professional activities of property valuers. In [...] Read more.
This article presents how the COVID-19 pandemic affected the valuation profession in Poland in the early stages of its most severe restrictions and limitations. This study is the first to investigate the impact of COVID-19 on the professional activities of property valuers. In particular, it aims to identify the difficulties associated with valuers’ activities during the first lockdown and the impact of restrictions on business performance. The data analyzed come from a survey of Polish valuers in September 2020. The questions were of a closed-ended nature. Using a five-point Likert scale, respondents expressed their opinions on the difficulties and benefits of their work in the first COVID-19 period. The results show that the respondents experienced difficulties related to the pandemic and noted its negative impact on business performance. The most significant problem was the limited access to public institutions supporting the valuation process and providing market data on real estate transactions. The respondents also indicated other problems related to property valuation, as well as some positive effects for their business. Full article
(This article belongs to the Special Issue Securitized Real Estate Asset Research)
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