Conference Agenda

Overview and details of the sessions of this conference. Please select a date or location to show only sessions at that day or location. Please select a single session for detailed view (with abstracts and downloads if available).

Please note that all times are shown in the time zone of the conference. The current conference time is: 13th Aug 2022, 10:40:28am IST

Session Overview
Thursday, 07/July/2022:
2:00pm - 3:45pm

Session Chair: Thies Lindenthal, University of Cambridge, United Kingdom
Location: Room C

Room in the Arts Building, Trinity College Dublin. Exact details to be confirmed by May 31

External Resource:
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Aggregate Investment and Equity REIT Market Returns

Liang, Weijian; Eshraghi, Arman

Cardiff University, United Kingdom;

I examine the theory and evidence regarding the forecast of future market return by aggregate investment in an equity REIT context. Without the presence of material investment lags, the equity REIT industry offers a unique opportunity to examine the forecast implied by investment-based asset pricing with instant investment in response to shifts in economic conditions. I find that aggregate investment negatively forecasts future excess equity REIT market returns; and the forecast is robust to the inclusion of standard discount-rate proxies, market-valuation multiples, aggregate operating accruals, and equity issuance. My results point to time-varying discount rates as a key explanation for the documented forecast, consistent with standard investment-based models. Specifically, I show that aggregate investment is little affected by concurrent market sentiment; future firm earnings shocks cannot be forecasted by aggregate investment in advance; higher aggregate investment is followed by higher future macroeconomic growth; and the aggregate investment forecast of future market returns survives the inclusion of future firm and macroeconomic fundamentals.

Unpledged Collateral and Distressed Asset Sales: Evidence from REIT Transactions

Demirci, Irem1; Rasteh, Mehdi2; Yonder, Erkan2

1Nova School of Business & Economics, Portugal; 2Concordia University, Canada;

Using Real Estate Investment Trusts (REITs) industry as a laboratory, we test the

impact of pledgeable assets on distressed firms’ asset sales and borrowing activity.

We find that unencumbered assets alleviate the distress discount on asset sales of

financially distressed REITs. Furthermore, by restricting the firm in the assets that

can be disposed, higher encumbrance ratio reduces the firm’s selling activity. Finally,

financially distressed REITs with high encumbrance ratios raise debt at a higher cost.

Our unencumbered assets measure is free of selection bias that secured debt measure

is subject to and contains differential information. Overall, our results show that the

amount of unencumbered assets has a significant explanatory power on REITs’ asset

sales and cost of borrowing.

An international examination of the REIT effect

Optveld, Hans1; Brounen, Dirk2

1Tilburg University & ASRE, Netherlands, The; 2Tilburg University;

The U.S. REIT structure has over time become the blueprint for the introduction of a tax transparent vehicle in many jurisdictions and geographies around the world. Policy makers would like to copy the success of the U.S. structure by copying the key characteristics, as well as the REIT name. Implicitly, it assumes that implementation of a REIT by itself would lead to market growth and to more desirable performance features. However, it has never been tested empirically whether the adoption of the structure has had this effect in markets that adopted REIT structures. Even though the name has been prolific, the key attributes of REITs differ subtly from one jurisdiction to another. Using these differences, we look at some of the largest markets around the world that have introduced REIT structures over time to unpick which characteristics are impacting the performance behaviour of REITs. Using a Chow test, we document that the adoption of a REIT regime does result in a structural performance break and to lower risk levels of converting companies. At the same time, we find that the adoption of a REIT structure is no guarantee for a large listed real estate market or market sector growth that policy makers expect.

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