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Using a linear multifactor pricing model, we study the influence of equity market, the consumption growth and the return on real estate wealth on asset returns. The real estate risk factor is proxied alternatively by the National Association of Real Estate Investment Trusts (NAREIT) index, unlevered NAREIT index and National Council of Real Estate Investment Fiduciaries property index. Estimates are based on CRSP's monthly decile portfolio returns from January 1972 to December 2013 (including the Vintage REIT era and the New REIT era). Generalized method of moment results show that the real estate factor is particularly useful to explain the cross‐sectional variation of returns in the last two decades generally associated with the so‐called real estate bubble. [ABSTRACT FROM AUTHOR]

Purpose The purpose of this paper is to examine whether Real Estate Investment Trusts (REITs) returns on the different days of the week differ from each other.Design/methodology/approach It uses European Public Real Estate Association (EPRA)/National Association of Real Estate Investment Trusts (NAREIT) UK index daily closing values (GBP) and its two sub-indices FTSE EPRA/NAREIT UK REITs and non-REITs as dependent variables. It employs Kruskal-Wallis tests and dummy-variable regression to test the hypothesis.Findings The overall findings provide evidence that return anomalies exist in the UK REITs.Practical implications Thought significant, the absolute returns differences are modest for investors to gain superior returns in UK REITs. However, by recognising the day-of-the-week effect, investors can buy/sell UK REITs more effectively.Originality/value This research brings updated evidence of the contested calendar anomalies issues in REITs. [ABSTRACT FROM AUTHOR]

The cover page of the journal "Real Estate Economics" is presented along with the issue's editors and information on membership and correspondence address.

The article presents the list of editorial board members of the periodical such as Paul M. Anglin, along with board of directors for 2016 like Brent W. Ambrose and periodical's sponsorships and partners such as National Association of Real Estate Investment Trusts (NAREIT).

This paper examines five indices in the commercial real estate (CRE) markets: the Na-tional Association of Real Estate Investment Trusts (NAREIT) Index, the National Council of Real Estate In-vestment Fiduciaries (NCREIF) Property Index (NPI), the Transaction Based Index (TBI), Moody's / Real Com-mercial Property Price Indices (CPPI), and CoStar Com-mercial Repeat-Sale Indices (CCRSI). We find much het-erogeneity in the information content of these indices. NAREIT, NPI, and TBI may not be appropriate mea-sures of current CRE market conditions in general, even though these indices, and especially the first two, are commonly used. We find substantial information differ-ences between CPPI (an index driven by high-value CRE properties) and CCRSI (an index driven by low-value CRE properties) and the difference in information con-tent is notable. This finding indicates that high- and low-value CRE markets are not closely linked. As most CRE indices are driven by high-value CRE markets, our findings suggest that most of these indices may not be very useful to non-institutional CRE investors, local banks who are the main lenders of such loans, or inves-tors in CMBS where the underlying assets include low-value CREs. Finally, based on either CCRSI or CCPI, we conclude that CRE markets are local. [ABSTRACT FROM AUTHOR]

The National Association of Real Estate Investment Trust (NAREIT) has suggested that Net Income (NI) might not be the best measure of operating performance for income-producing real estate, since depreciation measurement based on historical cost is inappropriate for income-producing real estate. Thus, the NAREIT purposes Funds From Operation (FFO) as a supplemental measure for operating performance of income-producing real estate. In Taiwan, Real Estate Investment Trusts (REITs) are a relatively new type of income-producing real estate investment. Since the data on REITs in Taiwan is not yet sufficient, this work uses hotel, tourism and department store industries, or real estate operating firms (REOCs), as a proxy for a preliminary study of REITs in Taiwan. The empirical results show that using a model incorporating both NI and FFO understates the explanatory power of two variables, since multicollinearity occurs. Therefore, the current study separately estimates the information content of NI and FFO, finding that the explanatory power of NI is higher than that of FFO, though the forecasting ability of FFO is higher than that of NI. But the differences between the explanatory power and forecasting ability of NI and FFO are very small. The results show that NI and FFO are both informative for income-producing real estate in Taiwan. [ABSTRACT FROM AUTHOR]

This paper is an introduction to a special issue of the Journal of Real Estate Finance and Economics (JREFE) devoted to papers on Real Estate Investment Trusts (REITs). The papers were especially written for a conference sponsored by the National Association of Real Estate Investment Trusts. The papers deal with the theoretical and empirical aspects of REIT underwriting behavior, corporate governance, asset pricing, takeovers and going-private transactions, capital-market based financing, changes in monetary policy and changes in REIT stock prices, and risk-bearing and liquidity. [ABSTRACT FROM AUTHOR]

This paper is the winner of the best paper on Real Estate Investment Trusts award (sponsored by the National Association of Real Estate Investment Trusts (NAREIT)] presented at the 2005 American Real Estate Society Annual Meeting. This study evaluates the investment prospects of value stocks in the real estate investment trust (REIT) market. Value stocks are defined as those that carry low prices relative to their earnings, dividends, book assets, or other measures of fundamental value. The empirical results show that from 1990 onwards, value REITs provide superior returns without exposing investors to higher risks. The evidence is consistent with the extrapolation theory, which attributes the mispricing to investors over extrapolating past corporate results into the future. Interestingly, the findings reveal that such extrapolation is asymmetric in the REIT market. While value REITs are underpriced in accordance with the extrapolation theory, no evidence is found that growth REITs are overpriced. The value anomaly also exhibited several temporal traits. Firstly, the value premium varies over time. Secondly, the magnitude of the premium is inversely associated with the market performance. Finally, the value anomaly is not evident in the pricing of REITs in the 1980s. [ABSTRACT FROM AUTHOR]