The Other Side of Value: The Effect of Quality on Price and Return in Real Estate

被引：3

作者：

Anzinger, Sara Kelly ^{[1
]}

Ghosh, Chinmoy ^{[2
]}

Petrova, Milena ^{[3
]}

机构：

[1] SK Anzinger Consulting, NL-1094 JL Amsterdam, Noord Holland, Netherlands

[2] Univ Connecticut, Sch Business, Dept Finance, Storrs, CT 06269 USA

[3] Syracuse Univ, Whitman Sch Management, Dept Finance, Syracuse, NY 13244 USA

来源：

JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS | 2017年 / 54卷 / 03期

关键词：

Quality attributes; Firm performance; Real estate prices; Real estate returns;

D O I：

10.1007/s11146-016-9574-z

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine the effect of quality on price and return in real estate. Quality real estate stocks generally trade at higher prices. However, similar to findings in the aggregate stock market (Asness et al. 2013), quality in listed real estate is not fully reflected in price. A long quality, short junk portfolio (QMJ) is found to produce average risk-adjusted returns of 3.6 % per quarter (14.4 % annually). QMJ has a significantly positive coefficient when added as a dependent variable to a 4-factor model explaining U.S. real estate excess returns, including market, size, value and momentum factors, and leads to a small improvement in the overall fit of the model. Further investigation of the components of quality shows that profitability has a consistently positive relationship with real estate excess returns, while higher dividend payout is consistently associated with lower returns, in contrast to findings for conventional firms.

引用

页码：429 / 457

页数：29

共 45 条

[1]

Aharoni G., Grundy B., Zeng Q., Stock returns and the Miller Modigliani valuation formula: revisiting the Fama French analysis, Journal of Financial Economics, 110, pp. 347-357, (2013)

[2]

Altman E.I., Financial ratios, discriminant analysis and the prediction of corporate bankruptcy, Journal of Finance, 23, pp. 189-209, (1968)

[3]

Ang A., Hodrick R., Xing Y., Zhang X., The cross-section of volatility and expected returns, The Journal of Finance, 61, 1, pp. 259-299, (2006)

[4]

Asness C., Frazzini A., Pedersen L.H., Leverage aversion and risk parity, Financial Analysts Journal, 68, pp. 47-59, (2012)

[5]

Quality minus junk., (2013)

[6]

Baker M., Wurgler J., Market timing and capital structure, Journal of Finance, 57, pp. 1-32, (2002)

[7]

Ball R., Brown P., An empirical evaluation of accounting income numbers, Journal of Accounting Research, 6, pp. 159-178, (1968)

[8]

Ball R., Gerakos J., Linnainmaa J.T., Nikolaev V.V., Deflating profitability, Journal of Financial Economics, 117, pp. 225-248, (2015)

[9]

Banz R., The relationship between return and market value of common stocks. The, Journal of Financial Economics, 9, pp. 3-18, (1981)

[10]

Basu S., Investment performance of common stocks in relation to their price-earnings ratios: a test of the efficient market hypothesis, The Journal of Finance, 32, 3, pp. 663-682, (1977)

← 1 2 3 4 5 →