Do internally managed REITs manage earnings more than externally managed REITs?

The purpose of the paper was to provide an empirical examination of earnings management among internally and externally managed REITs. The empirical accounting literature claims that internal management of a firm does not constrain earnings management, while others argue in favor of internal management for firms. Using a sample of listed South African REITs for the 2013 - 2021 time period, we examine the relationship between management structures and earnings management. We do not find any aggressive practice in internally managed REITs during the study period. The study’s findings imply that good corporate governance is a critical safeguard for stakeholders in exceptional circumstances when REITs have special incentives to manage earnings; as a result, it is suggested that REITs’ corporate governance is important, despite being overlooked in some circumstances. Specific to South African REITs, policymakers as well as nominating committees of the board of directors may wish to take note that financial competence is an important quality of external directors in order to effectively curb earnings management. This is the first study to investigate financial sheet manipulation among REITs management structures in an emerging market

The determinants of office yields in European cities

This paper examines the drivers of prime office yields in Europe. Specifically, the paper uses 16 European cities across 8 European countries including United Kingdom, France, Germany, Italy, Spain, Belgium, Netherlands, and Ireland from Q1 2007 to Q2 2024. The premier cities include Berlin, Paris, Central London, Frankfurt, and Munich while the primary cities are Hamburg, Dusseldorf, Madrid, Milan, Amsterdam and Dublin. Lastly, the secondary cities comprised of Barcelona, Rome, Brussels, Cologne, and Lyon. For the estimation technique, we use quantile regression and OLS while accounting for country, city and time fixed effects. From the baseline results, we find that take-up, prime rent, vacancy rate and foreign investment have a negative and statistically significant effect on office prime yields. In the case of the results obtained from the quantile regression, vacancy rate is seen as the most significant determinant of office yields. Prime rent emerged as a significant determinant of office yields. The result of this work is particularly useful for investors, policy makers and analysts as it provides an in-depth understanding of how office yield varies over time in different European Cities as well as the factors which influence office yields.http://www.tandfonline.com/journals/rjel20am2024EconomicsSDG-08:Decent work and economic growthSDG-17:Partnerships for the goal

The effect of gold market speculation on REIT returns in South Africa : a behavioral perspective

This study provides novel insight to the evolution of herd behavior during crisis periods by relating the time-variation in investor herding to speculation in gold, an asset traditionally considered a safe haven during periods of market crisis. We find that higher level of speculation in gold significantly contributes to herding in the emerging South African real estate investment trust (REIT) market, particularly during the mid-2008 to 2011 period, matching the duration and aftermath of the global financial crisis. The evidence of herding in this market is in contrast to the static and two-regime model specifications that fail to detect herding, underscoring the significance of econometric specifications that directly track the time-variation in herd behavior. Our findings suggest that speculative activities in the gold market contain valuable information regarding market fundamentals that drive investor behavior in emerging markets and that regulators should monitor indicators of speculative activities in gold in order to implement circuit breakers in their markets that may help mitigate the negative effects of herd behavior.https://link.springer.com/journal/121972018-10-08hj2018Economic

Mining activities and housing price nexus : evidence from South Africa

PURPOSE : Several studies have examined the impact of market fundamentals on house prices. However, the effect of economic sectors on housing prices is limited despite the existence of two-speed economies in some countries, such as South Africa. Therefore, this study aims to examine the impact of mining activities on house prices. This intends to understand the direction of house price spreads and their duration so policymakers can provide remediation to the housing market disturbance swiftly. DESIGN/METHODOLOGY/APPROACH : This study investigated the effect of mining activities on house prices in South Africa, using quarterly data from 2000Q1 to 2019Q1 and deploying an auto-regressive distributed lag model. FINDINGS : In the short run, we found that changes in mining activities, as measured by the contribution of this sector to gross domestic product, impact the housing price of mining towns directly after the first quarter and after the second quarter in the non-mining cities. Second, we found that inflationary pressure is instantaneous and impacts house prices in mining towns only in the short run but not in the long run, while increasing housing supply will help cushion house prices in both submarkets. This study extended the analysis by examining a possible spillover in house prices between mining and non-mining towns. This study found evidence of spillover in housing prices from mining towns to non-mining towns without any reciprocity. In the long run, a mortgage lending rate and housing supply are significant, while all the explanatory variables in the non-mining towns are insignificant. ORIGINALITY/VALUE : These results reveal that enhanced mining activities will increase housing prices in mining towns after the first quarter, which is expected to spill over to non-mining towns in the next quarter. These findings will inform housing policymakers about stabilising the housing market in mining and non-mining towns. To the best of the authors’ knowledge, this study is the first to measure the contribution of mining to house price spillover.https://www.emerald.com/insight/publication/issn/1753-8270hj2024Construction EconomicsSDG-08:Decent work and economic growt

How do Stocks in BRICS co-move with Real Estate Stocks?

This paper investigates BRICS markets’ integration and segmentation between real estate indices and stock indices, and the possibility of establishing “wealth” and “credit” effects. The analysis of the relationship is based on updated techniques in time series using the concepts of fractional integration and cointegration and Granger causality. This allows us to look at market efficiency and bi-directional long-run equilibrium relationships between the two variables in the five countries. The results indicate that all the series are highly persistent, with orders of integration around 1 implying the possibility of markets to be efficient. However, we do not find any evidence suggesting long run equilibrium relationships between the real estate stock indices and the stocks indices. Meanwhile, causality is bi-directional in the case of South Africa, thus both “wealth effect” and “credit effect” exist, while only “credit effect” is established in India and Russia.pre-print406 K

Stock market responses to COVID-19: The behaviors of mean reversion, dependence and persistence.

We examine stock market responses during the COVID-19 pandemic period using fractional integration techniques. The evidence suggests that stock markets generally follow a synchronized movement before and the stages of the pandemic shocks. We find while mean reversion significantly declines, the degree of persistence and dependence has been increased in the majority of the stock market indices in whole sample analysis covering the period of August 02, 2019 and July 09, 2020. This outcome implies increasing integration and possibly declining benefits of diversification for the global stock portfolio management.post-print2607 K

How do Stocks in BRICS co-move with REITs?

This paper investigates BRIC markets’ integration and segmentation between REITs and stock indices, and the possibility of establishing “wealth” and “credit” effects. The analysis of the relationship is based on updated techniques in time series using the concepts of fractional integration and cointegration and Granger causality. This allows us to look at bidirectional long-run equilibrium relationships between the two variables in the five countries. The results indicate that all the series are highly persistent, with orders of integration around 1. However, we do not find any evidence suggesting long run equilibrium relationships between the REITs and the stocks. Meanwhile, causality is bi-directional in the case of South Africa, thus both “wealth effect” and “credit effect” exist, while only “credit effect” is established in India and Russia

Stock Market Responses to COVID-19: The Behaviors of Mean Reversion, Dependence and Persistence

We examine stock market responses during the COVID-19 pandemic period using fractional integration techniques. The evidence suggests that stock markets generally follow a synchronized movement before and the stages of the pandemic shocks. We find while mean reversion significantly declines, the degree of persistence and dependence has been increased in the majority of the stock market indices in whole sample analysis covering the period of 02.08.2019 and 09.07.2020. This outcome implies increasing integration and possibly declining benefits of diversification for the global stock portfolio management

Is there convergence between the BRICS and International REIT Markets?

The BRICS market represents high growth economies. This paper empirically examines the long-run equilibrium as well as the short-run linkages between the BRICS REIT markets and the REIT markets in developed countries (United States, Australia and the United Kingdom). We employ fractional co-integration techniques between the BRICS REIT markets and 3 most developed REIT markets. This paper tests the hypothesis of fractional integration, our results showed no evidence of co-integration between BRICS REIT markets and the REIT markets of any of the developed economies in the long run, while the result only indicated that the BRICS REIT markets is influenced by the developed economies in the short run. The implications of this study shows that a portfolio of developed REIT markets are diversifiable when added into a portfolio of BRICS REIT markets. This is particularly significant for investors and fund analysts in other to reduce portfolio risks