The Experts below are selected from a list of 180 Experts worldwide ranked by ideXlab platform
Patrick Mcallister - One of the best experts on this subject based on the ideXlab platform.
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Capitalization rates and Transaction Activity in international office markets: a global perspective
Global Finance Journal, 2019Co-Authors: Steven Devaney, Nicola Livingstone, Patrick Mcallister, Anupam NandaAbstract:Abstract Based on a sample of office markets in 33 cities across 16 countries for the period 2007–2015, this paper explores variations in commercial real estate Transaction Activity and asset pricing in international office markets. It is argued that there are complex interactions and feedback relationships between asset prices, Transaction Activity, market conditions and local institutional structures in real estate markets. Commercial real estate pricing is modelled using data on capitalization rates. The relationships found are consistent with previous research in terms of the importance of drivers such as government bond yields, yield spreads and real estate rents. Consistent with information network effects, it is also found that larger and more mature markets tend to have lower cap rates and, thus, higher asset prices. The results for Transaction Activity are less clear cut. Results from econometric analysis of turnover rates suggest that the same explanatory factors do not determine Transaction Activity to the same extent as cap rates. When purged of possible joint determinants, there is no evidence to support the view that cap rates affect market turnover rates or that turnover rates affect cap rates.
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Determinants of Transaction Activity in commercial real estate markets: evidence from European and Asia-Pacific countries
Journal of Property Research, 2017Co-Authors: Steven Devaney, Patrick Mcallister, Anupam NandaAbstract:AbstractVariations in Transaction Activity between commercial real estate markets could have important implications for investment strategies and pricing. We consider why turnover rates, a common liquidity proxy, vary between countries and over time. We examine 38 countries in Europe and Asia-Pacific over the period 2000–2014. A conceptual framework is discussed prior to estimation of panel models that use turnover rates as the dependent variable. Our results indicate that the size and wealth of a country, the risk associated with that country and the performance of its commercial real estate market are significant factors that explain Transaction Activity. The quality of property rights is also an important factor.
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Which Factors Determine Transaction Activity across U.S. Metropolitan Office Markets
The Journal of Portfolio Management, 2017Co-Authors: Steven Devaney, Patrick Mcallister, Anupam NandaAbstract:Variations in Transaction Activity between commercial real estate markets and over time are likely to have important implications for investment strategies and pricing. The authors investigate economic and real estate market factors that might drive such variations. Their article draws on data on trading volumes and turnover rates for 49 U.S. metropolitan statistical area office markets. Panel models are employed to determine which factors lead to higher or lower turnover over the 2002–2015 period. The results indicate positive associations between turnover rates and market size, economic growth, and occupancy rates. Meanwhile, higher capital market risks and transfer taxes are found to have a negative effect on turnover rates. The findings are economically plausible and robust to a variety of specifications, including different measures of turnover rates. It is also found that private investor Transaction Activity is less strongly affected by market fundamentals than institutional investor Activity.
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The price impact of liquidity in international office markets
24th Annual European Real Estate Society Conference, 2017Co-Authors: Anupam Nanda, Patrick Mcallister, Nicola Livingstone, Steven DevaneyAbstract:This paper investigates the relationship between market liquidity, as indicated by Transaction Activity, and real estate asset pricing. Prior research has typically focused on the US or UK markets, but this study draws upon office market data for 36 cities situated in 20 countries over the period Q1 2007 to Q2 2015. Prime office yield is used as the dependent variable when the effects on pricing of Transaction Activity are modelled. Transaction Activity is captured in absolute terms using volumes and in relative terms through the measurement of turnover rates. Turnover rates are measured in two ways: as the proportion of stock in terms of physical area that traded and as the proportion of stock in terms of total value that traded. A range of econometric techniques are then applied in order to control for well-known endogeneity problems when estimating the impacts of trading on prices, and vice versa. The results indicate the extent to which Transaction Activity has a significant effect on pricing after controlling for other fundamental drivers. In addition, the research provides further insights into variations in Transaction Activity between major global office markets.
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the dynamics of asset prices and Transaction Activity in illiquid markets the case of private commercial real estate
Social Science Research Network, 2008Co-Authors: David C. Ling, Gianluca Marcato, Patrick McallisterAbstract:This paper investigates the relationship between capital flows, turnover and returns for the UK private real estate market. We examine a number of possible implication of capital flows and turnover on capital returns testing for evidence of a price pressure effect, 'return chasing' behaviour and information revelation. The main tool of analysis is a panel vector autoregressive (VAR) regression model in which institutional capital flows, turnover and returns are specified as endogeneous variables in a two equation system in which we also control for macro-economic variables. Data on flows, turnover and returns are obtained for the 10 market segments covering the main UK commercial real estate sectors. Our results do not support the widely-held belief among practitioners that capital flows have a 'price pressure' effect on property prices. However, we do find a significant positive relationship between lagged turnover and contemporaneous capital returns, suggesting that asset turnover provides increased price revelation which, in turn, reduces investment risk and increases property values.
Wuqin Sun - One of the best experts on this subject based on the ideXlab platform.
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Does Transaction Activity predict Bitcoin returns? Evidence from quantile-on-quantile analysis
The North American Journal of Economics and Finance, 2021Co-Authors: Liya Hau, Huiming Zhu, Muhammad Shahbaz, Wuqin SunAbstract:Abstract This paper uses the quantile-on-quantile regression to examine the predictive power of Transaction Activity for Bitcoin returns over the period from January 2013 to December 2018. We measure the Bitcoin Transaction Activity using trading volumes, the number of unique Bitcoin Transactions, and the number of unique Bitcoin addresses. Considering the onset of structural breaks, we identify considerable effects of the heterogeneity concerning the quantiles of Transaction Activity, which cannot be depicted fully by the traditional quantile regression method. The empirical results show that higher Transaction Activity tends to predict higher/lower Bitcoin returns when the market is in a bullish/bearish state. We find that the nexus is asymmetric across quantiles, depending on the sign and size of the Transaction Activity, and the predictive relationship intensifies in the upper or lower quantiles of the conditional distribution. In addition, this empirical evidence is in line with the volume-return association in the equity market due to private informative and noninformative trading actions. Overall, our findings suggest that Transaction Activity-based strategies should be made with respect to Bitcoin market performance, specifically during extreme conditions.
Anupam Nanda - One of the best experts on this subject based on the ideXlab platform.
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Capitalization rates and Transaction Activity in international office markets: a global perspective
Global Finance Journal, 2019Co-Authors: Steven Devaney, Nicola Livingstone, Patrick Mcallister, Anupam NandaAbstract:Abstract Based on a sample of office markets in 33 cities across 16 countries for the period 2007–2015, this paper explores variations in commercial real estate Transaction Activity and asset pricing in international office markets. It is argued that there are complex interactions and feedback relationships between asset prices, Transaction Activity, market conditions and local institutional structures in real estate markets. Commercial real estate pricing is modelled using data on capitalization rates. The relationships found are consistent with previous research in terms of the importance of drivers such as government bond yields, yield spreads and real estate rents. Consistent with information network effects, it is also found that larger and more mature markets tend to have lower cap rates and, thus, higher asset prices. The results for Transaction Activity are less clear cut. Results from econometric analysis of turnover rates suggest that the same explanatory factors do not determine Transaction Activity to the same extent as cap rates. When purged of possible joint determinants, there is no evidence to support the view that cap rates affect market turnover rates or that turnover rates affect cap rates.
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Determinants of Transaction Activity in commercial real estate markets: evidence from European and Asia-Pacific countries
Journal of Property Research, 2017Co-Authors: Steven Devaney, Patrick Mcallister, Anupam NandaAbstract:AbstractVariations in Transaction Activity between commercial real estate markets could have important implications for investment strategies and pricing. We consider why turnover rates, a common liquidity proxy, vary between countries and over time. We examine 38 countries in Europe and Asia-Pacific over the period 2000–2014. A conceptual framework is discussed prior to estimation of panel models that use turnover rates as the dependent variable. Our results indicate that the size and wealth of a country, the risk associated with that country and the performance of its commercial real estate market are significant factors that explain Transaction Activity. The quality of property rights is also an important factor.
-
Which Factors Determine Transaction Activity across U.S. Metropolitan Office Markets
The Journal of Portfolio Management, 2017Co-Authors: Steven Devaney, Patrick Mcallister, Anupam NandaAbstract:Variations in Transaction Activity between commercial real estate markets and over time are likely to have important implications for investment strategies and pricing. The authors investigate economic and real estate market factors that might drive such variations. Their article draws on data on trading volumes and turnover rates for 49 U.S. metropolitan statistical area office markets. Panel models are employed to determine which factors lead to higher or lower turnover over the 2002–2015 period. The results indicate positive associations between turnover rates and market size, economic growth, and occupancy rates. Meanwhile, higher capital market risks and transfer taxes are found to have a negative effect on turnover rates. The findings are economically plausible and robust to a variety of specifications, including different measures of turnover rates. It is also found that private investor Transaction Activity is less strongly affected by market fundamentals than institutional investor Activity.
-
The price impact of liquidity in international office markets
24th Annual European Real Estate Society Conference, 2017Co-Authors: Anupam Nanda, Patrick Mcallister, Nicola Livingstone, Steven DevaneyAbstract:This paper investigates the relationship between market liquidity, as indicated by Transaction Activity, and real estate asset pricing. Prior research has typically focused on the US or UK markets, but this study draws upon office market data for 36 cities situated in 20 countries over the period Q1 2007 to Q2 2015. Prime office yield is used as the dependent variable when the effects on pricing of Transaction Activity are modelled. Transaction Activity is captured in absolute terms using volumes and in relative terms through the measurement of turnover rates. Turnover rates are measured in two ways: as the proportion of stock in terms of physical area that traded and as the proportion of stock in terms of total value that traded. A range of econometric techniques are then applied in order to control for well-known endogeneity problems when estimating the impacts of trading on prices, and vice versa. The results indicate the extent to which Transaction Activity has a significant effect on pricing after controlling for other fundamental drivers. In addition, the research provides further insights into variations in Transaction Activity between major global office markets.
David C. Ling - One of the best experts on this subject based on the ideXlab platform.
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The Wealth Effects of REIT Property Acquisitions and Dispositions: the Creditors’ Perspective
The Journal of Real Estate Finance and Economics, 2020Co-Authors: David C. Ling, Masaki Mori, Seow Eng OngAbstract:Prior studies of REIT property Transaction Activity focus on shareholder wealth effects. This study examines the effects of property acquisitions, dispositions, and overall trading Activity on unsecured bond spreads, credit rating changes, and rating outlooks using a sample of the listed equity REITs in the U.S. We find that active property trading in general decreases creditors’ wealth, but this negative impact is significantly mitigated for REITs with positive NAV premiums and when REITs use sale proceeds to pay down debt after the Transactions. We also find that property Transactions followed by an increased geographic focus significantly increase bond yield spreads and decrease the probability of credit rating upgrades.
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Dynamics of Asset Prices and Transaction Activity in Illiquid Markets: the Case of Private Commercial Real Estate
The Journal of Real Estate Finance and Economics, 2009Co-Authors: David C. Ling, Gianluca Marcato, Pat McallisterAbstract:This paper investigates the relationship between capital flows, turnover and returns for the UK private real estate market. We examine a number of possible implications of capital flows and turnover on capital returns testing for evidence of a price pressure effect, ‘return chasing’ behaviour and information revelation. The main tool of analysis is a panel vector autoregressive (VAR) regression model in which institutional capital flows, turnover and returns are specified as endogenous variables in a two equation system in which we also control for macro-economic variables. Data on flows, turnover and returns are obtained for the ten market segments covering the main UK commercial real estate sectors. Our results do not support the widely-held belief among practitioners that capital flows have a ‘price pressure’ effect on property prices. However, we do find a significant positive relationship between lagged turnover and contemporaneous capital returns, suggesting that asset turnover provides increased price revelation which, in turn, reduces investment risk and increases property values.
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the dynamics of asset prices and Transaction Activity in illiquid markets the case of private commercial real estate
Social Science Research Network, 2008Co-Authors: David C. Ling, Gianluca Marcato, Patrick McallisterAbstract:This paper investigates the relationship between capital flows, turnover and returns for the UK private real estate market. We examine a number of possible implication of capital flows and turnover on capital returns testing for evidence of a price pressure effect, 'return chasing' behaviour and information revelation. The main tool of analysis is a panel vector autoregressive (VAR) regression model in which institutional capital flows, turnover and returns are specified as endogeneous variables in a two equation system in which we also control for macro-economic variables. Data on flows, turnover and returns are obtained for the 10 market segments covering the main UK commercial real estate sectors. Our results do not support the widely-held belief among practitioners that capital flows have a 'price pressure' effect on property prices. However, we do find a significant positive relationship between lagged turnover and contemporaneous capital returns, suggesting that asset turnover provides increased price revelation which, in turn, reduces investment risk and increases property values.
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the dynamics of asset prices and Transaction Activity in illiquid markets the case of private commercial real estate
Research Papers in Economics, 2008Co-Authors: David C. Ling, Gianluca Marcato, Patrick McallisterAbstract:This paper investigates the relationship between capital flows, turnover and returns for the UK private real estate market. We examine a number of possible implication of capital flows and turnover on capital returns testing for evidence of a price pressure effect, 'return chasing' behaviour and information revelation. The main tool of analysis is a panel vector autoregressive (VAR) regression model in which institutional capital flows, turnover and returns are specified as endogenous variables in a two equation system in which we also control for macro-economic variables. Data on flows, turnover and returns are obtained for the 10 market segments covering the main UK commercial real estate sectors. Our results do not support the widely-held belief among practitioners that capital flows have a 'price pressure' effect. Although there is some evidence of return chasing behaviour, the short timescales involved suggest this finding may be due to delayed recording of flows relative to returns given the difficulties of market entry. We find a significant positive relationship between lagged turnover and contemporaneous capital returns, suggesting that asset turnover provides pricing information.
Steven Devaney - One of the best experts on this subject based on the ideXlab platform.
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Capitalization rates and Transaction Activity in international office markets: a global perspective
Global Finance Journal, 2019Co-Authors: Steven Devaney, Nicola Livingstone, Patrick Mcallister, Anupam NandaAbstract:Abstract Based on a sample of office markets in 33 cities across 16 countries for the period 2007–2015, this paper explores variations in commercial real estate Transaction Activity and asset pricing in international office markets. It is argued that there are complex interactions and feedback relationships between asset prices, Transaction Activity, market conditions and local institutional structures in real estate markets. Commercial real estate pricing is modelled using data on capitalization rates. The relationships found are consistent with previous research in terms of the importance of drivers such as government bond yields, yield spreads and real estate rents. Consistent with information network effects, it is also found that larger and more mature markets tend to have lower cap rates and, thus, higher asset prices. The results for Transaction Activity are less clear cut. Results from econometric analysis of turnover rates suggest that the same explanatory factors do not determine Transaction Activity to the same extent as cap rates. When purged of possible joint determinants, there is no evidence to support the view that cap rates affect market turnover rates or that turnover rates affect cap rates.
-
Determinants of Transaction Activity in commercial real estate markets: evidence from European and Asia-Pacific countries
Journal of Property Research, 2017Co-Authors: Steven Devaney, Patrick Mcallister, Anupam NandaAbstract:AbstractVariations in Transaction Activity between commercial real estate markets could have important implications for investment strategies and pricing. We consider why turnover rates, a common liquidity proxy, vary between countries and over time. We examine 38 countries in Europe and Asia-Pacific over the period 2000–2014. A conceptual framework is discussed prior to estimation of panel models that use turnover rates as the dependent variable. Our results indicate that the size and wealth of a country, the risk associated with that country and the performance of its commercial real estate market are significant factors that explain Transaction Activity. The quality of property rights is also an important factor.
-
Which Factors Determine Transaction Activity across U.S. Metropolitan Office Markets
The Journal of Portfolio Management, 2017Co-Authors: Steven Devaney, Patrick Mcallister, Anupam NandaAbstract:Variations in Transaction Activity between commercial real estate markets and over time are likely to have important implications for investment strategies and pricing. The authors investigate economic and real estate market factors that might drive such variations. Their article draws on data on trading volumes and turnover rates for 49 U.S. metropolitan statistical area office markets. Panel models are employed to determine which factors lead to higher or lower turnover over the 2002–2015 period. The results indicate positive associations between turnover rates and market size, economic growth, and occupancy rates. Meanwhile, higher capital market risks and transfer taxes are found to have a negative effect on turnover rates. The findings are economically plausible and robust to a variety of specifications, including different measures of turnover rates. It is also found that private investor Transaction Activity is less strongly affected by market fundamentals than institutional investor Activity.
-
The price impact of liquidity in international office markets
24th Annual European Real Estate Society Conference, 2017Co-Authors: Anupam Nanda, Patrick Mcallister, Nicola Livingstone, Steven DevaneyAbstract:This paper investigates the relationship between market liquidity, as indicated by Transaction Activity, and real estate asset pricing. Prior research has typically focused on the US or UK markets, but this study draws upon office market data for 36 cities situated in 20 countries over the period Q1 2007 to Q2 2015. Prime office yield is used as the dependent variable when the effects on pricing of Transaction Activity are modelled. Transaction Activity is captured in absolute terms using volumes and in relative terms through the measurement of turnover rates. Turnover rates are measured in two ways: as the proportion of stock in terms of physical area that traded and as the proportion of stock in terms of total value that traded. A range of econometric techniques are then applied in order to control for well-known endogeneity problems when estimating the impacts of trading on prices, and vice versa. The results indicate the extent to which Transaction Activity has a significant effect on pricing after controlling for other fundamental drivers. In addition, the research provides further insights into variations in Transaction Activity between major global office markets.