Since there is segmentation and homogeneity among the real estate securities market that almost parallels that of the traditional financial capital markets, investing globally now adds new venues and outlets that were once very scarce or nonexistent to private investors less than a few decades ago. This paper will examine the various outlets that are now available to both domestic and international investors, the relationship that exists among those securities, and the present and future implications of such opportunities. The results imply that there are both strong and weak relationships across various countries in regards to their correlations, as some countries have positive and negative correlations with other various nations giving way to diversification possibilities. This information is useful to investors that wish to look beyond the borders of their nation for greater returns and diversification.

When faced with an investment opportunity in commercial real estate, the investor requires knowledge of the discount rate since it can be used to convert expected future cash flows from the property in today's terms and in doing so, place a value on the property. The so-called required rate of return would be the appropriate conversion rate since it compensates the investor for risk and, if attainable, will induce the investor to invest. An inaccurate assessment of the discount rate could, depending on the direction of the error, lead to a potential over or under estimation of the property value. A number of single or multiple variable frameworks for required return have been derived by other researchers for the US, UK and EU property markets. Each of the variables encountered in these frameworks acts as a proxy for some aspect of systematic risk associated with the investment. However, locally, such models are either not extensively published or well described and are limited to single explanatory variables. Some professionals prefer to avoid frameworks and simply divert to qualitative, gut-feel and experienced based considerations in order to derive at required return rate. This dissertation addressed the possible local need for an explanatory framework of required return on commercial property. The scope of work entailed: (i) a review of the literature to establish the theoretical determinants of return and (ii) an empirical study to test a short-list of parameters for Retail, Offices and Industrial sites in Cape Town, Pretoria, Bloemfontein and Durban, respectively. Three categories of explanatory variables were identified: (i) Capital market variables and alternative investment opportunities in the form of stocks on the JSE, (ii) economic activity indicators and (iii) property market fundamental parameters. The empirical study entailed a three-phase methodology, which included the following steps: (i) data sampling and processing, (ii) screening variables through the simple regression and correlation coefficients and (iii) multiple regression complemented by statistical significance testing. Between 69% and 98.2 % (alpha=O.1) of the variation in returns could be explained in terms of the variation by the explanatory variables that passed the rigorous screening process. The relative good results are likely to be related to the higher explanatory power of the multi-factor approach. The remaining unexplained portion of return can potentially be decreased by using larger samples and pursuing some of the other recommendations for additional research. / Thesis (M.B.A.)--North-West University, Potchefstroom Campus, 2006.

When faced with an investment opportunity in commercial real estate, the investor requires knowledge of the discount rate since it can be used to convert expected future cash flows from the property in today's terms and in doing so, place a value on the property. The so-called required rate of return would be the appropriate conversion rate since it compensates the investor for risk and, if attainable, will induce the investor to invest. An inaccurate assessment of the discount rate could, depending on the direction of the error, lead to a potential over or under estimation of the property value. A number of single or multiple variable frameworks for required return have been derived by other researchers for the US, UK and EU property markets. Each of the variables encountered in these frameworks acts as a proxy for some aspect of systematic risk associated with the investment. However, locally, such models are either not extensively published or well described and are limited to single explanatory variables. Some professionals prefer to avoid frameworks and simply divert to qualitative, gut-feel and experienced based considerations in order to derive at required return rate. This dissertation addressed the possible local need for an explanatory framework of required return on commercial property. The scope of work entailed: (i) a review of the literature to establish the theoretical determinants of return and (ii) an empirical study to test a short-list of parameters for Retail, Offices and Industrial sites in Cape Town, Pretoria, Bloemfontein and Durban, respectively. Three categories of explanatory variables were identified: (i) Capital market variables and alternative investment opportunities in the form of stocks on the JSE, (ii) economic activity indicators and (iii) property market fundamental parameters. The empirical study entailed a three-phase methodology, which included the following steps: (i) data sampling and processing, (ii) screening variables through the simple regression and correlation coefficients and (iii) multiple regression complemented by statistical significance testing. Between 69% and 98.2 % (alpha=O.1) of the variation in returns could be explained in terms of the variation by the explanatory variables that passed the rigorous screening process. The relative good results are likely to be related to the higher explanatory power of the multi-factor approach. The remaining unexplained portion of return can potentially be decreased by using larger samples and pursuing some of the other recommendations for additional research. / Thesis (M.B.A.)--North-West University, Potchefstroom Campus, 2006.

Avkastningen från privata och publika fastighetsinvesteringar är något som undersökts extensivt, med slutsatsen att noterade fastighetsinvesteringar uppvisat en högre avkastning jämfört med onoterade fastighetsinvesteringar på kort sikt. Denna uppsats avser att analysera historiska direktavkastningar i syfte av att upptäcka eventuella diskrepanser i värdering mellan noterade och onoterade fastighetsinvesteringar. Utöver det, avser denna uppsats att diskutera huruvida det föreligger fördelar med att äga onoterade fastigheter som skulle motivera en högre värdering, trots historiskt lägre totalavkastning. Den underliggande datan är hämtad från MSCI Sweden Annual Property Index och Refinitiv Worldscope Fundamentals-databasen som säkerställts med årsredovisningar för de noterade fastighetsföretagen. Med hjälp av denna data skapades två direktavkastningsserier för perioden mellan 2000 - 2019. Dessa jämfördes sedan med varandra och påvisade diskrepanser i form av högre direktavkastning på den noterade marknaden under större delar av 00-talet medan den onoterade marknaden uppvisade en högre direktavkastning mellan 2011 - 2016. Sedan dess har direktavkastningen för båda noteringsformerna sjunkit till historiskt låga nivåer. Vad gäller onoterade fastighetsinvesteringar återfinns fördelar i form av målstyrning och genomförandet av långsiktiga utvecklingsprojekt, ofta som en del av en långsiktig och värdeskapande ägarstrategi. / The return of private and public real estate is a matter that has been studied extensively and has often proved the outperformance of securitized real estate over direct property in the short term. This paper will analyze historical capitalization rates in order to locate any value discrepancies between the direct and indirect property market in Sweden. Furthermore, the paper aims to understand whether there are any benefits to holding direct property, otherwise not justified by higher returns, that would explain its high valuation. The underlying data collection relies on MSCI Sweden Annual Property Index as well as financial reports and profile data from the Refinitiv Worldscope Fundamentals database for the listed real estate companies. Using the collected data, net operating income yields were built for the direct and indirect property market for the period between 2000 - 2019. These historical capitalization rate series were then compared to each other and showed some discrepancy in favor of securitized real estate which demonstrated higher capitalization rates during most of the 2000s. However, the direct real estate market was shown to outperform the indirect one between 2011 - 2016. Ever since, public and private real estate on the Swedish market has shown similar valuations and the capitalization rates are now historically low, (as at December 2019). As for holding direct property, advantages include the ability to carry out development projects, which are often part of a long-term and value-adding ownership strategy.

資產報酬的波動程度隱含風險與不確定性，不同的投資者存在不同之風險偏好與風險承受能力，因此瞭解報酬波動之特性有其必要性；又鑑於過去不動產市場對於商用與住宅不動產兩次市場之相關研究較欠缺。因此本研究擬分別探討商用與住宅不動產市場報酬波動特性與差異，並檢視其風險與報酬間之關係。此外，總體經濟環境之變動會影響不動產市場供需關係，進而影響其價格與報酬之波動，因此本研究最後再進一步討論影響其市場報酬之總體經濟因素。 為捕捉不動產市場報酬之波動特性，本研究擬透過GARCH模型分別檢驗商用與住宅不動產市場報酬波動特性與差異；進而應用GARCH-M模型，探討商用與住宅不動產市場報酬與風險之關係；最後透過落遲分配模型實證比較分析顯著影響商用與住宅不動產市場報酬之總體經濟因素。樣本取自台北地區，資料期間為1997年2月至2009年3月之月資料。 實證結果顯示，商用不動產市場中投資人較容易透過自身過去的報酬波動推測未來的波動，反觀住宅不動產市場部分，投資人則傾向注意整體市場消息的散佈，因為其較容易受到外在因素影響而導致報酬波動；由GARCH-M模型實證結果顯示，住宅與商用不動產市場報酬與風險間均呈現顯著正相關，顯示其市場波動風險增加時期，會提供更高之報酬以均衡投資者所面對之較高市場波動風險；由落遲分配模型實證結果顯示，商用與住宅不動產市場報酬確實和總經變數之間有著程度不同的關聯性，所有當期總經變數與不動產報酬間均不存在顯著影響關係，顯示各總經變數對不動產報酬的影響存在時間落差。此外，總經變數對商用報酬的影響程度相對大於對住宅報酬的影響，且總體經濟環境變動對於商用不動產市場報酬之衝擊相對較為迅速。 / This research plans to study the relative volatility characteristic of commercial and residential property returns. In addition, the changing real estate environment can be linked to the macro economy, so we further discusses the relationship between property returns and the macro economy. In order to catch the volatility characteristic of real estate returns, we use GARCH model to examine the volatile behavior of real estate returns of commercial and residential property in the Taipei area during the period of February 1997 to March 2009, and because risk is time-varying in the market, we continue to employ GARCH-M model to observe whether can explain the change in expected returns of commercial and residential property. Furthermore, we use distributed-lag model to explore the relationship between macroeconomic factors and real estate returns. The major findings of this article can be summarized as follows. First, it is easier for investors to infer the future fluctuation through oneself returns in the past in the commercial real estate market, but part on the residential real estate market, the volatility of residential property returns is influenced by external factor more easily. Second, our empirical applications in both commercial and residential real estate markets show that the risk is positively correlated with both property returns and high risk can bring high return. Third, there are different relations of intensity between real estate returns and macroeconomic factors and the impact of macroeconomic factors on real estate returns exist time-lag. In addition, macroeconomic factors’ impact on commercial returns is relatively great, and the environmental change takes place to the impact of the commercial property returns comparatively fast.