Real estate is commonly viewed as a good diversification tool since the real estate market cycle exhibit low correlations to other asset classes. Moreover, Real Estate Investment Trusts (REITs) have become increasingly popular in the past decades since this investment form offers private investors a convenient way of diversifying stock portfolios with real estate. Some studies investigating the within-country diversification potential of REITs and stocks have been performed. These studies generally suggest poor diversification potential. Hence, we investigate the international diversification potential of REITs from Europe, Asia Pacific and the US for private investors holding European stocks from 2007 to 2019. For Europe and Asia Pacific, REIT markets with different maturity levels are included since emerging and developed REIT markets might have different characteristics affecting the diversification potential. We also examine which market leads which in terms of changes in returns. Moreover, the diversification potential of REITs may depend on the investment horizon, hence the long- and short-run perspectives for private investors are examined. The lesson learned from the Global Financial Crises and European Debt Crisis is that abnormal market conditions may change the behavior of assets on the financial markets, and significantly affect portfolio behavior. Hence, diversification potential in relation to crises is also considered. The methods employed are Johansen’s cointegration, Granger non-causality and DCC-GARCH. Our findings suggest long- and short-run diversification potential of international REITs for European stocks. Cross-regional combinations of REITs and stocks generally offer better diversification potential than within-regional combinations, and emerging REIT markets are preferred over their developed counterparts due to lower conditional correlations. Moreover, changes in stock market returns lead changes in REIT market returns, indicating that stock markets react more quickly to new information on the market. Long- and short-run diversification potential still exists during the crises although increased conditional correlations suggest higher interdependence in this period. However, there is no trend of increasing conditional correlations over the whole sample, suggesting the abnormal market conditions during the financial turmoil did not permanently change the diversification potential of REITs in stock portfolios.

The thesis discusses the collective investment. The first part deals with investment decisions and the level of risk inherent in investing entails. There are four types of formulated investing in real estate: purchase their own home, buy a property for rental, funds of qualified investors and real estate funds. Of which work deals with qualified investor funds and real estate funds, which describes the work in terms of investing in the Czech Republic. In the end, they are described three most famous Czech real estate funds, of which it is analyzed. The work is an analysis of financial assets invested in collective investment in the Czech Republic. The contribution of this work is to provide a comprehensive view of the assets placed in collective investment schemes.

There has been a renewed interest by international institutional investors in the US hotel property market and increased interest in Real Estate Investment Trusts. One challenge these investors face is if it is feasible to simultaneously invest in a specific property type, both privately and publicly. In order to determine if their portfolios would benefit from the inclusion of private and public hotel real estate investors will have to carefully take into consideration: expectations for returns, tolerance for risk, allocation of assets, and the correlations between the assets. This study analyzed the performance of simulated mixed-asset portfolios using average annual returns from 1994 to 2012. The portfolios were constructed by using modern portfolio theory. The purpose was to analyze whether the inclusion of privately owned US hotel real estate and publicly traded US hotel real estate in a mixed-asset portfolio enhances the portfolio frontier. The results showed: the separate inclusion of private hotel real estate enhanced the frontier, the separate inclusion of public hotel real estate did not enhance the frontier, and the simultaneous inclusion of both private and public hotel real estate enhanced the frontier.

Real Estate Investment Trusts (REITs) are firms that own and manage income producing commercial real estate for the benefit of their shareholders. The three studies in this dissertation explore topics relating to best practices of REIT management and portfolio composition. Managers and investors can use the findings herein to aide in analyzing a REIT’s performance and determining optimal investment policies. Utilizing REIT from SNL Real Estate and CRSP, the first two studies examine the role of international diversification upon performance, technical efficiency, and scale efficiency. The third study utilizes REIT data to examine technical and scale efficiency over a 21 year window and investigates characteristics of the REITs that affect the levels of efficiency. CHAPTER 1 – PROFITABILITY OF REAL ESTATE INVESTMENT TRUST INTERNATIONALIZATION Real Estate Investment Trusts (REITs) in the United States have grown extremely fast in terms of assets and market capitalization since the early 1990’s. As with many industries, U.S. REITs began acquiring foreign properties as their size grew and they needed to seek new investment opportunities. This paper investigates the role of holding foreign assets upon the total return of U.S. based REITs from 1995 through 2010. We find that holding foreign properties in associated with negative relative performance when risk, size, and other common market factors are controlled for. Interestingly, the source of the negative performance is not related to the two largest areas for foreign investment, Europe and Canada. Instead, the negative performance is iii detected when a REIT begins acquiring properties in other global regions such as Latin America and Asia/Pacific. This paper has broad ramifications for REIT investors and managers alike. CHAPTER 2 – EFFECT OF INTERNATIONAL DIVERSIFICATION BY U.S. REAL ESTATE INVESTMENT TRUSTS ON COST EFFICIENCY AND SCALE As U.S. based Real Estate Investment Trusts (REITs) have increased their degree and type of holdings overseas, there has yet to a study that has investigated such activity on the REIT’s measures of cost efficiency and scale. Using data from 2010, Data Envelopment Analysis techniques are used to estimate measures of technical and scale efficiency that are then regressed against measures of international diversification and other controls to measure the impact of this global expansion. It is determined that REITs with foreign holdings are significantly larger than domestic REITs and are correspondingly 96% of foreign investing REITs are operating at decreasing returns to scale. Further almost every measure of foreign diversification is negative and significantly impacting scale efficiency. However, simply being a REIT with foreign holdings did positively and significantly associate with higher levels of technical efficiencies. Thus REITs that expand globally may have some advantages in operational efficiency but lose considerably in terms of scale efficiency by increasing their size as they move cross-border. iv CHAPTER 3 – THE EVOLUTION OF TECHNICAL EFFICIENCY AND ECONOMIES OF SCALE OF REAL ESTATE INVESTMENT TRUSTS Data Envelopment Analysis (DEA) is used to measure technical and scale efficiency of 21 years of Real Estate Investment Trust (REIT) data. This is the longest, most complete dataset ever analyzed in the REIT efficiency literature and as such makes a significant contribution as prior efficiency studies’ data windows end in the early 2000’s at latest. Overall, REITs appear to continue to operate at decreasing returns to scale despite rapid growth in total assets. Further, there is some evidence of improving technical efficiency overtime; however the finding is not strong. In summation, it appears that REITs have not improved on a relative basis despite the rapid growth, a finding that suggests a potential of a high degree of firm competition in the REIT industry. Finally, firm characteristics such as debt utilization, management and advisory structure, and property type specialization are tested for their impact upon technical and scale efficiency.

This study examines asymmetric information content of REIT IPOs as compared to that of industrial IPOs matched by similar asset size, underwriter reputation ranking, and partial adjustment of the offer-price from the midpoint of the original file range. The asymmetric information level is proxied by the relative bid-ask spread (RELSPREAD), adverse selection component of Glosten and Harris (GH, 1988), and the adverse selection component of Lin, Sanger, and Booth (LSB, 1995). All three measures are estimated over 45- and 60-day windows. Using a sample of 78 equity REIT IPOs and 123 Industrial IPOs for the period of January 1, 1993 to December 31, 2007, the results indicate that REIT IPOs have less asymmetric information content as compared to mature industrial firms. All results control for leverage, beginning assets size, issue proceeds, underpricing, partial adjustment, number of IPOs within the same year, venture capital backing, underwriter reputation, average daily volume, average daily price, specialist’s inventory risk, and the turnover ratio. The results also control for the Nasdaq and NYSE rule change of minimum tick increments from 1/8th to 1/16th on June 2, 1997, and June 24, 1997, respectively. The findings provide strong support for the hypothesis that REIT IPOs have less asymmetric information content than non-REIT IPOs.

The purpose of this master&rsquo / s thesis is to evaluate the performance of investment companies, namely Real Estate Investment Trusts (REITs) and Closed-End Funds (CEFs) in Turkey. In this study, three different models are used to evaluate the risk adjusted performances of Turkish investment companies. These models are: 1) the single-factor CAPM / 2) the Fama-French three-factor model / and 3) the Carhart&rsquo / s four factor model. The results of this study indicate that for the sample period from January 1997 to December 2009, Turkish REITs and Turkish CEFs neither overperform nor underperform the overall market. Intercepts in almost all models are statistically significantly not different from zero, implying that both REITs and CEFs are earning their expected returns. The results are robust to different models used in this study. Among employed models, the Fama-French three-factor model is the best in explaining the returns on both REITs and CEFs. In general, coefficients of the size and the book-to-market equity risk factors are significant and positive. The explanatory power of the regressions does not improve with the Carhart&rsquo / s four-factor model, since momentum factors have statistically insignificant coefficients in all regressions. Findings of this study have an important implication for the efficiency of the Istanbul Stock Exchange. The inability of professional money managers to beat the overall market could be taken as an evidence in favor of the ISE being either semi-strong or strong form efficient. On the other hand, lack of skills on the part of Turkish fund managers might be another explanation for their inability to surpass the performance of the overall market.

Diploma thesis deals with the evaluation and the comparison of the performance of mutual funds and investment funds with a focus on the real estate sector. The essence and principles of mutual funds, ETF and REIT are presented, and the resulting weaknesses and advantages. According to the selected indicators, the profitability, riskiness and expense of the investment opportunities are examined and investment recommendations for management of an investment company and potential retail investors are established.

This thesis deals with investment analysis tools focused on real estate. Thesis describes investment instruments in the Czech Republic and abroad. The practical part is devoted to equity indices, which focus on Central and Eastern Europe. The thesis describes the possible causes of the financial bubble in real estate stock markets and the impact of financial crisis on the evolution of these equities.

South African property investment vehicles consist of collective investment schemes in property (CISPs), also known as property unit trusts (PUTs) and property loan stock (PLS) companies. The application of sections 25B(1), 11(s), 10(1)(k)(i)(aa) and 64B(5)(b) of the Income Tax Act 58 of 1962 (“the Act”) and paragraph 67A(1) of the Eighth Schedule to the Act result in these property investment vehicles being taxed based on their legal form, that of a trust versus a company, rather than on their common purpose. The South African Revenue Service recognised these inconsistencies in the 2007/8 budget tax proposals and proposed that it be reviewed. In December 2007, National Treasury released a discussion paper on the reform of the listed property investment sector in South Africa. The discussion paper is aimed at adopting a real estate investment trust (REIT) regime in South Africa to make South African property investment vehicles more attractive to foreign investors as well as to address the current tax inconsistencies and fragmented regulation of the South African listed real estate sector. In this study, the current inconsistent tax treatment of these property investment vehicles is reviewed, both as to how they apply to the property investment vehicle and to their respective investors. This study further reviews how REITs in selected other countries are regulated and taxed and National Treasury’s proposals as to how REITs applicable in South Africa should be regulated and taxed. Copyright / Dissertation (MCom)--University of Pretoria, 2010. / Taxation / unrestricted

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