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Recognising the existence of socio-economic and demographic disparities across metropolitan cities such as Greater Sydney, this study gauges the determinants of homeownership affordability in the d...

Recognising the rapid increase in housing prices and the presence of socio-economic and demographic disparities that often characterise a metropolitan city, we adopted a sub-city approach and deplo...

Despite numerous studies investigating house price diffusion between regional cities, few have considered a spillover effect among housing submarkets within a metropolitan city. This study ...

The importance of interest rates, in both financial markets and the broader economy, was clearly highlighted during and subsequent to the financial crisis of 2007-09. This paper examines the sensitivity of seven public real estate markets in Europe from 1995 to 2013. Europe is a particularly interesting market to look at in this context. Badly impacted during the financial crisis, it has been further affected by the sovereign debt crisis within the Eurozone. The introduction of the Euro and a single monetary policy within the Eurozone is a complicating factor that raises additional issues. The results highlight that, with one exception, the markets display significant sensitivity in terms of both returns and volatility. The results are, however, sensitive in both a temporal sense and to the interest rate-yield curve proxy used.

Despite extensive studies being devoted to housing affordability in Australia, few have investigated housing affordability at a disaggregated level. This is in spite of the fact that there ...

Australian sector-specific REITs (A-REITs) have grown significantly in recent years. This raises the issue of whether sector-specific A-REITs play a value-added role compared with diversified A-REITs. Despite the rapid growth of sector-specific A-REITs, limited studies have been devoted to it. Hence, this study aims to compare sector-specific A-REITs with diversified A-REITs by assessing risk-return performance, portfolio diversification benefits and portfolio allocation strategies for sector-specific A-REITs over January 2000 - August 2018. The results suggest that sector-specific A-REITs play a value-added and strategic role in an Australian mixed-asset portfolio, with superior risk-adjusted returns, enhanced portfolio diversification benefits and increased portfolio returns compared with that for diversified A-REITs. This supports the notion of specialisation value in an A-REIT context. The practical listed property investment implications regarding the value-added and strategic role of sector-specific A-REITs are also identified. Refereed/Peer-reviewed

This article analyses the cultural, housing and intergovernmental politics of individual foreign investment in Australian real estate. The first section provides a brief history of Australia's housing system and shows the historical trend toward housing affordability ‘problems’ in Sydney and Melbourne. This review interrogates the claim Chinese investors compounded Australia's housing affordability problem after the global financial crisis. The second more substantive section draws on interview, real estate website and media data to demonstrate how the Australian housing system and Chinese and Australian actors enabled Chinese investment in Australian real estate. The third section demonstrates how a minority of Australian residents and some journalists are contesting Chinese foreign investment in Australian real estate. This study shows how contemporary global real estate relations complicate the politics of Asian real estate investment in Anglo-sphere countries.

This study provides an empirical investigation into the impact of individual student characteristics on academic achievement through an online undergraduate property program. Using a multi-year data set over 2007–2012, the results from our OLS regressions show that there is a significant positive association between university entry scores and academic achievement in an online undergraduate property program. In addition, student performance is significantly related to age and the grades that the students receive in two core knowledge subjects. Further property education implications are also highlighted.

Declining homeownership rates as observed in many western countries have direct and indirect implications for the broader economy; hence, governments have been seeking an effective solution to address this decline. One of the major challenges is the decline in overall homeownership rates with an increasing proportion of households deciding to rent rather than purchase. However, it is surprising that the impact on the housing market following the introduction of a first-time housing subsidy scheme has received relatively little attention. This study addresses this knowledge gap by examining the relationship between (1) housing market intervention based on first-time owner subsidies in a global city and (2) the level of house price volatility in the broader market. For example, the Australian government has implemented different policies designed to ease housing stress among first-time buyers; one high-profile policy was the First-time buyer Grant or First Home Owner Grant (FHOG) in which a cash payment or ...

In this study, we examine the volatility pattern of Australian housing prices over an extended time frame. A component-generalized autoregressive conditional heteroscedasticity (C-GARCH) model was ...

The use of valuations in the major property indices has seen valuation-smoothing, leading to under-stated levels of property risk. De-smoothing the property returns has become the standard procedure to obtain more appropriate property risk estimates. The impact of valuation-smoothing on property risk and correlations are assessed for Australian commercial property over 1995–2009. The resulting de-smoothed property risk estimates are shown to need to be increased significantly to account for this impact of valuation-smoothing. The impact of valuation-smoothing on property risk is also shown to vary considerably over time and is influenced by the level of property valuation information available. The resulting impact of valuation-smoothing and more appropriate property risk estimates on the level of property in the mixed-asset portfolio is also assessed. Importantly, even after adjusting for valuation-smoothing, Australian commercial property is still seen to play a significant and important role in...

Australian superannuation funds have increased their allocations to the alternative assets in recent years; this includes private equity, infrastructure, hedge funds and commodities. This raises the issue of whether this increased allocation to these alternative assets impacts on the strategic role and allocation of direct property in the Australian mixed-asset portfolio, due to the potential increased competition between these assets. This paper assesses the risk-adjusted performance and portfolio diversification benefits of direct property and various alternative assets over 19952009 and their role in optimal mixed-asset portfolios. While direct property is still seen to play a key role in the portfolio, direct property plays a less significant role in the portfolio when the alternative assets are included. In particular, Australian unlisted infrastructure and listed infrastructure are seen as key alternative assets across a significant portion of the portfolio risk spectrum. This is seen as validating the investment strategy of Australian superannuation funds who have significant exposure to the infrastructure sector.

This study examines the volatility series of housing supply in Australia. A Generalised Autoregressive Conditional Heteroskedasticity-in-Mean (GARCH-M) model is employed to analyse the volatility series of Australian housing supply over the study period of 1974-2010. The results show the volatility of housing starts is negatively linked to housing starts, suggesting that higher uncertainty does lower housing starts. The results also reveal that the uncertainty of housing starts is also captured by the volatilities of interest rates and construction costs. Therefore policy makers should monitor and attempt to minimise the volatility of housing supply. These steps will enhance housing construction activities and increase the availability of housing supply to potential home buyers.

Although the relationships between house prices, property companies and stocks have received considerable attention in developed markets, little study has been undertaken in emerging markets. Therefore this study aims to investigate the linkages between the Malaysian housing market, property companies and stocks by using a vector-autoregressive model (VAR) over the study period 1999–2009. The results reveal a uni-directional relationship between housing prices, property companies and stocks. Specifically, property companies and general stocks Granger cause the housing market, whereas there is no evidence to support that property companies and stocks will incorporate the information spillover from the housing market. These findings offered some insights into the dynamic behaviour of housing prices, particularly in a developing country context.

Property derivatives as a financial tool have gained increasing attention by practitioners in recent years. However, there is relatively little evidence on the patterns of use and the property funds’ attitudes with respect to derivatives. Therefore, this study seeks to address this shortfall and aims to examine the application of derivatives by Australian property funds. A survey of Australian property fund managers was undertaken. The results show that different types of property funds have exhibited various patterns regarding the use of derivatives. The results also reveal that large property funds are more likely to use derivatives. The motivation factors (namely to reduce cash flows volatility and hedging currency risk) and risk factors (development of internal control and complicated accounting procedures) for using derivatives have also been identified. In addition, significant differences are found between the perceptions of derivative users and non-users. The findings have offered some insights into the knowledge base of property investors towards derivatives.

Executive Summary. This study aims to examine the volatility spillover in Australian REIT futures over the study period of 2004–2008. An Exponential-Generalized Autoregressive Conditional Heterosce...

This study aims to examine the ability of downside beta in explaining the Australian direct property returns with addressing the smoothing issue. Utilising the quarterly IPD/PCA Australian property indices over 1995-2008, the results reveal that smoothed and unsmoothed downside betas are statistically distinguishable. The results also show that unsmoothed downside beta is positive and statistically significant related to Australian direct property returns, while smoothed downside beta exhibits a negative link with the returns, indicating that appraisal-smoothing has profound implications on the efficiency of downside beta. The results are robust after controlling for the different types of property and different smoothing parameters, confirming that a positive premium is required by direct property investors for compensating higher downside losses. These findings provide further insights into the pricing of valuation-based property indices.

Executive Summary. This study examines the importance of downside beta when seeking to explain variations in listed property trust (LPT) returns in Australia between 1993 and 2005. The results reve...

Extensive real estate studies have demonstrated the linkages between direct property and capital assets, particularly REITs by emphasising on the common movements in prices. However, the study of volatility spillover between these assets is relatively limited. This study aims to investigate the volatility linkages between Australian commercial property and capital assets by utilising generalised autoregressive conditional heteroskedasticity (GARCH) and Exponential GARCH (EGARCH) over the study period 1985-2006. The results reveal that direct commercial property is strongly influenced by LPTs and bonds. It is also shown that direct property is asymmetric to negative and positive news. These findings have provided additional insights into the knowledge base of real estate risk and portfolio management.

This paper examines the profitability of momentum trading strategies in Australian listed property trusts (LPTs). Monthly value-weighted momentum portfolios are formed using the monthly excess returns of LPTs for the period from 1990 to 2005. Overall the findings confirm that a momentum trading strategy in Australian LPTs is a profitable strategy. More specifically, momentum strategies are profitable after adjusting for variance and downside risk where the momentum returns substantially outperform the benchmark. An analysis using different study periods confirm the findings about momentum. The practical implication from this study is that investors can generate substantial abnormal returns by adopting a momentum trading strategy, particularly with a long strategy (i.e. winner portfolios).