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Purpose: Opportunity real estate funds are an important style of real estate investing for institutional investors seeking nonlisted real estate exposure. Importantly, institutional investors have sought exposure to the China real estate market, often via opportunity real estate funds. This has been by a pure China opportunity real estate fund (100% China opportunity real estate) or by a pan-Asia opportunity real estate fund where China opportunity real estate was part of this pan-Asia opportunity real estate portfolio. Using two bespoke China opportunity real estate indices developed by the authors, this paper aims to assess the risk-adjusted performance and portfolio diversification benefits of China opportunity real estate in a mixed-asset portfolio over 2008–2020. It also highlights critical issues for institutional investors going forward to factor into their real estate investment decision-making for effective China real estate exposure. Design/methodology/approach: This paper develops two bespoke China opportunity real estate fund performance indices to assess the risk-adjusted performance and portfolio diversification benefits of China opportunity real estate funds in a mixed-asset portfolio over 2008–2020. An asset allocation diagram is used to assess the role of China opportunity real estate in a mixed-asset portfolio via both the non-listed and listed real estate investment channels. Findings: Over 2008–2020, China opportunity real estate exposure via pan-Asia opportunity real estate funds were seen to outperform pure China opportunity real estate funds. In both formats, China opportunity real estate funds were seen to have a significant role in a China mixed-asset portfolio across most of the portfolio risk spectrum; particularly compared to listed real estate exposure in China. On-going issues regarding real estate risk management in China will take on increased importance for institutional investors seeking China real estate exposure. Practical implications: Opportunity real estate funds are an important style of real estate investing, often used by institutional investors to gain non-listed real estate exposure in a developing real estate market. This style of real estate investing has been popular with institutional investors seeking exposure to China real estate as part of the China economic growth dynamic. The results of this research highlight the importance of opportunity real estate investing in China, both via a pure China opportunity real estate fund and via a pan-Asia opportunity real estate fund. Based on this empirical analysis, China opportunity real estate exposure is seen to be more effective via a pan-Asia opportunity real estate fund than a 100% China opportunity real estate fund. A range of practical China real estate investment issues are also highlighted for the effective delivery of China real estate exposure for institutional investors going forward; this particularly relates to the on-going risk management for real estate investment in China. Originality/value: This paper is the first empirical research analysis of the risk-adjusted performance of China opportunity real estate and its role in a mixed-asset portfolio. Using bespoke China opportunity real estate fund indices developed by the authors, this research enables empirically-validated, more informed and practical opportunity real estate investment decision-making regarding the strategic role of China opportunity real estate in an institutional investor's portfolio. It also highlights the importance of various facets of real estate risk management in China going forward. [ABSTRACT FROM AUTHOR]

The paper examines the risk-and-return characteristics of a popular development strategy, the presale system (or sale before completion), used in many Asian cities. We model a presale decision in a [...]

Companies are cross-listed on multiple exchanges in different countries to take advantage of different market features. Due to the difference in time zones, it is normally quite impossible to take advantage of instantaneous information spillover from market to market to generate abnormal returns. Situations can be different if the cross-listed firms are traded in markets within the same country and in the same time zone, but with different legislative regimes and levels of sophistication. Focusing on investors' herd behavior and using hourly data, this article finds evidence of cross market information spillover in herding formation and abnormal returns in cross-listed stocks in China's Shanghai, Shenzhen, and Hong Kong markets. More importantly, we find that investors can make excess returns upon observing herding by buying and holding Hong Kong's small and median stocks in industrial sectors cross-listed in the Shenzhen market especially in the morning and the end of the trading day. [ABSTRACT FROM AUTHOR]

This paper studies U.S. house prices across 45 metropolitan areas from 1980 to 2012. It applies a version of the Gordon dividend discount model for long-run 'fundamentals' and uses Mean Group and Pooled Mean Group estimation to estimate long-run and short-run determinants of house prices. We find great similarity across cities in that the long-run house prices are largely explained by the same fundamentals; the long-run rent to price ratio is approximately 5% plus 0.75 times the real interest rate (which is on the order of 2%). However, adjustments to deviations from the fundamentals are slow, in the long-run, closing the gap at a rate of around 10% per year. We find sharp differences in short-run adjustments (momentum) away from the fundamentals across cities, and the differences are correlated with local supply elasticities (more momentum with lower elasticity). Analysis of residuals suggests strong cyclical deviations, which are mean-reverting. [ABSTRACT FROM AUTHOR]

This paper presents new evidence of the benefits of international real estate diversification using a rational, sentiment-based model of private and public equity securities. A sizable literature does exist on international real estate diversification. Our paper complements this literature by measuring the benefits of international real estate diversification in an equilibrium framework in which an immediate shock in one market may not cause an immediate effect in the other market. Yet, over time, the two markets will move back into equilibrium with one another, but not until capital flows from one market to the other. These capital flows impart a large local component into public and private real estate returns, thus suggesting international diversification benefits for property investors. Yet these benefits do not matter much to defined-benefit pension plans unless they are positively and significantly correlated with the plan's liabilities, and then only if the plan's liabilities are indexed to the cost of living either before or after retirement, or both. Our findings suggest that the sensitivity of real estate to national factors is large, while sensitivities to international influences are small. [ABSTRACT FROM AUTHOR]