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ERES and the Development of Real Estate Research in Europe
Gerjan Vos VOGON 21e Studiemiddag 24 mei 2007
Structure Evolution of ERES Conference research contributions Some discussion of the future
ERES goals Promoting a permanent network between real estate academics and professionals across Europe Advancing the field of real estate research Most important activity: The ERES Annual Conference
ERES achievements World’s largest successful real estate research conference Significant improvement in paper quality Excellent local organisers and Sponsorship Numerous manuscript prizes and journal linkages The Spring and Autumn industry research seminars The ERES Education Seminar Significant organic growth in the European core A solvent organisation
Conference participants mainly researchers; academics and practitioners th
2006 ERES 13 Annual Conference in Weimar (GER) Conference participants (based on conference fee’s) Category Student Companion Vogon/Gif Participant Summary
amount 66 29 75 182 352
% 19% 8% 21% 52% 100%
ERES Presidents and Conferences ERES Presidents 1994-2003 Bert Kruijt 1994-95 Alastair Adair 1995-96 Hakan Bergram 1996-97 Karl-Werner Schulte 1997-98 Pe Kohnstamm 1998-99 Olli Olkkonen 1999-00 Sotiris Tsocalos 2000-01 Bob Thompson 2001-02 Paloma Tultavill 2002-03 Ken Gibb 2003-04 Paola Lunghini 2004-05 Matthias Thomas 2006-07
ERES conferences Amsterdam 1994 Stockholm 1995 Belfast 1996 Berlin 1997 Maastricht 1998 Athens 1999 Bordeaux 2000 Alicante 2001 Glasgow 2002 Helsinki 2003 Milan 2004 Dublin 2005 Weimar 2006 London 2007 Krakow 2008 Stockholm 2009
Research contributions
Finance and Investment
Market Analysis Other
Other
Sweden
UK
Finland
UK
Spain
SIN Italy
SIN
Finland
Spain
Australia
Poland
France
Germany
Housing Policy & Economics
US
Germany Australia
The Netherlands
Other
UK
Malaysia Germany Finland Canada Spain
Turkey Taiwan Poland Switzerland Sweden
US
Russia SIN France
Hong Kong Australia
The Netherlands
US
The Netherlands
Valuation
Russia
Planning, Development and Regeneration
Other
Estonia Slovenia
Other
France Australia
Switzerland
Poland
Sweden
UK
UK
Russia
Italy
Israel
US
SIN Italy
Sweden
Greece
Spain
France
NZ Germany
Australia
The Netherlands
Belarus
Hong Kong Spain
The Netherlands
CRE/Use and Occupation
US The Netherlands Sweden SIN Hong Kong
NZ
Buenos Aires US UK Spain
Poland
Australia
Germany
Finland
Germany
Some discussion of the future Strategic Priorities A European Real Estate Research Journal Better engagement with the membership – communication Maximising media exposure for the things we do Improving the visibility of ERES in Southern and Eastern Europe A fit for purpose - network of researchers to undertake Pan-European research proposals Engagement with EU: Research and Education agendas Future products: A Bi-annual Policy Seminar? National Seminars branded by ERES?
Future: moving in the right direction work still to be done (short term) Linkage with other pan-European and national bodies with common areas of interest European Real Estate Research Journal Corporate Governance - transparency Electronic Membership System Electronic Communications – Website and newsletter
Summarising: Most Significant Contributions Successful annual conference International/European university links Collaborative research/knowledge transfer Development of research areas Academic-practitioner integration Foster RE in traditional universities
QUESTIONS ?
SEE YOU ALL AT
The 2007 European Real Estate Society Annual Conference London, June 27-30 www.eres2007.org
Programma 1500
Inleiding Gerjan Vos
1525
Local Office Returns; A Tale of Five Cities Dirk Brounen
1550
Quantitative Measures of CRE and its link with organizational performance Rianne Appel-Meulenbroek
1630
Risk and Return of the client’s choice program for housing associations Bert Kramer
1655
Shareholder Identity and Performance of REITs Nils Kok
Welkom in Rotterdam !
RSM Finance Highlights:
• News • Events • In the media
Faculty and Staff: • Core Faculty • PhD-students • Staff
RSM Finance The Finance Group is an international team of 33 researchers that collectively run the School’s largest Master program. The Group has strong links with international partner Universities and participates in several networks with other top research institutions. The focal research areas of the group are (please click topics to find out more):
Asset Management
Corporate Finance
Pension Finance
Real Estate Finance
Socially Responsible Investing
International Markets & Financial Regulation
Research:
• • • • • •
Asset Management Corporate Finance Pension Finance Real Estate Finance Social Responsible Investing International Markets
Education:
• Bachelor program • Master program • Executive teaching
Contact:
• Contacting us • Visiting us
RSM Finance Highlights:
• News • Events • In the media
Faculty and Staff: • Core Faculty • PhD-students • Staff
Research:
• • • • • •
Asset Management Corporate Finance Pension Finance Real Estate Finance Social Responsible Investing International Markets
RSM Finance / Real Estate Finance The RSM Real Estate team currently consists of four researchers: Dirk Brounen (Asssociate Professor of Finance and Real Estate), Maarten Jennen (PhD-student international office markets), Peter Neuteboom (Senior researcher housing markets) and Melissa Porras Prado (PhD-student pension fund investments). Please click below to find more information regarding: • Our Teaching • Our Research • Real Estate Seminars • Industry Support • RSM Real Estate Newsletter
Education:
• Bachelor program • Master program • Executive teaching
Contact:
• Contacting us • Visiting us
Dirk Brounen
Maarten Jennen
Peter Neuteboom
Melissa Porras
RSM Erasmus at ERES Thursday, June 28th 1030 1400 1600
Real Estate Allocation in an ALM Framework, A5 Demography and Housing Demand, B4 Local Office Rents: A Tale of Five Cities, C6
Friday, June 29th 0900 Offices, Stocks, and Office Stocks, D2 1100 Calendar Effects in Property Shares, E2 1330 Continental Factors Revisited, F2
by Melissa and Dirk by Peter and Dirk by Maarten and Dirk
by Maarten and Dirk by Dirk by Dirk
RSM Erasmus at ERES Thursday, June 28th 1030 1400 1600
Real Estate Allocation in an ALM Framework, Demography and Housing Demand, Local Office Rents: A Tale of Five Cities,
Friday, June 29th 0900 Offices, Stocks, and Office Stocks, 1100 Calendar Effects in International Property Shares, 1330 Continental Factors Revisited,
by Melissa and Dirk by Peter and Dirk by Maarten and Dirk
by Maarten and Dirk by Dirk by Dirk
Research questions Can office rents be modeled internationally? Are local rents better modeled with local economics?
Literature review – US office market studies • Rosen (1984) San Francisco office market • Wheaton (1987) national office market cycles • Why study local office markets? (Hanink, 1996)
%∆ Rt = f (vn − vt )
– European office market studies • Data availability constraints lead to demand side reduced form models • Tradition continued in later work
%∆Rt = β1 X 1 + β 2 X 2 + β 3 X 3 + β 4 X 4 + β n X n
Main issues – Data – Data – Data
Our Data – Office market data • Jones Lang LaSalle – – – –
Prime office rents Office stock Total office market take-up Vacancy rate
• Period 1990-2006 • Amsterdam, Brussels, Frankfurt, London and Madrid
Our Data – Economic data • Eurostat, Experian and Agora Data • Wide array of available data – Change service sector employment – Change GDP – Change value added service sector industry
• Period 1990-2006 • National level • NUTS III level Nomenclature of Territorial Units for Statistics Greater Amsterdam, Bruxelles Capitale, Frankfurt Kreisfreie Stadt, Comunidad de Madrid, Inner London
Prime rent dynamics
Vacancy rate dynamics
Vacancy rate dynamics
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Conclusion •
Almost 60% of prime office rent dynamics can be explained with two components based on economic and real estate data
•
A model based on European customs works better to model rent dynamics than the U.S. based models
•
Use of local economic data in modeling prime office rents does not provide additional insights of dynamic in a study of prime office markets for major cities
Why? • High correlation between local and national economic data for cities in sample, partly because of weight • Prime office markets house a large number of (inter)national headquarters and could therefore be less sensitive to the state of the local economy
Over the next four weeks….. We will study second tier cities that exhibit less correlation with aggregate economy and house more local companies
Eindhoven University of Technology
Corporate Real Estate Management Quantitative measures of CRE and its link with organisational performance Rianne Appel-Meulenbroek Ben Feijts
Eindhoven University of Technology
Contents Introduction CRE aspects in literature New types of measures Use for CREM in practice
Eindhoven University of Technology
Introduction CRE performance user (the 5th resource) CREM pro-active management Prove added value 1. Which
CRE aspects effect? 2. How do they affect? 3. How effect measured + managed?
Problem
Eindhoven University of Technology
CRE aspects in literature Ergonomics, environment psych., FM, logistics, engineering, sustainability, indoor climate CRE performance Staff Visitors Equipment/processes
52 aspects:
Structural (building, floor, workplace) Installation (general, specific) Location (proximity, accessibility, surroundings)
Eindhoven University of Technology
CRE aspects in literature (2) Structural: Form Layout Flexibility Standardisation Etc.
Installations: Presence Capacity Technical condition Etc.
Location: Proximity Logistics Noise Orientation Etc.
Why still unclear? No uniform way of measurement Interwoven character Human well-being difficult
Eindhoven University of Technology
Structural aspects Performance? 7 CRE strategies 1.
Increasing the
2.
Promoting
3.
Increasing
4.
Increasing
5.
Increasing
6.
Increasing
7.
Reducing
Flexibility Effectiveness Productivity Efficiency Creativity value of assets marketing and sales innovation employee satisfaction productivity flexibility costs
Eindhoven University of Technology
Structural aspects (2) Aspect of added value Structural aspects Employee satisfaction Aesthetic characteristics (i.e. form, colour) Building dimensions/layout Floor dimensions/layout (distances, workplace location) Accessibility Individual workplace dimensions/layout Control of indoor climate Control of auditive privacy Control of visual privacy Emission of / reservoir for harmful substances Physical characteristics of materials (i.e. reflection, isolation) Ergonomics of workplace
Measurability .
Yes Yes Yes Yes Yes Yes
Specific group of aspects = non-measurable but influences all 7 added value categories configuration/layout
Eindhoven University of Technology
Structural aspects (3) 5 measures configuration/layout Building dimensions/layout Floor dimensions / layout Individual workplace dimensions/layout Accessibility Position of facilities
Eindhoven University of Technology
New types of measures So far seems logical, but how to design this? Different community geography, urban design Spatial Network Analysis: Isovists Visual graphs Justified graphs
Eindhoven University of Technology
Isovists “the set of all points visible from a given vantage point in space and with respect to an environment” Space as how the user perceives it
Eindhoven University of Technology
Isovists (2) Isovist perimeter Isovist area Isovist occlusivity Isovist openness Variance of radial distance Skewness of radial distance
Workplace dimension/layout
Max ∆x in isovist Min ∆x in isovist Average ∆x in isovist Compactness Complexity Connectivity
Floor dimension/layout
Eindhoven University of Technology
Visibility graphs To deal with an entire plan Describes floor layout as a whole from the viewpoint of accessibility
Eindhoven University of Technology
Visibility graphs (2) Building dimension/ layout
Clustering coefficient
Floor dimension/ layout
Mean depth
Accessibility Position of facilities
Eindhoven University of Technology
Justified graphs Topological distance
Convex map
Justified graph (depths)
Eindhoven University of Technology
Justified graphs (2) Problem: no metric distance Employees: route map (topological) (metric)
Advantage: genericness buildings (lawsuit arch. copyright)
survey map
Eindhoven University of Technology
Justified graphs (3) Building dimension/ layout Convex map justified graph
Floor dimension/ layout
Eindhoven University of Technology
Use for CREM in practice Measure + manage Measures must be correlated with performance Spatial network software compatible AutoCAD Standard statistical software (SPSS) Some added value types are harder to measure Difficulty in large sample of buildings Not for isovists Benchmark just like financial RE indexes
Eindhoven University of Technology
Use for CREM in practice (2) Measure + manage Several moments in design cycle 1st design phases suitability design, potential support added value discussion architect and future users compare with costs
POE, recurrence potential improvements changed focus on added value (org. strategy)
Eindhoven University of Technology
Conclusions Measures appear to be interesting Many recommendations for further research: Correlation 7 added value types Importance configuration – other CRE aspects Importance ‘structural’ – Location, installations Direct versus indirect effect of CRE Etc.
Eindhoven University of Technology
Questions
Risico en rendement van het Te Woon concept bij woningcorporaties Bert Kramer
ORTEC bv Rozenburglaan 9 9727 DL Groningen Nederland Telefoon 050 750 1700 Fax 050 750 1740 Internet www.ortec.nl E-mail
[email protected]
Basisprincipes Te Woon
De klant bepaalt voor wat voor koop- of huurvorm hij of zij kiest. Aangeboden varianten verschillen per corporatie. Einddoel veel corporaties: (nagenoeg) gehele bezit in Te Woon aanbieden. Invoering echter (zeer) gefaseerd. Veelgebruikte koop- en huurvormen: Huur: huren met jaarlijkse huurverhoging en maximale flexibiliteit; Huurvast: waarbij de huur voor 5 of 10 jaar vaststaat; Koopgarant: kopen met korting, een terugkoopgarantie en delen in de waardeontwikkeling; Koopcomfort: kopen tegen marktwaarde, waarbij de corporatie het eerste recht van koop heeft.
Te Woon leidt in verwachting tot grotere verkoopvolumes.
Potentiële risicofactoren Koopbereidheid bij invoering Ontwikkelingen op de woningmarkt gedurende de exploitatie (terugkooprisico) Kosten bij beëindiging van een complex
Koopbereidheid bij invoering Woonbron (Rotterdam, Spijkenisse, Delft, Dordrecht): Nu 12.500 van de 50.000 woningen in Te Woon Slechts ongeveer 7% kiest voor Koopgarant Koopcomfort (0,5%) en Huurvast (0,5%) nauwelijks gekozen Yeung (UvT / ORTEC, 2007): keuze Koopgarant – Huur afh. van: Inkomen; Huur; Taxatiewaarde; Aantal kamers.
Aramis (Roosendaal): Pilot 52 woningen 19% kiest voor Huurvast (10 woningen) 15% kiest voor Koopgarant (8 woningen)
Koopbereidheid bij invoering Ervaring Woonstede
Ede (4209 VHE)
Scherpenzeel (84 VHE) Totaal
Koopcomfort
1,4%
1,2%
1,4%
Koopgarant
10,8%
25%
11%
Huurvast
11%
4,8%
10,9%
Conclusies: Ervaring varieert sterk per corporatie Nauwelijks gekozen voor Koopcomfort. Keuze Huurvast varieert sterk per corporatie (afh. van voorlichting / publicieit?). Vooral belangstelling voor grotere woningen (eengezinswoningen). Inkomen van huurder is belangrijke bepalende factor, maar is i.h.a. onbekend.
Base Case deltaWonen Base case deltaWonen
Totaal
Koopcomfort
1%
Koopgarant
11%
Huur
85%
Huurvast
3%
Ook nieuwbouw projecten worden aangeboden in Te Woon. 9.300 van de 14.300 woningen worden aangeboden, gespreid over 10 jaar. Geen rekening gehouden met kosten bij beëindiging complex met deel Koopgarant of Koopcomfort. Mutatiegraad Koopgarant en Koopcomfort woningen 5% (obv eerdere studie naar in 1998-2005 verkochte en teruggekochte MVE woningen). Mutatiegraad Koopgarant en Koopcomfort woningen onafhankelijk van economisch klimaat (obv eerdere studie naar verhuisbeslissingen)
Gerealiseerde verkoopvolumes
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
Totaal
Koopgarant Bestaand bezit
79
96
112
114
131
115
108
99
108
72
1034
Koopgarant Nieuwbouw
24
34
45
71
16
8
14
17
7
6
242
Koopcomfort
6
5
9
5
10
9
9
7
6
10
76
Terugkoop Koopgarant
0
4
11
13
34
30
43
61
56
67
319
Terugkoop Koopcomfort
0
0
1
1
2
2
1
1
1
4
13
Gevoeligheidsanalyse Mutatiegraad Koopgarant en Koopcomfort woningen 7% (gemiddelde mutatiegraad koopsector) -> meer terugkoop met daaraan verbonden terugkoop- en doorverkoopkosten. Invoering Te Woon ineens: 9.300 woningen in 2008 Te Woon aangeboden. Invoering ineens met dalende markt: als 2, waarbij de lokale huizenmarkt instort a.g.v. overaanbod in 2008. Verkoopprijzen dalen daardoor met 10% in 2008. Terugkoop bij einde exploitatie. Aannames cf. Woonbron: Vanaf 5 jaar voor einde exploitatie geen (door)verkoop meer. Terugkoop tegen 79% van de marktprijs. Extra levensduur 10 jaar.
Effect alternatieve varianten Te Woon Verloop solvabiliteit 40
Solvabiliteit (% balanstotaal)
Base Case Te Woon 35 Alleen reguliere verkoop 30
Mutatiegraad koopgarant 7% Invoering ineens
25
Invoering ineens met dalende markt 20
Terugkoop einde exploitatie
15 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 jaar
Verloop solvabiliteit is onzeker
Sc 1 Riskdrivers (scenario’s): inflatie, rente, OG stijging, ... Sc 2 Beleid: huurbeleid investeringsbeleid e.d. Sc 3 verleden
nu
toekomst
tijd
Methode risicoanalyse
2. Stochastiek / Verbanden
1. Trend / Beleidsmatig gem.
3. Scenarios
Trend / gemiddelde component : Visie corporatie, CPB, DNB, ... Stochastische component
: Op basis van op historische data
Hoe worden risico’s gemeten
1. scenario’s
2. doelstelling 4. risicomaatstaf 3. horizon
Solvabiliteitsrisico’s Te Woon
Reguliere verkoop
Te Woon
“Crash” scenario: grote verliezen op terug- en doorverkoop van MGE woningen (“dalende markt”) gecombineerd met hoge beheerskosten.
Resultaten gevoeligheidsanalyse Terugkoop einde exploitatie
Koopgarant 7% mutatie
Invoering ineens
Invoer ineens/dalende markt
Samenvatting risicoanalyse
Score in 2016
Reguliere verkoop
Te Woon
Mutatiegraad 7%
Verwachte solvabiliteit
24,9%
31,8%
25,3%
95% zekere solvabiliteit
-1,7%
8,4%
-2.0%
Kans solvabiliteit < 0%
7%
2%
6%
Score in 2016
Terugkoop einde expl.
Invoering ineens
Invoering ineens + dalende markt
Verwachte solvabiliteit
23,7%
30,6%
27,4%
95% zekere solvabiliteit
-7,0%
5,1%
2,6%
Kans solvabiliteit < 0%
11%
5%
5%
Conclusies
Invoering Te Woon leidt tot een verdubbeling van de verkoopvolumes ten opzichte van de meerjarenbegrotingsvariant. Aannames rondom reactie klanten bepalen in hoge mate het resultaat. Deze aannames zijn bovendien niet een-op-een over te nemen van ervaringen van andere corporaties. Het te voeren beleid bij einde exploitatie van een complex bepaalt in hoge mate het risicoprofiel van invoering van Te Woon.
Corporate Governance and Performance The REIT Effect
Nils Kok Rob Bauer Piet Eichholtz Universiteit Maastricht
Corporate governance & vastgoed FBI-structuur reduceert free cash flow-probleem • Vastgoedinvesteringen steeds meer indirect • Agency probleem (Manne 1965) • Oplossing: corporate governance • Maar vastgoedfondsen (FBIs)… …betalen 90% free cash flow uit …hebben beperkte investeringsmogelijkheden • Hoe verandert dit de rol van corporate governance?
Literatuur
Positief effect corporate governance op performance • Positief effect corporate governance op beurs rendementen en operationele prestaties (Gompers, Ishii en Metrick JFQA2003), maar… …deze relatie is sterker in een zwakker institutionele omgeving (Durnev en Kim JF2005; Klapper en Love JCF2004 • REITs opereren in sterk gereguleerde setting • Geen REIT-literatuur zoals Gompers et al., enkel studies naar relatie tussen individuele governance mechanismen en prestaties
Bijdrage aan literatuur
Unieke database, analyse op verschillende samples • Governance literatuur betreffende REITs beperkt toenemend aantal markten met REIT-structuur
van belang door
• Unieke corporate governance database (Institutional Shareholder Services), bevat 61 objectieve ratings van alle governance mechanismen • Onderzoek naar volledige sample (>5000 bedrijven), controle sample (bedrijven met hoge PPE/Assets ratio) en REIT sample (>220 Amerikaanse vastgoedfondsen) • Verschillende prestatiemetingen: beurswaardering, operationele prestaties en rendementen
Data & methodologie • Tijdsperiode: 2003 – 2005 • Data: – – – –
Complete dataset: 11589 observaties (unbalanced) REIT dataset: 509 observaties Controle sample: 542 observaties 26 industrieën
• Performance measures
– Tobin’s Q – ROE, ROA, FFO/share, NPM en sales growth – Alpha (Carhart 4-factor model)
• Median-least square regressies (correctie outliers) – Controle variabelen – Industrie-correcties
Beschrijvende statistieken
Retail & office REITs scoren goed, diversified REITs matig Panel A: Average CGQ Scores Top-5 CGQ Utilities 67.6 Real Estate 61.5 Pharmaceuticals & Biotechnology 54.1 Materials 53.6 Food & Staples Retailing 52.7 Bottom-5 Energy Telecommunication Services Food Beverage & Tobacco Media Household & Personal Products Panel B. Real Estate 2003 Governance index CGQ Mean 54.6 Standard deviation 29.3
46.4 42.4 41.0 38.0 35.6 2004 CGQ 64.5 26.6
2005 CGQ 61.5 27.0
Subindex means Board Compensation Takeover Defenses Audit
3.1 3.4 2.7 3.5
3.5 3.5 3.4 3.8
3.4 3.4 3.5 3.3
Number of firms
216
210
228
Results full sample
Significant relationship between governance & performance Panel A : Industry-Adjusted Q Gov Index Audit Index
0.001 (8.37)
Compensation Index
0.005 (2.59)
Takeover Index
0.005 (3.13)
Board Index Year Fixed Effects Industry Controlled Median Adjusted n 2 Pseudo-R
Y Y Y
Y Y Y
Y Y Y
Y Y Y
0.013 (6.83) Y Y Y
11589 11589 11589 11589 11589 0.65% 0.65% 0.64% 0.71% 0.57% Panel B: Industry-Adjusted Operating Performance
Year Fixed Effects Industry Controlled Median Adjusted
ROE 0.027 (9.76) Y Y Y
ROA 0.006 (4.84) Y Y Y
FFO/Share 0.003 (6.71) Y Y Y
n 2 Pseudo-R
11589 1.79%
11589 1.18%
11589 4.87%
Gov Index
0.003 (1.12)
NPM 0.000 (11.23) Y Y Y 11589 0.06%
Salesgrowth -0.004 (-1.00) Y Y Y 11589 1.01%
Results REIT sample
Only structure compensation schemes influences firm value Panel A: Tobin's Q - REITs Gov Index Audit Index
0.000 (0.59)
Compensation Index
-0.010 (-0.89)
Takeover Index
0.025 (2.02) ***
Board Index Year Fixed Effects Median Adjusted n 2 Pseudo-R
Gov Index Year Fixed Effects Median Adjusted n 2 Pseudo-R
Y Y 509 5.38%
Y Y
Y Y
509 509 509 5.40% 5.78% 5.32% Panel B: Operating Performance - REITs
ROE
ROA
-0.019 (-1.24) Y Y
-0.002 (-0.48) Y Y
509 0.59%
Y Y
0.005 (0.31)
509 1.94%
FFO/Share 0.003 (1.25) Y Y 509 11.69%
NPM 0.000 (-0.44) Y Y 509 0.22%
-0.004 (-0.32) Y Y 509 5.31% Salesgrowth -0.007 (-0.28) Y N 509 0.37%
Robustness check
Results high PPE/assets sample similar to full sample • We document relationship between governance & performance for full sample, whereas no results are found for the REIT sample, but… …results might be due to relatively high share of fixed assets in REITs • Control sample: matched sample of companies with high corporate real estate ratio (CRER) Tobin's Q and Operating Performance: Control Sample Tobin' sQ Gov Index
ROE
ROA
Year Fixed Effects Industry Controlled Median Adjusted
0.003 (2.93) *** Y Y Y
0.038 (3.06) *** Y Y Y
0.013 (2.25) ** Y Y Y
n 2 Pseudo-R
542 6.78%
542 6.45%
542 4.10%
FFO/Share 0.013 (4.23) *** Y Y Y 542 3.73%
NPM 0.000 (4.03) *** Y Y Y 542 0.24%
Salesgrowth 0.008 (0.38) Y Y Y 542 0.84%
Equity performance
Good governance vs bad governance portfolios • Ex-post recognition of governance • Good Governance Portfolio vs. Bad Governance Portfolio • 30% of market cap ranked highest and lowest • Value-weighted approach • Carhart 4-factor model:
Rit − R ft = α i + β 0i ( Rmt − R ft ) + β1i SMBt + β 2i HMLt + β 3i MOM t + ε it
Equity performance
Good governance does not outperform bad governance Panel A. 30% value weighted portfolio - Full period Rm -Rft Good governance -0.479 0.842 *** (-0.25) (21.39) Bad governance 3.206 * 0.893 *** (1.89) (25.69) Difference portfolio -3.685 -0.051 (-1.43) (-0.96)
Adj. R2 0.90 0.93 0.15
Panel B. 30% value weighted portfolio - Period 2000 - 2003 Good governance 1.809 0.854 *** 0.88 (0.67) (11.68) Bad governance 7.767 *** 0.820 *** 0.91 (3.47) (13.59) Difference portfolio -5.958 * 0.034 0.08 (-1.67) (0.36) Panel C. 30% value weighted portfolio - Period 2003-2006 Good governance -3.563 0.850 *** 0.90 (-1.14) (16.46) Bad governance -2.979 0.943 *** 0.95 (-1.18) (22.73) Difference portfolio -0.584 -0.093 0.15 (-0.14) (-1.32)
Conclusies
Is hier sprake van een REIT effect? Goede governance leidt niet hogere rendementen (investeerders zijn niet verrast)… …dit kan verklaart worden door het ontbreken van een relatie tussen governance en fundamentele prestaties Onze resultaten contrasteren de complete sample, de controle sample en bevindingen in de finance literatuur… …en zouden kunnen duiden op een ‘REIT effect’ Maar: • Recente sample periode • Endogeniteits probleem • Relatief kleine sample
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