Illiquidity Risk in Non-Listed Funds: Evidence
from REIT Fund Exits and Redemption Suspensions
Jonathan A. Wiley
Published online: 21 April 2013

Abstract

Managerial incentives are skewed in non-listed funds under finite horizons.
Compensation structures are only indirectly related to shareholder wealth maximization
when share prices are unobservable. Liquidity options for investors are limited in the
absence of an exchange listing. Using a hand-collected database for public non-listed
REITs, an empirical sequence considers the impact of management compensation
contracts on equity fundraising and success in capital deployment. Evidence is provided
that high asset management fees and high acquisition fees diminish managerial success
at generating revenue from invested capital. Successful revenue flows are deterministic
factor in the level of distributions paid and the likelihood of achieving a fund exit.
Closing the gate on share redemption plans is synchronized with the slowdown in new
equity flows. Retail investors are insensitive to maligned compensation

Information Diffusion in the U.S. Real Estate Investment
Trust Market
Masaki Mori
Published online: 6 May 2014

Abstract

This study examines the information diffusion process in the U.S. Real Estate
Investment Trust (REIT) market with a focus on the impacts of changing market
environments, information supply, and information demand on the lead-lag effect. The
results suggest that a significant lead-lag relationship exists between the lagged returns of
big REITs and the current returns of small REITs. This relationship has slightly decreased
along with policy and environment changes that occurred in the U.S. REIT market during
the study period from 1986 to 2012, while still remaining significant in the most recent
REIT market. The process of information diffusion is becoming unstable in recent years
and the reverse lead-lag effect fromsmall REITs to bigREITs is observed especiallywhen
REIT market liquidity and return volatility are high. The lead-lag effect among REITs is
driven largely by slow adjustment to negative information, which is magnified by a lack of
information supply, especially as demand for such information increases. Finally, information
flow from REITs with more media coverage to those with less media coverage
becomes even more sluggish than the information flow from big REITs to small REITs.

Real Estate Risk and Hedge Fund Returns
BrentW. Ambrose1 & Charles Cao2 & Walter D’Lima3

Abstract

We explore a new investment dimension relating hedge fund exposure to the
real estate market. Using fund level data from 1994 to 2012 from a major hedge fund
data vendor, we identify 1,321 hedge funds as having significant exposure to direct or
securitized real estate. We test for the economic impact of real estate exposure. Our
analysis shows that real estate exposure does not increase fund performance.

An Investigation into Sentiment-Induced Institutional
Trading Behavior and Asset Pricing in the REIT Market
Prashant K. Das & Julia Freybote & Gianluca Marcato
Published online: 3 October 2014

Abstract

Institutional investors such as pension funds or insurance companies commonly
invest in the unsecuritized and securitized real estate market.We investigate how
institutional investor sentiment in the commercial real estate market affects institutional
trading behavior in the REIT market and subsequently asset pricing. In particular, we
test two alternative theories – flight to liquidity and style investing theory – to explain
the sentiment-induced trading behavior of institutional investors in the REIT market for
the pre-crisis (2002–2006), crisis (2007–2009) and post-crisis (2010–2012) period. We
find that the applicability of either theory depends on economic conditions. In the precrisis
period institutional investors switched capital in and out of REITs based on their
sentiment in the private market (style investing). However, in the crisis period institutional
investors switched capital from the illiquid private market to the more liquid
REIT market (flight to liquidity). The flight to more liquid REITs continued into the
post-crisis to a lesser extent and suggests that the financial crisis has changed institutional
investment behavior. Our findings hold across different groups of REITs (e.g.
high and low institutional ownership, S&P and non-S&P REITs) and property types.
We also find that institutional real estate investor sentiment introduces a nonfundamental
component into REIT pricing.

Can Linear Predictability Models Time Bull and Bear
Real Estate Markets? Out-of-Sample Evidence
from REIT Portfolios
Daniele Bianchi ·Massimo Guidolin
Published online: 6 April 2013

Abstract

A recent literature has shown that REIT returns contain strong evidence of
bull and bear dynamic regimes that may be best captured using nonlinear econometric
models of the Markov switching type. In fact, REIT returns would display regime
shifts that are more abrupt and persistent than in the case of other asset classes. In
this paper we ask whether and how simple linear predictability models of the vector
autoregressive (VAR) type may be extended to capture the bull and bear patterns
typical of many asset classes, including REITs. We find that nonlinearities are so
deep that it is impossibile for a large family of VAR models to either produce similar
portfolio weights or to yield realized, ex-post out-of-sample long-horizon portfolio
performances that may compete with those typical of bull and bear models. A typical
investor with intermediate risk aversion and a 5-year horizon ought to be ready to
pay an annual fee of up to 5.7 % to have access to forecasts of REIT returns that