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07459 SpringerGabler|SpringerFachmedienWiesbadenGmbH,Postfach1546,65173Wiesbaden SPECIAL ISSUE 1/2012 JOURNAL OF BUSINESS ECONOMICS Real Estate Finance Editor-in-Chief:Prof.Dr.GünterFandel DepartmentEditors:Prof.Dr.Hans-JoachimBöcking,Prof.Dr.WolfgangBreuer,Prof.Dr.OliverFabel, Prof.Dr.GünterFandel,Prof.Dr.ArminHeinzl,Prof.Dr.HaraldHruschka,Prof.Dr.JochenHundsdoerfer, Prof.Dr.Hans-UlrichKüpper,Prof.Dr.JoachimSchwalbach,Prof.Dr.StefanWinter,Prof.Dr.PeterWitt EditorialBoard:Prof.Dr.HorstAlbach(Chairman),Prof.AlainBurlaud,Prof.Dr.SantiagoGarciaEchevarria, Prof.Dr.LarsEngwall,Dr.DieterHeuskel,Dr.DetlefHunsdiek,Prof.Dr.DonJacobs,Prof.Dr.EeroKasanen, Dr.Bernd-Albrechtv.Maltzan,Prof.Dr.KojiOkubayashi,HansBothovonPortatius,Prof.Dr.OlegD.Prozenko, Prof.Dr.HermannSabel,Prof.Dr.AdolfStepan,Dr.MartinZügel Herausgeber: Prof. Dr.Wolfgang Breuer Dr. Claudia Nadler Real Estate Finance Herausgeber Prof. Dr. Wolfgang Breuer Dr. Claudia Nadler ZfB-Special Issues 2/2009ManagementvonFamilienunternehmen Herausgeber:PeterWitt 168Seiten.ISBN3-8349-1620-X 3/2009OperationsResearchinderBetriebswirtschaftNeueAnwendungsgebieteundErgebnisse Herausgeber:HeinrichKuhn/HartmutStadtler/GerhardWäscher 144Seiten.ISBN3-8349-1723-0 4/2009RationalInef(cid:3)ciencies Herausgeber:GünterFandel 136Seiten.ISBN3-8349-1856-3 5/2009EntrepreneurialFinance Herausgeber:WolfgangBreuer/MalteBrettel 132Seiten.ISBN3-8349-2005-3 6/2009ManagementvonkleinenundmittlerenUnternehmen Herausgeber:PeterLetmathe/PeterWitt 180Seiten.ISBN3-8349-2139-4 1/2010CorporateSocialResponsibilityandStakeholderDynamics Herausgeber:JoachimSchwalbach 100Seiten.ISBN3-8349-1995-0 2/2010InternationaleAspektederUnternehmensbesteuerung Herausgeber:NorbertKrawitz 136Seiten.ISBN3-8349-2006-1 3/2010Rechnungslegung,KapitalmärkteundRegulierung Herausgeber:RalfEwert/Hans-UlrichKüpper 164Seiten.ISBN3-8349-1999-3 4/2010MixedMethodsKonzeptionelleÜberlegungen Herausgeber:ThomasWrona/GünterFandel 120Seiten.ISBN3-8349-1998-5 5/2010MixedMethodsinderManagementforschung Herausgeber:ThomasWrona/GünterFandel 140Seiten.ISBN3-8349-2521-7 6/2010Jubiläumsheftzum80.Jahrgang Herausgeber:GünterFandel 184Seiten.ISBN3-8349-2000-2 1/2011UnternehmensethikinForschungundLehre Herausgeber:Hans-UlrichKüpper/PhilippSchreck 94Seiten.ISBN3-8349-1997-7 2/2011Kundenmanagement Herausgeber:OliverGötz/OveJensen/ManfredKrafft 94Seiten.ISBN3-8349-1996-9 3/2011HumanResourceManagementIssuesofForeignFirmsinJapan Herausgeber:RalfBebenroth/WernerPascha 142Seiten.ISBN3-8349-3125-X 4/2011BeiträgezurTheoriederUnternehmung.HorstAlbachzum80.Geburtstag Herausgeber:GünterFandel 152Seiten.ISBN3-8349-3172-1 5/2011Kundenintegration2.0 Herausgeber:GünterFandel/SabineFliess/FrankJacob 178Seiten.ISBN3-8349-3392-9 6/2011EntrepreneurialMarketing Herausgeber:DietmarGrichnik/PeterWitt 136Seiten.ISBN3-8349-3448-8 ZfB-SpecialIssue1/2012 INHALTSVERZEICHNIS 1 EDITORIAL 5 Realestateandrealestate(cid:3)nanceasaresearch(cid:3)eldaninternational overview WolfgangBreuer,ClaudiaNadler 53 ThenetassetvalueandstockpricesofEuropeanrealestatecompanies: Explainingnetassetvaluespreadsbyanempiricalmodel HeinzRehkugler,FelixSchindler,RafaelZajonz 79 TheliquiditycrisisofGermanopen-endrealestatefundsandtheirimpact onoptimalassetallocationinretirement RaimondMaurer,RalphRogalla,YuanyuanShen 109 Detectingandexplainingsystemicrisksofmortgagebanksevidencefrom thesubprimecrisis StephanPaul,GregorN.F.Weiß GRUNDSÄTZEUNDZIELE IMPRESSUM/HINWEISEFÜRAUTOREN HERAUSGEBER/EDITORIALBOARD ZBetriebswirtsch(2012)82:1–3 DOI10.1007/s11573-011-0527-y ZfB-SPECIAL ISSUE 1/2012 Editorial—ZfB Special Issue “Real Estate Finance” WolfgangBreuer ClaudiaNadler • Real estate research has a much longer tradition inAnglo-Saxon countries than in Ger- many.Froma(German)researchperspective,realestatewithitscoresubfieldrealestate financewasratheraresearchnicheinthepast.However,itsrelevanceislikelytorisein thefuture.Thismightnotonlybeduetothesubprimecrisis.Withrealestatelockingup a large share of capital of non-property companies, managing real estate has become a majorissueforthelasttwodecades.Apartfromthat,realestaterepresentsanimportant assetclassfromaninvestmentperspective.Therefore,thisspecialissueoftheZeitschrift für Betriebswirtschaft intends to take a closer look at the status quo of German real es- tateresearchactivitiesbypresentingfourarticleswiththreeofthemfocusingonspecial problemsinthefieldofrealestatefinance.Inordertogetabroaderinsightintothewhole researchfieldaswell,thisspecialissuestartswithaninternationaloverviewofrealestate andrealestatefinanceasadiscipline. Inthefirstarticle“RealEstateandRealEstateFinanceasaResearchField—An International Overview” Wolfgang Breuer and Claudia Nadler take the statement of JulianDiazIII(ProfessoroftheDepartmentofRealEstateatGeorgiaStateUniversity) that“realestate,theacademicendeavor,hasanidentityproblem”asastartingpointfor a theoretical and empirical overview of real estate and real estate finance as a research discipline. They identify two alternative theoretical approaches for the research field: Whereas the Interdisciplinary Approach on real estate equally derives knowledge from many disciplines with finance as only one possible source, the Financial Management Approachdefinesfinancialmanagementtheoryasastartingpointforrealestateresearch and seeks to modify the general theory according to the special features of real estate. Since the InterdisciplinaryApproach is much broader and could integrate the Financial ManagementApproachasonespecialtheoreticalconcept,theauthorsbasetheirempirical ©Gabler-Verlag2011 Prof.Dr.W.Breuer((cid:2))·Dr.C.Nadler DepartmentofFinance,RWTHAachenUniversity, Templergraben64,52056Aachen,Deutschland e-mail:[email protected] Dr.C.Nadler e-mail:[email protected] W. Breuer, C. Nadler (Hrsg.), Real Estate Finance, DOI 10.1007/978-3-8349-3864-0_1, © Springer Gabler | Springer Fachmedien¡Wiesbaden 2 W.BreuerundC.Nadler evaluationofthemostimportantinternationalrealestatejournalsontheinterdisciplinary featuresofthecorrespondingapproach.Acitation-basedanalysisofthemostimportant journalsoveratimeperiodfrom1986–2010revealsthatthepastresearchfocuswason empirical research with the primary objective of evaluating real estate investment until the midst 1990s. From this time onwards, research interest in techniques of real estate appraisal has been growing steadily up to now. Real estate lending issues are ranked thirdplaceduringthewholetimeframewhereasinterdisciplinaryaspectsandtopicson sustainable realestatearesomewhatneglecteduptothepresent.Therefore,thecitation analysisconfirmsempiricallythattheFinancialManagementApproachisthepredominant approachparticularlyintheUnitedStates.Notverysurprisingly,theotherthreearticlesin thisZfBSpecialIssue—allofthemempirical—alsobelongtotheFinancialManagement Approach.Indetail,thearticlesofRehkugler,Schindler,andZajonz,aswellasof Maurer, Rogalla,andShenfocusonrealestateinvestment issues,whilePaul andWeiß dealwith realestatelending. Inthesecondarticle“TheNetAssetValueandStockPricesofEuropeanRealEstate Companies—ExplainingNetAssetValueSpreadsbyanEmpiricalModel”byHeinz Rehkugler,FelixSchindler andRafael Zajonz,theauthorstransferaprominentresearch question in US real estate research to the European market: What are the reasons for thefrequentlyobservedlargedivergencesbetweensharepriceandnetassetvalue(NAV) oflistedrealestatecompanies?Whilemanyresearchpapersonthistopiconlytakeinto accountcompany-specificand/orrationalfactors,theauthorsofthisarticlepresentasemi- rational model for explaining NAV spreads that also includes market-driven factors and marketsentiment.Inordertointegratealsoirrationalfactorsintotheirmodeltheyapplythe NoiseTraderTheory.Theempiricalanalysisofapproximately40ofthelargestEuropean realestatecompaniesacrosstendifferentcountriesfrom2000–2007revealsthatirrational factors have the by far greatest impact on the NAV spread.Aside from these irrational factors, most significant explanatory power is ascribed to the company type and stock pricevolatility,whileotherrationalfactorsshownosignificantimpactontheNAVspread. Thus,integratingirrationalbehaviorbytakingintoaccountmarketsentimentconstitutes asignificantimprovementoverpreviousstudiesontheexplanationofNAVspreads. The third article “The Liquidity Crisis of German Open-end Real Estate Funds and their Impact on OptimalAssetAllocation in Retirement” by Raimond Maurer, RalphRogalla,andYuanyuanShentakesalookatthelong-termandtheshort-termriskand returnprofilesofopen-endrealestatefundsandtheirroleinefficientmulti-assetretirement portfolios. To this end, the Retirement Efficient Frontier is introduced, which describes thoseinvestmentstrategiesthatminimizethelifetimeprobabilityofruinforspecificlevels ofperiodicwithdrawalsfromagivenretirementwealth.Theauthorsshowthatforlowto moderateperiodicwithdrawals,efficientportfoliosconsistofupto85%realestatefund investmentsincasefundunitsarecontinuouslyredeemable.However,ashasbeenobserved during the recent turmoil in the financial markets, several open-end real estate funds frozeredemptionoftheirunits,resultinginunanticipatedandunprecedentedliquidityand performance shocks for investors.As a novelty, the authors extend their analysis to an examinationoftherisk-returnconsequencesofthepossibilityofsuchadverseeventsfor investors.Tobemoreprecise,theyshowthatevenifthereisamonthlyprobabilityof2.5% thatredemptionoffundunitsistemporarilysuspended,theallocationintorealestatefunds Editorial 3 inrisk-efficientportfoliosisonlyslightlyaffected.Yet,iffundsadditionallyfaceahigh risk of having to depreciate their property portfolio during a liquidity crisis, their share in efficient retirement portfolios is reduced significantly.These findings may also be of relevance for the current debate on the appropriate regulation of German open-end real estatefunds. Withthefourthandlastarticleofthisspecialissue“DetectingandExplainingSys- temic Risks of Mortgage Banks—Evidence from the Subprime Crisis” by Stephan Paul and Gregor N. F.Weiß, the perspective turns to a lending-related topic in real es- tateresearch.Asaconsequenceofthesubprimecrisis—originatingfromthepracticeof USmortgagebankstosecuritizeloansgivenespeciallytosubprimeborrowers—research topicsconcerningbankfailuresandcontagioneffectsareonceagaininthecenterofatten- tion.ThisarticleinvestigateswhetherannouncementsofUSmortgagebankfailuresand bailouts by states lead to significant valuation effects for rival banks in the US banking sector.Aparticularfocusliesondifferentiatingbetweenirrationalandrationalcontagion effects,anissueratherneglectedintheliteratureuptonow.Thearticleapplieseventstudy methodology on a sample of 100 announcement events of US mortgage banks between 2006 and 2009.The authors indeed find evidence of irrational contagion effects caused byseveralfailuresofUSmortgagebanks.Therefore,governmentalbailoutsseemedtobe justified. Summarizing, the articles of this special issue offer an interesting overview of the statusquoof(German)researchinrealestatefinance.Hopefully,thisspecialissuemight alsocontributetorealestateresearchmovingfromaresearchnicheclosertothecenterof academicinterest. ZBetriebswirtsch(2012)82:5–52 DOI10.1007/s11573-011-0524-1 ZfB-SPECIAL ISSUE 1/2012 Real estate and real estate finance as a research field—an international overview WolfgangBreuer ClaudiaNadler • Abstract: Wepresentacitation-basedanalysisofthemostimportantjournalsonrealestateand realestatefinanceoveratimeperiodfrom1986to2010.Foreachyear,thosethreearticleswith the highest number of citations according to Google Scholar are identified.A thorough analysis ofall75selectedarticlesrevealsthatthefocusofinteresthasbeenon(1)empirical research,(2) mainlyusingdataofresidentialrealestate,with(3)theprimaryobjectiveofevaluatingrealestate investment until the midst 1990s. In order to derive reliable risk-return relations for real estate investment,(4)assetpricingasthemaintaskofrealestateappraisal isinthecentreofattention, too.Appraisalissueshaverelativelygainedimportanceforthelastfifteenyearsincomparisonto investmentissues.Interdisciplinaryaspectsandsustainableissuesareonlyveryrarelyintegratedin appraisalmethods,thefocusisprimarilyonmaximizingeconomicreturns.Therefore,ourcitation analysisconfirmsthattheFinancialManagementApproachofDassoandWoodward(1980)isthe predominantapproachparticularlyintheUnitedStates.Ourfindingsregardingourbasicsample ofarticlesarecross-checkedbyseveralrobustnesstests.Forfutureresearchactivities,itseemsto bequitepromisingtofocusontheonehandoninterdisciplinaryaspectsandontheotherhandto contributetothetheoreticalfoundationofrealestatewiththeaimofdevelopingacommonbodyof knowledge. Keywords: Citationanalysis·Realestate·Realestatefinance·Survey JELClassification: G11·G12·G21·L85·R31·R33 ©Gabler-Verlag2011 Prof.Dr.W.Breuer((cid:2))·Dr.C.Nadler DepartmentofFinance,RWTHUniversity, Templergraben64,52056Aachen,Germany e-mail:[email protected] Dr.C.Nadler e-mail:[email protected] W. Breuer, C. Nadler (Hrsg.), Real Estate Finance, DOI 10.1007/978-3-8349-3864-0_2, © Springer Gabler | Springer Fachmedien¡Wiesbaden 6 W.BreuerandC.Nadler 1 Therelevanceofrealestateandrealestatefinance Withtheglobaleconomystillsufferingfromthefinancialcrisiswhichcametoitspeak inthemiddleof2008,itseemsnolongernecessarytoemphasizetheimportanceofreal estate and real estate finance from a factual point of view. As the subprime crisis has vigorouslyproved,theinfluenceandthespillovereffectsfromrealestatemarketstoother worldwidemarkets,namelystockmarkets,bondmarkets,marketsforderivatives,butalso non-financialmarketsascommodityorlabormarkets,areenormous.Inapositivesense, however,duetoveryhighmultipliereffectsresultingfrominvestmentsinthissector,real estateisoftenreferredtoasan“economiclocomotive”,sincerealestateinvestmentshave a significant influence on the gross domestic product and on the employment rate (see Nadler2001,p.4). Fromaresearchperspective,realestate—whichencompassesrealestatefinanceasa coresub-field—hasamuchlongertraditioninAnglo-SaxoncountriesthaninGermany. ThefirstcourseinrealestateintheUnitedStateswasheldattheUniversityofWisconsin in1892(seeDassoandWoodward1980,p.404),whereasittookalmost100moreyears forarealestatedisciplinebeinginstitutionalizedinGermany(seeSchulte2003,p.100). Althoughrealestateasadisciplinehasratherbeenaresearchnicheinthepast,itsrelevance islikelytoriseinthefuture.Thismightnotonlybeduetothesubprimecrisis.Withreal estatelockingupalargeshareofcapitalofnon-propertycompaniesase.g.banks,insurance companies, and industrial corporations (in former times often up to 25% of the balance sheetsum)andwithcostsforthemaintenanceofrealestatebeingonecorecomponentof totalcosts,managingrealestatehasalreadybecomeamajorissue(seeBone-Winkeland Müller2008,p.32). Consequently, the aim of our paper is to analyze the status quo of real estate and real estate finance as a research field. Based on our findings and the identified research gaps,wethentrytodefinepotentialfutureresearchfields.Sincesomeempiricalstudies already evaluated the contents of real estate textbooks, core topics of international real estateconferences,ortriedtorecoverthemainrealestateissuesbasedonquestionnaires of real estate fund managers or institutional investors, we complement these studies by acitationanalysisofthemostimportantinternationalrealestatejournals.Incontrastto a simple analysis of textbooks, the investigation of real estate journals should better be suitedtoidentifyresearchissuesprevalentinrealestateduringthelast25years.Moreover, acitation-basedanalysisshouldbemore“objective”andmorerelatedtoresearchtrends than to simply query practitioners. Certainly, similar analyses could be undertaken by looking at main topics on international real estate conferences. However, because of a lackofdatathisapproachisnotapttoanalyzetimeperiodsofupto25yearsandthusis somewhatrestricted.Againstthisbackground,ourcitation-basedapproachcanindeedbe viewedasarelevantcontributionforidentifyingmainresearchissuesinrealestateandreal estatefinancesince1986.Thelatestotherstudythatisbasedonanevaluationofjournal articlesinthefieldofrealestateandalsoappliescitationcountsstemsfromDombrowand Turnbull(2004),butfocusesonlyontworealestatejournalsandissomewhatout-dated asitonlycoverstheyears1988to2001.Moreover,incontrasttoDombrowandTurnbull (2004),werelyonacomprehensiveanalysisofcitationindicatorsinordertoidentifythe mostrelevanttopicsinrealestate(finance),whileDombrowandTurnbull(2004)mainly Realestateandrealestatefinanceasaresearchfield 7 aimatsimplycountingthefrequencyofappearanceofcertain(notclearlydefined)topics across all articles published in the two journals under consideration. Furthermore, their citationanalysisfocusesonarankingofauthorsandoncross-citationsofthetwojournals tootherjournals,butnotonidentifyingthemostrelevantresearchtopicsovertime.The sameistrueforacoupleofotherarticles(seeforthelatestoneandtherelatedliterature JinandYu2011)thattrytorankrealestateprogramsbyjournalpagecounts:Here,the focus is also on the ranking of authors in order to identify the top-tier universities and schoolsforrealestateresearchinsteadofanalyzingresearchtopics. Ourpaperisorganizedasfollows:Inordertodefineandanalyzethetopicofrealestate andrealestatefinance,wefirstgiveatheoreticaloverviewofthestatusquooftheresearch field in Sect. 2. Out of the theoretical framework, we deduce evaluation criteria for our empiricalanalysisofrealestatefinancejournalsinSect.3.Basedonacitationanalysis coveringthelast25yearsofrealestateresearch,weperformanevaluationonthelevelof individualjournalstogetaninsightintotheimpactofresearchrelatedtorealestatefinance comparedtojournalsingeneralfinance(andeconomics),andweexpandtheanalysisalso tothelevelofsinglearticles.Theresultingmainresearchquestions,researchtrendsand researchgapsarepresentedinSect.4.Section5concludeswithashortoutlook. 2 Realestateandrealestatefinance—theoreticalframework 2.1 Realestate—(Re-)searchforadiscipline? Thequotation“realestate,theacademicendeavor,hasanidentityproblem”(Diaz1993, p. 183) might already give a hint that describing the research field of real estate is by far not an easy task. One main reason for the difficulty of defining real estate is the complexity of the object. Whereas “real” comes from “realty”, which means land and allthingspermanentlyattachedtoit,“estate”referstoallthingsthatapersonowns(see Brueggeman and Fisher 2005, p. 1).Analyzing real estate therefore implies not only an economicperspective,butalsoabroaderperspectivethatincludestheanalysisofissues relatedtothe“land”theobjectisbuilton. Although in 1923 the US National Association of Real Estate Boards already held a conference on real estate with the subtitle “search for a discipline” (see Dasso and Woodward1980,p.404),thissearchhasnotbeencompletedyet:Seventyyearslaterin 1993,theAmericanRealEstateSociety(ARES)foundedaBodyofKnowledgeCommittee inordertocometoaconsensusontheboundarylinesofthedisciplineanditsunderlying theories,postulates,laws,andprinciples(seeBlacketal.1996,p.190). Inthefollowing,weanalyzethemostimportantdifferentapproachesondefiningreal estateasaresearchfieldsofar,takenfromthecountrywiththebyfarlongesthistoryin thisfield,theUnitedStates,andpresenttheminTable1inchronologicalorder. Until1967,twoseparateperspectivesweremostcommon:Anurbanplanningperspec- tive(concerningtheapproachesofMertzke1927;Ratcliff1966)andamoremanagement oriented perspective (by Wendt 1949; Weimer 1956). Graaskamp (1976) was the first to introduce a truly interdisciplinary approach with real estate being a meta-discipline thatshouldcrossthebordersoftraditionalresearchbyderivingknowledgefromphysical
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