Dissertation

Weis, Christian (2018) : "Real Estate Value and Growth Stocks - Evidence from Global Capital Markets", Schriften zu Immobilienökonomie und Immobilienrecht. IRE|BS, Universität Regensburg. Regensburg, November 2018

Note 1,2 (summa cum laude)

Die empirische Arbeit untersucht anhand von drei Forschungsbeiträgen das Kapitalmarktverhalten von sog. Real Estate Value und Growth Stocks (Immobilienaktien& REITs). Dabei wird die Einordnung in Value und Growth Aktien anhand der Abweichung des Börsenkurses vom Net Asset Value (NAV Spread) vorgenommen. Als Ergebnis wird u.a. eine Überrendite bei Verfolgung einer entsprechenden Value Investing Strategie nachgewiesen. Des Weiteren weist die Arbeit Zusammenhänge zwischen NAV Spread und idiosynkratischen und systematischen (wie z.B. der Zinsentwicklung) Faktoren nach.

Capturing the value premium

Woltering, René-Ojas & Weis, Christian & Schindler, Felix & Sebastian, Steffen (2018).

"Capturing the value premium – global evidence from a fair value-based investment strategy,"

Journal of Banking & Finance, Elsevier, vol. 86, pages 53-69. 

This paper examines the risk premium of value stocks within a global investment strategy framework. We test whether absolute or relative mispricing is better suited to capturing the global value premium by using fair value-based net asset values (NAVs) as our proxies for fundamental value. We find that investing in the most underpriced stocks relative to the average ratio of price to fundamental value in a country is the key to achieving superior risk-adjusted returns. The annualized excess return of the global value portfolio sorted according to relative mispricing is 10.0%, and remains significant after controlling for common risk factors.

Which stocks are driven by which interest rates?

This paper analyzes the return sensitivities of real estate value and growth stocks to changes in five different interest rate proxies. Using a global sample of 352 listed real estate companies from 12 countries as a test object, we find that real estate value stocks are more sensitive than real estate growth stocks to changes in the short-term interest rate. This finding is consistent with the theory that investors with shorter investment horizons trade off the high initial yield of value stocks against lower-risk short-term interest rates. In contrast, real estate growth stocks are more sensitive to

changes in the long-term interest rate, which is consistent with a stronger impact on the present value of the future cash flows of growth stocks. We also find that real estate value stocks are more sensitive to changes in the credit yield. Because credit costs have a direct impact on a firm’s cost of capital, this result is consistent with risk-based theories of the value premium, which argue value stocks are riskier because they tend to have higher leverage and greater default probability.

What determines the mean reversion speed of NAV spreads?

In this paper, we study the mean reversion behaviour of NAV spreads for a global sample of 219 listed real estate stocks. We find NAV spreads for companies trading at a high discount to mean revert fastest. Remarkably, we also provide evidence that online search attention impacts the mean reversion speed of NAV spreads: Stocks with lower levels of online search attention mean-revert significantly faster than those with higher levels. Our global research setting allows us to show that a country’s average NAV spread has an impact on the NAV spreads of individual stocks. Ultimately, we find that the NAV spread of companies receiving high levels of online search attention has a disproportionately high impact on the NAV spreads of other companies.

Monographie

Börsengehandelte Indexfonds (ETF) auf Immobilienindizes. Eine Darstellung und Analyse von „Immobilien-ETFs“ hinsichtlich Produktkonzeption, Anlegernutzen und Ausweitungsmöglichkeiten. Grin-Verlag 

ISBN: 9783656945291 (ebook)

ISBN: 9783656945307 (Buch)

Die Arbeit beinhaltet eine explorative Studie zu sog. Immobilien-ETFs. Dabei handelt es sich um börsengehandelte Indexfonds (ETFs) welche Immobilienindizes abbilden. Neben der Definition der Produktkonzeption und Beschreibung der Marktsituation wird mittels qualitativer Experteninterviews (Banken, Investoren, ETF-Anbieter und Indexprovider) die Eigenschaft als indirekte Immobilienanlageform, der Anlegernutzen und die Ausweitungsmöglichkeiten auf weitere Immobilienindizes analysiert.

Weis, Christian (2010): Börsengehandelte Indexfonds (ETF) auf Immobilienindizes, Zeitschrift für immobilien-wirtschaftliche Forschung und Praxis (ZfiFP), Ausgabe Nr. 17, vom 19.11.2010, S. 8-14, Stuttgart 2010

CFA Institute Journal Review 

Capturing the Value Premium: Global Evidence from a Fair Value–Based Investment Strategy (Digest Summary). Summarized by Karl Strauss CFA,Volume 48 Issue 4,  April 2018

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