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Paper eres2003_121:
An Evaluation of Property Company Discounts in Europe

id eres2003_121
authors Bond, Shaun; Shilling James
year 2003
title An Evaluation of Property Company Discounts in Europe
source 10th European Real Estate Society Conference (10-13 June 2003) Helsinki, Finland
summary Discounts in the market price of a company (or fund) holding an asset to the book value of the underlying asset have been extensively studied in equity markets. Explanations such as accumulated capitalgain liabilities, management costs and institutional characteristics have been suggested as reasons for the observed discounts. However there has been little research on this phenomenon in real estate markets, despite a belief that such discounts are pervasive. Using data collected by Merrill Lynch and EPRA it is possible to investigate how discounts to net asset values vary cross-sectionally by using the approach of Shin and Stulz (2000). To do this we measure growth opportunities by identifying the total volatility and the systematic (beta) risk of a firm. We then use cross section regression techniques to study the relationship between the firmís discount to NAV and the risk measures across European markets.
series ERES:conference
discussion No discussions. Post discussion ...
ratings Ratings: 3 3 3 3 3 3 4 5
session Session 4, Securitised Real Estate 1
last changed 2008/12/29 19:09
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