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Room 606, 6/F, Cheng Yu Tung Building, The Chinese University of Hong Kong
香港中文大学郑裕彤楼 6楼 606 室
Presentations
Electric Trucking Policy Progress and the Likely Impact on Logistics Real Estate: A Four Country Comparison (USA, Australia, China and Japan)
Shane TAYLOR, Benedict LAI, Sandy PADILLA, Claire LIU
CBRE Investment Management, Singapore;
Discussant: Hefan ZHENG (Tsinghua University);
The adoption of electric passenger vehicles has been on a strong growth trajectory, and the same trend is expected for electric trucking “e-trucking” in advanced economies over the coming decade. This paper reviews policies in four countries that directly or indirectly incentivize the adoption of e-trucking and finds that the US has some of the most extensive and impactful policies at the state and local level. In contrast, the three APAC economies in the study are lagging, despite some manufacturers and private fleets being early adopters. The paper also considers the implications of this trend for logistics real estate. Specifically, the authors review the most commonly sought-after facility specifications needed to accommodate and charge e-trucks and find that only a small fraction of the investable universe in the four countries currently meet these specifications. These findings underscore the need for stakeholders in logistics real estate to adapt to changing market trends and proactively invest in facilities that can accommodate e-trucks. Overall, this paper highlights the policy landscape of e-trucking and its potential implications for logistics real estate in the future.
Bubbles in Commercial Prices: International Evidence
Sotiris TSOLACOS1, Peter Cincinelli2, Giovanni URGA3
1Faculty of Finance, Bayes Business School, UK; 2Department of Management, University of Bergamo, Italy; 3Centre for Econometric Analysis and Faculty of Finance, Bayes Business School, UK.;
Discussant: Zhengyi ZHOU (Shanghai University of Finance and Economics);
In this paper, we study bubble episodes in international commercial real estate. The backward supremum augmented Dickey Fuller (BSADF) approach of Phillips et al. (2015a,b) represents the main test, among other methods, to identify price bubbles and we investigate how economic, financial and real estate indicators are related to price explosiveness. We compare the synchronicity of bubble formation across markets. We are particularly interested in price developments following the detection of bubbles as significant price corrections can lead to financial instability and harm real estate portfolio valuations. The study is also concerned with the production of early warning signals for the building up of commercial price bubbles.
References
Phillips, P. C., Shi, S., & Yu, J. (2015a). Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P 500. International Economic Review, 56 (4), 1043-1078.
Phillips, P. C., Shi, S., & Yu, J. (2015b). Testing for multiple bubbles: Limit theory of real-time detectors. International Economic Review, 56 (4), 1079-1134.
Granular Property Shocks and Commercial Real Estate Returns
David C. LING1, Chongyu WANG2, Tingyu ZHOU3
1University of Florida; 2University of Hong Kong; 3Florida State University;
Discussant: Lan SONG (Renmin University of China);
The relation between private and public commercial real estate (CRE) returns has been studied extensively. The existing studies focus on the return correlation between private and public markets or the ability of one market to predict returns in the other. However, no prior study has established a causal relation between returns in these parallel CRE markets. We construct a new measure of idiosyncratic shocks to private real estate markets, granular property shocks (GPS). We show that this unexpected return risk in local property markets is subsequently capitalized into the prices of listed CRE companies. To establish causality, we adopt the Granular Instrumental Variable (GIV) approach recently developed by Gabaix and Koijen (2020, 2021). This approach allows us to isolate exogenous variation in the performance of the local markets in which a CRE manager invests that is independent of firm-manager factors. Our results suggest that idiosyncratic shocks from granular, private CRE markets, instrumented by the GIV, have a large and significant effect on listed REIT returns. Specifically, a one-standard-deviation increase in GPS predicts a 1.34% rise in quarterly REIT returns, which is 40% of its mean value.
Identifying Speculators in the Real Estate Market: A Quantitative Analysis of Speculating Behaviours
Hefan ZHENG, Rongjie ZHANG, Jing WU
Tsinghua University, China;
Discussant: Chongyu WANG (The University of Hong Kong);
We identify speculators in the Chinese judicial auction market using a novel approach. Specifically, we define buyers who purchase three or more houses as speculators, while those who purchase only one house are considered ordinary homebuyers. Comparing the market preferences, housing characteristics, and information disclosure preferences of ordinary homebuyers and speculators, we find that speculators prefer low-information-disclosure and less popular dwelling units, which typically have lower price premiums, providing arbitrage opportunities for speculators. Moreover, compared to long-term housing price growth, speculators are more concerned with short-term market fluctuations.This paper sheds light on the role of speculators in the Chinese judicial auction market, and highlights the importance of information disclosure in promoting market efficiency. Our findings have implications for policymakers and market participants who aim to improve the transparency and efficiency of the housing market. This paper contributes to the literature on the Chinese housing market and financial economics.
