...Wei Kang Loo Purpose The purpose of this study is to evaluate the performance of the ensemble learning models, such as the Random Forest and Extreme Gradient Boosting models, in predicting the direction of the Japan real estate investment trusts (J-REITs) at different return horizons, based...

...Yu Cheng Lin; Chyi Lin Lee; Graeme Newell Purpose Residential Real Estate Investment Trusts in Japan (residential J-REITs) have become an increasingly significant listed property sector recently. The purpose of this paper is to assess the effectiveness of residential J-REITs in a mixed-asset...

...Ming‐Chu Chiang; I‐Chun Tsai; Tien‐Foo Sing Purpose The goal of this research is to investigate the time‐varying relationship between REITs and the stock markets in four Asian markets such as Taiwan, Hong Kong, Singapore and Japan. Design/methodology/approach The Multivariate GARCH‐vech model...

...Jing Liu; Geoffrey Loudon; George Milunovich Purpose The purpose of this paper is to study correlations between the national real estate investment trusts (REIT) markets in the USA and the four Asia‐Pacific countries of Australia, Hong Kong, Japan and Singapore, and document the extent to which...

...Chien‐Yun Chang; Jian‐Hsin Chou; Hung‐Gay Fung Purpose The study uses an AR(1)‐EGARCH(1,1) model to investigate the pricing behaviors of the real estate investment trusts (REITs) for four countries (Australia, Japan, Taiwan and the USA) before and after the 2007 financial crisis. Design...

... contracts written on J‐REITs were only introduced in June 2008. The S&P/ASX 200 A‐REIT index was used for the cash market, whereas the S&P/ASX 200 A‐REIT index futures were used for the futures market. In the case of Japan, the Tokyo Stock Exchange (TSE) J‐REIT index was utilised to represent...

...Chihiro Shimizu; Koji Karato; Yasushi Asami Purpose When Japan's asset bubble burst, the office vacancy rate soared sharply. This study seeks to target the office market in Tokyo's 23 special wards during Japan's bubble burst period. It aims to define economic conditions for the redevelopment...

... Hong Kong Japan United Kingdom Similar research in securitized real estate is relatively limited. Liu and Mei (1992) examine the time variation in both the expected and unexpected REIT returns using a multifactor latent‐variable model. They find that the capitalization rate on equity REITs...

...Chihiro Shimizu; Kiyohiko Nishimura Purpose This paper seeks to investigate the nature and magnitude of the distortion in appraisal land price information according to change in the market, with a special focus on the Government's Published Land Prices. Design/methodology/approach In Japan...

...Eamonn D'Arcy; Sotiris Tsolacos; Kim Hiang Liow; Joseph Ooi; Yantao Gong Purpose Aims to investigate the long‐run and short‐term relationships among four Asian property stock markets of Japan, Hong Kong, Singapore and Malaysia; and four European property stock markets of UK, France, Germany...

... better explain the pricing of land markets in Japan than neo‐classical models. Real options, which have been valued in the academic literature, include capital investments as well as urban developable land. The first work on the option pricing model applying to real estate prices was done by Titman (1985...

... ε_kn   = innovation term with distribution of iid N (0,1). © MCB UP Limited 2001 Real options Modelling Japan Real estate Return process of a real estate does not follow independently and identically distributed process and not follow the “Ito Process”. The price...

...Shunichi Maekawa In the past, the profit from property investments was always higher than that from other assets, because of the expectation of high rates of increase in land prices. However, as Japan′s economic growth has been slowing down, these circumstances for property investments have changed...

... in this sector in the UK. Concludes that merely keeping a warehouse for stockholding will be a sign of failure. © MCB UP Limited 1992 Distribution Europe Investment management Japan Just‐in‐time Single market Stock Warehousing Valuation Distribution Property Trends and Influences Received...