basenet · the finance group is an international team of 33 researchers that collectively run the...

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Gerjan Vos

ERES and the Development of Real Estate Research in Europe

VOGON21e Studiemiddag24 mei 2007

Structure

� Evolution of ERES� Conference research contributions� Some discussion of the future

ERES goals

� Promoting a permanent network between real estate academics and professionals across Europe

� Advancing the field of real estate research

� Most important activity: The ERES Annual Conference

ERES achievements

� World’s largest successful real estate research conference � Significant improvement in paper quality� Excellent local organisers and Sponsorship � Numerous manuscript prizes and journal linkages� The Spring and Autumn industry research seminars� The ERES Education Seminar� Significant organic growth in the European core� A solvent organisation

Conference participants mainly researchers; academics and practitioners

2006 ERES 13th Annual Conference in Weimar (GER) Conference participants (based on conference fee’s) Category amount % Student 66 19% Companion 29 8% Vogon/Gif 75 21% Participant 182 52% Summary 352 100%

ERES Presidents and ConferencesERES Presidents 1994-2003 ERES conferences

Bert Kruijt 1994-95 Amsterdam 1994 Alastair Adair 1995-96 Stockholm 1995 Hakan Bergram 1996-97 Belfast 1996 Karl-Werner Schulte 1997-98 Berlin 1997 Pe Kohnstamm 1998-99 Maastricht 1998 Olli Olkkonen 1999-00 Athens 1999 Sotiris Tsocalos 2000-01 Bordeaux 2000 Bob Thompson 2001-02 Alicante 2001 Paloma Tultavill 2002-03 Glasgow 2002 Ken Gibb 2003-04 Helsinki 2003 Paola Lunghini 2004-05 Milan 2004 Matthias Thomas 2006-07 Dublin 2005 Weimar 2006 London 2007 Krakow 2008 Stockholm 2009

Research contributions

Finance and Investment

UK

USThe Netherlands

Germany

Australia

SIN

Spain

Finland

Sweden

Other

UK

Germany

The NetherlandsUSAustralia

France

Poland

Spain

Finland

Italy

SIN

Other

UK

Spain

US

France

The NetherlandsAustraliaHong Kong

SIN

Russia

Sweden

Switzerland

Poland

Taiwan

Turkey

Canada

Finland

Germany

Malaysia

Other

Market Analysis

Housing Policy & Economics

UK

The NetherlandsBelarus

Germany

NZ

Spain

Sweden

US

Italy

Poland

Australia

France

Slovenia

Estonia

Russia Other

UK

Spain

GermanyUS

The Netherlands

Hong Kong

Australia

France

Greece

Italy

SIN

Israel

Russia

Sweden

Switzerland

Other

CRE/Use and Occupation

UK

FinlandGermany

Australia

Poland

Spain

US

Buenos Aires

Hong Kong NZ

SIN

Sweden

The Netherlands

Planning, Development and Regeneration

Valuation

Some discussion of the futureStrategic Priorities

� A European Real Estate Research Journal � Better engagement with the membership – communication� Maximising media exposure for the things we do � Improving the visibility of ERES in Southern and Eastern

Europe� A fit for purpose - network of researchers to undertake

Pan-European research proposals � Engagement with EU: Research and Education agendas� Future products: A Bi-annual Policy Seminar? National

Seminars branded by ERES?

Future: moving in the right direction

work still to be done (short term)

� Linkage with other pan-European and national bodies with common areas of interest

� European Real Estate Research Journal� Corporate Governance - transparency� Electronic Membership System� Electronic Communications – Website and newsletter

Summarising:Most Significant Contributions

Successful annual conferenceInternational/European university linksCollaborative research/knowledge transferDevelopment of research areasAcademic-practitioner integration Foster RE in traditional universities

QUESTIONS ?

The 2007 European Real Estate Society Annual Conference

London, June 27-30

www.eres2007.org

SEE YOU ALLAT

Programma

1500 Inleiding

Gerjan Vos

1525 Local Office Returns; A Tale of Five Cities

Dirk Brounen

1550 Quantitative Measures of CRE and its link with organizational performanceRianne Appel-Meulenbroek

1630 Risk and Return of the client’s choice program for housing associations

Bert Kramer

1655 Shareholder Identity and Performance of REITsNils Kok

Welkom in Rotterdam !

RSM Finance RSM Finance

The Finance Group is an international team of 33 researchers that collectively run the School’s largest Master program. The Group has strong links with international partner Universities and participates in several networks with other top research institutions. The focal research areas of the group are (please click topics to find out more):

Asset Management Corporate Finance

Pension Finance Real Estate Finance

Socially Responsible International Markets Investing & Financial Regulation

RSM Finance

Highlights:• News• Events• In the media

Faculty and Staff:• Core Faculty• PhD-students• Staff

Research:• Asset Management• Corporate Finance• Pension Finance• Real Estate Finance• Social Responsible Investing• International Markets

Education:• Bachelor program• Master program• Executive teaching

Contact:• Contacting us• Visiting us

RSM Finance /RSM Finance / Real Estate Finance Real Estate Finance

The RSM Real Estate team currently consists of four researchers: Dirk Brounen (Asssociate Professor of Finance and Real Estate), Maarten Jennen (PhD-student international office markets), Peter Neuteboom (Senior researcher housing markets) and Melissa Porras Prado (PhD-student pension fund investments). Please click below to find more information regarding:

• Our Teaching

• Our Research

• Real Estate Seminars

• Industry Support

• RSM Real Estate Newsletter

Dirk Brounen

Maarten Jennen

PeterNeuteboom

MelissaPorras

RSM Finance

Highlights:• News• Events• In the media

Faculty and Staff:• Core Faculty• PhD-students• Staff

Research:• Asset Management• Corporate Finance• Pension Finance• Real Estate Finance• Social Responsible Investing• International Markets

Education:• Bachelor program• Master program• Executive teaching

Contact:• Contacting us• Visiting us

RSM Erasmus at ERES

Thursday, June 28th

1030 Real Estate Allocation in an ALM Framework, A5 by Melissa and Dirk1400 Demography and Housing Demand, B4 by Peter and Dirk1600 Local Office Rents: A Tale of Five Cities, C6 by Maarten and Dirk

Friday, June 29th

0900 Offices, Stocks, and Office Stocks, D2 by Maarten and Dirk1100 Calendar Effects in Property Shares, E2 by Dirk1330 Continental Factors Revisited, F2 by Dirk

RSM Erasmus at ERES

Thursday, June 28th

1030 Real Estate Allocation in an ALM Framework, by Melissa and Dirk1400 Demography and Housing Demand, by Peter and Dirk16160000 Local Office Rents: A Tale of Five Cities, Local Office Rents: A Tale of Five Cities, by Maarten and Dirkby Maarten and Dirk

Friday, June 29th

0900 Offices, Stocks, and Office Stocks, by Maarten and Dirk1100 Calendar Effects in International Property Shares, by Dirk1330 Continental Factors Revisited, by Dirk

Research questions

Can office rents be modeled internationally?Can office rents be modeled internationally?

Are local rents better modeled with local economics?Are local rents better modeled with local economics?

Literature review– US office market studies

• Rosen (1984) San Francisco office market• Wheaton (1987) national office market cycles• Why study local office markets? (Hanink, 1996)

– European office market studies• Data availability constraints lead to demand side reduced form models• Tradition continued in later work

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Main issues– Data

– Data

– Data

Our Data– Office market data

• Jones Lang LaSalle– Prime office rents– Office stock– Total office market take-up– Vacancy rate

• Period 1990-2006• Amsterdam, Brussels, Frankfurt, London and Madrid

Our Data– Economic data

• Eurostat, Experian and Agora Data • Wide array of available data

– Change service sector employment– Change GDP– Change value added service sector industry

• Period 1990-2006• National level• NUTS III level � Nomenclature of Territorial Units for Statistics

Greater Amsterdam, Bruxelles Capitale, Frankfurt Kreisfreie Stadt, Comunidad de Madrid, Inner London

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Vacancy rate dynamics

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Conclusion• Almost 60% of prime office rent dynamics can be explained with two

components based on economic and real estate data

• A model based on European customs works better to model rent dynamics than the U.S. based models

• Use of local economic data in modeling prime office rents does not provide additional insights of dynamic in a study of prime office markets for major cities

Why?• High correlation between local and national economic data for cities in

sample, partly because of weight• Prime office markets house a large number of (inter)national headquarters

and could therefore be less sensitive to the state of the local economy

Over the next four weeks…..

We will study second tier cities that exhibit less correlation withaggregate economy and house more local companies

Eindhoven University of Technology

Corporate Real Estate Management

Quantitative measures of CRE and its

link with organisational performance

-

Rianne Appel-Meulenbroek

Ben Feijts


Contents

� Introduction� CRE aspects in literature� New types of measures� Use for CREM in practice


Problem

Introduction

� CRE � performance user (the 5th resource)� CREM pro-active management� Prove added value

1. Which CRE aspects effect?2. How do they affect?3. How effect measured + managed?


CRE aspects in literature

� Ergonomics, environment psych., FM, logistics, engineering, sustainability, indoor climate

� CRE performance

� 52 aspects:� Structural (building, floor, workplace)� Installation (general, specific)� Location (proximity, accessibility, surroundings)

StaffVisitors

Equipment/processes


CRE aspects in literature (2)

� Why still unclear?� No uniform way of measurement� Interwoven character� Human well-being difficult

Structural:FormLayoutFlexibilityStandardisationEtc.

Installations:PresenceCapacityTechnicalconditionEtc.

Location:ProximityLogisticsNoiseOrientationEtc.


Structural aspects

� Performance?

� 7 CRE strategies1. Increasing the value of assets2. Promoting marketing and sales3. Increasing innovation4. Increasing employee satisfaction5. Increasing productivity6. Increasing flexibility7. Reducing costs

EffectivenessEfficiency

Flexibility

CreativityProductivity


Structural aspects (2)

�

� Specific group of aspects = non-measurablebut influences all 7 added value categories� configuration/layout

Aspect of added value Structural aspects MeasurabilityEmployee satisfaction Aesthetic characteristics (i.e. form, colour) .

Building dimensions/layoutFloor dimensions/layout (distances, workplace location)AccessibilityIndividual workplace dimensions/layoutControl of indoor climate YesControl of auditive privacy YesControl of visual privacy YesEmission of / reservoir for harmful substances YesPhysical characteristics of materials (i.e. reflection, isolation) YesErgonomics of workplace Yes


Structural aspects (3)

� 5 measures configuration/layout� Building dimensions/layout� Floor dimensions / layout� Individual workplace dimensions/layout� Accessibility� Position of facilities


New types of measures

� So far seems logical, but how to design this?� Different community � geography, urban

design� Spatial Network Analysis:

� Isovists� Visual graphs� Justified graphs


Isovists

� “the set of all points visible from a given vantage point in space and with respect to an environment”

� Space as how the user perceives it


Isovists (2)

� Workplacedimension/layout

� Floor dimension/layout

Connectivity

Complexity

Compactness

Average ∆x in isovist

Min ∆x in isovist

Max ∆x in isovist

Skewness of radial distance

Variance of radial distance

Isovist openness

Isovist occlusivity

Isovist area

Isovist perimeter


Visibility graphs

� To deal with an entire plan� Describes floor layout as a whole from the

viewpoint of accessibility


Visibility graphs (2)

� Building dimension/ layout

� Floor dimension/ layout

� Accessibility

� Position of facilities

Mean depth

Clustering coefficient


Justified graphs

� Topological distance

Convex map Justified graph (depths)


Justified graphs (2)

� Problem: no metric distance� Employees: route map (topological) � survey map

(metric)

� Advantage: genericnessbuildings(lawsuit arch. copyright)


Justified graphs (3)

� Building dimension/ layout

� Floor dimension/ layout

Convex map justified graph


Use for CREM in practice

� Measure + manage� Measures must be correlated with

performance� Spatial network software compatible AutoCAD� Standard statistical software (SPSS)� Some added value types are harder to measure� Difficulty in large sample of buildings

� Not for isovists� Benchmark just like financial RE indexes


Use for CREM in practice (2)

� Measure + manage� Several moments in design cycle

� 1st design phases �� suitability design, potential support added value� discussion architect and future users� compare with costs

� POE, recurrence �

� potential improvements� changed focus on added value (org. strategy)


Conclusions

� Measures appear to be interesting

� Many recommendations for further research:� Correlation 7 added value types� Importance configuration – other CRE aspects� Importance ‘structural’ – Location, installations� Direct versus indirect effect of CRE� Etc.


Questions

Risico en rendement van het Te Woon concept bij woningcorporaties

ORTEC bvRozenburglaan 99727 DL GroningenNederlandTelefoon 050 750 1700Fax 050 750 1740Internet www.ortec.nlE-mail [email protected]

Bert Kramer

Basisprincipes Te Woon

De klant bepaalt voor wat voor koop- of huurvorm hij of zij kiest. Aangeboden varianten verschillen per corporatie.Einddoel veel corporaties: (nagenoeg) gehele bezit in Te Woon

aanbieden. Invoering echter (zeer) gefaseerd.Veelgebruikte koop- en huurvormen:

� Huur: huren met jaarlijkse huurverhoging en maximale flexibiliteit; � Huurvast: waarbij de huur voor 5 of 10 jaar vaststaat; � Koopgarant: kopen met korting, een terugkoopgarantie en delen in de

waardeontwikkeling; � Koopcomfort: kopen tegen marktwaarde, waarbij de corporatie het

eerste recht van koop heeft.

Te Woon leidt in verwachting tot grotere verkoopvolumes.

Potentiële risicofactoren

Koopbereidheid bij invoeringOntwikkelingen op de woningmarkt gedurende de exploitatie

(terugkooprisico)Kosten bij beëindiging van een complex

Koopbereidheid bij invoering

Woonbron (Rotterdam, Spijkenisse, Delft, Dordrecht):� Nu 12.500 van de 50.000 woningen in Te Woon� Slechts ongeveer 7% kiest voor Koopgarant� Koopcomfort (0,5%) en Huurvast (0,5%) nauwelijks gekozen� Yeung (UvT / ORTEC, 2007): keuze Koopgarant – Huur afh. van: � Inkomen;� Huur;� Taxatiewaarde;� Aantal kamers.

Aramis (Roosendaal):� Pilot 52 woningen� 19% kiest voor Huurvast (10 woningen)� 15% kiest voor Koopgarant (8 woningen)

Koopbereidheid bij invoering

10,9%4,8%11%Huurvast

11%25%10,8%Koopgarant

1,4%1,2%1,4%Koopcomfort

Totaal Scherpenzeel (84 VHE)Ede (4209 VHE) Ervaring Woonstede

Conclusies:Ervaring varieert sterk per corporatieNauwelijks gekozen voor Koopcomfort.Keuze Huurvast varieert sterk per corporatie (afh. van voorlichting /

publicieit?).Vooral belangstelling voor grotere woningen (eengezinswoningen).Inkomen van huurder is belangrijke bepalende factor, maar is i.h.a.

onbekend.

Base Case deltaWonen

3%Huurvast

85%Huur

11%Koopgarant

1%Koopcomfort

TotaalBase case deltaWonen

Ook nieuwbouw projecten worden aangeboden in Te Woon.9.300 van de 14.300 woningen worden aangeboden, gespreid over 10 jaar.Geen rekening gehouden met kosten bij beëindiging complex met deel

Koopgarant of Koopcomfort.Mutatiegraad Koopgarant en Koopcomfort woningen 5% (obv eerdere studie

naar in 1998-2005 verkochte en teruggekochte MVE woningen).Mutatiegraad Koopgarant en Koopcomfort woningen onafhankelijk van

economisch klimaat (obv eerdere studie naar verhuisbeslissingen)

Gerealiseerde verkoopvolumes

134111221100Terugkoop Koopcomfort

319675661433034131140Terugkoop Koopgarant

76106799105956Koopcomfort

24267171481671453424Koopgarant Nieuwbouw

103472108991081151311141129679Koopgarant Bestaand bezit

Totaal2016201520142013201220112010200920082007

Gevoeligheidsanalyse

Mutatiegraad Koopgarant en Koopcomfort woningen 7% (gemiddelde mutatiegraad koopsector) -> meer terugkoop met daaraan verbonden terugkoop- en doorverkoopkosten.

Invoering Te Woon ineens: 9.300 woningen in 2008 Te Woonaangeboden.

Invoering ineens met dalende markt: als 2, waarbij de lokalehuizenmarkt instort a.g.v. overaanbod in 2008. Verkoopprijzendalen daardoor met 10% in 2008.

Terugkoop bij einde exploitatie. Aannames cf. Woonbron:� Vanaf 5 jaar voor einde exploitatie geen (door)verkoop meer.� Terugkoop tegen 79% van de marktprijs.� Extra levensduur 10 jaar.

Effect alternatieve varianten Te Woon

Verloop solvabiliteit

15

20

25

30

35

40

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

jaar

Sol

vabi

litei

t (%

bal

anst

otaa

l)

Base Case Te Woon

Alleen reguliere verkoop

Mutatiegraad koopgarant 7%

Invoering ineens

Invoering ineens met dalendemarkt

Terugkoop einde exploitatie

tijdnuverleden toekomst

Sc 1

Sc 2

Sc 3

Verloop solvabiliteit is onzeker

Riskdrivers (scenario’s):inflatie, rente, OG stijging, ...

Beleid: huurbeleidinvesteringsbeleid e.d.

Methode risicoanalyse

Trend / gemiddelde component : Visie corporatie, CPB, DNB, ...

Stochastische component : Op basis van op historische data

1. Trend / Beleidsmatig gem. 2. Stochastiek / Verbanden

3. Scenarios

1. scenario’s

2. doelstelling

3. horizon

4. risicomaatstaf

Hoe worden risico’s gemeten

Solvabiliteitsrisico’s Te Woon

Reguliere verkoop Te Woon

“Crash” scenario: grote verliezen op terug- en doorverkoop van MGE woningen (“dalende markt”) gecombineerd met hoge beheerskosten.

Resultaten gevoeligheidsanalyse

Terugkoop einde exploitatie Koopgarant 7% mutatie

Invoer ineens/dalende marktInvoering ineens

Samenvatting risicoanalyse

6%2%7%Kans solvabiliteit < 0%

-2.0%8,4%-1,7%95% zekere solvabiliteit

25,3%31,8%24,9%Verwachte solvabiliteit

Mutatiegraad 7%Te WoonReguliere verkoop

Score in 2016

5%5%11%Kans solvabiliteit < 0%

2,6%5,1%-7,0%95% zekere solvabiliteit

27,4%30,6%23,7%Verwachte solvabiliteit

Invoering ineens + dalende markt

Invoering ineens

Terugkoop einde expl.

Score in 2016

Conclusies

Invoering Te Woon leidt tot een verdubbeling van de verkoopvolumes ten opzichte van de meerjarenbegrotingsvariant.

Aannames rondom reactie klanten bepalen in hoge mate het resultaat. Deze aannames zijn bovendien niet een-op-een over te nemen van ervaringen van andere corporaties.

Het te voeren beleid bij einde exploitatie van een complex bepaalt in hoge mate het risicoprofiel van invoering van Te Woon.

Corporate Governance and PerformanceThe REIT Effect

Nils KokRob Bauer

Piet Eichholtz

Universiteit Maastricht

Corporate governance & vastgoedFBI-structuur reduceert free cash flow-probleem

• Vastgoedinvesteringen steeds meer indirect

• Agency probleem (Manne 1965)

• Oplossing: corporate governance

• Maar vastgoedfondsen (FBIs)…

…betalen 90% free cash flow uit…hebben beperkte investeringsmogelijkheden

• Hoe verandert dit de rol van corporate governance?

LiteratuurPositief effect corporate governance op performance

• Positief effect corporate governance op beurs rendementen en operationele prestaties (Gompers, Ishii en Metrick JFQA2003), maar…

…deze relatie is sterker in een zwakker institutionele omgeving(Durnev en Kim JF2005; Klapper en Love JCF2004

• REITs opereren in sterk gereguleerde setting

• Geen REIT-literatuur zoals Gompers et al., enkel studies naar relatietussen individuele governance mechanismen en prestaties

Bijdrage aan literatuurUnieke database, analyse op verschillende samples

• Governance literatuur betreffende REITs beperkt � van belang door toenemend aantal markten met REIT-structuur

• Unieke corporate governance database (Institutional Shareholder Services), bevat 61 objectieve ratings van alle governance mechanismen

• Onderzoek naar volledige sample (>5000 bedrijven), controle sample (bedrijven met hoge PPE/Assets ratio) en REIT sample (>220 Amerikaanse vastgoedfondsen)

• Verschillende prestatiemetingen: beurswaardering, operationeleprestaties en rendementen

Data & methodologie

• Tijdsperiode: 2003 – 2005

• Data:– Complete dataset: 11589 observaties (unbalanced)– REIT dataset: 509 observaties– Controle sample: 542 observaties– 26 industrieën

• Performance measures– Tobin’s Q– ROE, ROA, FFO/share, NPM en sales growth– Alpha (Carhart 4-factor model)

• Median-least square regressies (correctie outliers)– Controle variabelen– Industrie-correcties

Beschrijvende statistiekenRetail & office REITs scoren goed, diversified REITs matig

Top-5 CGQ67.661.554.153.652.7

Bottom-546.442.441.038.035.6

2003 2004 2005Governance index CGQ CGQ CGQ

54.6 64.5 61.529.3 26.6 27.0

Subindex means3.1 3.5 3.43.4 3.5 3.42.7 3.4 3.53.5 3.8 3.3

216 210 228

Panel A: Average CGQ Scores

Panel B. Real Estate

UtilitiesReal EstatePharmaceuticals & BiotechnologyMaterialsFood & Staples Retailing

EnergyTelecommunication ServicesFood Beverage & TobaccoMediaHousehold & Personal Products

MeanStandard deviation

Number of firms

Board Compensation Takeover Defenses Audit

Results full sampleSignificant relationship between governance & performance

Gov Index 0.001(8.37)

Audit Index 0.005(2.59)

Compensation Index 0.005(3.13)

Takeover Index 0.003(1.12)

Board Index 0.013(6.83)

Year Fixed EffectsIndustry ControlledMedian AdjustednPseudo-R2

Gov Index 0.027 0.006 0.003 0.000 -0.004(9.76) (4.84) (6.71) (11.23) (-1.00)

Year Fixed EffectsIndustry ControlledMedian AdjustednPseudo-R2

0.65%115890.71%0.64%0.65%

11589 11589 11589 11589

115891.79%

115891.18%

115894.87%

115890.06%

Panel A : Industry-Adjusted Q

11589

YYY

1.01%

YYY

YYY

YYY

YYY

Panel B: Industry-Adjusted Operating Performance

YYY

YY

YYY

YYY

Salesgrowth

YYY

0.57%

ROE ROA FFO/Share NPM

Y

Results REIT sampleOnly structure compensation schemes influences firm value

Gov Index 0.000(0.59)

Audit Index -0.010(-0.89)

Compensation Index 0.025(2.02) ***

Takeover Index 0.005(0.31)

Board Index -0.004(-0.32)

Year Fixed EffectsMedian AdjustednPseudo-R2

Gov Index -0.019 -0.002 0.003 0.000 -0.007(-1.24) (-0.48) (1.25) (-0.44) (-0.28)

Year Fixed EffectsMedian AdjustednPseudo-R2

Panel B: Operating Performance - REITs

Panel A: Tobin's Q - REITs

5.31%

YY

Y

0.37%0.22%11.69%509

0.59%509

1.94%509 509 509

509 509 509 5095.38% 5.40% 5.78% 5.32%

YY

YY

YY

YY

YY

YY

YYN

509

ROE ROA FFO/Share NPM Salesgrowth

YY

Robustness checkResults high PPE/assets sample similar to full sample

• We document relationship between governance & performance forfull sample, whereas no results are found for the REIT sample, but…

…results might be due to relatively high share of fixed assets in REITs

• Control sample: matched sample of companies with high corporatereal estate ratio (CRER)

Gov Index 0.003 0.038 0.013 0.013 0.000 0.008(2.93) *** (3.06) *** (2.25) ** (4.23) *** (4.03) *** (0.38)

Year Fixed EffectsIndustry ControlledMedian AdjustednPseudo-R2 0.24%

542 5420.84%

5424.10%

5423.73%

5426.78%

5426.45%

Y

YYYY

YYYY

YYY

YYY

YY

Y

Tobin's Q and Operating Performance: Control Sample

SalesgrowthROE ROA FFO/Share NPMTobin's Q

Equity performanceGood governance vs bad governance portfolios

• Ex-post recognition of governance

• Good Governance Portfolio vs. Bad Governance Portfolio

• 30% of market cap ranked highest and lowest

• Value-weighted approach

• Carhart 4-factor model:

ittititiftmtiiftit MOMHMLSMBRRRR εββββα ++++−+=− 3210 )(

Equity performanceGood governance does not outperform bad governance

Panel A. 30% value weighted portfolio - Full periodRm-Rft Adj. R2

Good governance -0.479 0.842 *** 0.90(-0.25) (21.39)

Bad governance 3.206 * 0.893 *** 0.93(1.89) (25.69)

Difference portfolio -3.685 -0.051 0.15(-1.43) (-0.96)

Panel B. 30% value weighted portfolio - Period 2000 - 2003Good governance 1.809 0.854 *** 0.88

(0.67) (11.68)Bad governance 7.767 *** 0.820 *** 0.91

(3.47) (13.59)Difference portfolio -5.958 * 0.034 0.08

(-1.67) (0.36)

Panel C. 30% value weighted portfolio - Period 2003-2006Good governance -3.563 0.850 *** 0.90

(-1.14) (16.46)Bad governance -2.979 0.943 *** 0.95

(-1.18) (22.73)Difference portfolio -0.584 -0.093 0.15

(-0.14) (-1.32)

ConclusiesIs hier sprake van een REIT effect?

Goede governance leidt niet hogere rendementen (investeerders zijn niet verrast)…

…dit kan verklaart worden door het ontbreken van een relatie tussen governance en fundamentele prestaties

Onze resultaten contrasteren de complete sample, de controle sample en bevindingen in de finance literatuur…

…en zouden kunnen duiden op een ‘REIT effect’

Maar:• Recente sample periode• Endogeniteits probleem• Relatief kleine sample

Vragen/opmerkingen?

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