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Value premium in international REITs

van der Werf, Ytzen M; Huibers, Fred


Fred Huibers


We find evidence of a value premium of 10.3 per cent per annum for international developed REITs over the period Q2-1993-Q2-2013. REITs with a high book value of equity compared to their market value of equity (in case of REITs book value of equity is approximately equal to Net Asset Value (NAV)) perform significantly better than REITs with a low book to market multiple. Even after controlling for risk factors in the single factor CAPM model or the Fama French three factor model, the value strategy provides significant alpha. This suggests value premium is the result of naive extrapolation of past performance by real estate investors rather than a commensurate reward for risk. For real estate practitioners, the results provide the basis for the formulation and implementation of a viable indirect global investment strategy.


van der Werf, Y. M., & Huibers, F. (2014). Value premium in international REITs

Journal Article Type Article
Acceptance Date Feb 1, 2014
Publication Date Mar 4, 2014
Deposit Date Mar 30, 2017
Journal ASRE research paper series
Print ISSN 1878-4607
Peer Reviewed Not Peer Reviewed
Volume 2014
Issue 02
Keywords investment strategy, investment companies, returns, performance, portfoliomanagement
real estate investment trusts
listed funds
intrinsic value
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