
Alan J. ZiobrowskiGeorgia State University | GSU · Department of Real Estate
Alan J. Ziobrowski
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41
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Introduction
Skills and Expertise
Publications
Publications (41)
Analyzing a large dataset of urban non-slum households, we find that homeownership tenure choice in India is significantly associated with gender, religion and caste. In particular, large households or those headed by women or with larger number of women are significantly more inclined towards homeownership than households of otherwise similar char...
We examine the relationship between online real estate searches by investors and the future returns of publicly traded real estate stocks in India. We find evidence that the relevant online search volume indices are significantly related to the future movements in real estate stock returns. However, the association between online searches and stock...
We examine the association between online apartment rental searches and fundamental real estate market variables namely, vacancy rates, rental rates and real estate asset price returns. We find that consumer real estate searches are significantly associated with the market fundamentals after controlling for known determinants of these variables. In...
We examine the effect of institutional ownership on abnormal trading volume around the announcement of funds from operations (FFO) by real estate investment trusts (REITs). Our central thesis is that abnormal trading volume is lower for the more informed institutions vis a vis non-sophisticated retail investors/institutions. We find a negative rela...
A dispositional joint venture (DJV) represents an alternative disposal strategy used by USA real estate investment trusts (REITs), which has received limited attention in the real estate investment and finance literature. REITs form DJVs by selling a partial interest in a property to a financier, for example, a pension fund. We hypothesise that REI...
We examine the short-run and long-run price reaction of equity real estate investment trust (REIT) shares following credit rating actions, testing the transparency of the REIT structure. Generally, the economic effect on the stock price is subdued for both upgrades and downgrades compared to prior literature examining the broader U.S. equity market...
This study examines the reaction of REIT prices to unexpected FFO announcements. Using both the traditionally constrained
models and an unconstrained model, we find that the market reacts significantly when REITs announce unexpected FFO with a
stronger response for positive than negative surprises. Also, we find that FFO explains significantly more...
Using a sample of 678 property portfolio changes (acquisitions, dispositions and joint ventures) of the US Real Estate Investment Trusts (REITs) during 1990–2009, we investigate how investors react to changes in a REIT’s property-type focus. We find a significant negative market reaction to acquisition and acquisitional Joint Venture events that de...
This study examines the predictive abilities of Morningstar ratings with respect to the future relative performance of real estate mutual funds. It also looks at the persistence of the rating system. Morningstar ratings and real estate mutual fund returns are analysed over the five-year period 2003 to 2007. The measures of future performance are ra...
REITs that limit their holdings to a single property type typically defend their lack of diversification by claiming the management
possesses special investment expertise in that particular property type. This paper investigates whether property type specialized
REITs outperform diversified REITs thus providing evidence of superior management exper...
A previous study suggests that U.S. Senators trade common stock with a substantial informational advantage compared to ordinary investors and even corporate insiders. We apply precisely the same methods to test for abnormal returns from the common stock investments of Members of the U.S. House of Representatives. We measure abnormal returns for mor...
Using 20 years of data, we derive a pricing model for timberland market values. We examine the relationship between lumber futures, capitalization rates, anticipated inflation, anticipated construction and timberland value. Using an ordinary least squares regression model and Johansen’s cointegration technique, we find that timberland market values...
Conditional Value-at-Risk (VaR) is currently used by the banking industry to measure market risk as it relates to equity risk, currency risk, interest rate risk and commodity risk. We estimate the downside market risk in residential housing using various conditional volatility models. Although there is controversy surrounding the use of VaR as a ri...
This study examines the rental rate dynamics of green commercial office properties in the San Francisco and Washington DC metropolitan areas. We match the list of U.S. Green Building Council (USGBC)-certified commercial office properties in the two areas with property-level temporal and non-temporal data derived from USGBC and CoStar for the period...
Integration of the capital and mortgage markets is an important step in moving emerging countries toward full economic development.
With data from South Africa, this research examines the incremental contribution of deregulation and the secondary mortgage
market to the integration between the mortgage and capital markets. With deregulation occurrin...
We examine the performance of pairs trading in the U.S. REIT market compared with that in the U.S. general stock market over the period 1987 to 2008. The results suggest that the REIT market provided superior profit opportunities for this strategy over common stocks after accounting for the effect of the bid‐ask bounce between 1993 and 2000. This w...
Using data from three countries that differ economically, culturally, and geographically, this study examines the role of Prospect Theory's reflection effect, a psychological factor, in combination with Uncertainty Avoidance (UA), a cultural factor, on the choice of mortgage products. Experiments were conducted using business professionals in the U...
Using equity real estate investment trust (EREIT) returns from the CRSP/Ziman REITs database, portfolios of Real Estate Investment Trusts (REITs) are ranked based on past performance and evaluated for persistence in future years using various performance measurement models. After adjusting for risk with Carhart’s (1997) 4‐factor model, we find no e...
A considerable number of U.S. borrowers still choose adjustable rate mortgages (ARMs) over fixed rate mortgages (FRMs) even when interest rates are historically very low. This study examines the psychological reasons for the popularity of ARMs by testing the Prospect theory’s reflection hypothesis. Experiments are conducted using business professio...
In this study, mixed-asset portfolios were constructed containing real estate, common stock, and bond investments from various Asian-Pacific countries. The countries of particular interest include six economically developing countries: China, Indonesia, Malaysia, the Philippines, South Korea, and Thailand, and five developed countries: Singapore, J...
The actions of the federal government can have a profound impact on financial markets. As prominent participants in the government decision making process, U.S. Senators are likely to have knowledge of forthcoming government actions before the information becomes public. This could provide them with an informational advantage over other investors....
Journal editors who want to attract the best research must understand authors' perceptions of their journals. In this survey, U.S. academic authors rank "Real Estate Economics" ("REE") higher than "The Journal of Real Estate Finance and Economics" ("JREFE") and rank "The Journal of Real Estate Research" ("JRER") third. Authors perceive "REE" as hig...
This study examines the real estate investments of members of the United States House of Representatives from 1985-1995 with a focus on agency theory. The real estate holdings are characterized in terms of the number of properties owned, the reported value of the properties, property types, the property locations and transactions. We find that Repr...
Executive Summary. As the number of refereed scholarly journals grows, authors have to choose among a wider range of outlets for their work. A survey of academic real estate authors in the United States reveals that perceived quality of a journal is most important in choosing where to submit a manuscript. Faculty at doctoral degree-granting institu...
Published research has offered little evidence in support of foreign real estate investment. Most of the literature suggests that foreign real estate yields investors in mixed-asset portfolios no tangible benefits in terms of diversification gains. However all these studies were done on the basis of point estimates where they solve for a single uni...
Executive Summary. A bootstrap analysis is used to estimate confidence intervals for the optimum level of real estate investment in mixed-asset portfolios over a five-year holding period. The data used in the study extends from 1973 to 1994. Lengthening the holding period to five years provides much narrower confidence intervals in comparison to th...
Executive Summary. Academics examining real estate's potential to improve the efficiency of mixed-asset portfolios usually view the situation from the perspective of the debt-free equity investor. This study investigates the implications for portfolio performance of holding leveraged real estate. Of particular interest is the effect of including le...
Liang, Myer and Webb (1996) have offered bootstrap simulation as a tool for quantifying the uncertainty in the optimum composition of portfolios. Unfortunately, the confidence intervals produced were so large, they were unable to provide any new insight to the question, "How Much in Real Estate?". In this comment, adjustments have been made to the...
This paper examines the efficacy of currency swaps as a hedging mechanism for the exchange rate risk associated with foreign investment in real estate. Earlier studies have concentrated on short-term hedging instruments such as options and forward contracts. Currency swaps are better suited for use on investments with long-term holding periods such...
Executive Summary. It has been more than a decade since researchers first raised the spectre of smoothing for appraisal-based real estate return series, suggesting that real estate risk had been grossly underestimated. Since that time, a number of studies have presented evidence which argued that, even with significant additional risk, real estate...
In recent years studies examining international mixed-asset portfolios have failed to uncover any significant benefits from foreign real estate. These papers have concentrated their focus on foreign exchange rate risk as "the problem" with respect to foreign investments, and therefore they sought solutions from traditional hedging tools such as lev...
Recent studies on foreign investment in US real estate provide evidence that fluctuating exchange rates are likely to reduce the potential gains from international diversification by making these investments more risky. However, other research has suggested that forward currency contracts may provide an effective mechanism for offsetting exchange r...
Foreign diversification has long been accepted as a means of improving portfolio efficiency through risk reduction. Yet surprising little is known about proper international portfolio construction in terms of how much should be invested in foreign countries, which countries should be targeted and in what types of assets. This paper attempts to part...
Historically, the volatility in exchange rates appears to have generated so much risk in U.S. real estate returns that, from the foreign investor's viewpoint, it eliminated any potential for obtaining diversification benefits from these assets. Yet during the past twenty years foreigners purchased and continue to hold enormous amounts of U.S. real...
Despite the large-scale purchase of U.S. real estate by foreign investors, empirical evidence has recently been offered that suggests that such investments may not be efficient for portfolio optimization. From the foreign perspective, free-floating exchange rates appear to introduce a level of risk to U.S. real estate assets that overrides any pote...
Substantial empirical evidence has been offered that supports the notion that international diversification enhances portfolio performance. Another large body of research suggests that the addition of real estate to pure financial asset portfolios also provides improved mean-variance efficiency. Thus, it is logical to hypothesize that the greatest...