David C Ling

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• Ph.D. in Real Estate and Economics
• Professor at University of Florida

This research studies the choices of performance benchmarks by defined benefit pension funds worldwide, focusing on real assets. Pension fund allocations to non-listed 'alternative' assets, i.e., real estate, infrastructure, commodities, and private equity, have rapidly increased in recent decades, and the benchmarks used for performance measuremen...

A growing literature investigates the “granular” origins of aggregate fluctuations in a variety of contexts. This article builds on the theoretical framework developed by Gabaix (1999, 2011) and provides the first empirical evidence of the causal link between granular risks, stemming from the size and geographic dispersion of cities, and stock mark...

The economic effect of climate hazard events varies by time and by location. This paper investigates how climate shocks to local property markets transmit to capital markets and provides evidence of the extent to which forward‐looking climate risk is capitalized into the public valuations of those property markets. We first quantify the exposure of...

In September and October 2020, the Real Estate Finance & Investment Symposium, sponsored and organized by the University of Cambridge, the University of Florida, the University of Geneva, and the National University of Singapore, was held online, given the COVID-19 pandemic. Ten papers on various research topics were presented in five two-hour sess...

Daily‐priced real estate (DPRE) funds are designed to provide investors with daily liquidity while investing in illiquid private assets. DPRE fund returns are predictable, allowing for a trading strategy based on predicted returns to generate trading profits of 60–132 bps a year. Funds with higher predicted returns have higher investor flows, but t...

We examine how institutional investors reacted to geographically dispersed local shocks during the early stages of the COVID‐19 pandemic. A sample of real estate investment trusts (REITs) enables us to link two layers of geography: the locations of the assets in which the REITs were invested and the headquarters locations of institutional investors...

The trade-off between the potential benefits and costs of using corporate real estate (CorRE) in the production process creates an optimal level of CorRE that varies over time and across firms. We document the importance of conditioning on a firm’s optimal CorRE usage when analyzing the relation between CorRE and firm valuations. Controlling for ye...

We explore the determinants and value implications of publicly traded real estate companies converting to real estate investment trusts (REITs), which we term REITing, and publicly-traded REITs giving up their REIT status, termed de-REITing. Non-REIT real estate firms that pay relatively high dividends and have high income tax ratios are more likel...

In October 2018, the Real Estate Finance & Investment Symposium, sponsored and organized by the University of Cambridge, the University of Florida, and the National University of Singapore, was held in Gainesville, Florida. Ten papers on various research topics were presented over the day and one-half symposium. Each presentation was followed by re...

The federal government has long promoted homeownership through various provisions in the U.S. income tax code. The Tax Cuts and Jobs Act of 2017 (TCJA) renewed interest and debate about the treatment of housing via the tax code, particularly with respect to the mortgage interest deduction and the limitation on deductions for state and local taxes....

An extensive literature finds that indices of returns on equity real estate investment trusts (REITs) predict return indices in the private commercial real estate (CRE) market. Using a novel geographically weighted proxy for the quarterly performance of the property types within the local markets in which a REIT is invested, or property portfolio r...

This is the first paper to examine how the COVID-19 shock transmitted from the asset markets to capital markets. Using a novel measure of the exposure of commercial real estate (CRE) portfolios to the increase in the number of COVID-19 cases (GeoCOVID), we find a one-standard-deviation increase in GeoCOVID on day t-1 is associated with a 0.24 to 0....

Using a unique setting with significant cross‐market information asymmetries and a large sample of individual commercial property holdings, we provide robust evidence showing that local information plays a significant role in the linkage between local asset concentrations and return outperformance. We further document a significant positive relatio...

Following recent developments in the asset pricing literature on geographic concentration, we complement classic theories based on information asymmetry and explain the short‐run performance of REIT IPOs through an investor base mechanism. We analyze the U.S. market and show that issuers are more likely to underprice when a REIT is more geographica...

Prior studies of REIT property transaction activity focus on shareholder wealth effects. This study examines the effects of property acquisitions, dispositions, and overall trading activity on unsecured bond spreads, credit rating changes, and rating outlooks using a sample of the listed equity REITs in the U.S. We find that active property trading...

This paper contributes to the ongoing debate about whether and how institutional common ownership (ICO) affects firm behavior. Using a sample of equity REITs, which provide significant advantages for isolating a monitoring channel, we find a robust and positive relation between ICO and REIT firm value. The positive relation between ICO and firm val...

The empirical evidence on the effects of tax incentives on investment is mixed. Recent finance and accounting empirical studies have relied on cross-sectional studies using financial statement data; however, such research suffers from measurement issues (Hanlon & Heitzman, 2010 Hanlon, M. & Heitzman, S. (2010). A review of tax research. Journal of...

We examine the effects of Section 1031 of the Internal Revenue Code on commercial real estate (CRE) investors and markets, as well as on U.S. Treasury revenue. We first develop a partial equilibrium model that quantifies for the property owner the present value of tax savings in an exchange versus a fully-taxable sale and the cost in foregone tax r...

Using a sample of Real Estate Investment Trusts (REITs), we show that institutional investors exploit location‐based information asymmetries by overweighting firms headquartered locally and, more importantly, those with greater economic interests in the investor's home MSA. Moreover, this asset allocation strategy is associated with superior portfo...

Housing decisions require intensive attention from households. However, the existing housing literature has not examined the potential connection between costly and time‐consuming real estate purchases and the behavior and work productivity of individuals involved in the housing search and acquisition process. In addition, micro evidence on the lin...

In many markets, buyers, sellers, and their agents have differential information about the quality of heterogeneous assets. We study negotiated transaction prices in the commercial real estate market, which is characterized by heterogeneous assets, illiquidity, and highly segmented local markets, all of which increase the importance of asymmetric i...

This study examines the sensitivity of equity REIT returns to time‐varying MSA allocations of REIT property portfolios. Using a large sample of individual commercial property holdings, we find significant cross‐sectional and time variation in REIT geographic exposures and the ability of these exposures to explain the cross‐section of REIT returns....

In the 2000s, U.S. commercial real estate (CRE) prices experienced a boom and bust as dramatic as the more widely analyzed swings in house prices and contributed significantly to bank failures. We model short-run and long-run movements in capitalization rates (rent-to-price-ratio) and risk premia for office building and apartments. In the mid-2000s...

We document the evolution of U.S. tax law regarding commercial real estate (CRE) since 1975, noting changes in income and capital gains tax rates and tax depreciation methods. The most prominent changes were in the 1981 and 1986 Tax Acts, but numerous significant changes occurred in the last dozen years. We then compute both the present value of ta...

This paper examines U.S. REIT leverage decisions and their effects on risk and return. We find that the speed at which REITs close the gap between current debt levels and target leverage levels is 17 percent annually. REITs that are highly levered relative to the average REIT tend to underperform REITs with less debt in their capital structure. How...

This article examines U.S. REIT leverage decisions and their effects on risk and return. We find that the speed at which REITs close the gap between current debt levels and target leverage levels is 17% annually. REITs that are highly levered relative to the average REIT tend to underperform REITs with less debt in their capital structure. However,...

In this paper we examine the impact of asset growth rates on the future stock performance of 308 publicly traded real estate investment trusts (REITs). We observe that fast growing REITs tend to underperform slow growing REITs. However, we find evidence that the growth effect is significantly less negative for REITs selling at a premium to net asse...

This article examines credit frictions and asset pricing in public and private markets with varying liquidity. We find that a tightening in credit availability is negatively related to subsequent price movements in private and public commercial real estate markets. Assets trading in illiquid segments of these markets are also susceptible to a feedb...

This paper examines the effects of geographic portfolio concentrations on the return performance of U.S. public REITs versus private commercial real estate over the 1996–2013 time period. We document significant cross-sectional and temporal differences in the geographic concentration of property holdings across exchange-listed public and private re...

The theoretical literature suggests a positive relation between financial leverage and asset returns, but the empirical evidence on this effect is mixed. We examine leverage effects in public real estate markets across eight countries with active public real estate markets. Cross-country public real estate markets provide an interesting testing gro...

This paper examines U.S. public and private commercial real estate returns at the aggregate level and by the four major property types over the 1994–2012 time period. Returns are carefully adjusted for differences between public and private markets in financial leverage, property type focus and management fees. Unconditionally, we find that passive...

This paper examines the role of nonfundamentals-based sentiment in house price dynamics, including the well-documented volatility and persistence of house prices during booms and busts. To measure and isolate sentiment's effect, we employ survey-based indicators that proxy for the sentiment of three major agents in housing markets: home buyers (dem...

The last decade’s boom and bust in U.S. commercial real estate (CRE) prices was at least as large as that in the housing market and also had a large effect on bank failures. Nevertheless, the role of CRE in the Great Recession has received little attention. This study estimates cohesive models of short-run and long-run movements in capitalization r...

This paper examines the effects of geographic portfolio concentration on the return performance of U.S. public REITs versus private commercial real estate over the 1996-2013 time period. We document significant cross-sectional and temporal differences in the geographic concentration of property holdings across public and private real estate markets...

This paper examines U.S. REIT leverage decisions and their effects on risk and return. We find that REITs are highly levered relative to industrial firms, with an average market leverage of 46 percent over our 1990-2012 sample period. Using partial adjustment models, we further find that the speed of adjustment at which REITs close the gap between...

This paper examines the relation between investor sentiment and returns in private markets. Relative to more liquid public markets, private investment markets exhibit significant limits to arbitrage that restrict an investor’s ability to counteract mispricing. We utilize private commercial real estate as the testing ground for our analysis due to t...

The shareholder composition of listed property companies has changed from the fragmented, retail ownership, to more concentrated, institutional ownership over the past decade. In this paper, we first document significant variation in the composition of the shareholder base across the world's five largest listed property markets. We then examine the...

In this study, we examine the influence of real estate market sentiment, market-level uncertainty, and REIT-level uncertainty on cumulative abnormal earnings announcement returns over the 1995–2009 time period. We first document the relative coverage of analysts' earnings forecasts on U.S. REITs, as well as REITs from several countries (i.e., Austr...

Little is known about the effects of real estate ownership and leasing on the stock return characteristics of public firms. In this study, we first examine the sensitivity of retail firm returns to a real estate factor over the period 1998–2008. The retail industry is chosen because of the significant use of real estate in a typical retail firm’s p...

The shareholder composition of listed property companies has changed from the fragmented, retail ownership, to more concentrated, institutional ownership over the past decade. In this paper,we first document significant variation in the composition of the shareholder base across theworld'sfive largest listed propertymarkets.We then examine the rela...

In this study, we examine the influence of real estate market sentiment, market-level uncertainty, and REIT-level uncertainty on cumulative abnormal earnings announcement returns over the 1995-2009 time period.We first document the relative coverage of analysts' earnings forecasts on U.S. REITs, as well as REITs from several countries (i.e., Austra...

This paper first identifies the characteristics of publicly-traded REITs associated with an increased probability of becoming the target of an announced merger or acquisition bid. Second, conditional on being a target, we determine which target characteristics influence the probability of the bidder being a private versus a public firm. Third, we d...

This paper examines the relation between the availability of credit (funding liquidity), market liquidity and asset price movements in both private and public commercial real estate markets. Given the relative illiquidity and significant use of leverage in acquisitions within commercial real estate markets, theory predicts that funding constraints...

This paper investigates the role of fundamentals and investor sentiment in commercial real estate valuation. In real estate markets, heterogeneous properties trade in illiquid, highly segmented and informationally inefficient local markets. Moreover, the inability to short sell private real estate restricts the ability of sophisticated traders to e...

This paper first identifies the characteristics of publicly-traded REITs associated with an increased probability of being the target of an announced merger or acquisition. Second, conditional on being a target, we examine whether certain target characteristics influence the probability of a bidder being a private versus a public firm. Third, we ex...

This paper investigates whether it is possible to create value through the active management of direct property portfolios. Using data from Australia, the United States and the United Kingdom, we examine whether portfolio trading activity and growth explain outperformance of listed property companies. The results indicate that beating the market us...

This paper examines the relation between investor sentiment and returns in public and private markets. We utilize commercial real estate as the testing ground to provide a unique side-by-side comparison of sentiments short- and long-run impact on similar assets that are owned and traded in two distinct investment environments. Using vector autoregr...

Using a dataset that contains nearly 100,000 commercial real estate transactions that occurred during the 1997-2009 time period, we conduct hedonic regression analysis to examine the extent to which three empirical proxies for high search costs affect bargaining power and negotiated prices: (1) buyers seeking to complete a delayed Section 1031 exch...

This paper investigates the relationship between capital flows, turnover and returns for the UK private real estate market. We examine a number of possible implications of capital flows and turnover on capital returns testing for evidence of a price pressure effect, ‘return chasing’ behaviour and information revelation. The main tool of analysis is...

This study explores the role of short sale constraints in explaining the variation in premiums to Net Asset Value (NAV) in REIT pricing. We use proprietary information on short sales between June 2006 and September 2008 to examine how short sales and short sale constraints affect the variation in monthly REIT NAV premiums using panel vector autoreg...

This article investigates the magnitude and determinates of share liquidity over the 1990-2007 period in the world's four largest securitized real estate markets: the United States, the United Kingdom, Continental Europe and Australia. We document a significant and consistent role for market capitalization, nonretail share ownership and dividend yi...

This paper investigates the role of fundamentals and investor sentiment in commercial real estate valuation. In real estate markets, heterogeneous properties trade in illiquid, highly segmented and informationally inefficient local markets. Moreover, the inability to short sell private real estate restricts the ability of sophisticated traders to e...

This article examines the short- and long-run dynamics among institutional capital flows and returns in private real estate markets. At the aggregate U.S. level, we find evidence that lagged institutional flows significantly influence subsequent returns. When disaggregating by property type at the national level, we find that capital flows predict...

Turnover rates are important as determinants of the level of activity in housing related industries, in effecting housing market adjustments, and in revealing prices in illiquid, highly segmented, informationally inefficient housing markets. This study examines the relative influence of structure features, tenure, household characteristics and neig...

This study examines the role tax-deferred exchanges play in the determination of reservation and transaction prices in U.S. commercial real estate markets. Taxpayers face significant time constraints when seeking to complete a delayed tax-deferred exchange. In a perfectly competitive market, a weakened bargaining position would not affect the trans...

It is well known that owner-occupied housing has long received favorable tax treatment in the U.S. federal income tax system relative to a system in which all income, regardless of its source, is subject to taxation. As a result, many economists have argued that the United States overinvests in owner-occupied housing relative to the investment that...

Real estate data are often characterized by data irregularities: missing data, censoring or truncation, measurement error, etc. Practitioners often discard missing- or censored-data cases and ignore measurement error. We argue here that an attractive remedy for these irregularity problems is simulation-based model fitting using the Gibbs sampler. T...

In U.S. commercial real estate markets, a single index product produced by the National Council of Real Estate Investment Fiduciaries (NCREIF) has been used for both asset class research and for agent evaluation benchmarking. While the NCREIF Index is an invaluable tool for the U.S. real estate investment industry, in some respects its construction...

In U.S. commercial real estate markets, a single index product produced by the National Council of Real Estate Investment Fiduciaries (NCREIF) has been used for both asset class research and for agent evaluation benchmarking. While the NCREIF Index is an invaluable tool for the U.S. real estate investment industry, in some respects its construction...

Since the founding of NCREIF almost three decades ago statistical methodologies useful for investment performance index construction have advanced dramatically, notably including developments such as the repeated-measures regression (RMR) and related noise-filtering techniques. In recent years, electronic databases of commercial property prices hav...

This study examines the effects of weekly and monthly capital flows into the dedicated REIT mutual fund sector on aggregate REIT returns and, simultaneously, the effects of industry-level REIT returns on subsequent REIT mutual fund flows. The dynamic relation between REIT capital flows and returns is estimated using vector autoregression (VAR) tech...

This paper examines the short- and long-run dynamics among institutional capital flows and returns in private real estate markets. The main tool of analysis we employ is a vector autoregressive (VAR) regression model in which both institutional capital flows and returns are specified as endogenous variables in a two equation simultaneous system and...

We examine the ability of experts, specifically institutional owners and managers, to predict commercial real estate return performance in major metropolitan markets and on various property types. We find no evidence that the consensus opinions on investment conditions contained in Real Estate Research Corporation?s quarterly Real Estate Investment...

This study examines the effects of capital flows into the REIT sector on REIT returns and, simultaneously, the effects of REIT returns on subsequent REIT capital flows. The dynamic relation between REIT capital flows and returns is estimated using vector autoregression (VAR) techniques. Unlike static regression techniques, our dynamic model produce...

The absolute location of each real estate parcel in an urban housing market has a unique location-value signature. Accessibility indices, distant gradients and locational dummies cannot fully account for the influence of absolute location on the market price of housing because there are an indeterminable number of externalities (local and nonlocal)...