DAvid Ling | University of Florida (original) (raw)

Papers by DAvid Ling

Social Science Research Network, 2023

The Journal of Real Estate Finance and Economics

SSRN Electronic Journal, 2019

We explore the determinants and value implications of publicly traded real estate companies conve... more 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 likely to convert to a REIT; while REITs that have lower pretax incomes, dividend adjusted operating cash flows, and higher leverage ratios are significantly more likely to de-REIT. REITing generates significant positive abnormal returns (ARs) around the REITing announcement. These positive ARs are concentrated in firms with higher income tax liabilities and firms paying larger dividends pre REIT-conversion. De-REITing announcements generate significant negative ARs, which are mitigated when the de-REITing firm has low potential tax liabilities, or when the firm is cash flow constrained with respect to its dividend payment. Based on these results, we argue that the degree to which REITing (de-REITing) decisions are value generating (destroying) depends on the magnitude of potential tax and dividend implications. We also examine the longer run valuation effects of REITing and de-REITing decisions and find no evidence of a reversion of the short-run announcement effects.

The Journal of Portfolio Management, 2017

In this article, the authors investigate the performance sensitivity of private equity real estat... more In this article, the authors investigate the performance sensitivity of private equity real estate (PERE) funds to capital deployment speeds, investment horizons, management fees, and investor opportunity costs from uncalled capital. The authors first provide a series of simulation scenarios demonstrating the significant effects of these factors on PERE performance and then use PERE fund data to empirically investigate their performance effects. Using a comprehensive dataset from Cambridge Associates covering a large sample of 497 funds sponsored by 201 managers with aggregate assets under management of $383.9 billion from 2000–2013, the authors find that capital deployment speeds vary significantly across funds and over time and that very little of this variation is incorporated in traditional performance metrics. Importantly, the dilutive effects of management fees are positively related to the time over which capital is deployed and negatively related to the percentage of net capital called from investors and deployed by the fund manager. The authors also model the significant opportunity cost investors incur when reserving funds for uncertain capital calls. This cost of maintaining dry powder for the manager is ignored in reported performance metrics. Taken together, the authors’ results show the importance of accounting for capital deployment speeds, investment horizons, management fees, and uncalled capital in determining PERE fund performance.

Journal of Money, Credit and Banking, 2015

This paper examines the role of nonfundamentals‐based sentiment in house price dynamics, includin... more 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 (demand side), home builders (supply side), and lenders (credit suppliers). After orthogonalizing each sentiment measure against a broad set of fundamental variables, we find strong and consistent evidence that the changing sentiment of all three sets of market participants predicts house price appreciation in subsequent quarters, above and beyond the impact of changes in lagged price changes, fundamentals, and market liquidity. More specifically, a one‐standard‐deviation shock to market sentiment is associated with a 32–57 basis point increase in real house price appreciation over the next two quarters. These price effects are large relat...

Real Estate Economics

The federal government has long promoted homeownership through various provisions in the US incom... more The federal government has long promoted homeownership through various provisions in the US 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. We document the extent that the TCJA magnifies the long‐standing unequal treatment of debt and equity financing of homeownership in the tax code. Our analysis indicates that most households no longer benefit from mortgage interest and property tax deductions. We also show how the limitations on the deduction of state and local taxes alter the costs associated with homeownership across geographic areas, and we provide detailed calculations of the average and marginal tax rates at which housing‐related expenses are deducted. The former are relevant to the tenure choice decision, the latter to the quantity demanded decision. Finally, we documen...

We examine how institutional investors reacted to geographically dispersed local shocks during th... more 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 assets in which the REITs were invested and the locations of institutional investors who owned REIT shares. We find that the institutional ownership of firms with an economic interest in the investors’ home markets declined more if those markets were heavily affected by the pandemic. In addition, the ownership responses to the COVID19 shock were larger in those markets in which REITs had larger portfolio allocations and in markets that were home to the investors. Importantly, we find that nonpassive and short-term investors may have overreacted to the local shocks because their REIT portfolios underperformed relative to passive and long-term investors. Our study highlights the importance of geography in the formation of investors’ expecta...

Journal of Real Estate Literature, 2020

The empirical evidence on the effects of tax incentives on investment is mixed. Recent finance an... more 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...

Journal of Real Estate Literature, 2020

We examine the effects of Section 1031 of the Internal Revenue Code on commercial real estate (CR... more 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 equilibriu...

The Journal of Portfolio Management, 2021

The Journal of Real Estate Finance and Economics, 2018

Real Estate Economics, 2016

Journal of Money, Credit and Banking, 2016

SSRN Electronic Journal, 2015

Real Estate Economics, 2002

ABSTRACT In most instances referees are indicated at the end of each paper which they referee. Th... more ABSTRACT In most instances referees are indicated at the end of each paper which they referee. The help of the following individuals who have refereed papers for this journal is hereby acknowledged. Individuals who refereed papers which were handled during the period covered by Issues 1 through 4 of this volume are included in this list. The Editors wish to express their thanks to all of these.

SSRN Electronic Journal, 2015

The Journal of Real Estate Finance and Economics, 2022

In October 2018, the Real Estate Finance & Investment Symposium, sponsored and organized by the U... more 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 remarks from a discussant as well as general discussion from the audience. This short editorial discusses the five papers from the symposium that are included in this special issue.

National Tax Journal

Page 1. THE FEDERAL TAX SUBSIDY TO HOUSING AND THE REDUCED VALUE OF THE MORTGAGE INTEREST DEDUCTI... more Page 1. THE FEDERAL TAX SUBSIDY TO HOUSING AND THE REDUCED VALUE OF THE MORTGAGE INTEREST DEDUCTION*** JAMES R. FOLLAIN* and DAVID C. LING** ABSTRACT with little success in reducing the ...

Social Science Research Network, 2023

The Journal of Real Estate Finance and Economics

SSRN Electronic Journal, 2019

We explore the determinants and value implications of publicly traded real estate companies conve... more 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 likely to convert to a REIT; while REITs that have lower pretax incomes, dividend adjusted operating cash flows, and higher leverage ratios are significantly more likely to de-REIT. REITing generates significant positive abnormal returns (ARs) around the REITing announcement. These positive ARs are concentrated in firms with higher income tax liabilities and firms paying larger dividends pre REIT-conversion. De-REITing announcements generate significant negative ARs, which are mitigated when the de-REITing firm has low potential tax liabilities, or when the firm is cash flow constrained with respect to its dividend payment. Based on these results, we argue that the degree to which REITing (de-REITing) decisions are value generating (destroying) depends on the magnitude of potential tax and dividend implications. We also examine the longer run valuation effects of REITing and de-REITing decisions and find no evidence of a reversion of the short-run announcement effects.

The Journal of Portfolio Management, 2017

In this article, the authors investigate the performance sensitivity of private equity real estat... more In this article, the authors investigate the performance sensitivity of private equity real estate (PERE) funds to capital deployment speeds, investment horizons, management fees, and investor opportunity costs from uncalled capital. The authors first provide a series of simulation scenarios demonstrating the significant effects of these factors on PERE performance and then use PERE fund data to empirically investigate their performance effects. Using a comprehensive dataset from Cambridge Associates covering a large sample of 497 funds sponsored by 201 managers with aggregate assets under management of $383.9 billion from 2000–2013, the authors find that capital deployment speeds vary significantly across funds and over time and that very little of this variation is incorporated in traditional performance metrics. Importantly, the dilutive effects of management fees are positively related to the time over which capital is deployed and negatively related to the percentage of net capital called from investors and deployed by the fund manager. The authors also model the significant opportunity cost investors incur when reserving funds for uncertain capital calls. This cost of maintaining dry powder for the manager is ignored in reported performance metrics. Taken together, the authors’ results show the importance of accounting for capital deployment speeds, investment horizons, management fees, and uncalled capital in determining PERE fund performance.

Journal of Money, Credit and Banking, 2015

This paper examines the role of nonfundamentals‐based sentiment in house price dynamics, includin... more 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 (demand side), home builders (supply side), and lenders (credit suppliers). After orthogonalizing each sentiment measure against a broad set of fundamental variables, we find strong and consistent evidence that the changing sentiment of all three sets of market participants predicts house price appreciation in subsequent quarters, above and beyond the impact of changes in lagged price changes, fundamentals, and market liquidity. More specifically, a one‐standard‐deviation shock to market sentiment is associated with a 32–57 basis point increase in real house price appreciation over the next two quarters. These price effects are large relat...

Real Estate Economics

The federal government has long promoted homeownership through various provisions in the US incom... more The federal government has long promoted homeownership through various provisions in the US 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. We document the extent that the TCJA magnifies the long‐standing unequal treatment of debt and equity financing of homeownership in the tax code. Our analysis indicates that most households no longer benefit from mortgage interest and property tax deductions. We also show how the limitations on the deduction of state and local taxes alter the costs associated with homeownership across geographic areas, and we provide detailed calculations of the average and marginal tax rates at which housing‐related expenses are deducted. The former are relevant to the tenure choice decision, the latter to the quantity demanded decision. Finally, we documen...

We examine how institutional investors reacted to geographically dispersed local shocks during th... more 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 assets in which the REITs were invested and the locations of institutional investors who owned REIT shares. We find that the institutional ownership of firms with an economic interest in the investors’ home markets declined more if those markets were heavily affected by the pandemic. In addition, the ownership responses to the COVID19 shock were larger in those markets in which REITs had larger portfolio allocations and in markets that were home to the investors. Importantly, we find that nonpassive and short-term investors may have overreacted to the local shocks because their REIT portfolios underperformed relative to passive and long-term investors. Our study highlights the importance of geography in the formation of investors’ expecta...

Journal of Real Estate Literature, 2020

The empirical evidence on the effects of tax incentives on investment is mixed. Recent finance an... more 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...

Journal of Real Estate Literature, 2020

We examine the effects of Section 1031 of the Internal Revenue Code on commercial real estate (CR... more 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 equilibriu...

The Journal of Portfolio Management, 2021

The Journal of Real Estate Finance and Economics, 2018

Real Estate Economics, 2016

Journal of Money, Credit and Banking, 2016

SSRN Electronic Journal, 2015

Real Estate Economics, 2002

ABSTRACT In most instances referees are indicated at the end of each paper which they referee. Th... more ABSTRACT In most instances referees are indicated at the end of each paper which they referee. The help of the following individuals who have refereed papers for this journal is hereby acknowledged. Individuals who refereed papers which were handled during the period covered by Issues 1 through 4 of this volume are included in this list. The Editors wish to express their thanks to all of these.

SSRN Electronic Journal, 2015

The Journal of Real Estate Finance and Economics, 2022

In October 2018, the Real Estate Finance & Investment Symposium, sponsored and organized by the U... more 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 remarks from a discussant as well as general discussion from the audience. This short editorial discusses the five papers from the symposium that are included in this special issue.

National Tax Journal

Page 1. THE FEDERAL TAX SUBSIDY TO HOUSING AND THE REDUCED VALUE OF THE MORTGAGE INTEREST DEDUCTI... more Page 1. THE FEDERAL TAX SUBSIDY TO HOUSING AND THE REDUCED VALUE OF THE MORTGAGE INTEREST DEDUCTION*** JAMES R. FOLLAIN* and DAVID C. LING** ABSTRACT with little success in reducing the ...