Glenn Mueller - Academia.edu (original) (raw)

Papers by Glenn Mueller

Research Issues in Real Estate, 1998

International Real Estate Review, Sep 30, 2017

Peter Lang eBooks, Jul 11, 2016

International Real Estate Review, 2017

Concentration amongst the top 100 mortgage originators rose substantially during the Great Recess... more Concentration amongst the top 100 mortgage originators rose substantially during the Great Recession. Furthermore, Originator Profits and Unmeasured Costs (OPUCs), a proxy measure of the profit from originating residential mortgage loans also rose over the same period. Recent studies suggest that these increases are only partially explained by rational factors such as rising costs from increased regulatory burdens and changes in risk. We find statistically significant evidence that increasing concentration raised loan costs by 97 basis points using Vector Autoregressive (VAR) models during the Great Recession. This finding suggests that banks are exploiting increasing monopolistic power to increase profits and as such, consumers face rising costs as competition amongst lenders declines. Further to this issue, this study suggests that mortgage markets are not fully competitive and that the rates and fees charged to borrowers are in fact impacted by the level of competition amongst le...

Journal of Real Estate Research, 1991

... function of: (1) the market balance between supply and demand (using vacancy rate as a ... ab... more ... function of: (1) the market balance between supply and demand (using vacancy rate as a ... above 5%) and a low inflation period 83-89 (annual inflation rates below 5 ... Second, commercial realestate returns are broken into two property-specific sub categories (office and industrial ...

Abstract. Real estate markets go through both physical cycles (demand and supply) that affect ren... more Abstract. Real estate markets go through both physical cycles (demand and supply) that affect rental growth rates and financial cycles (capital flows to real estate) that affect property Prices (Mueller, 1995). This study develops a rental growth rate hypothesis based on a market’s position in the physical (demand–supply) market cycle. Using data from fifty-four office and industrial markets in the United States over a thirty-year period, an aggregated national average rental growth rate was calculated for each point in the cycle. An ANOVA test for differences of means found that the national average rental growth rates at each point in the cycle were statistically different. The results show local demand and supply, which interact to affect occupancy, are major determinants in rental growth rates. This research should help investors move from using a single rental growth rate for multiple year forecasts, to using yearly cycle driven rental growth rate estimates in their discounted ...

Journal of Real Estate Research, 1992

Previous work on real estate portfolio diversification by location began with geographic region d... more Previous work on real estate portfolio diversification by location began with geographic region diversification and moved to economically defined regions (a combination of economics and geography). This work takes the next step by removing the arbitrary geographic restriction and looking at the local economic drivers of individual metropolitan areas as the key determinant for more efficient diversification. The results show that economic diversification can be a more effective diversification strategy than previously used strategies that have geographic constraints.

Journal of Real Estate Research, 2009

Real estate markets go through both physical cycles (demand and supply) that affect rental growth... more Real estate markets go through both physical cycles (demand and supply) that affect rental growth rates and financial cycles (capital flows to real estate) that affect property Prices (Mueller, 1995). This study develops a rental growth rate hypothesis based on a market’s position in the physical (demand-supply) market cycle. Using data from fifty-four office and industrial markets in the United States over a thirty-year period, an aggregated national average rental growth rate was calculated for each point in the cycle. An ANOVA test for differences of means found that the national average rental growth rates at each point in the cycle were statistically different. The results show local demand and supply, which interact to affect occupancy, are major determinants in rental growth rates. This research should help investors move from using a single rental growth rate for multiple year forecasts, to using yearly cycle driven rental growth rate estimates in their discounted cash flo...

Real Estate has been shown to be a cyclical asset class over the years thathas mostly followed ec... more Real Estate has been shown to be a cyclical asset class over the years thathas mostly followed economic cycles. This paper looks at the physical realestate cycle of demand and supply driving the occupancy cycle which drivesthe rent cycle. The length of historic cycles is compared and contrasted tothe magnitude of these cycles in different property types. This informationis then used to forecast future cycle lengths and magnitudes. Finally thereal estate financial cycle of property prices is compared to the physicalcycle as the two cycles determine total returns for investors.

The journal of real estate portfolio management, 2002

Journal of Real Estate Research, 2009

The impact of inflation on the value of assets is considered one of the primary financial concern... more The impact of inflation on the value of assets is considered one of the primary financial concerns of long-term investors. While actual and expected inflation have slowed considerably since the early 1980s, concern over future increases is still a consideration for long-term investors.Ibbotson and Fall, Ibbotson and Siegel, Brueggeman, et al., Fogler, hartzell, et al., and Rubens, et al., conclude that real estate compensates the investor for inflation risk. When real estate is added to a mixed-asset portfolio, the inflation risk of the expanded portfolio is substantially below that of the original portfolio (ex-real estate).The purpose of this study is to examine the relationship between the performance of commercial real estate and inflation. Unlike previous studies, this study examines real estate performance during both high and low inflation periods. The results show that real estate does provide an inflation hedge. Second, real estate returns are broken down by two major prope...

The purpose of this study is to directly contrast the REIT market’s stock return response to bank... more The purpose of this study is to directly contrast the REIT market’s stock return response to bank failures versus bank bailouts. The non-negativity constraints of the GARCH model measuring risk dynamics are mitigated by the use of the EGARCH model. EGARCH accounts for non-symmetrical effects of risk adjustments in response to return shocks. Previous research shows that bank failures cause a positive abnormal return effect for REITs. This confirms the expectation that during crises, market participants perceive REITs as safe haven investments. Bank bailouts cause diametrical effects on REIT performance, manifesting in negative abnormal returns. Applying EGARCH, increased beta levels for both types of bank events are found, variance driven in the case of bank failures, correlation driven in the case of bank bailouts. Results from previous studies for abnormal returns are confirmed. The results of the total REIT sample is clearly driven by the Equity REITs, as Mortgage REITs show no si...

Journal of Real Estate Research, 2009

The rising interest-rate environment in early 1994 in the United States raised questions by inves... more The rising interest-rate environment in early 1994 in the United States raised questions by investors as to how REITs will react to interest-rate movements. This study analyzes the movement of REIT price changes during past interest-rate cycles. The results indicate that REIT price movements have a low correlation with changes in interest rates and a lower correlation with interest rates than with movements in the stock market as a whole. The findings lead to a call for research into other areas in order to ascertain the determinants of REIT price movement.

Diversification of real estate portfolios has historically been accomplished by utilizing a geogr... more Diversification of real estate portfolios has historically been accomplished by utilizing a geographic and/or property-type strategy. More recently, a number of economically based diversification categories have been proposed by industry researchers (see Hartzell, Shulman and Wurtzebach, 1987 and Wurtzebach, 1988). This study tests the efficiency of the existing geographic and geographic/economic strategies currently in the literature against an economically based diversification strategy using straightforward government SIC code categories. The three strategies used include: the NCREIF four geographic regions; the Solomon Brothers eight regions (a combination of economics and geography); and a purely economic grouping of the 316 MSAs in the United States using the nine major government SIC code categories. This study finds that the addition of economic underpinnings to a geographically constrained model, as developed by Hartzell et al. (1987) creates a higher risk/return efficient ...

International Real Estate Review

Metro market real estate cycles for office, industrial, retail, apartment, and hotel properties m... more Metro market real estate cycles for office, industrial, retail, apartment, and hotel properties may be specified as first order Markov chains, which allow analysts to use a well-developed application, ¡§staying time¡¨. Anticipations for time spent at each cycle point are consistent with the perception of analysts that these cycle changes speed up, slow down, and pause over time. We find that these five different property types in U.S. markets appear to have different first order Markov chain specifications, with different staying time characteristics. Each of the five property types have their longest mean staying time at the troughs of recessions. Moreover, industrial and office markets have much longer mean staying times in very poor trough conditions. Most of the shortest mean staying times are in hyper supply and recession phases, with the range across property types being narrow in these cycle points. Analysts and investors should be able to use this research to better estimate...

Journal of Real Estate Portfolio Management

Journal of Real Estate Portfolio Management

... This separation be-tween physical and financial cycles helps to clarify earlier work that mix... more ... This separation be-tween physical and financial cycles helps to clarify earlier work that mixed many definitions and helps explain the lag that appears to exist between market occupancy and rental movements versus real estate prices. ...

Journal of Real Estate Portfolio Management

ABSTRACT Executive Summary. Variance in returns and risk-adjusted returns of six real estate inve... more ABSTRACT Executive Summary. Variance in returns and risk-adjusted returns of six real estate investment trust (REIT) property types were analyzed for rent's connection to operating business. We find that hotel REITs where real estate rents are connected to hotel operations has performed poorly, and retail mall and outlet REIT re-turns where rents are tied to sales have also had lower risk-adjusted returns. One surprise was that seniors housing REIT returns had average variance. Further analysis found the operations component of healthcare was separated from the real estate component in these REITs. These results place in question the value of the new Taxable REIT Subsidiary law available in 2001, as it may create higher return variance and lower risk-adjusted returns.

Research Issues in Real Estate, 1998

International Real Estate Review, Sep 30, 2017

Peter Lang eBooks, Jul 11, 2016

International Real Estate Review, 2017

Concentration amongst the top 100 mortgage originators rose substantially during the Great Recess... more Concentration amongst the top 100 mortgage originators rose substantially during the Great Recession. Furthermore, Originator Profits and Unmeasured Costs (OPUCs), a proxy measure of the profit from originating residential mortgage loans also rose over the same period. Recent studies suggest that these increases are only partially explained by rational factors such as rising costs from increased regulatory burdens and changes in risk. We find statistically significant evidence that increasing concentration raised loan costs by 97 basis points using Vector Autoregressive (VAR) models during the Great Recession. This finding suggests that banks are exploiting increasing monopolistic power to increase profits and as such, consumers face rising costs as competition amongst lenders declines. Further to this issue, this study suggests that mortgage markets are not fully competitive and that the rates and fees charged to borrowers are in fact impacted by the level of competition amongst le...

Journal of Real Estate Research, 1991

... function of: (1) the market balance between supply and demand (using vacancy rate as a ... ab... more ... function of: (1) the market balance between supply and demand (using vacancy rate as a ... above 5%) and a low inflation period 83-89 (annual inflation rates below 5 ... Second, commercial realestate returns are broken into two property-specific sub categories (office and industrial ...

Abstract. Real estate markets go through both physical cycles (demand and supply) that affect ren... more Abstract. Real estate markets go through both physical cycles (demand and supply) that affect rental growth rates and financial cycles (capital flows to real estate) that affect property Prices (Mueller, 1995). This study develops a rental growth rate hypothesis based on a market’s position in the physical (demand–supply) market cycle. Using data from fifty-four office and industrial markets in the United States over a thirty-year period, an aggregated national average rental growth rate was calculated for each point in the cycle. An ANOVA test for differences of means found that the national average rental growth rates at each point in the cycle were statistically different. The results show local demand and supply, which interact to affect occupancy, are major determinants in rental growth rates. This research should help investors move from using a single rental growth rate for multiple year forecasts, to using yearly cycle driven rental growth rate estimates in their discounted ...

Journal of Real Estate Research, 1992

Previous work on real estate portfolio diversification by location began with geographic region d... more Previous work on real estate portfolio diversification by location began with geographic region diversification and moved to economically defined regions (a combination of economics and geography). This work takes the next step by removing the arbitrary geographic restriction and looking at the local economic drivers of individual metropolitan areas as the key determinant for more efficient diversification. The results show that economic diversification can be a more effective diversification strategy than previously used strategies that have geographic constraints.

Journal of Real Estate Research, 2009

Real estate markets go through both physical cycles (demand and supply) that affect rental growth... more Real estate markets go through both physical cycles (demand and supply) that affect rental growth rates and financial cycles (capital flows to real estate) that affect property Prices (Mueller, 1995). This study develops a rental growth rate hypothesis based on a market’s position in the physical (demand-supply) market cycle. Using data from fifty-four office and industrial markets in the United States over a thirty-year period, an aggregated national average rental growth rate was calculated for each point in the cycle. An ANOVA test for differences of means found that the national average rental growth rates at each point in the cycle were statistically different. The results show local demand and supply, which interact to affect occupancy, are major determinants in rental growth rates. This research should help investors move from using a single rental growth rate for multiple year forecasts, to using yearly cycle driven rental growth rate estimates in their discounted cash flo...

Real Estate has been shown to be a cyclical asset class over the years thathas mostly followed ec... more Real Estate has been shown to be a cyclical asset class over the years thathas mostly followed economic cycles. This paper looks at the physical realestate cycle of demand and supply driving the occupancy cycle which drivesthe rent cycle. The length of historic cycles is compared and contrasted tothe magnitude of these cycles in different property types. This informationis then used to forecast future cycle lengths and magnitudes. Finally thereal estate financial cycle of property prices is compared to the physicalcycle as the two cycles determine total returns for investors.

The journal of real estate portfolio management, 2002

Journal of Real Estate Research, 2009

The impact of inflation on the value of assets is considered one of the primary financial concern... more The impact of inflation on the value of assets is considered one of the primary financial concerns of long-term investors. While actual and expected inflation have slowed considerably since the early 1980s, concern over future increases is still a consideration for long-term investors.Ibbotson and Fall, Ibbotson and Siegel, Brueggeman, et al., Fogler, hartzell, et al., and Rubens, et al., conclude that real estate compensates the investor for inflation risk. When real estate is added to a mixed-asset portfolio, the inflation risk of the expanded portfolio is substantially below that of the original portfolio (ex-real estate).The purpose of this study is to examine the relationship between the performance of commercial real estate and inflation. Unlike previous studies, this study examines real estate performance during both high and low inflation periods. The results show that real estate does provide an inflation hedge. Second, real estate returns are broken down by two major prope...

The purpose of this study is to directly contrast the REIT market’s stock return response to bank... more The purpose of this study is to directly contrast the REIT market’s stock return response to bank failures versus bank bailouts. The non-negativity constraints of the GARCH model measuring risk dynamics are mitigated by the use of the EGARCH model. EGARCH accounts for non-symmetrical effects of risk adjustments in response to return shocks. Previous research shows that bank failures cause a positive abnormal return effect for REITs. This confirms the expectation that during crises, market participants perceive REITs as safe haven investments. Bank bailouts cause diametrical effects on REIT performance, manifesting in negative abnormal returns. Applying EGARCH, increased beta levels for both types of bank events are found, variance driven in the case of bank failures, correlation driven in the case of bank bailouts. Results from previous studies for abnormal returns are confirmed. The results of the total REIT sample is clearly driven by the Equity REITs, as Mortgage REITs show no si...

Journal of Real Estate Research, 2009

The rising interest-rate environment in early 1994 in the United States raised questions by inves... more The rising interest-rate environment in early 1994 in the United States raised questions by investors as to how REITs will react to interest-rate movements. This study analyzes the movement of REIT price changes during past interest-rate cycles. The results indicate that REIT price movements have a low correlation with changes in interest rates and a lower correlation with interest rates than with movements in the stock market as a whole. The findings lead to a call for research into other areas in order to ascertain the determinants of REIT price movement.

Diversification of real estate portfolios has historically been accomplished by utilizing a geogr... more Diversification of real estate portfolios has historically been accomplished by utilizing a geographic and/or property-type strategy. More recently, a number of economically based diversification categories have been proposed by industry researchers (see Hartzell, Shulman and Wurtzebach, 1987 and Wurtzebach, 1988). This study tests the efficiency of the existing geographic and geographic/economic strategies currently in the literature against an economically based diversification strategy using straightforward government SIC code categories. The three strategies used include: the NCREIF four geographic regions; the Solomon Brothers eight regions (a combination of economics and geography); and a purely economic grouping of the 316 MSAs in the United States using the nine major government SIC code categories. This study finds that the addition of economic underpinnings to a geographically constrained model, as developed by Hartzell et al. (1987) creates a higher risk/return efficient ...

International Real Estate Review

Metro market real estate cycles for office, industrial, retail, apartment, and hotel properties m... more Metro market real estate cycles for office, industrial, retail, apartment, and hotel properties may be specified as first order Markov chains, which allow analysts to use a well-developed application, ¡§staying time¡¨. Anticipations for time spent at each cycle point are consistent with the perception of analysts that these cycle changes speed up, slow down, and pause over time. We find that these five different property types in U.S. markets appear to have different first order Markov chain specifications, with different staying time characteristics. Each of the five property types have their longest mean staying time at the troughs of recessions. Moreover, industrial and office markets have much longer mean staying times in very poor trough conditions. Most of the shortest mean staying times are in hyper supply and recession phases, with the range across property types being narrow in these cycle points. Analysts and investors should be able to use this research to better estimate...

Journal of Real Estate Portfolio Management

Journal of Real Estate Portfolio Management

... This separation be-tween physical and financial cycles helps to clarify earlier work that mix... more ... This separation be-tween physical and financial cycles helps to clarify earlier work that mixed many definitions and helps explain the lag that appears to exist between market occupancy and rental movements versus real estate prices. ...

Journal of Real Estate Portfolio Management

ABSTRACT Executive Summary. Variance in returns and risk-adjusted returns of six real estate inve... more ABSTRACT Executive Summary. Variance in returns and risk-adjusted returns of six real estate investment trust (REIT) property types were analyzed for rent's connection to operating business. We find that hotel REITs where real estate rents are connected to hotel operations has performed poorly, and retail mall and outlet REIT re-turns where rents are tied to sales have also had lower risk-adjusted returns. One surprise was that seniors housing REIT returns had average variance. Further analysis found the operations component of healthcare was separated from the real estate component in these REITs. These results place in question the value of the new Taxable REIT Subsidiary law available in 2001, as it may create higher return variance and lower risk-adjusted returns.