多户房产在对冲养老金负债风险中的作用:长期证据

IF 1.6 Q3 BUSINESS, FINANCE Journal of Property Investment & Finance Pub Date : 2023-09-14 DOI:10.1108/jpif-04-2023-0035
Martin Hoesli, Louis Johner, Jon Lekander
{"title":"多户房产在对冲养老金负债风险中的作用:长期证据","authors":"Martin Hoesli, Louis Johner, Jon Lekander","doi":"10.1108/jpif-04-2023-0035","DOIUrl":null,"url":null,"abstract":"Purpose Using data spanning 145 years for Sweden, the authors investigate the benefits of holding multi-family properties for investors who aim to hedge wage growth. Design/methodology/approach The authors assess the risk-adjusted excess return that results from adding multi-family properties to a mixed-asset portfolio that aims to track wage growth. The authors also analyse the macroeconomic determinants of asset returns. Finally, the authors test whether a causal relationship exists between the growth rate of real wages and that of real net operating income. Findings The benefits from holding multi-family properties are the greatest for low-risk allocation approaches. For more risky strategies, the role of real estate is more muted, and it varies greatly over time. Holding real estate was most beneficial during the first two decades of the 21st century. Multi-family properties are found to be the only asset class to be positively related to wage growth. The authors show that the net operating income acts as the transmission channel between wages and property returns. Practical implications The paper assesses whether the growing interest of pension funds for multi-family properties is warranted in the context of a portfolio that aims to track wage growth. Originality/value Using long term data makes it possible to use a rolling windows approach and hence to consider multiple outcomes for an allocation strategy over a typical investment horizon. This permits to assess the dispersion of performance across several periods rather than just one as is commonly done in the literature. The results show that the conclusions that would be drawn from looking at the past two or three decades of data differ substantially from those for earlier time periods.","PeriodicalId":46429,"journal":{"name":"Journal of Property Investment & Finance","volume":null,"pages":null},"PeriodicalIF":1.6000,"publicationDate":"2023-09-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The role of multi-family properties in hedging pension liability risk: long-run evidence\",\"authors\":\"Martin Hoesli, Louis Johner, Jon Lekander\",\"doi\":\"10.1108/jpif-04-2023-0035\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Purpose Using data spanning 145 years for Sweden, the authors investigate the benefits of holding multi-family properties for investors who aim to hedge wage growth. Design/methodology/approach The authors assess the risk-adjusted excess return that results from adding multi-family properties to a mixed-asset portfolio that aims to track wage growth. The authors also analyse the macroeconomic determinants of asset returns. Finally, the authors test whether a causal relationship exists between the growth rate of real wages and that of real net operating income. Findings The benefits from holding multi-family properties are the greatest for low-risk allocation approaches. For more risky strategies, the role of real estate is more muted, and it varies greatly over time. Holding real estate was most beneficial during the first two decades of the 21st century. Multi-family properties are found to be the only asset class to be positively related to wage growth. The authors show that the net operating income acts as the transmission channel between wages and property returns. Practical implications The paper assesses whether the growing interest of pension funds for multi-family properties is warranted in the context of a portfolio that aims to track wage growth. Originality/value Using long term data makes it possible to use a rolling windows approach and hence to consider multiple outcomes for an allocation strategy over a typical investment horizon. This permits to assess the dispersion of performance across several periods rather than just one as is commonly done in the literature. The results show that the conclusions that would be drawn from looking at the past two or three decades of data differ substantially from those for earlier time periods.\",\"PeriodicalId\":46429,\"journal\":{\"name\":\"Journal of Property Investment & Finance\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":1.6000,\"publicationDate\":\"2023-09-14\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Property Investment & Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1108/jpif-04-2023-0035\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Property Investment & Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1108/jpif-04-2023-0035","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0

摘要

使用瑞典145年的数据,作者调查了持有多户房产对旨在对冲工资增长的投资者的好处。作者评估了将多户住宅加入旨在跟踪工资增长的混合资产组合所产生的风险调整后的超额回报。作者还分析了资产回报的宏观经济决定因素。最后,作者检验了实际工资增长率与实际净营业收入增长率之间是否存在因果关系。研究发现,低风险配置方式下,持有多户房产的收益最大。对于风险更高的策略,房地产的作用更弱,而且随着时间的推移变化很大。在21世纪的头20年里,持有房地产是最有利的。研究发现,多户住宅是唯一与工资增长呈正相关的资产类别。研究表明,净营业收入是工资与财产回报之间的传导渠道。本文评估了在旨在跟踪工资增长的投资组合背景下,养老基金对多户房产日益增长的兴趣是否有保证。独创性/价值使用长期数据可以使用滚动窗口方法,从而在典型的投资范围内考虑配置策略的多种结果。这使得我们可以评估业绩在几个时期的分散程度,而不是像文献中通常所做的那样只评估一个时期。研究结果表明,从过去二三十年的数据中得出的结论与早期的数据有很大的不同。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
The role of multi-family properties in hedging pension liability risk: long-run evidence
Purpose Using data spanning 145 years for Sweden, the authors investigate the benefits of holding multi-family properties for investors who aim to hedge wage growth. Design/methodology/approach The authors assess the risk-adjusted excess return that results from adding multi-family properties to a mixed-asset portfolio that aims to track wage growth. The authors also analyse the macroeconomic determinants of asset returns. Finally, the authors test whether a causal relationship exists between the growth rate of real wages and that of real net operating income. Findings The benefits from holding multi-family properties are the greatest for low-risk allocation approaches. For more risky strategies, the role of real estate is more muted, and it varies greatly over time. Holding real estate was most beneficial during the first two decades of the 21st century. Multi-family properties are found to be the only asset class to be positively related to wage growth. The authors show that the net operating income acts as the transmission channel between wages and property returns. Practical implications The paper assesses whether the growing interest of pension funds for multi-family properties is warranted in the context of a portfolio that aims to track wage growth. Originality/value Using long term data makes it possible to use a rolling windows approach and hence to consider multiple outcomes for an allocation strategy over a typical investment horizon. This permits to assess the dispersion of performance across several periods rather than just one as is commonly done in the literature. The results show that the conclusions that would be drawn from looking at the past two or three decades of data differ substantially from those for earlier time periods.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
CiteScore
3.50
自引率
23.10%
发文量
33
期刊介绍: Fully refereed papers on practice and methodology in the UK, continental Western Europe, emerging markets of Eastern Europe, China, Australasia, Africa and the USA, in the following areas: ■Academic papers on the latest research, thinking and developments ■Law reports assessing new legislation ■Market data for a comprehensive review of current research ■Practice papers - a forum for the exchange of ideas and experiences
期刊最新文献
Client influence or the valuer's behavior? An empirical study of listed companies' valuation in Taiwan The influence mechanism of real estate enterprises' status on debt default risk Exploring the predictive power of ANN and traditional regression models in real estate pricing: evidence from Prishtina Real Estate Insights Back to the basics of sustainability The role of multi-family properties in hedging pension liability risk: long-run evidence
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1