短期动态的澳大利亚房地产投资信托和直接房地产在分部门水平

IF 1.6 Q3 BUSINESS, FINANCE Journal of Property Investment & Finance Pub Date : 2020-12-01 DOI:10.1108/jpif-08-2020-0088
James Giannarelli, P. Tiwari
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引用次数: 0

摘要

目的本文考察了澳大利亚房地产投资信托基金(A-REITs)与直接房地产回报之间的短期关系,包括商业房地产部门和一级和二级基础,即分部门基础。设计/方法论/方法论采用两步方法论。首先,我们确定了A-REITs和每个商业地产子部门之间的动态相互依存关系,以确定A-REITs的回报率是领先于每个子部门,还是相反。其次,这些资产回报之间的短期偏差是通过衡量他们对预计影响这些回报的关键经济和金融市场因素变化的个人反应行为来估计的。研究结果表明,鉴于每个一级和二级商业地产回报序列的行为不同,每个子部门与a-REITs都有着独特的关系。一些房地产分部门的回报可以通过A-REIT回报的变化来预测,而另一些房地产的回报则独立于A-REITs的变化。同样,一些子部门为了应对某些市场因素的变化而与A-REITs合作,而另一些则有所不同。因此,这些发现对基金经理和投资组合选择具有实际意义,因为每个商业部门都体现了其对A-REITs的敞口和对市场力量的脆弱性。为应对某些市场力量而与A-REITs合作的子公司可以用作投资组合中的替代品。或者,因市场力量而偏离A-REITs的子部门在合并时可能会提供多样化的好处。实际含义这些发现超越了现有研究,在收购层面提供了关键的决策指导,因为基金经理可能会更仔细地考虑特定商业部门内的一级或二级房产可能对由澳大利亚公共和私人房地产组成的投资组合产生的影响。最终,可以进行更知情的收购,因为考虑到房地产的资产级别,可以更深入地了解房地产的风险状况及其对投资组合的预期短期影响。独创性/价值本文通过在子部门层面衡量房地产投资信托和房地产动态,扩展了以前主要关注总回报或行业层面回报的研究,不仅在投资组合层面,而且在收购层面(基金经理的关键决策阶段)具有重要的现实意义。这也是第一篇在澳大利亚行业层面研究房地产投资信托和房地产因果关系以及对市场因素变化的反应模式的论文。
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The short-run dynamics of Australian real estate investment trusts and direct real estate at the subsector level
PurposeThis paper examines the extent of the short-run relationship between Australian real estate investment trusts (A-REITs) and direct real estate returns on both a commercial property sector and a prime and secondary grade basis, i.e. a subsector basis.Design/methodology/approachTwo-step methodology is used. First, we identify the dynamic interdependencies between A-REITs and each commercial property subsector to determine whether the returns of A-REITs lead each subsector or vice versa. Second, short-run deviations between these asset returns are estimated by measuring their individual response behaviours to changes in key economic and financial market factors that are expected to influence these returns.FindingsResults suggest that each subsector shares a unique relationship to A-REITs, given each prime and secondary grade commercial property return series varies in behaviour. Some property subsector returns can be predicted by movements in A-REIT returns, whereas returns for others move independent to changes in A-REITs. Similarly, some subsectors commove with A-REITs in response to changes in certain market factors, whereas others diverge. As such, these findings have practical significance to fund managers and portfolio selection, as each commercial subsector embodies its own exposure to A-REITs and vulnerabilities to market forces. Subsectors that commove with A-REITs in response to certain market forces may be used as substitutes in a portfolio. Alternatively, subsectors that diverge from A-REITs in response to market forces may offer diversification benefits when combined.Practical implicationsThese findings extend beyond existing research to offer critical decision-making guidance at the acquisition level, as fund managers may more closely consider the impact that prime or secondary grade properties within a given commercial sector may have on a portfolio that consists of public and private Australian real estate. Ultimately, a more informed acquisition may be carried out as consideration of a property's asset grade allows for a deeper insight into the property's risk profile and its anticipated short-run impact on a portfolio.Originality/valueThis paper extends previous studies that focus mostly on aggregate or sector-level returns by measuring REIT and real estate dynamics at the subsector level, allowing for practical significance at not only the portfolio level but crucially at the acquisition level, a pivotal decision-making stage for fund managers. This is also the first paper to study REIT and real estate causality and response patterns to changes in market factors at the Australian sector level.
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来源期刊
CiteScore
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自引率
23.10%
发文量
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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
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