全球房地产投资信托基金市场中的美国期限结构和收益波动

Q2 Decision Sciences Advances in Decision Sciences Pub Date : 2020-01-01 DOI:10.47654/v24y2020i3p84-109
Rıza Demirer, Rangan Gupta, Asli Yuksel, Aydin Yuksel
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引用次数: 0

摘要

本文通过将美国国债收益率的期限结构分解为反映预期因素和期限溢价的两个组成部分,考察了房地产投资信托基金(REITs)市场上美国利率期限结构的信息含量。我们表明,即使在控制股票市场交易活动之后,美国收益率曲线的预期因素组成部分对REIT股票的回报波动具有显著的解释力,无论是在美国还是在全球。预期因素通常对房地产投资信托基金市场波动有积极影响,对美国和日本的房地产投资信托基金影响更为显著,这凸显了全球融资条件(通过预期短期利率)对房地产市场回报波动的作用。然而,比较全球危机前后时期的研究结果,我们发现美国期限结构在很大程度上失去了对全球REIT市场的解释力,这意味着在全球危机后时期的影响基本上不显著。调查结果突显了2018年全球信贷紧缩后房地产投资信托基金(REIT)投资动态的变化,这可能是由于全球房地产行业投资放缓,并表明投资者将不得不更多地关注推动这些市场的特殊风险因素。
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The US Term Structure and Return Volatility in Global REIT Markets
This paper examines the information content of the U.S. term structure of interest rates on the market for real estate investment trusts (REITs) by decomposing the term structure of U.S. Treasury yields into two components that reflect the expectations factor and the maturity premium. We show that the expectations factor component of the U.S yield curve has significant explanatory power over return volatility in REIT stocks, both in the U.S. and globally, even after controlling for stock market trading activity. The expectations factor is generally found to have a positive effect on REIT market volatility, more significantly for the U.S. and Japanese REITs, highlighting the role of global funding conditions (via expected short rates) on return fluctuations in real estate markets. Comparing the findings for the pre- and post-global crisis periods, however, we find that the U.S. term structure has largely lost its explanatory power over global REIT markets, implied by largely insignificant effects during the post-global crisis period. The findings highlight the changing dynamics in REIT investments in the aftermath of the 2018 global credit crunch, possibly due to the slowdown of investments in the real estate sector globally, and suggest that investors will have to focus more on the idiosyncratic risk factors that drive these markets.
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来源期刊
Advances in Decision Sciences
Advances in Decision Sciences Mathematics-Applied Mathematics
CiteScore
4.70
自引率
0.00%
发文量
18
审稿时长
29 weeks
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