عملکرد بازار شرکت و نوسانات در بخش ملی املاک و مستغلات

We present empirical evidence using daily data for stock prices for 17 real estate companies traded in the Sao Paulo, Brazil stock exchange, from August 26, 2006 to March 31, 2010. We use the U.S. house price bubble, financial crisis and risk measures to instrument for momentums and reversals in the domestic real estate sector. We find evidence of conditional premium persistence and conditional volatility persistence in the market. We find that the conditional risk-return relationship in the sector is consistent with the prospect theory of risk attitudes in this period. Certain companies seem to be operating on a perceived potential industry return above the target, while most others are below the target, and the whole sector is below target on average.

The real estate market in the U.S. has passed through a transformation in the last 30 years that made it one of the culprits of the recent financial crisis. In contrast, the real estate market of the country of Brazil has been booming in the last few years, most prominently recently, but at the same time has been very volatile. Thus, the financial crisis in the U.S. provides a fertile natural experiment to understand the economic influence of the U.S. in Brazil, in particular in the Brazilian real estate sector. Fig. 1 shows the daily evolution of several sector indices of the main Brazilian stock market in the period 2008–2010.2 The U.S. financial crisis has impacted all reported sector indices negatively with most bottoming around November 2008, at the height of the crisis. In particular, the real estate sector index was the hardest hit loosing almost 80% of its value between May and December 2008. A key question we are interested in is what shapes the market performance of firms in the real estate sector in Brazil.3 In order to answer this question we start with the standard Fama-French multi-factor model to explain the daily variation of firm market premiums in the Brazilian real estate sector. We expand the factor space to include momentum and reversals in the daily market variation. Firm financial multiples and other domestic factors have a potential influence in the firm market premium, and we include them as well. The novelty here is to condition the likelihood of momentums and reversals on U.S. risk factors and on the recent U.S. subprime lending and financial crisis. Our estimation of momentum, or boom probabilities; and reversals, or crash probabilities with U.S. risk, political and economic factors shows that many of those factors can significantly identify momentums and reversals in the Brazilian real estate sector. We find that conditional momentums and conditional reversals probabilities are significantly negatively correlated. The momentums are declining and flat during and after the U.S. crisis, while the reversals tend to increase after the U.S. crisis. We take those results as evidence that the U.S. factors provide a plausible exogenous identification of momentums and reversals in the daily variation of the real estate sector in the Brazilian capital market. In addition, we find that instrumented momentums are not correlated with the market premium, but reversals are. Hence, while downside risk from the U.S. in the real estate sector is part of the systematic risk of the market, upside risk is not in this period.4 We estimate several versions of the CAPM model with instrumented momentums and reversals. All specifications report the problem of potential strong persistence of premiums, and other unobservables captured by trend effects, which indicates that in the real estate sector in Brazil, the daily variation in premium is persistent and the potential for mispricing and opportunities for short term arbitrage are present. Momentums and reversals have a robust effect on the premium and the magnitudes of the β's are large, of an order of close to nine indicating the aggressiveness and risky behavior of the real estate sector in Brazil in this period. We also estimate conditional volatility of daily returns and find that distributed lagged volatility is positive and significant in predicting current volatility, and there are significant trend effects in volatility capturing unobservables. Overall, we find a significant amount of conditional heteroskedasticity in this market. When we relate the predicted premium and volatility from our estimates, both linearly and nonlinearly, we find a negative relationship between them in this market in this period. Thus, it reinforces the case that on a daily basis the market, on average, has opportunities for short term arbitrage. The introduction of domestic additional real estate multiples and domestic risk factors mildly mitigate the negative slopes, but does not revert it. A potential theory that explains this phenomenon is based on Kahneman and Tversky's (1979) prospect theory. In our sample of all real estate sector firms, the below target firms dominate the sector and the overall evidence is that the sector is below the perceived potential industry returns. On a company by company basis, certain companies seem to be operating on a perceived potential industry return above the target, while most others are below the target. The rest of the paper is organized as follows. In the next section we discuss some basic theoretical models and empirical evidence of relevance. Section 3 presents preliminary data. Section 4 is the core of the paper with estimates and results. Section 5 concludes and appendices provide data description and sources, and a description of each company in the sample.

In this paper, we condition the likelihood of both momentums and reversals in the real estate equity sector of Brazil on U.S. risk factors and on the recent U.S. subprime lending and financial crisis. Our estimation of momentum, or boom probabilities with U.S. risk, political and economic factors show that TED spreads, the 3-month certificate of deposit spread, the U.S. prime rate spread, Sharpe ratios of Nasdaq and of the Federal Funds rate and of the 3-month T-Bill rate, and the six month certificate of deposit spread, credit default swaps (CDS) of Citi Group have a statistically significant impact. On the political factors, the election of President Barack Obama has had a significant effect; and on the economic factors, the Case-Shiller house price index, the Economic Stimulus Act of 2008, and TARP (Troubled Asset Relief Program) have significantly impacted the probability of momentums in the Brazilian real estate sector. While reversals or crashes are slightly less sensitive to the U.S. factors in this sample period, the political economy factor of the election of Obama, the Bear Sterns event, the Housing and Economic Recovery act of 2008, the prime rate spread and 1-month certificate of deposit spread, and the Sharpe ratio of Nasdaq significantly impact the probability of reversals. Most importantly, we find that conditional momentums and conditional reversal probabilities are significantly negatively correlated. The momentums are declining and flat during and after the U.S. crisis, while the reversals tend to increase after the U.S. crisis. We take those results as evidence that the U.S. factors provide a plausible exogenous identification of momentums and reversals in the daily variation of the real estate sector in the Brazilian capital market. In addition, we find that instrumented momentums are uncorrelated with the market premium, but reversals are. Hence, while downside risk from the U.S. in the real estate sector is part of the systematic risk of the market, upside risk is not in this period. All our specifications report the problem of potential strong persistence of premiums in the CAPM and Fama-French models given the significance of the coefficient of the distributed lagged of the dependent variable, as well as trending effects. Brennan and Wang (2006) recently report results of identification of persistence in premiums with mispricing of stocks. In the real estate sector in Brazil, the daily variation is persistent indicating the potential for mispricing and opportunity for arbitrage. When instrumented by U.S. factors, momentums and reversals continue to have a robust effect on the premium and the magnitude of the β's are large, of an order of close to nine indicating the aggressiveness and risky nature of the real estate sector. We also estimate volatility conditional on all factors of the Brazilian economy and find that the distributed lagged volatility is positive and significant in predicting current volatility, thus indicating a significant amount of conditional heteroskedasticity in this market. In addition, there are significant trending effects in volatility as well. We use the conditional premiums and volatilities to construct a risk-return map for the real estate sector in Brazil in the late 2000's. We find a negative relationship between premium and volatility in this market in this period, indicating that on a daily basis the market, on average, has additional opportunity for short term arbitrage. The introduction of domestic additional multiples and domestic risk factors mildly mitigates the negative slope, but does not revert it. Our results can be interpreted in light of prospect theory of risk attitudes. The below target firms dominate the sector and the overall evidence is that the sector is below the perceived potential industry returns. On a company by company basis, a handful of companies seem to be operating on a perceived potential industry return above the target, while the majority of the companies are below target. There are several avenues for future research in this area. One would be to include a parameterization of the yield curve to get a better understanding of the effects of the cost of capital on the premium. Another would be to further investigate the risk and return characteristics of the firms in this sector, with particular attention to the potential connection of market returns to the actual prices of fixed assets offered by those firms.