حقوق صاحبان سهام و بازارهای درآمد ثابت به عنوان محرکان املاک واقعی تضمین شده

This paper re-examines the sensitivity and importance of interest rates and stock market price behavior on securitised property by decomposing their long-run impact between transient and permanent effects. This is achieved in a framework that accounts for endogenously determined structural breaks within the data. The results provide a different perspective on the relationship securitised property has with these markets and sheds new light on their long-run interaction. Once structural breaks are accounted for the results show that securitised property is driven by both interest rate and stock market changes, regardless of the type of securitised property being examined. Evidence also points to companies with increased debt-to-asset ratios and companies that are tax-exempt entities are still all influenced by both the equity and fixed income markets over the long-run period, although the influence these factors have do vary across time.

Current academic literature has produced a wealth of information on the inter-relationships that securitised property has with the fixed income and general equity markets. Given that securitised properties are listed on the stock exchange, one would expect the equity market to be driving property shares like all other common stocks. However, due to the underlying physical asset, arguments have regularly been put forward that securitised property will be more affected by interest rate changes than other types of equity holdings. Mortgage and loan rates set in the fixed income market, for example, can have a large effect on demand for both residential and commercial properties, and thereby prices. This will invariably lead to changes in securitised property value, which may otherwise behave very much like general stocks. Therefore, for securitised property, one might ask the question whether it more closely follows the fixed income or equity markets? This paper analyzes the above issue from a different contextual setting than has previously been attempted. By decomposing securitised property price behavior into components that are driven by interest rate and stock market price changes, an exact picture can be developed as to the importance that both of the explanatory factors have in driving the long-run trend of securitised property. Essentially, it will be possible to determine the relative importance of stock and interest rate movements in driving property price behavior. This will provide a unique outlook on the permanent and transient determination of prices for securitised property. In order to achieve this, cointegration tests that account for structural breaks by Inoue (1999) are combined with the methods proposed by Gonzalo and Granger (1995) to test for permanent and transitory components among error-corrected vector autoregressive systems. This is performed on several categories of US securitised real estate, including Equity Real Estate Investment Trusts (REITs) and Mortgage REITs, as well as property management companies (REMD). Consideration is also made for the debt-to-asset ratio of companies plus whether the company is a tax-exempt entity as these factors may all have a bearing on the relative significance the interest rate and stock markets have on the series. The rest of the paper is structured to first provide the reader, in the following section, with the background literature on previous research that examines the relationship the property market has with interest rate and stock market behavior. After this, Section 3 reviews the data and preliminary statistics, and contains details of the econometric methods applied in this study. Section 4 will discuss the empirical results along with showing a variance decomposition. This is followed by Section 5 which draws out some implications of the results for portfolio fund managers, investors and policy managers for securitised property companies.

This paper re-examined the relationship that securitised property shares with the general stock and bond markets. Previous literature has shown mixed results on the influence that equity and fixed income have over property, although a majority of studies have suggested the influence of interest rate movements have waned over the previous decade. However, we postulate that the influence of the fixed income market, and for that matter the stock market as well, is entrenched in driving long-run property prices, regardless of product category and debt/equity ratio. Once structural breaks are accounted for, property prices are shown to have a long-run cointegrative relationship with both the equity market and long-run interest rates. However, the structural dynamics of this relationship may change over time, which we show might be partially connected to changes in credit spreads. Conceivably, as credit spread risk increases, interest rate movements become more important. Due to the fact that until 1997 credit spreads were relatively low, some of the published literature noted a declining importance in interest rates determining property movements. This, however, does not infer that the long-run importance of the fixed income market has declined in setting property prices, but rather for varying periods of time the relative importance of various driving forces underpinning property value does change. The results of this study suggest that once structural breaks are taken into consideration, interest rate movements seem to be just as important, if not more so, in explaining variations in property prices. As this paper has shown, both the equity and fixed income markets are important, but with varying degrees of influence over time. This leaves open the possibility of further research to analyze in more depth the reasons behind how the change in influence of these two factors occurs over time. The inter-dependency between various macro-economic factors, interest rate volatility and even that of the direct property market would be likely contenders to shed further light on the shifting influence that the fixed income and equity markets have on securitised property.