Equity and fixed income markets as drivers of securitised real estate

Cheong, C; Gerlach, R; Stevenson, S; Wilson, PJ; Zurbruegg, R

Equity and fixed income markets as drivers of securitised real estate

Cheong, C Gerlach, R Stevenson, S Wilson, PJ Zurbruegg, R

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Publisher:: Elsevier
Publication Type:: Journal Article
Citation:: Review of Financial Economics, 2009, 18 (2), pp. 103 - 111
Issue Date:: 2009-01

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Field	Value	Language
dc.contributor.author	Cheong, C	en_US
dc.contributor.author	Gerlach, R	en_US
dc.contributor.author	Stevenson, S	en_US
dc.contributor.author	Wilson, PJ	en_US
dc.contributor.author	Zurbruegg, R	en_US
dc.date.issued	2009-01	en_US
dc.identifier.citation	Review of Financial Economics, 2009, 18 (2), pp. 103 - 111	en_US
dc.identifier.issn	1058-3300	en_US
dc.identifier.uri	http://hdl.handle.net/10453/10071
dc.description.abstract	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.	en_US
dc.publisher	Elsevier	en_US
dc.relation.ispartof	Review of Financial Economics	en_US
dc.relation.isbasedon	10.1016/j.rfe.2008.03.002	en_US
dc.subject.classification	Finance	en_US
dc.title	Equity and fixed income markets as drivers of securitised real estate	en_US
dc.type	Journal Article
utslib.citation.volume	2	en_US
utslib.citation.volume	18	en_US
utslib.for	150201 Finance	en_US
utslib.for	1402 Applied Economics	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.consider-herdc	true	en_US
pubs.issue	2	en_US
pubs.volume	18	en_US

Abstract:

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.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/10071