The Long-Run Performance and Driving Forces of Securitised Listed Property

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Conference Proceeding
PRRES Conference 2008 Website Papers, 2008, pp. 1 - 17
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In a comparison between Australian and United Kingdom property markets this article re-examines the long run performance of securitised property and its relationship with the equity and fixed income markets. The results show that Australian Listed Property Trusts perform very well in both high and low interest rate environments and total investment returns have remained relatively stable over the last decade. The study also indicates that the United Kingdom Real Estate Management & Development companies seem to perform better than their Australian counterparts. Cointegration test results provide a different perspective on the relationship securitised property has with the bond and equity markets, and sheds new light on their long-run interaction. For instance the outcomes suggest that, if structural breaks are taken into consideration, then it appears securitised Real Estate Management & Development properties are driven by both interest rate and stock market changes. Somewhat surprisingly the fixed income market is not a long-run driving force of Australian Property Trusts, even though they utilised more long-term debt to finance their business operations.
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