International Articles: Securitized Real Estate and Its Link with Financial Assets and Real Estate: An International Analysis

摘要: Abstract This paper provides cross-country evidence of the link between securitized real estate and stocks, bonds, direct estate. First, behavior betas in sixteen countries is examined then causes their variation are identified. Second, returns regressed on "pure" stock, bond, factors. The generally found to decrease over 1990-2004 period, but for such decline differ across countries. Securitized be positively associated with stock returns, negatively related bond returns. Financial assets contribute greatly variance estate, while impact limited. However, a large fraction not accounted by these factors, especially United States, which suggests that other factors at play. (ProQuest: ... denotes formulae omitted.) With market capitalization estimated USD 800 billion as end 2005 (Brounen, Ling, Eichholtz, 2006), importance an asset class has grown considerably. Accordingly, much research been devoted studying unmasking driving publicly traded estate.1 As any class, there many important reasons return generating process examine whether can forecasted (Liu Mei, 1992; Bharati Gupta, Brooks Tsolacos, 2003), ascertain diversification benefits (Mull Soenen, 1997; Gordon, Canter, Webb, 1998), analyze inflationhedging effectiveness vehicles (Liu, Hartzell, Hoesli, Adrangi, Chatrath, Raffiee, 2004). aims this twofold. first objective expand investigation done Khoo, Hoesli (1993) investment trust (REIT) States employing similar procedure from 1990 2004 providing analysis underlying variations betas. expands Clayton MacKinnon's (2003) work ''pure factors'' explaining doing five In sum, seeks literature depicting dynamics underpin different markets if previous findings U.S. generalized markets. organized follows. discussion estate's hybrid nature securities. presentation methodologies employed data, respectively, followed results. Finally, closes concluding remarks. Literature Review An question addressed concerning or outperforms classes. Chan, Hendershott, Sanders (1990), Glascock (1991), Peterson Hsieh (1997) find REITs do display higher risk-adjusted respect stocks. On international basis, result confirmed Ling Naranjo (2002). Contrasting provided Liu Mei (1992) who show riskadjusted EREITs outperform caps small caps, bonds. Lying probably settling differences, Chen, Hsieh, Jordan derive Jensen measure each EREIT using excess conclude investments during some periods always. To better understand time-varying constitutes another stream research. …