Interest rate sensitivities of externally and internally managed Australian REITs

摘要: Real Estate Investment Trusts (REITs) in Australia experienced tremendous growth and investor interest following the crash of unlisted property funds 1990s. Since 2001, management structures have shifted from external to an internally advised model. The sector's returns had been notably rewarding up till Global Financial Crisis but rising costs debt years aggressive borrowing fund expansions eroded values REITs. Externally managed trusts relatively higher levels than their counterparts thus increasing sensitivities rate risks. Yet REITs engage a wider set operating activities which compound exposures market financial Using panel regressions, this paper aims examine joint impact leverage structure on REIT terms towards stock changes yields 10-year bonds 90-day bank accepted bills. We utilise sample period monthly data January 1980 March 2013. Panel quantile regressions are also employed analyse how risks, short long-term risks vary at different parts economic cycle. Our study finds that positively related effect is greater for with as well stapled trusts. only negatively affected by short-term rates lowest 5 per cent returns. Long-term inverse upper 75 95 quantiles. consider possibilities rental inflationary expectations may offset influences financing costs. Internal appears These implications investors looking select substitutes direct investments.