房地产投资信托基金的收益影响因素分析——以香港为例

研究房地产投资信托基金（REITs）的收益影响因素,首先针对REITs特点计算其收益水平,并从宏观、中观和微观三个角度出发,建立房地产投资信托基金影响因素的指标体系;再以香港REITs的季度数据为研究对象,利用REITs产品的收益水平与影响因素数据进行数据处理与分析;最终建立VAR模型,并进行方差分解与脉冲响应分析,揭示不同影响因素对REITs收益的影响程度与特点。     

房地产投资信托制度(REITs)风险之法律规制与运营控制

房地产投资信托制度(REITs)中的风险问题,是任何一个研究REITs的理论界或实务界人士都必须回答的问题。在规制REITs风险的方法中,主要分为两种:最直接的处理风险问题的方法是由美国《投资公司法案》控制债务杠杆;而其它法规对REITs风险的规制,则是较为间接的控制风险的方法。伞型合伙(UPREITs)结构的风险,美国财政部和国家税务局IRS的相关法规可对此进行规制。下属合伙(DOWNREITs)结构的风险则可以采用三种运营方式予以控制。     

新时代保障性住房发展模式的分析与建议

保障性住房作为我国一种重要的社会保障方式,从需要与供给的角度来看,保障性住房的供给依然不能满足社会需求,依然需要加大建设力度。文章通过对我国保障性住房政策、发展历程的分析与研究,以保障性住房所面临的问题为剖析点,详细的分析了PPP、REITs等模式在保障性住房领域发展的可能性。     

Conditional Volatility of Equity Real Estate Investment Trust Returns: A Pre- and Post-1993 Comparison

We examine the dynamic behavior of Equity Real Estate Investment Trust (EREIT) volatility in a GARCH context 1972–2006 using monthly EREIT returns, and comparing volatility performance for “early” Equity REITs 1972–1992 with that of “modern” EREITs 1993–2006. Consistent with findings for conventional firms, we find that EREIT conditional volatility is time-varying, persistent, and predictable. There is a positive relationship between expected return and expected risk in EREIT stocks pre-1993, but the relationship disappears after 1993. We find no evidence that negative shocks affect EREIT volatility differently from positive ones in either time period. Different from reported results for conventional firms, we find that changes in the conditional volatility of fundamental macroeconomic variables have strong explanatory value for future changes in EREIT volatility. Finally, comparing EREIT volatility performance with volatility in the Russell 2000 Index, a proxy for small stocks, we find that EREIT volatility behaves differently from that of small stocks in many respects, indicating that risks in the small stock index cannot effectively proxy for risks in the EREIT market.

中国房地产投资信托模式探讨

本文基于中国房地产业直接融资比例偏低的现状,结合境外直接融资工具REITs的市场准入条件及发展经验,对国内发行REITs进行了可行性及运作思路的探讨,旨在使REITs能成为对中国房地产业发展提供规模更大的直接融资支持。     

Macroeconomic risks and REITs returns: A comparative analysis

We study the relationship between the excess returns of REITs and volatilities of macroeconomic factors in developing markets (Bulgaria and South Africa) and a ‘benchmark’ developed market (USA). As expected, our results generally indicate that conditional volatilities of macroeconomic risks, extracted through the GARCH (1,1) process, are time-varying. GARCH coefficients are largely significant for excess returns and retained principal components implying conditional time-varying volatility. We use the GMM to examine the linkage between volatilities of macroeconomic variables and REITs returns. The general result here is that macroeconomic risk cannot explain excess returns on REITs. However, we document a positive relationship between variability in REITs returns and the real economy for the US. US REITs portfolio managers and investors should be wary of fluctuations in these variables as they may accentuate volatility in REITs returns.     

The Variation of Economic Risk Premiums in Real Estate Returns

We examine the predictable components of returns on stocks, bonds, and real estate investment trusts (REITs). We employ a multiple-beta asset pricing model and find that there are varying degrees of predictability among stocks, bonds, and REITs. Furthermore, we find that most of the predictability of returns is associated with the economic variables employed in the asset pricing model. The stock market risk premium is highly important in capturing the predictable variation in stock portfolios, and the bond market risk premiums (term and risk structure of interest rates) are important in capturing the predictable variation in bond portfolios. For REITs, however, both the stock and bond market risk premiums capture the predictable variation in returns. REITs have comparable return predictability to stock portfolios. We conclude that there is an important economic risk premium for REITs that are not captured by traditional multiple-beta asset pricing models.     

An Analysis of Seasoned Equity Offerings by Equity REITs, 1991 to 1995

This article examines the valuation effect around the filing and offer dates of seasoned equity offerings by Equity REITs over the period 1991 to 1995. Based on a much larger sample, our finding of a significantly negative reaction to filing announcements corroborates the evidence in Howe and Shilling (1988). Our analyses indicate that the valuation effect is impacted more by the information content of the filing than any tax-based explanations. We find a significantly negative valuation effect on the offer day as well. The effect persists even after adjustment of returns by the bid-ask bounce induced by excessive selling of shares in the secondary market by institutional investors to take advantage of offer price discounts. While we attribute the result partly to order flow imbalance around the offer day, this finding is inconsistent with extant literature merits and further investigation.     

Credit Availability and Asset Pricing Dynamics in Illiquid Markets: Evidence from Commercial Real Estate Markets

This article examines credit frictions and asset pricing in public and private markets with varying liquidity. We find that a tightening in credit availability is negatively related to subsequent price movements in private and public commercial real estate markets. Assets trading in illiquid segments of these markets are also susceptible to a feedback effect whereby changes in asset prices predict subsequent changes in credit availability. Controlling for investor demand, our findings suggest credit constraints play an economically significant asset pricing role in markets that are both highly levered and relatively illiquid.