Submitted in partial fulfilment of the requirements for the degree of Masters of Management in Finance and Investments In the Faculty of Commerce, Law and Management University of the Witwatersrand, Wits Business School, 2016 / This paper presents a first time application of a variant of the concepts underpinning the Fed Model, amalgamated with the Bond-Stock Earnings Yield Differential, by applying it to the dividend yields of REIT indices. This modification is termed the yield gap, quantitatively constructed and adapted in this paper as the Reverse REIT-Bond Yield Gap. This metric is then used as the variable of interest in a multivariate Markov regime switching model framework, along with a set of three regressors. The REIT indices trailing dividend yield and associated metrics are the FTSE/EPRA NAREIT series. All data are from Bloomberg Terminals. This paper examines 11 markets, of which the EMEs are classified as Brazil, Mexico, Turkey and South Africa, whereas the advanced market counterparts are Australia, France, Japan, the Netherlands, Singapore, the United Kingdom, and the United States. The time-frame spans the period June 2013 until November 2015 for the EMEs, whilst their advanced market counterparts time-span covers the period November 2009 until November 2015. This paper encompasses a tri-fold research objective, and aims to accomplish them in a scientifically-based, objective and coherent fashion. Specifically, the purpose is in an attempt to gauge the reasons underlying EMEs observed anomalies entailing reverse REIT-Bond yield gaps, whereby their tenyear nominal government bonds out-yield their trailing dividend yields on their associated REIT indices; what drives fluctuations in this metric; and whether or not profitable tactical asset allocation strategies can be formulated to exploit any arbitrage mispricing opportunities. The Markov models were unable to generate clear-cut, definitive reasons regarding why EMEs experience this anomaly. Objectives two and three were achieved, except for France and Mexico. The third objective was also met. The REIT-Bond Yield Gaps static conditions have high probabilities of continuing in the same direction and magnitude into the future. In retrospection, the results suggest that by positioning an investment strategy, taking cognisance of the chain of economic events that are likely to occur following static REIT-Bond Yield Gaps, then investors, portfolio rebalancing and risk management techniques, hedging, targeted, tactical and strategic asset allocation strategies could be formulated to exploit any potential arbitrage profits. The REIT-Bond Yield Gaps are considered highly contentious, yet encompasses the potential for significant reward. The Fed Model insinuates that EME REIT markets are overvalued relative to their respective government bonds, whereas their advanced market counterparts exhibit the opposite phenomenon. / XL2018

Thesis (M.M. (Finance & Investment)--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2016 / Purpose - The paper provides an investigation of the relationship of macroeconomic risk factors and REITs. The study considers the conditional volatilities of macroeconomic variables on the excess returns and conditional variance of excess returns in developing and developed markets and provides a comparison thereof. Methodology approach - The study employs three-step approach estimation in the methodology (Principal Component Analysis, GARCH (1,1) and GMM) to estimate the asset pricing model. The preliminary study indicated that there are only two developing economies (Bulgaria and South Africa), as defined by National Association of Real Estate Investment Trust (NAREIT), with REIT indices. We additionally included the United States as the developed economy. Findings – Our results indicate that the real economy and business cycles (proxied by GDP growth rate and industrial production index), price stability (proxied by the GDP deflator), exchange rates and interest rates do not explain developing country REIT returns represented by Bulgaria and South Africa, as well as in developed markets, represented by the US. However unlike the developing markets, changes in industrial production and inflation are important variables that affect the conditional variance of REIT returns in the US. / GR2018

<p>Title: Investigations on the real estate market, what are the main factors influencing the performance of the French Real Estate Investments Trusts?</p><p>Problem: In 2003, the French government implemented a new tax-exempt structure in the real estate market. Like REITs in the United States, SIICs are listed French companies that aim to improve the performance of real estate stocks on Paris Stock Exchange. The problem consists of determining the performance of the SIICs’ portfolio, identifying the major influences of economic factors and capturing financial behaviour in asset portfolio management.</p><p>Purpose: Recently, the subprime crisis has largely brought out uncertainty of financial actors in the real estate sector. In this context, we try to apprehend the performance of these specific</p><p>SIICs investment vehicles related to financial, economic and managerial influences, by quantifying their stock performance in a five-year time frame.</p><p>Methodology: A deductive approach guides our thesis to emphasize our research question. Our business strategy entails positivism and objectivism considerations and relies on a case analysis research design using the multifactor model. Besides, the data collection process is following a quantitative approach of twenty chosen French SIICs between 2003 and 2007.</p><p>Result / Conclusion: Even if the multifactor model used by the authors may be viewed as unspecified, useful results can still be extracted and analysed. The hotel & LDG sector slightly performs better than others depending on the strategy of investment and the state of economy. Long-term interest rate acts as the principal explanatory factor. Investors do not necessarily respond in favour of the general market confidence indicator.</p>

This study measures the short-term and long-term contagion effects in U.S. stock markets and REITs (Real Estate Investment Trusts) markets during the periods of subprime mortgage and financial crises. First, we test contagion between the U.S. stock market and the U.S. REITs market. Then, we test the contagion effects between the U.S. REITs market and eighteen international REITs markets, selected from North America, Oceania, Asian and Europe. To catch the asymmetric effect in the volatility structure of index returns and consider the time-varying data, this study employs asymmetric dynamic Copula models that measure contagion effects. The test result in this study shows that the contagion effect exists because of the fact that during the subprime mortgage crisis, the correlation between the U.S. stock market and REITs market significantly increased. Thus, the two markets lost ground together. While managing not to emerge in Asian REITs markets, the contagion then spread from the U.S. REITs market to Canada, Australia and most of the European REITs markets. In the later financial crisis period, however, the number of European REITs markets impacted by contagion from the U.S. REITs market decreased. Except for Singapore, contagion is absent from the Asian REITs markets. Contagion is more obvious in the short term than in the long term. These results imply that the Asian REITs markets are not easily affected by the U.S. REITs market, which in turn implies that investors could obtain the positive effects of international diversification by investing in this portfolio. In addition, investors should reduce the proportion of their investments placed in REITs markets, as well as focus on a long-term diversification strategy.

published_or_final_version / Housing Management / Master / Master of Housing Management

The purpose of this study is to access the development of The Link REIT as a kind of REITs in Hong Kong. By evaluating the performance of The Link REIT, its shopping centres and the customer satisfaction, implication of The Link's management to the REIT, the shopping centres and even the society were identified. In this research, the evaluation for performance of The Link REIT would be divided into three scopes. Firstly, the performance of REIT would be evaluated by analyzing the indices. Secondly, the attributes of The Link's shopping centres would be evaluated by analyzing the determinants of rental income. Last but not least, customer satisfaction would be evaluated by measuring the service quality based on SERVQUAL instrument. The first two scopes of evaluation would be mainly based on the secondary data. Primary data obtained by questionnaire survey would be collected for the evaluation of customer satisfaction. After collecting and analyzing all data, position impacts of The Link's management was identified to the performance of REIT and the attributes of its shopping centres. In contrary on the first two evaluations, customers including both of the visitors and tenants were found dissatisfied to the empathy attributes of The Link's shopping centres. The customer expectation valued greater than the customer perception. In other words, The Link failed to understanding or providing what customers need. Upon conducting the regressive analysis of the secondary data, contradiction between the development of The Link and public expectation was finally concluded. The Link aimed at maximizing the interest or benefits for the shareholders while visitors or tenants requested The Link to ensure the low price of products and low rental charge. In considering the historical responsibility of HKHA, The Link was being over-expected in performing its social responsibility. To be a responsible asset manager and also a social company, recommendation or suggestions were made based on the analysis. / published_or_final_version / Housing Management / Master / Master of Housing Management

Financial contagion, in this study, refers to spreading of crisis across markets in different locations. The observable consequence is usually in the form of increase in co-movement of asset prices in two markets after a crisis event. The causes of financial contagion have been studied for over twenty years, however, up till now, results have been mixed. One unsettled issue is whether market fundamentals alone can explain financial contagion. Pure fundamental based explanation suggests that the financial, economic and trade linkages are solely responsible for the transmission of crisis across markets. On the other hand, the behavioral finance researchers propose that herding behavior also plays an important role in explaining financial contagion. This issue cannot be easily resolved since it is difficult to empirically distinguish linkage effect and herding behavior. This thesis contributes to this unresolved issue by examining financial contagion in the stock market and indirect real estate market. In the stock market, both fundamental linkages and herding are likely to exist. However some securities are less prone to herding than others. Herding across international markets is likely to be less serious when there is less information asymmetry between investors and management. In addition, compared with foreign investors, local investors are more confident in the link between market fundamentals and the corresponding securities. Real Estate Investment Trusts (REITs) are likely to suffer from less information asymmetry problem since the REITs market has more stringent regulatory requirements for information disclosure. Furthermore, the pricing of real estate asset, the main type of assets held by the REITs, often requires local knowledge. Local investors investing in REITs are less likely to mimic the investor behavior in another overseas REITs market. Listed property companies also share some similarities with REITs, although they are less immune to herding compared with REITs as information disclosure is less stringent for listed property companies. Since the asset prices of real estate are affected by the economic performance, fundamental linkages amongst all indirect real estate still likely to exist and are similar to other types of listed companies. If market fundamental is the only source of financial contagion (i.e. no herding), financial contagion in the global stock and indirect real estate markets should be similar. This thesis uses the 2008 global financial crisis (GFC) as the crisis event to examine financial contagion across the world’s major equity markets. Our empirical results show that financial contagion is stronger in the entire stock markets than in the indirect real estate markets and that financial contagion is the weakest in the REITs markets, which support the herding behavior hypothesis and reject the pure fundamental explanation. This reasoning does not require indirect real estate to be totally immune from herding. All that is needed is that indirect real estate is less prone to herding compared with the common stocks. Herding behavior can be rational or irrational. The latter refers to revision of asset prices by following the pricing behavior of other markets irrespective of market fundamentals. Our empirical evidence cannot reject irrational herding behavior in the indirect real estate market since contagion effect becomes stronger when windows of observations are lengthened. That is when more time was allowed for investors to react to the pricing behaviors in other markets, financial contagion became stronger. However, no similar results were found in the stock market. This impl\ies that compared with the indirect real estate market, herding is more serious in the stock market but such herding is also more rational than that in the indirect real estate market. / published_or_final_version / Real Estate and Construction / Master / Master of Philosophy

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Title: Investigations on the real estate market, what are the main factors influencing the performance of the French Real Estate Investments Trusts? Problem: In 2003, the French government implemented a new tax-exempt structure in the real estate market. Like REITs in the United States, SIICs are listed French companies that aim to improve the performance of real estate stocks on Paris Stock Exchange. The problem consists of determining the performance of the SIICs’ portfolio, identifying the major influences of economic factors and capturing financial behaviour in asset portfolio management. Purpose: Recently, the subprime crisis has largely brought out uncertainty of financial actors in the real estate sector. In this context, we try to apprehend the performance of these specific SIICs investment vehicles related to financial, economic and managerial influences, by quantifying their stock performance in a five-year time frame. Methodology: A deductive approach guides our thesis to emphasize our research question. Our business strategy entails positivism and objectivism considerations and relies on a case analysis research design using the multifactor model. Besides, the data collection process is following a quantitative approach of twenty chosen French SIICs between 2003 and 2007. Result / Conclusion: Even if the multifactor model used by the authors may be viewed as unspecified, useful results can still be extracted and analysed. The hotel &amp; LDG sector slightly performs better than others depending on the strategy of investment and the state of economy. Long-term interest rate acts as the principal explanatory factor. Investors do not necessarily respond in favour of the general market confidence indicator.

Thesis (Ph.D.)--Mississippi State University. Department of Finance and Economics. / Title from title screen. Includes bibliographical references.