Macroeconomic risk factors in Australian commercial real estate, listed property trust and property sector stock returns

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Title Macroeconomic risk factors in Australian commercial real estate, listed property trust and property sector stock returns
Author West, Tracey; Worthington, Andrew Charles
Journal Name Journal of Financial Management of Property and Construction
Year Published 2006
Place of publication United Kingdom
Publisher Glasgow Caledonian University
Abstract This paper employs a Generalised Autoregressive Conditional Heteroskedasticity in Mean (GARCH-M) model to consider the effect of macroeconomic factors on Australian property returns over the period 1985 to 2002. Three direct (office, retail and industrial property) and two indirect (listed property trust and property stock) returns are included in the analysis, along with market returns, short, medium and long-term interest rates, expected and unexpected inflation, construction activity and industrial employment and production. In general, macroeconomic factors are found to be significant risk factors in Australian commercial property returns. However, the results also indicate that forecast accuracy in these models is higher for direct office, listed property trust and property stock returns and that the persistence of volatility shocks varies across the different markets, with volatility half lives of between five and seven months for direct retail and industrial property, two and three months for direct office property and less than two months with both forms of indirect property investment.
Peer Reviewed Yes
Published Yes
Publisher URI http://www.emeraldinsight.com/info/journals/jfmpc/jfmpc.jsp
Copyright Statement Copyright 2006 Emerald. This is the author-manuscript version of this paper. Reproduced in accordance with the copyright policy of the publisher. Please refer to the journal's website for access to the definitive, published version.
Volume 11
Issue Number 2
Page from 21
Page to 31
ISSN 1363-2175
Date Accessioned 2008-01-07
Language en_AU
Faculty Griffith Business School
Subject PRE2009-Finance
URI http://hdl.handle.net/10072/21847
Publication Type Journal Articles (Refereed Article)
Publication Type Code c1x

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