Please use this identifier to cite or link to this item:
Scopus Web of Science® Altmetric
Type: Journal article
Title: Equity and fixed income markets as drivers of securitised real estate
Author: Cheong, C.
Gerlach, R.
Stevenson, S.
Wilson, P.
Zurbrugg, R.
Citation: Review of Financial Economics, 2009; 18(2):103-111
Publisher: Elsevier BV, North-Holland
Issue Date: 2009
ISSN: 1058-3300
Statement of
Chee Seng Cheong, Richard Gerlach, Simon Stevenson, Patrick J. Wilson and Ralf Zurbruegg
Abstract: <jats:title>Abstract</jats:title><jats:sec><jats:label /><jats:p>This paper re‐examines the sensitivity and importance of interest rates and stock market price behavior on securitised property by decomposing their long‐run impact between transient and permanent effects. This is achieved in a framework that accounts for endogenously determined structural breaks within the data. The results provide a different perspective on the relationship securitised property has with these markets and sheds new light on their long‐run interaction. Once structural breaks are accounted for the results show that securitised property is driven by both interest rate and stock market changes, regardless of the type of securitised property being examined. Evidence also points to companies with increased debt‐to‐asset ratios and companies that are tax‐exempt entities are still all influenced by both the equity and fixed income markets over the long‐run period, although the influence these factors have do vary across time.</jats:p></jats:sec>
DOI: 10.1016/j.rfe.2008.03.002
Description (link):
Published version:
Appears in Collections:Aurora harvest 5
Business School publications

Files in This Item:
There are no files associated with this item.

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.