Macroeconomic risks and REITs : a comparative analysis

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dc.contributor.author Kola, Katlego Violet
dc.date.accessioned 2018-02-13T09:28:37Z
dc.date.available 2018-02-13T09:28:37Z
dc.date.issued 2016
dc.identifier.citation Kola, Katlego Violet (2016) Macroeconomic risks and REITs : a comparative analysis, University of the Witwatersrand, Johannesburg, <https://hdl.handle.net/10539/23850>
dc.identifier.uri https://hdl.handle.net/10539/23850
dc.description Thesis (M.M. (Finance & Investment)--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2016
dc.description.abstract 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. en_ZA
dc.format.extent Online resource (71 pages)
dc.language.iso en en_ZA
dc.subject.lcsh Real estate investment trusts
dc.subject.lcsh Risk management
dc.subject.lcsh Finance--Mathematical models
dc.subject.lcsh Stocks--Rate of return
dc.title Macroeconomic risks and REITs : a comparative analysis en_ZA
dc.type Thesis en_ZA
dc.description.librarian GR2018 en_ZA


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