Analysing the relationship between global REITs and exchange rates: Fresh evidence from frequency-based quantile regressions

doi:10.47654/v25y2021i3p58-91

Cited by 20 publications

(6 citation statements)

References 79 publications

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“…It interacts with other giant REIT markets. As of 2021, it is ranked 10 th out of 22 on the Standard and Poor Global REIT index, ahead of other larger markets such as Germany, Spain, the Netherlands, and Malaysia (Ijasan, Owusu Junior, Tweneboah, Oyedokun, & Adam, 2021). In addition, Akinsomi (2022) cites that SA-REITs occupy the 21 st position out of 37 REIT markets across the globe on the FTSE EPRA NAREIT index series, which is an index that represents REITs globally in 2020.…”

Section: Conception Of Sa-reitsmentioning

confidence: 99%

Evaluating the financial performance of listed REIT firms in South Africa: A 7-step DuPont model technique

Ayaba,

Amo-Bediako,

Takawira

2023

IJAEFA

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This research paper presents empirical information about the use of the 7-step DuPont model in the context of publicly traded Real Estate Investment Trust (REIT) firms operating in South Africa. The DuPont model is a crucial paradigm for performance analysis, however, scholars have given its numerous parts varying ratings. As a result, it is now very necessary to examine it. The Generalized Least Square models (fixed effect and random effect) are used to evaluate the financial performance in a DuPont model context. The empirical study uses panel data from six REIT companies that are publicly traded on the Johannesburg Stock Exchange and spans the years 2005 through 2021. The findings of the study suggest a strong positive relationship between return on sales and return on equity. Additionally, a correlation was found, indicating a negative association between various operational items and return on equity. However, a notable positive correlation is shown between total asset turnover and return on equity. Contrary to the aforementioned findings, the fixed charge ratio, tax return, equity multiplier, as well as sales and management expenses, all reported an insignificant association with return on equity. The study avows that the seven-step DuPont model is the most appropriate model for assessing performance as it better explains the performance of listed REIT companies in South Africa. It may be inferred that the seven-step DuPont model provides a more comprehensive explanation of parameters associated with firms.

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Section: Conception Of Sa-reitsmentioning

confidence: 99%

Evaluating the financial performance of listed REIT firms in South Africa: A 7-step DuPont model technique

Ayaba,

Amo-Bediako,

Takawira

2023

IJAEFA

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“…The results of the empirical study of Sumer and Özorhon (2020) exhibited that the REIT index return rate is affected by exchange rates, while returns on a direct property (housing) did not experience any statistically significant effect of exchange rates. Ijasan et al (2021) claim that increasing appetite for the combination of REITs and currencies in an investor's portfolio rises interest in examining this relationship as well.…”

Section: Reits' Relation To Exchange Ratementioning

confidence: 99%

“…the equity market index; short-and long-term interest rates and the consumer price index (CPI). Ijasan et al (2021) used the Ensemble Empirical Model Decomposition (EEMD) method to decompose REITs' returns into three-time scales: short-term, medium-term, and long-term, by performing a quantile-quantile regression analysis.…”

Section: Regression Analysismentioning

confidence: 99%

Further evidence on the determinants of REITs performance

Cohen,

Burinskas

2023

29th Annual European Real Estate Society Conference

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Real estate investment trusts (REITs) are widely used as a part of investment diversification opportunities of physical assets among investors. A number of studies on macroeconomic determinants suggest certain commonalities in commercial property market returns, which are driven by macroeconomic factors. This paper extends the range of common macroeconomic factors of REITs introduced by the existing literature. This paper outspreads the perspective of REITs analysis by employing up to 17 indicators in total that include not only usually used variables (GDP growth, CPI, equity markets indicators) but also new ones (among them with more significant relationships: business cycle, bond yields, PPI, industry production, credit for the private sector, hourly earnings for manufacturing, construction volumes, and building permits). We combine OLS regression (including time lags) with Granger causality and ARDL analysis to obtain more robust results. In the latter case, we identify the short and long-run relationship between EPRA and extended macro drivers. Our results confirm well-established relationships between EPRA, equity price growth, CPI, bond yields, and GDP. They also suggest the countercyclical behavior of EPRA, its negative relationship with PPI, industry variables, credit for the private sector and hourly earnings for manufacturing. However, it demonstrates a positive correlation between construction and residential building permits. The same results are obtained for short-and long-term perspectives. Furthermore, we demonstrate that including these new variables in the model increases its forecasting accuracy. Overall, our research contributes to an existing methodology of forecasting REITs' performance broadening the list of important macroeconomic variables that should be included in estimation of REIT's performance.

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“…In this respect, an increasing empirical literature explores the linkage between the REIT market and other financial markets, such as oil (Fasanya & Oyewole, 2023; Mensi, Nekhili, & Kang, 2022; Mensi, Reboredo, et al, 2022; Nazlioglu et al, 2016), gold (Chan et al, 2011; Mensi, Reboredo, et al, 2022; Yunus, 2020), bond (Chan et al, 2011; Raza et al, 2018; Yunus, 2020), foreign exchange (Ijasan et al, 2021; Raheem et al, 2022), and stock (Caporin et al, 2021; Chan et al, 2011; Yunus, 2020) markets. For example, Nazlioglu et al (2016) examine the impacts of crude oil price shocks on the performance of six major REITs namely Residential, Hotel, Healthcare, Retail, Mortgage, and Warehouse/Industrial REITs as well as the causalities among these markets.…”

Section: Introductionmentioning

confidence: 99%

Asymmetric volatility transmission and hedging strategies among REIT, stock, and oil markets

Mensi,

Jiang,

et al. 2023

Australian Economic Papers

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How do price fluctuations in the real estate investment trust (REIT) market relate to price fluctuations in other financial markets, such as the stock and commodity markets? In order to grasper this topic, we examine the transmission of shocks and volatility spillover among the REIT, stock, and oil markets using a trivariate asymmetric GARCH model with BEKK specification. The empirical results indicate that there exists shock transmission from REIT to the oil markets and from the stock market to both the oil and REIT markets. The results also show that the volatility of the REIT market is transmitted to both oil and stock markets. Conditional correlations among the volatility of these markets are dynamic and crisis‐sensitive. The correlations are positive between the volatility of stock and both REIT and oil markets. However, equity investors should be more interested in adding REIT assets to equity portfolios than oil futures to minimise risk, without reducing expected returns.

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Analysing the relationship between global REITs and exchange rates: Fresh evidence from frequency-based quantile regressions

Abstract: Purpose: This paper investigates the asymmetric dependence structure between real estate investment trusts (REITs) and currencies from Europe, North America, Asia, and Australasia.

Cited by 20 publications

References 79 publications

Evaluating the financial performance of listed REIT firms in South Africa: A 7-step DuPont model technique

Evaluating the financial performance of listed REIT firms in South Africa: A 7-step DuPont model technique

Further evidence on the determinants of REITs performance

Asymmetric volatility transmission and hedging strategies among REIT, stock, and oil markets

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