Abstracts – Browse Results

Search or browse again.

Click on the titles below to expand the information about each abstract.
Viewing 4 results ...

Chiang, Y-H and So, J C K (2006) Devising a conducive regulatory framework for Hong Kong real estate investment trusts. Journal of Financial Management of Property and Construction, 11(02), 91–104.

Hui, E C M (2006) Intra-urban residential mobility and property markets: theory and evidence. Journal of Financial Management of Property and Construction, 11(02), 117–30.

Kern, A P and Formoso, C T (2006) A model for integrating cost management and production planning and control in construction firms. Journal of Financial Management of Property and Construction, 11(02), 75–90.

West, T and Worthington, A C (2006) Macroeconomic risk factors in Australian commercial real estate, listed property trust and property sector stock returns. Journal of Financial Management of Property and Construction, 11(02), 105–16.

  • Type: Journal Article
  • Keywords: Property returns; listed property trust; property stocks; market risk; interest rate risk; industrial production and construction activity
  • ISBN/ISSN: 1366-4387
  • URL: https://doi.org/10.1108/13664380680001083
  • 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.