3. Electronic Theses and Dissertations (ETDs) - All submissions
Permanent URI for this communityhttps://wiredspace.wits.ac.za/handle/10539/45
Browse
6 results
Search Results
Item Analysing the influence that macroeconomic factors have on the returns of South African real estate investment trusts(2022) Taylor, JaneReal estate investment trusts (REITs) have become a popular investment vehicle for investors seeking to gain exposure to the real estate market. The South African REIT regime came into effect on 1 May 2013 and since then, the South African REIT market has been characterised by notable return volatility. This raises the question as to whether changes in key macroeconomic factors influence South African REIT returns, and if so, to what extent do changes in macroeconomic factors have on the returns of South African REITs. Notably, limited empirical research has been conducted to analyse the impact that macroeconomic factors have on South African REIT returns. As such, the aim of this study is to analyse the influence that economic growth, inflation, interest rates, and the stock market have on the returns of South African REITs. Particularly, the overall South African REIT market as well as the prominent REIT property subtypes in South Africa including the retail, office, and industrial sectors are investigated. To estimate and evaluate the relationships between the stated macroeconomic factors and South African REIT returns, vector autoregression models and vector error correction models are employed. The results reveal that South African REIT returns are significantly positively associated with economic growth, inflation, and stock market returns whereas they are significantly negatively related to interest rates. However, changes in these macroeconomic factors only explain a small percentage of the variability in REIT returns. Importantly, the findings of this study are consistent with what has been observed in other global REIT markets except for inflation in which a negative association has generally been reported. The results of this study strengthens the field of REIT research by adding to the existing body of knowledge of what is currently known about South African REITs. From a practical standpoint, this additional insight may assist REIT asset managers, real estate collective investment scheme fund managers, and investors with portfolio construction and risk management decisions.Item Stealth trading on South African equities market(2019) Arumero, AshleyThe research examines if there are traders on the Johannesburg Stock Exchange (JSE) with information advantage. By employing high frequency data from 53 securities, the findings show that agents engage in small size trades to camouflage their information advantage. The inverted U-shaped plot was obtained from the dynamic probability of small trades model, which is consistent with the literature. The findings show that stealth trading is more frequent during the middle of the day on the JSE than any other time of the day. About 38% of traders were trading from an information advantage during the period of analysis. This implies that the remaining 62% of the traders engage in uninformed tradesItem Macroeconomic risks and REITs : a comparative analysis(2016) Kola, Katlego VioletPurpose - 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.Item Investigating emerging market economies Reverse REIT-Bond Yield Gap anomalies: a case for tactical asset allocation under the multivariate Markov regime switching model(2017) Videlefsky, Daryn MichaelThis paper presents a first time application of a variant of the concepts underpinning the Fed Model, amalgamated with the Bond-Stock Earnings Yield Differential, by applying it to the dividend yields of REIT indices. This modification is termed the yield gap, quantitatively constructed and adapted in this paper as the Reverse REIT-Bond Yield Gap. This metric is then used as the variable of interest in a multivariate Markov regime switching model framework, along with a set of three regressors. The REIT indices trailing dividend yield and associated metrics are the FTSE/EPRA NAREIT series. All data are from Bloomberg Terminals. This paper examines 11 markets, of which the EMEs are classified as Brazil, Mexico, Turkey and South Africa, whereas the advanced market counterparts are Australia, France, Japan, the Netherlands, Singapore, the United Kingdom, and the United States. The time-frame spans the period June 2013 until November 2015 for the EMEs, whilst their advanced market counterparts time-span covers the period November 2009 until November 2015. This paper encompasses a tri-fold research objective, and aims to accomplish them in a scientifically-based, objective and coherent fashion. Specifically, the purpose is in an attempt to gauge the reasons underlying EMEs observed anomalies entailing reverse REIT-Bond yield gaps, whereby their tenyear nominal government bonds out-yield their trailing dividend yields on their associated REIT indices; what drives fluctuations in this metric; and whether or not profitable tactical asset allocation strategies can be formulated to exploit any arbitrage mispricing opportunities. The Markov models were unable to generate clear-cut, definitive reasons regarding why EMEs experience this anomaly. Objectives two and three were achieved, except for France and Mexico. The third objective was also met. The REIT-Bond Yield Gaps static conditions have high probabilities of continuing in the same direction and magnitude into the future. In retrospection, the results suggest that by positioning an investment strategy, taking cognisance of the chain of economic events that are likely to occur following static REIT-Bond Yield Gaps, then investors, portfolio rebalancing and risk management techniques, hedging, targeted, tactical and strategic asset allocation strategies could be formulated to exploit any potential arbitrage profits. The REIT-Bond Yield Gaps are considered highly contentious, yet encompasses the potential for significant reward. The Fed Model insinuates that EME REIT markets are overvalued relative to their respective government bonds, whereas their advanced market counterparts exhibit the opposite phenomenon.Item The introduction of REITs to the South African property market: Opportunities for fund managers(2014-07-29) Naidoo, HannalishaOn 1 May 2013, real estate investment trusts (REITs), a listed property product, had legislation about it introduced in the South African property market. Prior to the introduction of this REIT legislation, property unit trusts (PUTs) and property loan stocks (PLSs) were the two predominant types of listed property investment products in South Africa. However, both the PUT and PLS are subject to uneven regulation and taxation, and they lack flexibility. The REIT legislation was introduced to eliminate some of the problems of the PUTs and PLSs, by creating: a more unified tax treatment of listed property companies, more stringent regulatory requirements and uplifting the South African property market to a level that is internationally competitive. It is therefore considered valuable to empirically investigate whether or not the introduction of the REIT framework into the listed South African property market will be advantageous to investors, and whether or not it would lead to improvement in the efficiency, regulation and taxation of the listed property market. A questionnaire was used to collect primary data to analyze the research problem. The questionnaire used a Likert scale format that consisted of 20 questions. There were a total of 58 useable respondents, each of who fell into 1 of 5 occupational categories. The questions were divided into 4 unifying themes and the findings were analyzed according to these themes. From the analysis of the responses it was found that the REIT legislation is perceived as a welcomed and suitable introduction to the South African listed property market. We could also infer that REITs allow for a more favorable tax dispensation, improved regulation, increased international competitiveness and enhanced liquidity within the listed property market. Overall, there is a perception that investors, especially fund managers, would find it potentially advantageous to include South African REITs or a higher proportion of such REITs in their investment portfolios.Item A comparative analysis of the performance of the property funds listed on the Johannesburg Stock Exchange.(2013-08-28) Potelwa, ZiyandaListed property entities on the Johannesburg Stock Exchange fall under the category of ‘Financials - Real Estate’. There are four types of property entities that a prospective investor can consider namely: Property Unit Trusts, Property Loan Stock Companies, Real Estate Holding and Development Companies and Real Estate Investment Trusts. The listed property sector allows investors to enter the property investment market in a uniquely affordable and secure way without the added risk, expense and administration that comes with direct property investment. This study evaluates the investment performance of the various property fund types through the implementation of Jensen’s alpha, the Sharpe ratio and Treynor ratio in an effort to establish whether there is a significant difference in the returns that can be obtained from the diverse funds given the associated risks. An analysis of the total returns and standard deviation of the property industry shows that the real estate market is affected by changes that take place in the macro economy. It is also investigated whether there is a differential risk associated with investing in these funds. We find that there is no significant difference between the performances of the various funds and there is no differential level of risk associated with investing in the property funds. An analysis of the fluctuation of total returns and standard deviation of the property funds over the eleven year period shows that the property sector is affected by changes in economic conditions however the changes are not enough to cause colossal volatility. For instance, the global recession of 2008 had an impact on the property industry returns but the sector has since made a steady recovery.