Macroeconomic risks and REITs : a comparative analysis

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dc.contributor.authorKola, Katlego Violet
dc.date.accessioned2018-02-13T09:28:37Z
dc.date.available2018-02-13T09:28:37Z
dc.date.issued2016
dc.descriptionThesis (M.M. (Finance & Investment)--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2016
dc.description.abstractPurpose - 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.description.librarianGR2018en_ZA
dc.format.extentOnline resource (71 pages)
dc.identifier.citationKola, Katlego Violet (2016) Macroeconomic risks and REITs : a comparative analysis, University of the Witwatersrand, Johannesburg, <https://hdl.handle.net/10539/23850>
dc.identifier.urihttps://hdl.handle.net/10539/23850
dc.language.isoenen_ZA
dc.subject.lcshReal estate investment trusts
dc.subject.lcshRisk management
dc.subject.lcshFinance--Mathematical models
dc.subject.lcshStocks--Rate of return
dc.titleMacroeconomic risks and REITs : a comparative analysisen_ZA
dc.typeThesisen_ZA
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