Abstract
A variance decomposition procedure is used to assess the proportion of LPT volatility that is attributable to stock, bond and property factors over 1985-2004. The dynamics of this LPT performance is also assessed. Property is seen to only make a small contribution to LPT variability, with the contribution of property only marginally increasing in recent years with the increased maturity of the LPT sector. The importance of stocks in LPT performance has decreased significantly, with bond-like features taking on more importance in LPT performance in recent years.
| Original language | English |
|---|---|
| Pages (from-to) | 211-227 |
| Number of pages | 17 |
| Journal | Pacific Rim Property Research Journal |
| Volume | 11 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - 1 Jun 2005 |
Bibliographical note
Publisher Copyright:© 2005, University of Western Sydney All rights reserved.
Keywords
- investments
- listed property trusts
- real property
- LPTs
- Direct property factor
- Multi-factor model
- Stocks factor
- Bond factor
- Variance decomposition
- Idiosyncratic factor
- Market dynamics