REITs Market Research Articles

Gold market volatility and REITs' returns during tranquil and turbulent episodes

We analyze the predictability of REIT returns based on gold market volatility for 11 sectors and five regions. Our findings show higher gains during volatile gold market conditions, but results vary in tranquil and turbulent periods. We observe sector-specific investment behavior in the REITs market during the pre-GFC, but the post-GFC and COVID periods show otherwise. REITs offer a safe haven ability for gold, but their hedging power is sector-specific. For sensitivity analysis, stock market volatility is used in lieu of gold market volatility, and the outcome provides the expected counterfactual evidence with the REITs market. Our study has numerous policy implications for global financial market stakeholders.

Climate risks and the REITs market

AbstractThis study presents results supporting the need to price climate risks in real estate investment trusts. We approach this objective by conducting some empirical analyses for global, regional, and [US] sectoral REITs for want of wider coverage while we also consider variants of climate risks involving physical and transition risks. We first establish that climate concerns amplify the volatility of REIT returns. While our results are split for sectoral REITs, we find that both physical and transition risks magnify the volatility in the regional and global REITs market. However, when we consider the US sectoral REITs, we find contrasting evidence between the two variants of climate risks. While the transition risks seem to raise the REITs market volatility, perhaps owing to improved trading in the market as signalled by some level commitments towards addressing climate change, the physical risks associated with damages due to climate change tend to lower the REITs market volatility due to lower trading. Consequently, we formulate a framework that enables a profit‐maximizing investor to observe climate risks when making investment decisions in the REITs market, and we further show that doing so provides higher economic gains than ignoring it. This outcome has implications for investors looking for the best hedging strategy against climate‐related risks, especially as the world intensifies efforts towards de‐carbonization.

리츠(REITs) 배당가능이익에 대한 세제의 문제점 및 개선방안

REITs are indirect real estate investment products that collect funds from investors, invest them in real estate-related securities, and return the profits to investors. In the case of domestically listed REITs, if dividendable profits are generated, more than 90% must be paid as dividends. Through this, corporate tax is exempted. The government has made great efforts to expand the size of the public REITs and public real estate fund markets. Nevertheless, REIT investment is less active in some areas than major overseas countries. Recently, under the Corporate Tax Act, the principle is not to include valuation gains and losses in the tax base. However, arguments have raised that an exception should be recognized for REIT valuation losses. This is because undistributed profits due to valuation losses of REITs, which are indirect investment vehicles, are included in the taxable list, and corporate tax is paid, causing the double taxation problem for REIT investors. Considering this situation, this study examined the problems and improvement measures of the current REIT-related tax system for the growth of Korea's REIT market. In addition, we sought to derive implications for tax support for the REITs market through examples from significant countries. If we want to revitalize the REITs market more than currently, support from government policies is essential. Among them, tax support occupies the most important position. In order to dramatically grow the REITs market, it is necessary to provide bold tax benefits as in other countries. This study raised the need to improve Korea's current REIT tax system, as in the cases of the United States and Japan, and attempted to establish a taxation plan for the REIT tax system suitable for Korea's circumstances. One of the most urgent tasks in revitalizing REIT investment is to quickly resolve the conflicting issues between commercial law and corporate tax law to prevent double taxation of REITs. In addition, the tax support plan presented in this study is expected to minimize tax problems occurring in the REIT market and promote a reasonable taxation plan for the REIT market that is consistent with Korea. The policy alternatives in this study are expected to help use them as primary data when establishing policy alternatives for tax authorities or related ministries in the future.

Information spillovers in Hong Kong REITs and related asset markets

This study examines information spillovers among Hong Kong (HK) REITs, major HK financial markets, major Chinese Mainland financial markets, and the VIX index. Our results reveal that time-varying spillover effects peak during crises, notably during the COVID-19 pandemic. The HK REITs market consistently receives return and volatility spillover effects from the HK stock market and real estate market. Since 2014, the HK REITs market has also been a significant recipient of volatility spillovers from Chinese Mainland stock and real estate markets. Additionally, the VIX index plays a driving role in the risk contagion effect of HK REITs. These findings inform investors in adjusting strategies, optimizing portfolios, and mitigating financial risks.

REITs Analysis of Industrial ParksTake CCB Zhongguancun Industrial Park REIT for Example

In 2021, China's public offering infrastructure REITs officially set sail. The 21 public offering REITs products and projects that have been issued have excellent qualifications and are popular among institutional and individual investors, laying a solid foundation for the healthy development of the subsequent REITs market. Industrial parks usually have the advantages of clear property rights, stable income and value-added potential, and are an important part of the infrastructure REITs pilot. This paper reviews the market performance and typical characteristics of industrial park REITs since establishment, and, on this basis, analyzes the valuation methods applicable to industrial park REITs. Taking CCB Zhongguancun REIT as an example, starting from the location and operating status of the underlying assets and through the fundamental comparison of similar projects and P/FFO valuation, the research concluded that the market valuation of the project was at a high level in the industry and reached the average valuation level of industrial REITs in the United States, the good operating performance supported its market valuation. Finally, the future growth potential, operation management, and investment prospects of the industrial park REITs are prospected.

Analysis of the development of REIT in various countries to provide ideas for China’s trust fund market

With rise of economic level and the development of society, decreasing in Engel’s coefficient, people’s financial awareness and financial concepts have changed a lot. As one of the four pillars of finance, trust plays an important part in financial system. Compared to other three financial pillars, Banking, Insurance and Securities, there is no special regulatory authorities for the trust industry, and the relevant laws and regulations have not been improved. This paper focuses on studying the REIT markets of England, America, Japan, and Australia these four overseas countries in order to learn more about the development of mature REITs market and summarize the main features in order to provide references and ideas for the benign development of China’s REIT market.

Study on the Impact of Stock Market Performance on REITs Market in China

China's real estate trust business started in 2002, and has experienced four stages: germination, stagnation, pilot operation and practical development. In the financial market, the stock market will directly reflect the macroeconomic factors represented by monetary policy, external financial market, interest rate and exchange rate, and have an impact on REITs through the secondary market. With the development of China's domestic REITs market, to evaluate the risk impact of the REITs market more accurately and form a stable risk early warning and prevention mechanism is quite important. This paper expounds the basic connotation and main characteristics of real estate investment trust, through the TVP-VAR model, analysis of the mainland REITs influenced by the stock market, it is concluded that the domestic stock market responds directly to the domestic and international monetary policy, and through the stock market to REITs market, and the effect time is mainly short-term, but the impact effect is more obvious.

Macroeconomic risk factors and REITs returns predictability in African markets: Evidence from a new approach

This study examines the predictability of REITs returns considering the role of macroeconomic risk predictors for three emerging African REITs markets, namely Ghana, Nigeria and South Africa. To account for the inherent statistical properties of persistence, endogeneity, autocorrelation and conditional heteroscedasticity, we apply the Feasible Quasi Generalized Least Squares (FQGLS) estimator. In addition, the role of asymmetries is considered. Our findings show the heterogeneous performance of the risk factors. All the risk predictors matter in predicting REITs returns in a non-linear fashion in Nigeria, while asymmetries appear to matter only for both interest rate and exchange rate in Ghana, and only interest rate in South Africa. These results suggest that the predictors are important forecast factors for the REITs market. Taking a step further to examine and compare their forecast performance with the traditional model, we find that the macroeconomic risk factors-based predictive model outperforms the traditional ARFIMA model in several cases in the countries, especially Nigeria. Robustness is provided for these results through the use of different sample periods and forecast horizons. Notable policy implications for investors and portfolio managers can therefore be derived from these findings.

리츠 투자자의 재투자 및 타인 추천에 영향을 미치는 요인에 관한 연구

Since the introduction of REITs in Korea, the size of the REITs market has gradually expanded, and it has formed an indirect investment market as an alternative investment asset for institutional and individual investors. This study conducted a survey of real estate finance and non-financial industry experts with experience in REITs investment, and analyzed using structural equation modeling. According to the analysis results, securing the stability of investment products is important, and creating a stable investment environment leads to investment performance, contributing to the scalability of investment. This is because REITs can be sensitive to changes in the capital market, and the investment environment through a stable base can be further emphasized in a situation where the economy is unstable. It can also be seen that investors are demanding a 6-8% return as an appropriate return.

Machine Learning Prediction for Chinese REITs Market

Machine Learning Prediction for Chinese REITs Market

Price and volatility persistence of the US REITs market

This study revisits the issue of REITs market efficiency for the US having discovered two notable gaps. Noting the complexities, structural changes and nonlinearities in modern financial markets, we employ the fractional integration technique which performs better than other commonly used techniques in the presence of structural breaks, fractional integration, trend-stationarity and regime switching in time series. Summarizing our results, we find that the US REITs market is efficient in the overall sample. However, when the data are splitted, market efficiency only occurs in the pre-crisis period, but becomes less so during the crisis and post-crisis periods. In addition, evidence of mean reverting long-memory behavior is established for REITs volatility, although mean reversion is slower during and after the crisis. These results are robust to different data measurement and have crucial policy implications for potential investors and relevant policy makers.

Economic Policy Uncertainty and the Co-Movement between REITs and Exchange Rate

The REITs market has attracted a lot of interest among the academic, policymakers, and market participants. The linkages between REITs and macroeconomic and financial variables have been adequately explored in the literature, with more emphasis on linear models. This study expands the frontier of knowledge by examining the role of uncertainty in the comovement/spillover between REITs and the currency markets. Some interesting results were observed. First, using the Diebold and Yilmaz (2012) spillover test, we find that there is strong connectedness between the REITs and currency markets. Second, the BDS test shows that nonlinearity is a very crucial factor to be put into consideration when examining the role of EPU in affecting the interactions between REITs and exchange rate markets. Third, the non-parametric causality-in-quantile test confirms that the connectedness between the markets and EPU is stronger around the lower and middle quantiles. These results have important policy implications for policymakers and market participants. The study also offers suggestions for future research.

리츠 주가변동성의 비대칭적 반응에 관한 국제비교 연구

This paper examines the empirical relations between information transmissions and REITs stock market volatility, the differences of asymmetric effect of information on arriving in Korea, U.S. and Japanese REITs stock markets using the GJR-MA(1) model. The result of the study is as follows. First, In the Korean and U.S. stock markets, the GJR-MA model was found to be suitable for analyzing asymmetric effect of news. Second, Korea showed negative values at 5% significance level in asymmetric effect of REITs stock price volatility, while U.S. showed positive values at 1% significance level. However, Japan showed a positive value but showed no significance. Empirical evidence suggests that in the Korean REITs market, good news increases stock price volatility more than bad news, and in U.S., bad news increases stock price volatility more than good news. Third, the conditional volatility in terms of unexpected returns of -5% to 5% was about twice as high in good news in korea, and was about twice as high in bad news in U.S. Therefore, it is important to distinguish the information that arrives on the stock market.

Uncertainty Due to Pandemic and the Volatility Connectedness Among Asian REITs Market

With increasing COVID-19 cases and instability of many financial markets, we examine the role of uncertainty due to infectious diseases in influencing volatility connectedness among Asian Real Estate Investment Trust market. Our result unveils the importance of uncertainty due to pandemic in driving the connectedness among the markets in both the mean and variance. These results carry implications for hedging and portfolio diversification for financial participants.

Https://www.risk.net/journal-of-risk/7674176/the-impact-of-corporate-social-and-environmental-performance-on-credit-rating-prediction-north-america-versus-europe

Using a quantile regression model, this study examines economic policy uncertainty and investors’ attention for policy risk on US real estate investment trusts' (REITs') herding behaviors. We consider information demand and supply as indicators for investors’ consequent reactions to economic policy uncertainty. Our empirical findings indicate that the REITs market is able to avoid the impact of uncertainties in economic policies, and that information demand and supply show the rational level of the REITs market's investment behaviors and reveal spurious market herding. When facing uncertainties in global economic policies, analysts’ professional reports can provide valuable information for making rational investment decisions.

Evaluasi Pertumbuhan Pasar Reits Di Singapura, Malaysia, Thailand, & Hongkong Sebagai Pembanding Pasar Dire Di Indonesia

This research aims to understand the history of REITs market in Singapore (S-REITs), Malaysia (M-REITs), Thailand (Thai-REITs), and Hongkong (HK-REITs), along with the curent regulation, with the intention to figure out the differences between markets thus lessons can be learned to boost DIRE’s market in Indonesia. Purpose of this research is to understand the background of REITs growth in Singapore, Malaysia, Thailand, and Hongkong, along with understanding the regulations and differences. By understanding those, one can help to understand how the regulation can help DIRE and invigorate DIRE’s market. Qualitative descriptive model research is done to obtain information as mention above.The conclusion of this research is DIRE have experience the same occurence as other successful REITs market in the region. Regulators have amend the regulations to invigorate the market. While other comparisons have succesfully develop REITs market, DIRE is still stagnan in zero growth condition. Only after comparing the regulations, it is revealed that DIRE’s gearing ratio and income taxes might hinders its growth to be as fast as other comparison. Regulators need to improve these conditions to increase interest towards DIRE.

IDENTIFICATION OF MACROECONOMIC FACTORS ON EXCESSIVE RETURNS: A LITERATURE REVIEW

Asian REITs could be considered as one of the fastest growing assets in the world. Japan is currently the biggest market in Asia and Asian REITs market is very much progressing to expand with the emerging of two major regional economies, China and India. Previous studies have proved that Asian REITs are able to show competitive advantage in most of mixed-asset scenarios and have significant roles in improving efficient global REITs portfolio returns. Previous findings also have shown that REITs are able to give remarkable return compare to other asset classes. Similar with other type of portfolio investment, REITs also have high interaction with macroeconomic factors such as inflation and interest rate which represent the economic situation of the countries. The excessive return is used to measure the performance that is affected by the macroeconomic factors by setting a benchmark which will give an added value to the portfolio. Hence, the aim of this research is to review on the literature of the macroeconomic factors on excessive returns Asian REITs.

IDENTIFICATION OF MACROECONOMIC FACTORS ON EXCESSIVE RETURNS: A LITERATURE REVIEW

Asian REITs could be considered as one of the fastest growing assets in the world. Japan is currently the biggest market in Asia and Asian REITs market is very much progressing to expand with the emerging of two major regional economies, China and India. Previous studies have proved that Asian REITs are able to show competitive advantage in most of mixed-asset scenarios and have significant roles in improving efficient global REITs portfolio returns. Previous findings also have shown that REITs are able to give remarkable return compare to other asset classes. Similar with other type of portfolio investment, REITs also have high interaction with macroeconomic factors such as inflation and interest rate which represent the economic situation of the countries. The excessive return is used to measure the performance that is affected by the macroeconomic factors by setting a benchmark which will give an added value to the portfolio. Hence, the aim of this research is to review on the literature of the macroeconomic factors on excessive returns Asian REITs.

The Volatility Dynamics of the Global REITs Market

This paper tries to estimate the dynamic linear latent factor model (DLLFM) with jump in order to find jump risk, heteroscedasticity and time varying correlations in Global REITs Markets. Using five major Global Reits rates such as the United States, Japan, the United Kingdom, Australia and Hong Kong form January 4, 2000 to June 29, 2018, this study finds the evidence of common factor and time-varying correlations in addition to the country-specific idiosyncratic risk. According to the main estimated results of this paper, approximately 60% of the common factors of global REITs market risk. Can be explained by global stock markets. Second, REITs market integration among five countries seems to have been increasing gradually since Global Financial Crisis.

On the global integration of REITs market returns: A multiresolution analysis

This paper explores dynamic correlation and interdependence of five global REIT markets using multivariate wavelet methods. United States, Hong Kong, Belgium, South Africa and Australia’s daily REI...