Template-Type: ReDIF-Paper 1.0
Author-Name: Vitor Leone
Title: From Property Companies to Real Estate Investment Trusts: The Impact of Economic and Property Factors in the UK Commercial Property Returns
Abstract: This study investigates cross-sectionally the impact of economic and
property factors on the returns of UK property companies and real estate investment
trusts. By applying structural time-series modelling and the Kalman Filter to obtain
unexpected changes or innovations in selected economic and property variables it was
found for the sample period analysed that economic and property variables influence
commercial property returns in the UK. It was also found that by converting into
REITS property companies quickly acquired hybrid features of securitised and
property backed assets.
File-URL: http://www.ntu.ac.uk/__data/assets/pdf_file/0006/310200/From-property-companies-to-real-estate.pdf
File-Format: Application/pdf
File-Function: First version, 2010
Creation-Date: 2010-05
Keywords: Keywords: REITS, commercial, property returns, innovations, Kalman Filter, crosssection,
panel data, innovations, unexpected changes.
Handle: RePEc:nbs:wpaper:2010/4