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Factors Influencing the Performance of Listed Property Trusts

Author/s: Graeme Newell

Date Published: 1/01/2005

Published in: Volume 11 - 2005 Issue 2 (pages 211 - 227)

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.

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Keywords

Bond Factor - Direct Property Factor - Idiosyncratic Factor - Lpts - Market Dynamics - Multi-Factor Model - Stocks Factor - Variance Decomposition

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