Assessing the Time-Varying Interest Rate Sensitivity of Real Estate Securities

Stevenson, S; Wilson, PJ; Zurbruegg, R

Assessing the Time-Varying Interest Rate Sensitivity of Real Estate Securities

Stevenson, S Wilson, PJ Zurbruegg, R

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Publisher:: Routledge
Publication Type:: Journal Article
Citation:: The European Journal of Finance, 2007, 13 (8), pp. 705 - 715
Issue Date:: 2007-01

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Field	Value	Language
dc.contributor.author	Stevenson, S	en_US
dc.contributor.author	Wilson, PJ	en_US
dc.contributor.author	Zurbruegg, R	en_US
dc.date.issued	2007-01	en_US
dc.identifier.citation	The European Journal of Finance, 2007, 13 (8), pp. 705 - 715	en_US
dc.identifier.issn	1351-847X	en_US
dc.identifier.uri	http://hdl.handle.net/10453/5245
dc.description.abstract	This paper examines the sensitivity of real estate securities to changes in both market and central bank interest rates. It is commonly viewed that the traded real estate market is one of the industry sectors most susceptible to interest rate movements. This is due to traditional high levels of borrowing, the impact of rate changes on property yields and indirectly upon occupational demand and thus rental income. The results which are the first to examine the UK sector, highlight the impact of interest rates on UK property companies, in relation to both returns and volatility. The paper also illustrates that this sensitivity is not confined to periods of high and volatile interest rates as the sample period under examination is characterized by historically low and stable rates.	en_US
dc.publisher	Routledge	en_US
dc.relation.ispartof	The European Journal of Finance	en_US
dc.subject.classification	Finance	en_US
dc.title	Assessing the Time-Varying Interest Rate Sensitivity of Real Estate Securities	en_US
dc.type	Journal Article
utslib.citation.volume	8	en_US
utslib.citation.volume	13	en_US
utslib.for	150299 Banking, Finance and Investment not elsewhere classified	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.consider-herdc	true	en_US
pubs.issue	8	en_US
pubs.volume	13	en_US

Abstract:

This paper examines the sensitivity of real estate securities to changes in both market and central bank interest rates. It is commonly viewed that the traded real estate market is one of the industry sectors most susceptible to interest rate movements. This is due to traditional high levels of borrowing, the impact of rate changes on property yields and indirectly upon occupational demand and thus rental income. The results which are the first to examine the UK sector, highlight the impact of interest rates on UK property companies, in relation to both returns and volatility. The paper also illustrates that this sensitivity is not confined to periods of high and volatile interest rates as the sample period under examination is characterized by historically low and stable rates.

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http://hdl.handle.net/10453/5245