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dc.contributor.authorWest, Traceyen_US
dc.contributor.authorC. Worthington, Andrewen_US
dc.date.accessioned2017-04-24T10:12:33Z
dc.date.available2017-04-24T10:12:33Z
dc.date.issued2006en_US
dc.identifier.issn13632175en_US
dc.identifier.doi10.1108/13664380680001083en_US
dc.identifier.urihttp://hdl.handle.net/10072/21847
dc.description.abstractThis paper employs a Generalised Autoregressive Conditional Heteroskedasticity in Mean (GARCH-M) model to consider the effect of macroeconomic factors on Australian property returns over the period 1985 to 2002. Three direct (office, retail and industrial property) and two indirect (listed property trust and property stock) returns are included in the analysis, along with market returns, short, medium and long-term interest rates, expected and unexpected inflation, construction activity and industrial employment and production. In general, macroeconomic factors are found to be significant risk factors in Australian commercial property returns. However, the results also indicate that forecast accuracy in these models is higher for direct office, listed property trust and property stock returns and that the persistence of volatility shocks varies across the different markets, with volatility half lives of between five and seven months for direct retail and industrial property, two and three months for direct office property and less than two months with both forms of indirect property investment.en_US
dc.description.peerreviewedYesen_US
dc.description.publicationstatusYesen_US
dc.format.extent207145 bytes
dc.format.mimetypeapplication/pdf
dc.languageEnglishen_US
dc.language.isoen_US
dc.publisherGlasgow Caledonian Universityen_US
dc.publisher.placeUnited Kingdomen_US
dc.relation.ispartofstudentpublicationNen_US
dc.relation.ispartofpagefrom105en_US
dc.relation.ispartofpageto116en_US
dc.relation.ispartofissue2en_US
dc.relation.ispartofjournalJournal of Financial Management of Property and Constructionen_US
dc.relation.ispartofvolume11en_US
dc.rights.retentionYen_US
dc.subject.fieldofresearchcode350301en_US
dc.titleMacroeconomic risk factors in Australian commercial real estate, listed property trust and property sector stock returnsen_US
dc.typeJournal articleen_US
dc.type.descriptionC1 - Peer Reviewed (HERDC)en_US
dc.type.codeC - Journal Articlesen_US
gro.rights.copyrightCopyright 2006 Emerald. This is the author-manuscript version of this paper. Reproduced in accordance with the copyright policy of the publisher. Please refer to the journal's website for access to the definitive, published version.en_US
gro.date.issued2015-04-29T23:47:02Z
gro.hasfulltextFull Text


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