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The responsiveness of LPT returns and their attributes

Ratcliffe, Chris and Dimovski, William 2007, The responsiveness of LPT returns and their attributes, Pacific Rim property research journal, vol. 13, no. 3, pp. 280-297.

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Title The responsiveness of LPT returns and their attributes
Author(s) Ratcliffe, Chris
Dimovski, William
Journal name Pacific Rim property research journal
Volume number 13
Issue number 3
Start page 280
End page 297
Publisher Pacific Rim Real Estate Society
Place of publication Sydney, N.S.W.
Publication date 2007
ISSN 1444-5921
Keyword(s) LPTs
LPT returns
sensitivity of returns
management structure
financial leverage
Summary The Australian listed property sector has experienced substantial growth over the past decade. Relative to international property markets, Australia has the highest percentage of listed real estate and the highest proportion that makes up the total equity market in the world, hence, making it an important component of domestic financial markets. This study employs the Stone (1974) two factor asset pricing model to investigate the sensitivity of Listed Property Trust (LPT) returns to market and interest rate returns from 2000 to 2005, and the characteristics (namely, management structure, specialisation and the degree of financial leverage) that may be driving these sensitivities. Our results indicate an increase in the market risk profile of LPTs, suggesting an erosion of the defensive benefits of LPTs against stockmarket volatilities.
Notes Reproduced with the kind permission of the copyright owner
Language eng
Field of Research 150201 Finance
HERDC Research category C1 Refereed article in a scholarly journal
Copyright notice ©2007, Pacific Rim Real Estate Society
Persistent URL http://hdl.handle.net/10536/DRO/DU:30007232

Document type: Journal Article
Collections: School of Accounting, Economics and Finance
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