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A-Reit price responses to cash rate changes

conference contribution
posted on 2010-01-01, 00:00 authored by Sophia HuangSophia Huang, Chunlu LiuChunlu Liu
With the rapid increasing number and assets of A-REITs, there has been an urgent need to study the relationship between the changes of cash rates and the A-REITs returns. This study investigates whether there were relationships between Australian-Real Estate Investment Trusts stock returns and policy interest rate changes in the past decade by using event study with a multivariate regression model. The findings indicate that cash rate changes have no significantly positive or negative influence on the equity A-REIT stock prices. A series of successive cash rate changes do not take a continuous and dramatic effect on the equity A-REIT stock prices in each economic cycle. Moreover, the A-REITs with relatively smaller assets show more significant fluctuation to the changes of cash rates, and the A-REITs owning more than $ 10 billion in capital assets have relatively steady stock prices. Overall, the findings from this research lead to a call for comprehensive research into various areas in order to ascertain the determinants of A-REIT price changes.

History

Event

Australasian Universities Building Education Association. Conference (35th : 2010 : Melbourne, Vic)

Publisher

AUBEA

Location

Melbourne, Vic.

Place of publication

Melbourne, Vic.

Start date

2010-07-14

End date

2010-07-16

Language

eng

Notes

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Publication classification

E1 Full written paper - refereed

Copyright notice

2010, AUBEA

Title of proceedings

AUBEA 2010 : Construction Management(s) : Proceedings of the 35th Australasian Universities Building Education Association annual conference

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