ABSTRACT

This paper analyzes the return sensitivities of real estate value and growth stocks to changes in five different interest rate proxies. Using a global sample of 352 listed real estate companies from 12 countries as a test object, we find that real estate value stocks are more sensitive than real estate growth stocks to changes in the short-term interest rate. This finding is consistent with the theory that investors with shorter investment horizons trade off the high initial yield of value stocks against lower-risk short-term interest rates. In contrast, real estate growth stocks are more sensitive to changes in the long-term interest rate, which is consistent with a stronger impact on the present value of the future cash flows of growth stocks. We also find that real estate value stocks are more sensitive to changes in the credit yield. Because credit costs have a direct impact on a firm’s cost of capital, this result is consistent with risk-based theories of the value premium, which argue value stocks are riskier because they tend to have higher leverage and greater default probability.

摘要

本文分析了房地产价值和成长股对五种不同利率代理变化的回报敏感性。以全球12个国家352家房地产上市公司样本为测试对象，我们发现房地产价值股对短期利率变化的敏感度高于房地产成长股。这一发现与投资期限较短的投资者在价值股票的高初始收益率与风险较低的短期利率之间进行权衡的理论是一致的。相比之下，房地产成长股对长期利率的变化更为敏感，这与成长股对未来现金流量现值的影响更强是一致的。我们还发现，房地产价值股对信贷收益率的变化更为敏感。