Investigations on the real estate market, what are the main factors ...

Master Thesis Spring Semester 2008 Supervisor J?rgen Hellstr?m Authors C?cile Manni and Xavier Chane-Teng

Investigations on the real estate market, what are the main factors influencing the performance of the French Real Estate Investments Trusts?

Acknowledgements

Over the months spent on this thesis, we kept in mind the importance of writing in a clear and pedagogical manner. The paper has finally come to an end and would not have been possible without the help and support of the people around us. We would like to thank in particular our supervisor J?rgen Hellstr?m, PhD in econometrics and professor at Ume? Universitetet, for all his valuable recommendations. We are indebted to him as he guided our thoughts, gave us continuous encouragements and spent time in corrections. We are grateful to our teachers in Ume? and France as well who contributed to develop our critical reasoning, skills, knowledge in the field of business administration and more specifically finance and management. We would like also to thank the persons who have participated by reading and commenting our paper and who remain anonymous. Their feedbacks were valuable and helped greatly to improve the quality of our paper. Writing this paper in pair and coming from two different backgrounds has been a real source of enrichment. Finally we managed it even if up and down may come along the writings and despite the reliable sources that have been used, mistakes may have occurred and are the responsibilities from the authors.

C?cile Manni and Xavier Chane-Teng, Ume?, June 2008.

ii

[Left intentionally blank]

iii

List of Contents

Acknowledgements ................................................................................................................................................. i List of Contents...................................................................................................................................................... iv List of Tables .......................................................................................................................................................... vi List of Figures ........................................................................................................................................................ vi List of Formulas .................................................................................................................................................... vi Abstract ................................................................................................................................................................. viii Glossary ....................................................................................................................................................................ix

Chapter I ? Introduction .......................................................................................................................................1 1.1. Background .................................................................................................................................. 1 1.2. Problem Identification .................................................................................................................. 2 1.3. Purpose and Hypotheses............................................................................................................... 2 1.4. Limitations of Research: Caveat and Criticism............................................................................ 3 1.5. Thesis Outline............................................................................................................................... 3

Chapter II ? Characteristics of SIICs (equivalent of REITs) .....................................................................4 2.1. REITs Definition .......................................................................................................................... 4 2.2. Comparison of French SIICs and US REITs Requirements......................................................... 4 2.3. French SIICs' Strategies............................................................................................................... 6 2.4. Equity REITs' Classification........................................................................................................ 7

Chapter III ? Theoretical Frame and Major Influences..............................................................................9 3.1. Financial Theories ........................................................................................................................ 9 3.1.1. Modern Portfolio Theory and Single-Factor Model.............................................................. 9 3.1.2. Modern Portfolio Theory and Multifactor Model ............................................................... 12 3.2. Economics Theories ................................................................................................................... 13 3.2.1. Differentiation between Macro- and Microeconomics........................................................ 13 3.2.2. Macroeconomic Factors and Real Estate Market ................................................................ 14 3.2.3. Microeconomic Factors and Real Estate Market................................................................. 16 3.3. Managerial Theories................................................................................................................... 18 3.3.1. Portfolio Management Theory ............................................................................................ 18 3.3.2. Financial and Economic Behaviour..................................................................................... 19 3.3.3. Type of Management and Competences ............................................................................. 20 3.3.4. Confidence and Economic Sentiment Investor ................................................................... 20

iv

Chapter IV ? Methodological Considerations...............................................................................................22 4.1. Scientific Point of Departure ...................................................................................................... 22 4.1.1. Business Research Strategy ................................................................................................. 22 4.1.2. Research Design .................................................................................................................. 23 4.1.3. Choices of the Sources ........................................................................................................ 23 4.2. Data Selection Process ............................................................................................................... 24 4.2.1. Stocks' Selection ................................................................................................................. 24 4.2.2. Indices' Selection ................................................................................................................ 25 4.2.3. Factors' Extraction .............................................................................................................. 25 4.3. Specifications of the Regression Model ..................................................................................... 26 4.3.1. Determination of Beta from the CAPM Model ................................................................... 26 4.3.2. The Multifactor Model ........................................................................................................ 27 4.3.3. Presentation of the Dataset in Descriptive Statistics ........................................................... 29

Chapter V ? Empirical Findings .......................................................................................................................30 5.1. Overview of SIICs' Performance ............................................................................................... 30 5.2. Overview of the Hypotheses ...................................................................................................... 31 5.2.1. Hypothesis 1: Some Categories of SIICs Generate Superior Performance than Others ..... 31 5.2.2. Hypothesis 2: Some Economic Factors Affect the SIICs' Performance ............................. 34 5.2.3. Hypothesis 3: Economic Confidence Index Captures the Behaviour of Investors.............. 35

Chapter VI ? Analysis ..........................................................................................................................................37 6.1. Hypothesis 1: Some Categories in SIICs Generate Superior Performance than Others............. 37 6.2. Hypothesis 2: Some Economic Factors Affect the SIICs' Performance .................................... 38 6.3. Hypothesis 3: Economic Confidence Index Captures the Behaviour of Investors..................... 40

Chapter VII ? Conclusion and Perspectives ..................................................................................................41 7.1. Discussion and Conclusions ....................................................................................................... 41 7.2. Perspectives for Further Research .............................................................................................. 42

Chapter VIII ? Credibility Criteria .................................................................................................................43 8.1. Reliability ................................................................................................................................... 43 8.2. Replication ................................................................................................................................. 43 8.3. Validity....................................................................................................................................... 43

References ...............................................................................................................................................................46 Appendixes..............................................................................................................................................................50

v

 ................
................

In order to avoid copyright disputes, this page is only a partial summary.

Google Online Preview   Download