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Evaluating the investment attributes and performance of property companies

Evaluating the investment attributes and performance of property companies This study utilises style analysis to examine the effective asset mix of UK property companies, using both an unadjusted data set and one adjusted for leverage and general stock market sentiment. The findings illustrate that the style benchmarks are largely spilt between mid and small cap stocks and government bonds, while when the adjusted data set is examined, the role of fixed-income securities is enhanced together with that of Treasury Bills and the direct property market. The resulting style portfolios are then used to assess the investment performance of the property companies. The results reveal that there is a high degree of consistency in terms of the performance ranking obtained, across both alternative performance measures and between the original and adjusted samples. However, very few of the performance statistics are found to be statistically significant at conventional levels. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Property Investment & Finance Emerald Publishing

Evaluating the investment attributes and performance of property companies

Journal of Property Investment & Finance , Volume 19 (3): 16 – Jun 1, 2001

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Publisher
Emerald Publishing
Copyright
Copyright © 2001 MCB UP Ltd. All rights reserved.
ISSN
1463-578X
DOI
10.1108/14635780110387600
Publisher site
See Article on Publisher Site

Abstract

This study utilises style analysis to examine the effective asset mix of UK property companies, using both an unadjusted data set and one adjusted for leverage and general stock market sentiment. The findings illustrate that the style benchmarks are largely spilt between mid and small cap stocks and government bonds, while when the adjusted data set is examined, the role of fixed-income securities is enhanced together with that of Treasury Bills and the direct property market. The resulting style portfolios are then used to assess the investment performance of the property companies. The results reveal that there is a high degree of consistency in terms of the performance ranking obtained, across both alternative performance measures and between the original and adjusted samples. However, very few of the performance statistics are found to be statistically significant at conventional levels.

Journal

Journal of Property Investment & FinanceEmerald Publishing

Published: Jun 1, 2001

Keywords: United Kingdom; Analysis; Performance; Property companies

References