 Which stocks are driven by which interest rates?Christian Weis, René-Ojas Woltering and Steffen Sebastian Journal of Property Research, 2021, vol. 38, issue 3, 175-197 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. Date: 2021 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:jpropr:v:38:y:2021:i:3:p:175-197 Ordering information: This journal article can be ordered from DOI: 10.1080/09599916.2021.1903531 Access Statistics for this article Journal of Property Research is currently edited by Bryan MacGregor More articles in Journal of Property Research from Taylor & Francis Journals |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.