Do greener REITs show better performance?
Autor(a) principal: | |
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Data de Publicação: | 2018 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/24443 |
Resumo: | Whether firms benefit from socially responsible actions is under debate over the last few decades. Real estate is an important class of assets on investors portfolios and also largely contributes to waste generation, energy consumption and has a significant impact on health, because people spend several hours of their days at the office or at home. In this paper I explore whether brazilian FIIs (funds that invest in real estate just like american REITs) with greener portfolios show better stock returns and operating efficiency. I extract properties owned by each fund and its financials from CVM3 and LEED scores of each property from USGBC4 . I run a set of fixed-effects regressions of stock return, asset and equity turnovers on the share of green properties for each REIT over the 2001–2017 period and detect an approximate 1% increase in stock return given a 1% increase in portfolio greenness, but find no evidence of increased operating performance. Another model, accounting for endogeneity of past returns is developed and shows no relationship between greeness and returns or operating performance. |
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Sampaio, Raphael Anauate Ferraz deEscolas::EESPChague, Fernando DanielBueno, Rodrigo de Losso da SilveiraGiovannetti, Bruno Cara2018-07-24T16:23:54Z2018-07-24T16:23:54Z2018-06-26http://hdl.handle.net/10438/24443Whether firms benefit from socially responsible actions is under debate over the last few decades. Real estate is an important class of assets on investors portfolios and also largely contributes to waste generation, energy consumption and has a significant impact on health, because people spend several hours of their days at the office or at home. In this paper I explore whether brazilian FIIs (funds that invest in real estate just like american REITs) with greener portfolios show better stock returns and operating efficiency. I extract properties owned by each fund and its financials from CVM3 and LEED scores of each property from USGBC4 . I run a set of fixed-effects regressions of stock return, asset and equity turnovers on the share of green properties for each REIT over the 2001–2017 period and detect an approximate 1% increase in stock return given a 1% increase in portfolio greenness, but find no evidence of increased operating performance. Another model, accounting for endogeneity of past returns is developed and shows no relationship between greeness and returns or operating performance.Se empresas que exercem práticas socialmente responsáveis se beneficiam em relação a suas concorrentes é tema sob debate, no mercado e na academia, já há algumas décadas. O mercado imobiliário em particular constitui uma importante classe de ativos, pois ocupa fatia considerável da carteira de investidores e traz consigo relevantes impactos socio-ambientais. São exemplos destes a geração de lixo, o consumo energético e impactos no sistema de saúde: com o avanço da urbanização e do terceiro setor na economia, as pessoas passam cada vez mais horas de seus dias em escritórios ou em casa. Nesse artigo, exploro a seguinte questão: fundos de investimento imobiliários (FIIs) investindo em propriedades ambientalmente certificadas têm melhor performance financeira e/ou operacional? Extraio as propriedades e dados financeiros da CVM 1 e verifico na base dados USGBC 2 se há certificação para cada propriedade e qual foi a pontuação obtida. Rodo um conjunto de regressões de efeito fixo relacionando performance financeira (retorno contábil das cotas) e performance operacional (razão entre fluxo de caixa operacional e ativo/patrimônio líquido) à porcentagem de propriedades certificadas de cada fundo no período 2001-2017. Detecto um aumento de aproximadamente 1% no retorno financeiro dado 1% mais greenness, mas não encontro evidência de melhora operacional. Outro modelo, levando em consideração um potencial problema de endogeneidade de retornos passados é desenvolvido e não mostra qualquer relação significativa entre greenness e performance financeira ou operacional.engGreennessReal estateFund performanceMercado imobiliárioPerformance de fundosEconomiaMercado imobiliárioInvestimentos imobiliários - Aspectos ambientaisFundos de investimentosDo greener REITs show better performance?info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVTEXTtese.pdf.txttese.pdf.txtExtracted 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|
dc.title.eng.fl_str_mv |
Do greener REITs show better performance? |
title |
Do greener REITs show better performance? |
spellingShingle |
Do greener REITs show better performance? Sampaio, Raphael Anauate Ferraz de Greenness Real estate Fund performance Mercado imobiliário Performance de fundos Economia Mercado imobiliário Investimentos imobiliários - Aspectos ambientais Fundos de investimentos |
title_short |
Do greener REITs show better performance? |
title_full |
Do greener REITs show better performance? |
title_fullStr |
Do greener REITs show better performance? |
title_full_unstemmed |
Do greener REITs show better performance? |
title_sort |
Do greener REITs show better performance? |
author |
Sampaio, Raphael Anauate Ferraz de |
author_facet |
Sampaio, Raphael Anauate Ferraz de |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.member.none.fl_str_mv |
Chague, Fernando Daniel Bueno, Rodrigo de Losso da Silveira |
dc.contributor.author.fl_str_mv |
Sampaio, Raphael Anauate Ferraz de |
dc.contributor.advisor1.fl_str_mv |
Giovannetti, Bruno Cara |
contributor_str_mv |
Giovannetti, Bruno Cara |
dc.subject.eng.fl_str_mv |
Greenness Real estate Fund performance |
topic |
Greenness Real estate Fund performance Mercado imobiliário Performance de fundos Economia Mercado imobiliário Investimentos imobiliários - Aspectos ambientais Fundos de investimentos |
dc.subject.por.fl_str_mv |
Mercado imobiliário Performance de fundos |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Mercado imobiliário Investimentos imobiliários - Aspectos ambientais Fundos de investimentos |
description |
Whether firms benefit from socially responsible actions is under debate over the last few decades. Real estate is an important class of assets on investors portfolios and also largely contributes to waste generation, energy consumption and has a significant impact on health, because people spend several hours of their days at the office or at home. In this paper I explore whether brazilian FIIs (funds that invest in real estate just like american REITs) with greener portfolios show better stock returns and operating efficiency. I extract properties owned by each fund and its financials from CVM3 and LEED scores of each property from USGBC4 . I run a set of fixed-effects regressions of stock return, asset and equity turnovers on the share of green properties for each REIT over the 2001–2017 period and detect an approximate 1% increase in stock return given a 1% increase in portfolio greenness, but find no evidence of increased operating performance. Another model, accounting for endogeneity of past returns is developed and shows no relationship between greeness and returns or operating performance. |
publishDate |
2018 |
dc.date.accessioned.fl_str_mv |
2018-07-24T16:23:54Z |
dc.date.available.fl_str_mv |
2018-07-24T16:23:54Z |
dc.date.issued.fl_str_mv |
2018-06-26 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/24443 |
url |
http://hdl.handle.net/10438/24443 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
instname_str |
Fundação Getulio Vargas (FGV) |
instacron_str |
FGV |
institution |
FGV |
reponame_str |
Repositório Institucional do FGV (FGV Repositório Digital) |
collection |
Repositório Institucional do FGV (FGV Repositório Digital) |
bitstream.url.fl_str_mv |
https://repositorio.fgv.br/bitstreams/91ac4ba8-7092-4241-8751-7ec795005393/download https://repositorio.fgv.br/bitstreams/109db12f-4daf-43cf-a713-101492440c51/download https://repositorio.fgv.br/bitstreams/9b1af341-4535-4e3d-970c-724ec14b3c0a/download https://repositorio.fgv.br/bitstreams/f8e456ac-185a-407b-ade6-fd8b50a5abab/download |
bitstream.checksum.fl_str_mv |
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bitstream.checksumAlgorithm.fl_str_mv |
MD5 MD5 MD5 MD5 |
repository.name.fl_str_mv |
Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV) |
repository.mail.fl_str_mv |
|
_version_ |
1810023713201979392 |