Fundos de investimento imobiliário versus Real Estate Investment Trusts: análise de performances
Autor(a) principal: | |
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Data de Publicação: | 2014 |
Tipo de documento: | Dissertação |
Idioma: | por |
Título da fonte: | Repositório Institucional da UFU |
Texto Completo: | https://repositorio.ufu.br/handle/123456789/11992 https://doi.org/10.14393/ufu.di.2014.150 |
Resumo: | The goal of this research is to examine the performance of American Real Estate Investment Trusts (REITs) and Brazilian Real Estate Investment Trusts (FIIs) by using the standard performance measurement methods of Sharpe, Treynor, Jensen, Appraisal, Sortino and MM during the 2003-2013 period, as well as to identify the macroeconomic variables that influenced the assets´ performances by adopting the APT (Asset Pricing Theory) model. Specifically, we sought to determine the performance obtained by REITs and FIIs before (January/2003 to May/2007), during (March/2009 to June/2007) and after the financial crisis (April/2009 the August/2013) of 2008. Additionally, we sought to examine the stability of the performance of REITs and FIIs during the period 2003-2013, as well as between the subperiods just mentioned. Finally, we investigated whether FIIs performed better than REITs during any period of analysis. The results indicate that most REITs and FIIs were able to overcome the risk-free rate and the market portfolio during the analyzed period. However, the Wilcoxon Test Signal indicates that, in general, the performance of REITs did not persist during the subperiods. FIIs were able to present persistence of performance before, during and after the financial crisis. To verify if the performance of FIIs was superior to the REITs, the non-parametric Mann-Whitney test was applied. According to the results, all REITs showed measures of risk-adjusted performance superior to FIIs during 2003 and 2013. To test equality of the performance of REITs and FIIs in different subperiods the Kruskal-Wallis and Mann- Whitney tests were used. The results indicate that the equality of performance was rejected as well as the hypothesis of superiority of FIIs over REITs. Finally, the APT model used to determine the macroeconomic variables that influence the returns of REITs and FIIs showed that in the U.S. market, the variables: risk premium and the term structure were significant. In the Brazilian market, the term structure and the unexpected inflation were statistically significant to explain the return of the assets. |
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Fundos de investimento imobiliário versus Real Estate Investment Trusts: análise de performancesFundos de investimento imobiliário (Brasil)Real estate investment trusts (EUA)PerformanceFundos de investimentos imobiliáriosReal estate investment trusts (Brazil)Real estate investment trusts (USA)CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAOThe goal of this research is to examine the performance of American Real Estate Investment Trusts (REITs) and Brazilian Real Estate Investment Trusts (FIIs) by using the standard performance measurement methods of Sharpe, Treynor, Jensen, Appraisal, Sortino and MM during the 2003-2013 period, as well as to identify the macroeconomic variables that influenced the assets´ performances by adopting the APT (Asset Pricing Theory) model. Specifically, we sought to determine the performance obtained by REITs and FIIs before (January/2003 to May/2007), during (March/2009 to June/2007) and after the financial crisis (April/2009 the August/2013) of 2008. Additionally, we sought to examine the stability of the performance of REITs and FIIs during the period 2003-2013, as well as between the subperiods just mentioned. Finally, we investigated whether FIIs performed better than REITs during any period of analysis. The results indicate that most REITs and FIIs were able to overcome the risk-free rate and the market portfolio during the analyzed period. However, the Wilcoxon Test Signal indicates that, in general, the performance of REITs did not persist during the subperiods. FIIs were able to present persistence of performance before, during and after the financial crisis. To verify if the performance of FIIs was superior to the REITs, the non-parametric Mann-Whitney test was applied. According to the results, all REITs showed measures of risk-adjusted performance superior to FIIs during 2003 and 2013. To test equality of the performance of REITs and FIIs in different subperiods the Kruskal-Wallis and Mann- Whitney tests were used. The results indicate that the equality of performance was rejected as well as the hypothesis of superiority of FIIs over REITs. Finally, the APT model used to determine the macroeconomic variables that influence the returns of REITs and FIIs showed that in the U.S. market, the variables: risk premium and the term structure were significant. In the Brazilian market, the term structure and the unexpected inflation were statistically significant to explain the return of the assets.Fundação de Amparo a Pesquisa do Estado de Minas GeraisMestre em AdministraçãoO objetivo deste trabalho é analisar a performance dos Real Estate Investment Trusts (REITs) e Fundos de Investimento Imobiliários (FIIs) por meio dos índices estimados de Sharpe, Treynor, Alfa de Jensen, MM, Sortino e Appraisal Ratio no período de 2003 a 2013, bem como identificar as variáveis macroeconômicas que afetaram o retorno destes ativos durante o período analisado mediante o uso do modelo APT (Asset Pricing Theory). Especificamente, buscou-se determinar a performance obtida pelos REITs e FIIs antes da crise (Janeiro/2003 a Maio/2007), durante a crise (Junho/2007 a Março/2009) e após a crise (Abril/2009 a Agosto/2013) financeira de 2008. Adicionalmente, foi investigada a estabilidade da performance dos REITs e FIIs durante o período de 2003 a 2013, assim como entre os subperíodos anteriormente mencionados. Finalmente, investigou-se se os FIIs apresentaram melhor desempenho do que os REITs durante algum dos subperíodos analisados. Os resultados mostraram que a maioria dos REITs e FIIs foram capazes de superar a taxa livre de risco e do portfólio de mercado durante o período em análise. No entanto, o Teste de Sinais de Wilcoxon indica que, de maneira geral, a performance dos REITs não persistiu durante os subperíodos da amostra. Os FIIs, por sua vez, apresentam persistência de performance nos períodos antes da crise, durante a crise e após a crise financeira. Para verificar se a performance dos FIIs foi superior às do REITs procedeu-se a utilização do teste não paramétrico de Mann-Whitney. De acordo com os resultados, todos os indicadores de performance referentes aos REITs mostraram-se superiores aos FIIs durante o período analisado. Para testar a igualdade do desempenho dos REITs versus FIIs nos diferentes subperíodos da amostra foram utilizados os testes Kruskall-Wallis e Mann-Whitney. Nesse caso, a igualdade de performance dos REITs e FIIs foi rejeitada, assim como a hipótese de superioridade dos FIIs sobre os REITs. No que tange ao modelo APT, utilizado para verificar as variáveis capazes de influenciar os retornos dos REITs e FIIS, o mesmo mostrou que no contexto norte-americano as variáveis prêmio pelo risco e a estrutura a termo mostram-se significantes. No contexto brasileiro, as variáveis prêmio pelo risco e inflação inesperada mostraram-se significantes para explicar o retorno dos ativos.Universidade Federal de UberlândiaBRPrograma de Pós-graduação em AdministraçãoCiências Sociais AplicadasUFURibeiro, Kárem Cristina de Sousahttp://buscatextual.cnpq.br/buscatextual/visualizacv.do?id=K4770825J9Silva, Pablo Rogershttp://buscatextual.cnpq.br/buscatextual/visualizacv.do?id=K4702263H4Nakamura, Wilson Toshirohttp://buscatextual.cnpq.br/buscatextual/visualizacv.do?id=K4708344E6Gabriel, Fernanda Sousa2016-06-22T18:30:27Z2014-08-072016-06-22T18:30:27Z2014-02-26info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfapplication/pdfapplication/pdfGABRIEL, Fernanda Sousa. Fundos de investimento imobiliário versus Real Estate Investment Trusts: análise de performances. 2014. 119 f. Dissertação (Mestrado em Ciências Sociais Aplicadas) - Universidade Federal de Uberlândia, Uberlândia, 2014. DOI https://doi.org/10.14393/ufu.di.2014.150https://repositorio.ufu.br/handle/123456789/11992https://doi.org/10.14393/ufu.di.2014.150porinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional da UFUinstname:Universidade Federal de Uberlândia (UFU)instacron:UFU2021-08-02T12:34:13Zoai:repositorio.ufu.br:123456789/11992Repositório InstitucionalONGhttp://repositorio.ufu.br/oai/requestdiinf@dirbi.ufu.bropendoar:2021-08-02T12:34:13Repositório Institucional da UFU - Universidade Federal de Uberlândia (UFU)false |
dc.title.none.fl_str_mv |
Fundos de investimento imobiliário versus Real Estate Investment Trusts: análise de performances |
title |
Fundos de investimento imobiliário versus Real Estate Investment Trusts: análise de performances |
spellingShingle |
Fundos de investimento imobiliário versus Real Estate Investment Trusts: análise de performances Gabriel, Fernanda Sousa Fundos de investimento imobiliário (Brasil) Real estate investment trusts (EUA) Performance Fundos de investimentos imobiliários Real estate investment trusts (Brazil) Real estate investment trusts (USA) CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO |
title_short |
Fundos de investimento imobiliário versus Real Estate Investment Trusts: análise de performances |
title_full |
Fundos de investimento imobiliário versus Real Estate Investment Trusts: análise de performances |
title_fullStr |
Fundos de investimento imobiliário versus Real Estate Investment Trusts: análise de performances |
title_full_unstemmed |
Fundos de investimento imobiliário versus Real Estate Investment Trusts: análise de performances |
title_sort |
Fundos de investimento imobiliário versus Real Estate Investment Trusts: análise de performances |
author |
Gabriel, Fernanda Sousa |
author_facet |
Gabriel, Fernanda Sousa |
author_role |
author |
dc.contributor.none.fl_str_mv |
Ribeiro, Kárem Cristina de Sousa http://buscatextual.cnpq.br/buscatextual/visualizacv.do?id=K4770825J9 Silva, Pablo Rogers http://buscatextual.cnpq.br/buscatextual/visualizacv.do?id=K4702263H4 Nakamura, Wilson Toshiro http://buscatextual.cnpq.br/buscatextual/visualizacv.do?id=K4708344E6 |
dc.contributor.author.fl_str_mv |
Gabriel, Fernanda Sousa |
dc.subject.por.fl_str_mv |
Fundos de investimento imobiliário (Brasil) Real estate investment trusts (EUA) Performance Fundos de investimentos imobiliários Real estate investment trusts (Brazil) Real estate investment trusts (USA) CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO |
topic |
Fundos de investimento imobiliário (Brasil) Real estate investment trusts (EUA) Performance Fundos de investimentos imobiliários Real estate investment trusts (Brazil) Real estate investment trusts (USA) CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO |
description |
The goal of this research is to examine the performance of American Real Estate Investment Trusts (REITs) and Brazilian Real Estate Investment Trusts (FIIs) by using the standard performance measurement methods of Sharpe, Treynor, Jensen, Appraisal, Sortino and MM during the 2003-2013 period, as well as to identify the macroeconomic variables that influenced the assets´ performances by adopting the APT (Asset Pricing Theory) model. Specifically, we sought to determine the performance obtained by REITs and FIIs before (January/2003 to May/2007), during (March/2009 to June/2007) and after the financial crisis (April/2009 the August/2013) of 2008. Additionally, we sought to examine the stability of the performance of REITs and FIIs during the period 2003-2013, as well as between the subperiods just mentioned. Finally, we investigated whether FIIs performed better than REITs during any period of analysis. The results indicate that most REITs and FIIs were able to overcome the risk-free rate and the market portfolio during the analyzed period. However, the Wilcoxon Test Signal indicates that, in general, the performance of REITs did not persist during the subperiods. FIIs were able to present persistence of performance before, during and after the financial crisis. To verify if the performance of FIIs was superior to the REITs, the non-parametric Mann-Whitney test was applied. According to the results, all REITs showed measures of risk-adjusted performance superior to FIIs during 2003 and 2013. To test equality of the performance of REITs and FIIs in different subperiods the Kruskal-Wallis and Mann- Whitney tests were used. The results indicate that the equality of performance was rejected as well as the hypothesis of superiority of FIIs over REITs. Finally, the APT model used to determine the macroeconomic variables that influence the returns of REITs and FIIs showed that in the U.S. market, the variables: risk premium and the term structure were significant. In the Brazilian market, the term structure and the unexpected inflation were statistically significant to explain the return of the assets. |
publishDate |
2014 |
dc.date.none.fl_str_mv |
2014-08-07 2014-02-26 2016-06-22T18:30:27Z 2016-06-22T18:30:27Z |
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 |
GABRIEL, Fernanda Sousa. Fundos de investimento imobiliário versus Real Estate Investment Trusts: análise de performances. 2014. 119 f. Dissertação (Mestrado em Ciências Sociais Aplicadas) - Universidade Federal de Uberlândia, Uberlândia, 2014. DOI https://doi.org/10.14393/ufu.di.2014.150 https://repositorio.ufu.br/handle/123456789/11992 https://doi.org/10.14393/ufu.di.2014.150 |
identifier_str_mv |
GABRIEL, Fernanda Sousa. Fundos de investimento imobiliário versus Real Estate Investment Trusts: análise de performances. 2014. 119 f. Dissertação (Mestrado em Ciências Sociais Aplicadas) - Universidade Federal de Uberlândia, Uberlândia, 2014. DOI https://doi.org/10.14393/ufu.di.2014.150 |
url |
https://repositorio.ufu.br/handle/123456789/11992 https://doi.org/10.14393/ufu.di.2014.150 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf application/pdf application/pdf |
dc.publisher.none.fl_str_mv |
Universidade Federal de Uberlândia BR Programa de Pós-graduação em Administração Ciências Sociais Aplicadas UFU |
publisher.none.fl_str_mv |
Universidade Federal de Uberlândia BR Programa de Pós-graduação em Administração Ciências Sociais Aplicadas UFU |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional da UFU instname:Universidade Federal de Uberlândia (UFU) instacron:UFU |
instname_str |
Universidade Federal de Uberlândia (UFU) |
instacron_str |
UFU |
institution |
UFU |
reponame_str |
Repositório Institucional da UFU |
collection |
Repositório Institucional da UFU |
repository.name.fl_str_mv |
Repositório Institucional da UFU - Universidade Federal de Uberlândia (UFU) |
repository.mail.fl_str_mv |
diinf@dirbi.ufu.br |
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1805569728539787264 |