Os fundos de investimento imobiliário listados em bolsa e as variáveis que influenciam seus retornos
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Data
2014-11-21
Autores
Yokoyama, Karen Yukari
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Universidade Federal do Espírito Santo
Resumo
The REITs combine features of two markets: the real estate market - main source of REIT income - and the capital market, environment in which they are traded. The impact of each of these underlying markets in behavior, performance and risk of this asset class; however, has not been clearly defined, being one of the major themes under analysis, both in the academic literature, as in the international funds industry. Given the significant expansion of this investment alternative in the Brazilian market, the present study focused on variables that influence the returns of Brazilian real estate funds, considering a sample of funds listed on the Stock Exchange of São Paulo, during 2008-2013. Following the methodology of Clayton and Mackinnon (2003), the model explaining Brazilian REIT returns were decomposed into four main components: three factors of market return (stocks, bonds and and unsecuritized Real Estate) and idiosyncratic risk. According to descriptive statistics, REITs presented higher return compared to other markets, except in comparison with real estate market, but with less risk. Correlation analysis, regression and variance decomposition indicate that the stock market and the unsecuritized real estate market are generally significant in the model, however; those variables are responsible for only about 15% of total volatility of FII returns. In light of the Modern Portfolio Theory, these results indicate that the inclusion of REITs may provide potential diversifier benefit in a multi-asset portfolio, by increasing the total return of a portfolio consisting of stocks and bonds, without an increase in risk; or keeping the return of this portfolio, with reduced volatility, thereby broadening the efficient frontier of the portfolio. This result put in question the traditional equilibrium fund of portfolios composed only by stocks and bonds, as REITs emerges as an alternative investment, and mainly as a unique asset class. However, analysis of subsamples by type indicates that the diversifier role of real estate funds is tied to property focus, since the explanatory factors and their impact on returns differ from one type of REIT to another. This outcome has important implications for the selection criteria to be adopted by optimal investors and also real estate fund managers regarding product formatting and management. We also conclude that Brazilian REIT returns, in a way, reflect its hybrid condition,but in the other hand the model decomposed into four components is not sufficient to explain their total returns, since the extended model showed that other variables, including other market parameters than returns, as well macroeconomic variables and firm specifics (eg. market-to-book, size) may be responsible for considerable part of the variance of their returns.
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Fundos de investimento imobiliário , Moderna Teoria do Portifolio , Fronteira eficiente , Decomposição da variância , Mercado de ações , Mercado Imobiliário Direto , Diversificação , Tipologia de Fundos