Decomposing Industry Leverage in the U.S.: the REIT Debt Puzzle

Wolfgang Breuer, L. Nguyen, Bertram I. Steininger
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引用次数: 1

Abstract

Different industries exhibit significantly different leverage - the REIT sector is an extreme example. Their leverage ratio is twice as high as that of non-real estate firms in the U.S. We theoretically and empirically analyse why we observe a leverage ratio difference of 25.5 percentage points between these two groups. Firstly, we find that tangibility and operating risk are the most important capital structure determinants for deviation. By decomposing the difference into three channels (differences in determinants’ average values, varying sensitivities to changes in the values of the determinants and an industry-specific fixed effect), we find that the industry-specific channel explains around 67% of the difference. The value-based channel is mostly responsible for the remaining part. However, when comparing samples of REITs and non-real estate firms matched according to tangibility and operating risk in order to take non-linear influences of extreme values into account, the relevance of the industry-specific channel is considerably reduced. Therefore, the REIT debt puzzle is not mainly a consequence of an unexplainable industry-specific fixed effect but, with careful analysis, can ultimately be traced back almost completely to a value-based effect driven by the characteristics of tangible assets and stock returns’ risk.
分解美国的行业杠杆:REIT债务难题
不同行业的杠杆率差异显著,房地产投资信托基金就是一个极端的例子。他们的杠杆率是美国非房地产企业的两倍。我们从理论和实证上分析了为什么我们观察到这两组之间的杠杆率相差25.5个百分点。首先,我们发现有形性和经营风险是资本结构偏差最重要的决定因素。通过将差异分解为三个渠道(决定因素平均值的差异,对决定因素值变化的不同敏感性以及行业特定的固定效应),我们发现行业特定渠道解释了约67%的差异。基于价值的渠道主要负责剩下的部分。然而,在比较根据有形性和经营风险匹配的REITs和非房地产公司的样本时,为了考虑极值的非线性影响,行业特定渠道的相关性大大降低。因此,房地产投资信托基金的债务难题主要不是一个无法解释的行业特定固定效应的结果,但经过仔细分析,最终可以几乎完全追溯到由有形资产特征和股票回报风险驱动的基于价值的效应。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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