按揭房地产投资信托基金行业动态及表现

Eva Steiner
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引用次数: 0

摘要

先前的研究已经确定了股票REIT部门动态和投资绩效的各种决定因素。本文主要研究抵押贷款REITs (MREITs)。MREITs与股权REITs一样,受到相同的法定要求,但投资于抵押贷款和MBS,因此更像非存款金融机构,而不是上市房地产投资公司。根据金融中介文献中最新的理论进展,我检验了MREITs的增长和业绩是由特许银行持有信用风险资产的能力变化驱动的假设,这是由银行资本比率代表的。通过对MREIT的三个主要类别进行横断面比较,我发现MREIT部门的机构层面扩张和收缩与银行资本比率的变化显著相关。这些行业动态与房地产投资信托基金业绩的变化相吻合;尤其是股息收益率和股票市场估值。我进一步记录了MREITs如何根据银行资本比率的变化调整资产类型持有和融资选择。研究结果为特许银行资本化与非存款金融机构的增长、业绩和风险承担之间的关系提供了新的证据。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Mortgage REIT Sector Dynamics and Performance
Prior research has identified various determinants of Equity REIT sector dynamics and investment performance. This paper focuses on Mortgage REITs (MREITs) instead. MREITs are subject to the same statutory requirements as equity REITs, but invest in mortgages and MBS, and thus resemble non-depository financial institutions more than they do listed real estate investment companies. Drawing on recent theoretical advances in the financial intermediation literature, I test the hypothesis that growth and performance of MREITs are driven by variation in the capacity of chartered banks to hold credit-risky assets, which is proxied by the bank capital ratio. Using a cross-sectional comparison across the three main categories of MREITs, I show that institution-level expansion and contraction in the MREIT sector are significantly related to variation in the bank capital ratio. These sector dynamics coincide with variation in MREIT performance; notably, dividend yields and equity market valuations. I further document how MREITs adjust asset-type holdings and financing choices in response to variation in the bank capital ratio. The results constitute novel evidence on the association between the capitalization of chartered banks and growth, performance, as well as risk-taking in non-depository financial institutions.
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