Fundos de investimento imobiliário no Brasil como oportunidade de diversificação de riscouma estimação empírica do beta condicional

Resumo

The Modern Portfolio Theory advocates the optimization of asset allocation as a pathway to mitigate the idiosyncratic risks, while the extension of the concepts of portfolio selection to general equilibrium provided the required fundamentals for developing the Capital Asset Pricing Model (CAPM) and consequent measurement of the non-diversifiable systematic risk. Theoretically assisted by such precepts, the main purpose of this research was to examines the conditional nature of systematic influences on the performance of the Brazilian Real Estate Investment Trusts portfolio (FIIs) and compare it with the major referential market, the U.S. Equity REITs, by applying and comparing four levels of complexity for time-series econometrics models to the excess return of the Índice de Fundos de Investimentos Imobiliários (IFIX) against the Índice Bovespa (IBOV) indexes, in order to evaluate the conditional market beta. The procedure that was highlighted by the accuracy in the prediction of the time- varying market beta was the Space State modelling technique and the results corroborated with the academic literature, which provides strong evidence of instability of the systematic risk through time. The results also indicated a very low correlation of the market portfolio with the FIIs. However, a qualitative analysis proposes an alternative approach, whether the relevance of the securitized real estate market in Brazil provides structural fundamentals for reliable economic inferences. Furthermore, this study contributes to the literature evaluating the recent behavior of the conditional beta for REITs. The findings indicated that the systematic risk for the U.S. Equity REITs has presented a recent decline, suggesting a maturation of that market, where the fundamentals of direct real estate investments are being absorbed by REITs and, consequently, reducing the influence of the stock market on their returns.

Ficha do documento

Tipo

Dissertação

Ano

2019

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Português

Acesso

Acesso aberto

Identificador

oai:repositorio.fgv.br:10438/27189

Temas

Economia

Palavras-chave

Beta condicionalBeta variante no tempoFIIModelo de espaço de estadoRisco sistemáticoCAPMREITConditional betaTime-varying betaSpace state modelSystematic riskEconomiaInvestimentos imobiliáriosAvaliação de ativos - Modelo (CAPM)Avaliação de riscos