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Determinants of listed property trust bond ratings : Australian evidence

Chikolwa, Bwembya (2008) Determinants of listed property trust bond ratings : Australian evidence. In Adnan, Yasmin Mohd (Ed.) Proceedings from the PRRES Conference - 2008, Pacific Rim Real Estate Society , Istana Hotel, Kuala Lumpur, pp. 1-34.

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Abstract

Using artificial neural networks (ANN) and ordinal regression (OR) as alternative methods to predict LPT bond ratings, we examine the role that various financial and industry variables have on Listed Property Trust (LPT) bond ratings issued by Standard and Poor’s from 1999-2006. Our study shows that both OR and ANN provide robust alternatives to rating LPT bonds and that there are no significant differences in results between the two full models. OR results show that of the financial variables used in our models, debt coverage and financial leverage ratios have the most profound effect on LPT bond ratings. Further, ANN results show that 73.0% of LPT bond rating is attributable to financial variables and 23.0% to industry-based variables with office LPT sector accounting for 2.6%, retail LPT 10.9% and stapled management structure 13.5%.

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42 since deposited on 01 Oct 2009
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ID Code: 27682
Item Type: Conference Paper
Additional Information: For author's SSRN download statistics go to Author link below
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Keywords: Listed Property Trusts, Bond Rating, Ordinal Regression, Artificial Neural Networks
Subjects: Australian and New Zealand Standard Research Classification > COMMERCE MANAGEMENT TOURISM AND SERVICES (150000) > BANKING FINANCE AND INVESTMENT (150200) > Finance (150201)
Australian and New Zealand Standard Research Classification > COMMERCE MANAGEMENT TOURISM AND SERVICES (150000) > BANKING FINANCE AND INVESTMENT (150200) > Financial Econometrics (150202)
Divisions: Past > QUT Faculties & Divisions > Faculty of Built Environment and Engineering
Past > Schools > School of Urban Development
Copyright Owner: Copyright 2008 Bwembya Chikolwa
Deposited On: 02 Oct 2009 09:03
Last Modified: 10 Jun 2010 00:02

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