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1.
This paper examines the link between REIT, financial asset and real estate returns, and tests whether it changed subsequent to the “REIT boom” of the early 1990s. The main focus is on answering the question do REIT returns now better reflect the performance of underlying direct (unsecuritized) real estate? We develop and implement a variance decomposition for REIT returns that separates REIT return variability into components directly related to major stock, bond, and real estate-related return indices, as well as idiosyncratic or sector-specific effects. This is applied to aggregate REIT sector (NAREIT) returns as well as returns to size and property-type based REIT portfolios. Our results show that the REIT market went from being driven largely by the same economic factors that drive large cap stocks through the 1970s and 1980s to being more strongly related to both small cap stock and real estate-related factors in the 1990s. There is also a steady increase over time in the proportion of volatility not accounted for by stock, bond or real estate related factors. We also find that small cap REITs are “more like real estate” compared to larger cap REITs, at least over the 1993–1998 period. We argue that this could be a result of the institutionalization of the ownership of larger cap REITs that took place in the 1990s. 相似文献
2.
An analysis of real estate investment trust (REIT) stock splits is presented. Evaluation of the initial reaction to split REITs supports efficient market pricing where REITs generate statistically significant positive announcement date returns, no statistically significant record date returns, and muted ex-date returns. In the long-term, split REITs do not consistently out perform benchmark portfolios over one-year, two-year, and three-year periods. REITs split subsequent to a substantial run up in stock price and to improve the position of their post split stock price relative to the stock price of the typical REIT. 相似文献
3.
4.
Marc W. Simpson Sanjay Ramchander James R. Webb 《The Journal of Real Estate Finance and Economics》2007,34(4):513-529
This paper posits that the failure of past studies to document a positive relationship between REIT (Real Estate Investment
Trust) returns and inflation is an artifact of the empirical framework that has predominated in these studies. Applying a
pooled estimation methodology to an expansive data set containing 195 publicly traded equity REITs for the period 1981–2002,
the study documents a strong asymmetry in the response of equity REIT returns to inflation. Specifically, when expected and
unexpected inflation are separated into positive and negative changes, results indicate that equity REIT returns rise in response
to both increases and decreases in inflation. The evidence, which is partly contingent on the prevailing monetary policy environment,
carries important policy implications for portfolio management and provides insights into the observed anomalous relationship
between REITs and inflation. 相似文献
5.
Scott Below Mir A. Zaman Will Mcintosh 《The Journal of Real Estate Finance and Economics》1995,11(1):55-64
This paper examines the pricing of Initial Public Offerings (IPOs) of Real Estate Investment Trusts (REITs). Unlike standard corporations, evidence suggests that REIT IPOs are correctly priced in the initial market. Significant negative initial-day return for mortgage REITs is found to be a function of using the bid price to calculate returns for those securities, which trade initially over the counter (OTC). If the bid-ask average or the ask price is used in calculating returns, any apparent overpricing disappears. Additionally, we find that once transactions costs are considered, an investor is better off purchasing a REIT on the offering. 相似文献
6.
Jian Yang Yinggang Zhou Wai Kin Leung 《The Journal of Real Estate Finance and Economics》2012,45(2):491-521
We apply a multivariate asymmetric generalized dynamic conditional correlation GARCH model to daily index returns of S&P500, US corporate bonds, and their real estate counterparts (REITs and CMBS) from 1999 to 2008. We document, for the first time, evidence for asymmetric volatilities and correlations in CMBS and REITs. Due to their high levels of leverage, REIT returns exhibit stronger asymmetric volatilities. Also, both REIT and stock returns show strong evidence of asymmetries in their conditional correlation, suggesting reduced hedging potential of REITs against the stock market downturn during the sample period. There is also evidence that corporate bonds and CMBS may provide diversification benefits for stocks and REITs. Furthermore, we demonstrate that default spread and stock market volatility play a significant role in driving dynamics of these conditional correlations and that there is a significant structural break in the correlations caused by the recent financial crisis. 相似文献
7.
Szu-Yin Kathy Hung John L. Glascock 《The Journal of Real Estate Finance and Economics》2010,41(2):126-149
We examine the relation of time-varying idiosyncratic risk and momentum returns in REITs using a GARCH-in-mean model and incorporate
liquidity risk in the asset pricing model. This is important because illiquidity may be more severe for REITs due to the nature
of their underlying assets. We find that momentum returns display asymmetric volatility, i.e., momentum returns are higher
when volatility is higher. Additionally, we find evidence that REITs with lowest past returns (losers) have higher idiosyncratic
risks than those with highest past returns (winners) and that investors require a lower risk premium for holding losers’ idiosyncratic
risks. Therefore, although losers have higher levels of idiosyncratic risks, their low risk premia cause low returns, which
contribute to momentum. Lastly, we find a positive relation between REITs’ momentum return and turnover. 相似文献
8.
We examine the January return seasonality of real estate investment trust (REIT) common stock and underlying assets. Both stock returns and the National Assocation of Realtors median home price index exhibit January seaonals. However, the median home price index explains little of the seasonal stock returns, and a significant January effect in stock returns remains for small REITs. Thus, information effects are not the likely cause of the January effect in REITs. Further analysis indicates that tax-loss selling is the more likely cause of the January effect. 相似文献
9.
Walter I. Boudry N. Edward Coulson Jarl G. Kallberg Crocker H. Liu 《The Journal of Real Estate Finance and Economics》2012,44(1-2):230-249
The consensus that emerges from the current research on the linkage between securitized and direct investment in real estate is that direct (private) real estate returns play a relatively minor role in the real estate investment trust (REIT) return generating process. However, this result may at least partially be due to the coarseness of the measures of direct real estate returns or the relatively short return horizons used in previous studies. This study takes a different and unique perspective. Unlike earlier studies we do not use aggregated, average appraisal based returns on direct real estate investment. Instead, we use the MIT TBI indexes, which are transaction based price indexes, available both on the aggregate and sub-index levels. We find that the relation between REIT and direct real estate returns appears to be stronger at longer horizons. More specifically, using a cointegration framework, we find robust evidence that REITs and the underlying real estate are related and that they share a long run equilibrium. Interestingly, we find that both REITs and direct real estate returns adjust towards this long run relationship. When we examine property type level data we find similar results. 相似文献
10.
REIT Characteristics and the Sensitivity of REIT Returns 总被引:2,自引:1,他引:1
Allen Marcus T. Madura Jeff Springer Thomas M. 《The Journal of Real Estate Finance and Economics》2000,21(2):141-152
Previous research on the returns to real estate investment trusts (REITs) has considered whether REITs are systematically exposed to general stock-market risk and interest-rate risk. This study examines how the sensitivity of REIT returns to these factors may be influenced by various REIT characteristics. Using a sample of publicly traded REITs, we estimate the sensitivity of REIT returns to stock market and interest-rate changes. We then propose and implement a model for testing whether differences in asset structure, financial leverage, management strategy, and degree of specialization in the REIT portfolios are related to their sensitivity to interest rate and market risk. Our results permit us to offer some inferences about how REITs can alter their risk exposure by managing these characteristics. 相似文献
11.
Analysis of REIT IPOs Using a Market Microstructure Approach: Anomalous Behavior or Asset Structure 总被引:1,自引:1,他引:0
Glascock John L. Hughes William T. Varshney Sanjay B. 《The Journal of Real Estate Finance and Economics》1998,16(3):243-256
In this research, we examine and present new evidence on the market activity following the initial public offering (IPO) of a real estate investment trust (REIT) using microstructure data. We analyze the bid-ask spread differences for REIT securities compared to common stocks and closed-end funds for all IPOs between 1985 and 1988. Our results show that REITs, as a whole sample, experience significantly greater bid-ask spreads immediately following the IPO compared to common stocks and funds. However, this outcome is driven by the equity REIT sample, with the mortgage REIT sample having significantly smaller bid-ask spreads. This is in contrast to the evidence documented by Nelling, Mahoney, Hildebrand, and Goldstein (1995). We attribute our result to the underlying asset structure (such as equity, hybrid, and mortgage portfolios) of the various REITs. Overall, however, we find that bid-ask spreads for REITs are similar to those of common stock when both asset structure and the traditional determinants of the spread (share price, trade volume, and returns variance) are considered. 相似文献
12.
Crystal Yan Lin Hamid Rahman Kenneth Yung 《The Journal of Real Estate Finance and Economics》2009,39(4):450-471
Recent advances in the field of behavioral finance have given a fillip to the use of behavioral factors in asset pricing models.
This study adds to the understanding of the REIT return generating process by exploring the behavioral impact of investor
sentiment on REIT returns. The results show that when investors are optimistic (pessimistic), REIT returns become higher (lower).
These findings are robust when conventional control variables are considered. Empirical analysis indicates steady erosion
in the importance of the default and term structure interest rate variables previously considered as important determinants
of REIT returns. Previous noise trading papers that consider the impact of institutional traders conclude that institutional
investors cannot arbitrage away noise trader risk. The results of this paper find an exception in the case of small REITs.
Examination of REITs based on size reveals that the return generating process of small REITs differs from that of mid-size
and large REITs. Analysis of the return generating process by performance shows high performance REITs are more sensitive
to the independent variables in the model as compared to the low and mid performance REITs. 相似文献
13.
Paul R. Goebel David M. Harrison Jeffrey M. Mercer Ryan J. Whitby 《The Journal of Real Estate Finance and Economics》2013,47(3):564-581
Recent evidence confirms that in factor-model examinations of the cross-section of REIT returns, REIT momentum emerges as the dominant driver. Acknowledging the importance of momentum, the current study explores whether and how REIT return patterns are linked to the underlying characteristics of the REITs themselves, in the manner of Daniel and Titman’s (Journal of Finance 52(1):1–33, 1997, Journal of Portfolio Management 24(4):24–33, 1998) characteristics model. Over the period 1993 through 2009, we find that after controlling for momentum, book-to-market, institutional ownership, and illiquidity are all strongly associated with REIT returns while size and analyst coverage are not. We further extend prior research by examining the influence of changes in interest rate cycles on REIT returns, and find that the characteristic-return relationships are heavily influenced by interest rates. 相似文献
14.
Motivated by investment-based asset pricing, we show that two firm fundamentals, investment and profitability, have substantial predictive power for REIT returns. The return predictability of investment and profitability is not subsumed by conventional models and can be useful for understanding the cross section of expected REIT returns. To illustrate, we construct an investment-based factor model for REITs that consists of a market factor, an investment factor, and a profitability factor. The investment-based model outperforms conventional models in capturing well-known cross-sectional patterns in REIT returns. Our findings suggest that incorporating investment-based asset pricing can be a promising direction for future real estate finance research. 相似文献
15.
Elyas Elyasiani Iqbal Mansur Jill L. Wetmore 《The Journal of Real Estate Finance and Economics》2010,40(1):89-107
This paper examines two relationships using the bivariate generalized autoregressive conditionally heteroskedastic (GARCH)
methodology. First, the relationship between equity returns of commercial banks, savings and loans (S&Ls) and life insurance
companies (LICs), and those of the real-estate investment trusts (REITs), a proxy for the real-estate sector performance.
Second, the relationship between conditional volatilities of the stock returns of these financial intermediaries (FIs) and
that of REITs. The former relationship allows the spillover of returns between the real-estate and the financial intermediation
sector to be analyzed. The latter allows an investigation of the prevalence, direction and strength of inter-sectoral risk
transmission to be carried out. Several interesting results are obtained. First, the equity returns of the FIs considered
follow a GARCH process and should be modeled accordingly. Second, as found in the literature, returns on REITs should be modeled
using the Fama-French multiple factor model. However, this model has to be extended to incorporate a GARCH error structure.
Third, all FI returns considered are highly sensitive to REIT returns and the effects are both statistically and economically
significant. This is an indication that shocks to REITs returns spillover to the former markets. Fourth, spillover of increased
volatility in the real-estate sector to S&Ls and LICs is significant but not to commercial banks. 相似文献
16.
Bradford Case Yawei Yang Yildiray Yildirim 《The Journal of Real Estate Finance and Economics》2012,44(3):298-318
We use the Dynamic Conditional Correlation model with Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH)
developed by Engle (Journal of Business & Economic Statistics 20(3):339–350, 2002) to examine dynamics in the correlation of returns between publicly traded REITs and non-REIT stocks. The results suggest
that REIT-stock correlations form three distinct periods. During the first period, ending in August 1991 with the start of
the modern REIT era, correlations were high and without trend, never dipping below 59%. During the second period, ending in
September 2001 with the inclusion of REITs in broad stock market indexes, correlations declined precipitously to 30%, enabling
substantially higher portfolio allocations to both high-return asset classes and therefore higher portfolio returns without
increasing portfolio volatility. During the third period, since September 2001, correlations increased steadily but only reached
59% in late 2008. A simple portfolio optimization suggests that asset managers would be willing to pay 20 basis points per
year, plus the difference in transaction costs, for the ability to use DCC-GARCH modeling of dynamic correlations in place
of rolling 24-month asset correlations. 相似文献
17.
Benjamin M. Blau Matthew D. Hill Hao Wang 《The Journal of Real Estate Finance and Economics》2011,42(4):481-503
We examine REIT short sale transactions and show REITs are shorted less frequently than non-REITs. Results also show short
sellers are less able to predict negative future returns for REITs, relative to non-REITs, which is consistent with increased
pricing efficiency for REITs and suggests REIT assets are more transparent. In a broader context, these results suggest differences
in transparency across asset types influence the effectiveness of short selling. Results showing REIT short sellers are contrarian
imply traders target REITs that are performing well instead of underperforming REITs, suggesting restrictions on REIT short
sales should be re-evaluated. 相似文献
18.
Richard Chung Scott Fung James D. Shilling Tammie X. Simmons-Mosley 《The Journal of Real Estate Finance and Economics》2011,43(1-2):73-98
This paper studies the behavior of REIT stock price synchronicity for the years 1997 through 2006. Theory suggests that REIT stock prices should be largely independent of market changes; and, at the very least, REITs should have a low covariance with other assets, including other REIT stocks. The evidence presented below does not support this view. Instead, synchronicity appears to be quite high in the equity REIT market, especially among REITs that larger and more liquid. We also find that REIT stock price synchronicity is negatively related to hedge fund ownership, but positively related to pension fund and insurance company ownership. The evidence further suggests that synchronicity is the highest among industrial and regional mall REITs, and lower among apartment, health care, and mixed property REITs. 相似文献
19.
Jochem J. Bron Chinmoy Ghosh Milena T. Petrova 《The Journal of Real Estate Finance and Economics》2018,57(3):400-430
We test the performance and interaction between earnings and price momentum for European real estate companies by first making use of decile portfolios sorted on the previous 3- to 12-month returns, standardized unexpected earnings and a combination of both. Then, the relation is tested on a risk-adjusted basis employing a 3-factor asset pricing model and Fama and Macbeth (1973) cross-sectional regression analyses. Our analyses reveal several critical findings: (1) both price and earnings momentum are effective for European firms, the effect being stronger for the UK than EU firms; (2) unlike U.S. REITs, price momentum seems to dominate drift for European firms; (3) there is weak evidence for positive interaction between drift and price momentum, contrary to the U.S. evidence; (4) the performance of momentum strategies depends on the state of the economy, while controlling for systematic factors; (5) idiosyncratic risk of real estate property firms may influence the returns on drift and momentum factors. 相似文献
20.
Lewis Danielle Springer Thomas M. Anderson Randy I. 《The Journal of Real Estate Finance and Economics》2003,26(1):65-80
Using a stochastic frontier methodology that incorporates Bayesian statistics, this paper analyzes the cost efficiency of real estate investment trusts (REITs) by observing the deviations of the measured costs of individual REITs from a defined efficient cost frontier. Using 1995–1997 data, we extend the previous research in this area and measure REIT efficiency more precisely by isolating random measurement error from the overall deviations from the efficient cost frontier. We calculate the magnitude of each REIT's managerial inefficiency, the industry inefficiency, and returns to scale. In addition, we assess specific characteristics of REITs for their contribution to inefficiency by calculating the odds ratio that a REIT with a specific characteristic is more efficient than a REIT with an alternative characteristic. The results show that, for the years studied, REITs are relatively cost efficient with most REITs facing increasing returns to scale. Additionally, the REIT's use of debt and the REIT's management style significantly affect the cost performance of REITs during the aforementioned time period. Finally, diversification across property types, as measured, does not seem to influence REIT cost efficiency. 相似文献