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2019 | vol. 27, iss. 2 | 20--32
Tytuł artykułu

U.S. REITs: A Financial Economics Review as of 2018

Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
The U.S. Real Estate Investment Trust (REIT) sector, since its inception in the 1960s, has been witness to continuous evolution. The numerous events that have characterized its growth and its actual structure over time have made this sector an object of interest many researchers and authors, who tried to give answers to several financial questions that are still open to debate. We contend that a global review of financial literature on this specific industry could give good suggestions for further research themes for all those who are interested in studying the U.S. REIT market and its characteristics and for investors at large.(original abstract)
Rocznik
Strony
20--32
Opis fizyczny
Twórcy
  • University of Naples Parthenope
  • University of Naples Parthenope
Bibliografia
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  • CHATRATH A., LIANG Y., MCINTOSH W., 2000, The Asymmetric REIT-Beat Puzzle, Journal of Real Estate Portfolio Management, Vol. 6, pp.101-11.
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  • CLAYTON J., MACKINNON G., 2001, The Time-Varying Nature of the Link Between REIT, Real Estate and Financial Asset Returns, Journal of Real Estate Portfolio Management, Vol. 7, No. 1, pp. 43-54.
  • CLAYTON J., MACKINNON G., 2003, The Relative Importance of Stock, Bond and Real Estate Factors in Explaining REIT Returns, Journal of Real Estate Finance and Economics, Vol. 27, No. 1, pp. 39-60.
  • COLEMAN M., MANSOUR A., 2005, Real Estate in the Real World: Dealing with Non-Normality and Risk in an Asset Allocation Model, Journal of Real Estate Portfolio Management, Vol. 11, pp. 37-53.
  • CONNORS D., JACKMAN M., 2000, The Cost of Equity Capital of REITs: An Examination of Three Asset- Pricing Models, Master Thesis, MIT: Cambridge, Massachussets.
  • DEVANEY M., 2001, Time varying risk premia for real estate investment trusts: A GARCH- M model, The Quarterly Review of Economics and Finance, Vol. 41, pp. 335-346.
  • FAMA E. F., FRENCH K. R., 1993, Common Risk Factors in the Returns on Stock and Bonds, Journal of Financial Economics, Vol. 33, pp. 3-56.
  • GHOSH C., MILES M., SIRMANS C.F., 1996, Are REITs Stocks?, Real Estate Finance, Fall, pp. 46-52.
  • GILIBERTO S. M., 1990, Equity Real Estate Investment Trusts and Real Estate Returns, Journal of Real Estate Research, Vol. 5, No. 2, pp. 259-263.
  • GILIBERTO S. M., 1993, Measuring Real Estate Returns: The Hedged REIT Index, Journal of Portfolio Management, pp. 94-9.
  • GLASCOCK J.L., 1991, Market conditions, risk, and real estate portfolio returns: Some empirical evidence, Journal of Real Estate Finance and Economics, Vol. 4, pp. 367-374.
  • GLASCOCK J. L., HUGHES W. T., 1995, NAREIT identified exchange listed REITs and their performance characteristics: 1972-1991, Journal of Real Estate Literature, Vol. 3, pp. 63-83.
  • GLASCOCK J.L., LU C., SO R.W., 2000, Further Evidence on the Integration of REIT, Bond, and Stock Returns, Journal of Real Estate Finance and Economics, Vol. 20, pp. 177-194.
  • GLOSTEN L.R., JAGANNATHAN R., RUNKLE D.E., 1993, On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks, Journal of Finance, Vol. 48, pp. 1779-1801.
  • GOLDSTEIN A., NELLING E. F. 1999, REIT Return Behavavior in Advancing and Declining Stock Markets, Real Estate Finance, Vol. 15, 68-77.
  • GYOURKO J., KEIM D. B., 1992, What Does the Stock Market Tell Us About Real Estate Returns?, AREUEA Journal, Vol. 20, No. 3, pp. 457-485.
  • GYOURKO J., LINNEMAN P., 1988, Owner-Occupied Homes, Income-Producing Properties, and REITs as Inflation Hedges: Empirical Findings, Journal of Real Estate Finance and Economics, Vol. 1, pp. 347- 72.
  • HAN J., 1990, Did REITs Really Outperform the Stock Market Portfolio?, Working Paper, MIT.
  • HAN J., LIANG Y., 1995, The Historical Performance of Real Estate Investment Trust, Journal of Real Estate Research, Vol. 3, pp. 235-262.
  • HOWE J. S., SHILLING J. D., 1990, REIT Asvisor Performance, AREUEA Journal, Vol. 18, No. 4, pp. 479- 499.
  • JAGANNATHAN R., WANG Z., 1996, The Conditional CAPM and the Cross-section of Expected Returns, Journal of Finance, Vol. 51, pp. 3-54.
  • KAWAGUCHI Y., SAAADU J., SHILLING J.D., 2012, REIT Stock Price Volatility during the Financial Crisis, Working paper, University of Iowa.
  • KHOO T., HARTZELL D., HOESLI M., 1993, An Investigation of the Change in Real Estate Investment Trust Betas, Journal of American Real Estate and Urban Economics Association, Vol. 21, No. 2, pp. 107- 130.
  • LEE M., LEE M., CHIANG K.C.H., 2008, Real Estate Risk Exposure of Equity Real Estate Investment Trusts, Journal of Real Estate Finance and Economics, Vol. 36, No. 2, pp. 165-181.
  • LI Y., WANG K., 1995, The predictability of REIT returns and market segmentation, Journal of Real Estate Research, Vol. 10, pp. 471-482.
  • LIANG Y., WEBB J.R., 1995, Pricing Interest Rate Risk for Mortgage REITs, Journal of Real Estate Research, Vol. 10, No. 4, pp. 461-470.
  • LIANG Y., MCINTOSH W., WEBB J.R., 1995, Intertemporal Changes in the Riskiness of REITs, Journal of Real Estate Research, Vol. 10, No. 4, pp. 427-443.
  • LIU C. H., MEI J., 1992, The Predictability of Returns on Equity REITs and Their Co-Movement with Other Assets, Journal of Real Estate Finance and Economics, Vol. 4, No. 4, pp. 401-418.
  • LIU C. H., HARTZELL D. J., GREIG W., GRISSOM T. V., 1990, The Integration of the Real Estate Market and the Stock Market: Some Preliminary Evidence, Journal of Real Estate Finance and Economics, Vol. 3, No. 3, pp. 261-282.
  • MARTIN J. D., COOK D. O., 1991, A Comparison of the Recent Performance of Publicly Traded Real Property Portfolios and Common Stock, AREUEA Journal, Vol. 19, No. 2.
  • MCINTOSH W., LIANG Y., TOMPKIN D.L., 1991, An Examination of the Small-Firm Effect within the REIT Industry, Journal of Real Estate Research, Vol. 6, No. 1, pp. 9-17.
  • MEI J., LEE A., 1994, Is There a Real Estate Factor Premium?, Journal of Real Estate Finance and Economics, Vol. 9, pp. 113-126.
  • MILLS T. C., MARKELLOS R. N., 2008, The econometric modelling of financial time series, Cambridge University Press.
  • MYER F. C. N., WEBB J. R., 1994, Retail Stocks, Retail REITs, and Retail Real Estate, Journal of Real Estate Research, Vol. 9, No. 1, pp. 65-84.
  • MYER F. C. N., WEBB J. R., 1997, Return Properties of Equity REITs, Common Stocks and Commercial Real Estate: A Comparison, Journal of Real Estate Research, Vol. 8, pp. 87- 106.
  • NELLING E., GYOURKO J., 1998, The Predictability of Equity REIT Returns, Journal of Real Estate Research, Vol. 16, pp. 251-68.
  • OPPENHEIMER P., GRISSOM T. V., 1998, Frequency Space Correlation between REITs and Capital Market Indices, Journal of Real Estate Research, Vol. 16, pp. 291-309.
  • OTT S.H., RIDDIOUGH T.J., YI H., 2005, Finance, Investment, and Investment Performance: Evidence from the REIT Sector, Special Issue on REIT Security Pricing, Real Estate Economics, Vol. 33, No. 1, pp. 203- 235.
  • PETERSON J. D., HSIEH C., 1997, Do Common Risk Factors in the Returns on Stocks and Bonds Explain Returns on REITs? Real Estate Economics, Vol. 25, pp. 321-345.
  • REINGANUM M. R., 1981, Misspecification of Capital Asset Pricing: Empirical Anomalies Based on Earnings' Yields and Market Values, Journal of Financial Economics, Vol. 9, pp. 19-46.
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  • SING T. F., TSAI I. C., CHEN M. C., 2012, Volatility Persistence in Equity REIT Market, Working paper.
  • SING T. F., TSAI I. C., CHEN M. C., 2016, Time-Varying Betas of US REITs from 1972 to 2013, Journal of Real Estate Finance and Economics, Vol. 52, pp. 50-72.
  • WANG K., ERICKSON J., CHAN S.H., Does the REIT Stock Market Resemble the General Stock Market?, Journal of Real Estate Research, Vol. 10, No. 4, pp. 445-460.
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Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171566380

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