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Macroeconomic Variables, Firm-Specific Variables and Returns to REITs

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Abstract

This study investigates the cross-sectional variation in equity real estate investment trusts (EREITs) returns. A pooled cross-sectional, time-series approach is used as an alternative to the two-step Fama-MacBeth regression. With pooling, more powerful tests can be obtained from the limited sample of EREITs available. Beta does not explain return variation. Size is the sole consistent factor explaining prices. None of the variables of Chen, Roll and Ross (1986) is significant when size and book-to-market variables are included in the model. Only the unanticipated change in term structure is significant in versions of the model that exclude firm-specific variables.

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  • Su-Jane Chen & Chengho Hsieh & Timothy W. Vines & Shur-Nuaan Chiou, 1998. "Macroeconomic Variables, Firm-Specific Variables and Returns to REITs," Journal of Real Estate Research, American Real Estate Society, vol. 16(3), pages 269-278.
    • Handle: RePEc:jre:issued:v:16:n:3:1998:p:269-278
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    References listed on IDEAS

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    Cited by:

    1. Vitor Leone, 2011. "From Property Companies to Real Estate Investment Trusts: The Impact of Economic and Property Factors on UK Listed Property Returns," Economic Issues Journal Articles, Economic Issues, vol. 16(1), pages 19-36, March.
    2. Hui-Na Lin & Wo-Chiang Lee, 2015. "Threshold Effects in the Relationships of REITs and Other Financial Securities in Developed Countries," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 5(3), pages 426-438, March.
    3. Ling T. He, & James. R. Webb & Neil Myer, 2003. "Interest Rate Sensitivities of REIT Returns," International Real Estate Review, Global Social Science Institute, vol. 6(1), pages 1-21.
    4. Martin Hoesli & Colin Lizieri & Bryan MacGregor, 2008. "The Inflation Hedging Characteristics of US and UK Investments: A Multi-Factor Error Correction Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 36(2), pages 183-206, February.
    5. Camilo Serrano & Martin Hoesli, 2012. "Fractional Cointegration Analysis of Securitized Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 44(3), pages 319-338, April.
    6. Crystal Lin & Hamid Rahman & Kenneth Yung, 2009. "Investor Sentiment and REIT Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 39(4), pages 450-471, November.
    7. Benjamas Jirasakuldech & Robert Campbell & John Knight, 2006. "Are There Rational Speculative Bubbles in REITs?," The Journal of Real Estate Finance and Economics, Springer, vol. 32(2), pages 105-127, March.
    8. Sercan Demiralay & Erhan Kilincarslan, 2024. "Uncertainty Measures and Sector-Specific REITs in a Regime-Switching Environment," The Journal of Real Estate Finance and Economics, Springer, vol. 69(3), pages 545-584, October.
    9. Tsai, Ming-Shann & Chiang, Shu-Ling, 2013. "The asymmetric price adjustment between REIT and stock markets in Asia-Pacific markets," Economic Modelling, Elsevier, vol. 32(C), pages 91-99.
    10. repec:ipg:wpaper:2014-063 is not listed on IDEAS
    11. James Payne, 2003. "Shocks to macroeconomic state variables and the risk premium of REITs," Applied Economics Letters, Taylor & Francis Journals, vol. 10(11), pages 671-677.
    12. Natalya Delcoure & Ross Dickens, 2004. "REIT and REOC Systematic Risk Sensitivity," Journal of Real Estate Research, American Real Estate Society, vol. 26(3), pages 237-254.
    13. I.Fatnassi & S.Chawechi & Z.Ftiti & A.Ben Maatoug, 2014. "Effects of Monetary Policy on the REIT Returns," Working Papers 2014-63, Department of Research, Ipag Business School.
    14. Ewing, Bradley T. & Payne, James E., 2005. "The response of real estate investment trust returns to macroeconomic shocks," Journal of Business Research, Elsevier, vol. 58(3), pages 293-300, March.
    15. Séverine CAUCHIE & Martin HOESLI, 2004. "The Integration of Securitized Real Estate and Financial Assets," FAME Research Paper Series rp111, International Center for Financial Asset Management and Engineering.
    16. Jianfu Shen & Eddie C.M. Hui & Kwokyuen Fan, 2021. "The Beta Anomaly in the REIT Market," The Journal of Real Estate Finance and Economics, Springer, vol. 63(3), pages 414-436, October.
    17. Fatnassi, Ibrahim & Slim, Chaouachi & Ftiti, Zied & Ben Maatoug, Abderrazek, 2014. "Effects of monetary policy on the REIT returns: Evidence from the United Kingdom," Research in International Business and Finance, Elsevier, vol. 32(C), pages 15-26.
    18. Ming-Chi Chen & Chi-Lu Peng & So-De Shyu & Jhih-Hong Zeng, 2012. "Market States and the Effect on Equity REIT Returns due to Changes in Monetary Policy Stance," The Journal of Real Estate Finance and Economics, Springer, vol. 45(2), pages 364-382, August.
    19. Namik Erdogan & Serpil Altinirmak & Caglar Karamasa, 2016. "Performance Assessment of Real Estate Investment Trusts (REIT) Listed in BIST Via Different Multi Criteria Decision Making Methods," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(7), pages 304-304, July.
    20. Martin Hoesli & Colin Lizieri & Bryan MacGregor, 2006. "The Inflation Hedging Characteristics of US and UK Investments:Â A Multi-Factor Error Correction Approach," Real Estate & Planning Working Papers rep-wp2006-01, Henley Business School, University of Reading.
    21. Massimo Guidolin & Manuela Pedio & Dimos Andronoudis, 2019. "How Smart is the Real Estate Smart Beta? Evidence from Optimal Style Factor Strategies for REITs," BAFFI CAREFIN Working Papers 19117, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    22. Vitor Leone, 2010. "From Property Companies to Real Estate Investment Trusts: The Impact of Economic and Property Factors in the UK Commercial Property Returns," NBS Discussion Papers in Economics 2010/4, Economics, Nottingham Business School, Nottingham Trent University.
    23. George D. Cashman & David M. Harrison & Hainan Sheng, 2015. "Political Risk and the Cost of Capital in Asia-Pacific Property Markets," International Real Estate Review, Global Social Science Institute, vol. 18(3), pages 331-364.
    24. Liu Xiaoxin & Wu Di & Li Xiuting & Dong Jichang, 2013. "Financing of Low-Rent Housing REITs in China," Journal of Systems Science and Information, De Gruyter, vol. 1(1), pages 1-21, February.

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    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

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