Article1995

Intertemporal Changes in the Riskiness of REITs

Youguo Liang · Willard Prudential · James R. Webb

89 citations0/0 files storedJournal of Real Estate Research

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

Abstract

This study investigates the variability in the risk components of REITs over the 1973-1989 period using the cusum test, the cusum of squares test, and the Quandt's log-likelihood ratio method. Four REIT portfolios were formed: an all-REIT portfolio, an equity REIT portfolio, a hybrid REIT portfolio, and a mortgage REIT portfolio. The two-index model was employed and the results indicated that both the market beta and the interest-rate beta of the portfolios were time-varying. In addition, significant shifts in return-generating regimes over time were detected for all four portfolios.

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References

1984The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions 1989Heteroskedasticity in Stock Returns 1990Risk and Return on Real Estate: Evidence from Equity REITs 1986The Pricing of Interest-Rate Risk: Evidence from the Stock Market 1988Change in Market Assessments of Deposit-Institution Riskiness 1986Risk and the Performance of Real Estate Investment Trusts: A Multiple Index Approach 1988Change in market assessments of deposit-institution riskiness 1988Interest-Rate Sensitivity of Real Estate Investment Trusts

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2004REITs and Idiosyncratic Risk 2010Correlation and Volatility Dynamics in REIT Returns: Performance and Portfolio Considerations 2005On the Time‐Series Properties of Real Estate Investment Trust Betas 1998REIT Style and Performance 2003Interest Rate Sensitivities of REIT Returns 2005REIT Returns and Pricing: The Small Cap Value Stock Factor

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