Shocks to macroeconomic state variables and the risk premium of REITs

James E. Payne

38 citations0/0 files storedApplied Economics Letters

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Market Dynamics and Volatility

Abstract

Following the work of Chen, Roll, and Ross (Journal of Business, 59, 383–403, 1986), there has been considerable work examining the influence of macroeconomic state variables on the excess returns of REITs. While most of the previous research has focused on the examination of equity REITs, this paper examines the three broad classification of REITs: equity, mortgage, and hybrid. This exploratory study identifies the response of REIT excess returns to unexpected changes in the broader stock market, real output growth, inflation, term structure of interest rates, default risk, and the federal funds rate using the generalized impulse response analysis.

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1988Testing for a Unit Root in Time Series Regression 1998Generalized impulse response analysis in linear multivariate models 1986Economic Forces and the Stock Market 1996Impulse response analysis in nonlinear multivariate models 1989The federal funds rate and the channels of monetary transmission 1983Size-related anomalies and stock return seasonality 2002Vector Autoregressions and Reality

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2017Macroeconomic risks and REITs returns: A comparative analysis 2015Do Public Real Estate Returns Really Lead Private Returns?

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