Real Estate and the Arbitrage Pricing Theory: Macrovariables vs. Derived Factors
AbstractTwo empirical models are used to implement the arbitrage pricing theory: the factor loading model (FLM) and the macrovariable model (MVM). This study compares the ability of these two models to explain real estate returns using equity REIT returns as a proxy. Two tests are performed: a comparison of crosssectional adjusted-R2's and the Davidson and Mackinnon test. The results show that while the two models perform equally well during the period 1974-1979, the MVM outperforms the FLM over the periods 1980-1985 and 1986-1991. In addition, both models suggest superior financial performance for EREITs relative to other investments in the market during the period 1980-1985. Copyright American Real Estate and Urban Economics Association.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by American Real Estate and Urban Economics Association in its journal Real Estate Economics.
Volume (Year): 25 (1997)
Issue (Month): 3 ()
Contact details of provider:
Postal: Indiana University, Kelley School of Business, 1309 East Tenth Street, Suite 738, Bloomington, Indiana 47405
Phone: (812) 855-7794
Fax: (812) 855-8679
Web page: http://www.blackwellpublishing.com/journal.asp?ref=1080-8620
More information through EDIRC
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Cauchie, Severine & Hoesli, Martin & Isakov, Dusan, 2004.
"The determinants of stock returns in a small open economy,"
International Review of Economics & Finance,
Elsevier, vol. 13(2), pages 167-185.
- Séverine CAUCHIE & Martin HOESLI & Dušan ISAKOV, 2003. "The Determinants of Stock Returns in a Small Open Economy," FAME Research Paper Series rp54, International Center for Financial Asset Management and Engineering.
- Jian Yang & Yinggang Zhou & Wai Leung, 2012. "Asymmetric Correlation and Volatility Dynamics among Stock, Bond, and Securitized Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 45(2), pages 491-521, August.
- 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.
- 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.
- Armonat, Stefan & Pfnür, Andreas, 2002. "Basel II and the German credit crunch?," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 35585, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Colin Lizieri & Stephen Satchell & Qi Zhang, 2006.
"The Underlying Return Generating Factors for REIT Returns: An Application of Independent Component Analysis,"
Real Estate & Planning Working Papers
rep-wp2006-12, Henley Business School, Reading University.
- Colin Lizieri & Stephen Satchell & Qi Zhang, 2007. "The Underlying Return-Generating Factors for REIT Returns: An Application of Independent Component Analysis," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 35(4), pages 569-598, December.
- 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.
- Chris Brooks & Sotiris Tsolacos, 2001. "International Evidence of the Predictability of Prices of Securititised Real Estate Assets: Econometric Models versus Neural Networks," ICMA Centre Discussion Papers in Finance icma-dp2001-08, Henley Business School, Reading University.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.