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.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. 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.
Contact details of provider: Postal: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323 Email: Web page: http://www.aresnet.org/
Order Information: Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323 Email: Web: http://aux.zicklin.baruch.cuny.edu/jrer/about/get.htm
For technical questions regarding this item, or to correct its listing, contact: (JRER Graduate Assistant/Webmaster).
Related research
Keywords:
Other versions of this item:
Find related papers by JEL classification: L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.: