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The Real Estate Investment Trust Industry and the Financial Crisis: Modeling Volatility (1985-2016)

Author

Listed:
  • Roberto Joaquín Santillán-Salgado

    (EGADE Business School, Tecnológico de Monterrey, México; University of Texas, USA)

  • Humberto Valencia-Herrera

    (EGADE Business School, Tecnológico de Monterrey, México)

Abstract

Este trabajo mide la sensibilidad de la volatilidad residual de las primas de riesgo de varios sectores de Fondos de Inversión de Bienes Raíces (REITs) a eventos económicos de importancia sistémica, entre el 2 de enero de 1985, y el 30 de diciembre de 2016. Con tal fin, se calculan los rendimientos residuales de los REITs, y con ellos se estima un modelo GARCH(1,1), con variables dummy que identifican once subperiodos delimitados por eventos sistémicos que se presentaron en la economía americana. Se encuentra que la volatilidad de los rendimientos residuales disminuye con el premio por riesgo del S&P500; y aumenta sólo para algunos sectores con aumentos de los rendimientos de los bonos del tesoro (T-Bills). De manera similar, la volatilidad residual de los rendimientos aumentó en algunos periodos (e.g., posterior al crash del lunes-negro, crisis de las hipotecas de baja calidad, y la Gran Recesión), pero no lo hizo durante el periodo del colapso bursátil originado por las empresas de la "nueva economía" (conocida como la crisis de las dot.com). El conocimiento de estos hechos estilizados abre nuevas posibilidades de administración de riesgos para aquellos inversionistas que consideran incluir estas inversiones alternativas en sus portafolios.

Suggested Citation

  • Roberto Joaquín Santillán-Salgado & Humberto Valencia-Herrera, 2019. "The Real Estate Investment Trust Industry and the Financial Crisis: Modeling Volatility (1985-2016)," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(2), pages 169-188, Abril-Jun.
    • Handle: RePEc:imx:journl:v:14:y:2019:i:2:p:169-188
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    References listed on IDEAS

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    1. Liow, Kim Hiang & Huang, Yuting, 2018. "The dynamics of volatility connectedness in international real estate investment trusts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 195-210.
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    4. Rafiq Bhuyan & James Kuhle & Talla Mohammed Al-Deehani & Munir Mahmood, 2015. "Portfolio Diversification Benefits Using Real Estate Investment Trusts An Experiment with US Common Stocks, Equity Real Estate Investment Trusts, and Mortgage Real Estate Investment Trusts," International Journal of Economics and Financial Issues, Econjournals, vol. 5(4), pages 922-928.
    5. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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    Keywords

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    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G19 - Financial Economics - - General Financial Markets - - - Other

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