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Macroeconomic Variables, Firm-Specific Variables and Returns to REITs

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Abstract

This study investigates the cross-sectional variation in equity real estate investment trusts (EREITs) returns. A pooled cross-sectional, time-series approach is used as an alternative to the two-step Fama-MacBeth regression. With pooling, more powerful tests can be obtained from the limited sample of EREITs available. Beta does not explain return variation. Size is the sole consistent factor explaining prices. None of the variables of Chen, Roll and Ross (1986) is significant when size and book-to-market variables are included in the model. Only the unanticipated change in term structure is significant in versions of the model that exclude firm-specific variables.

Suggested Citation

  • 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.
  • Handle: RePEc:jre:issued:v:16:n:3:1998:p:269-278
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    References listed on IDEAS

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    Cited by:

    1. Vitor Leone, 2011. "From Property Companies to Real Estate Investment Trusts: The Impact of Economic and Property Factors on UK Listed Property Returns," Economic Issues Journal Articles, Economic Issues, vol. 16(1), pages 19-36, March.
    2. Natalya Delcoure & Ross Dickens, 2004. "REIT and REOC Systematic Risk Sensitivity," Journal of Real Estate Research, American Real Estate Society, vol. 26(3), pages 237-254.
    3. I.Fatnassi & S.Chawechi & Z.Ftiti & A.Ben Maatoug, 2014. "Effects of Monetary Policy on the REIT Returns," Working Papers 2014-63, Department of Research, Ipag Business School.
    4. 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.
    5. Séverine CAUCHIE & Martin HOESLI, 2004. "The Integration of Securitized Real Estate and Financial Assets," FAME Research Paper Series rp111, International Center for Financial Asset Management and Engineering.
    6. Martin Hoesli & Colin Lizieri & Bryan MacGregor, 2008. "The Inflation Hedging Characteristics of US and UK Investments: A Multi-Factor Error Correction Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 36(2), pages 183-206, February.
    7. Fatnassi, Ibrahim & Slim, Chaouachi & Ftiti, Zied & Ben Maatoug, Abderrazek, 2014. "Effects of monetary policy on the REIT returns: Evidence from the United Kingdom," Research in International Business and Finance, Elsevier, vol. 32(C), pages 15-26.
    8. Ming-Chi Chen & Chi-Lu Peng & So-De Shyu & Jhih-Hong Zeng, 2012. "Market States and the Effect on Equity REIT Returns due to Changes in Monetary Policy Stance," The Journal of Real Estate Finance and Economics, Springer, vol. 45(2), pages 364-382, August.
    9. Tsai, Ming-Shann & Chiang, Shu-Ling, 2013. "The asymmetric price adjustment between REIT and stock markets in Asia-Pacific markets," Economic Modelling, Elsevier, vol. 32(C), pages 91-99.
    10. repec:ipg:wpaper:2014-063 is not listed on IDEAS
    11. Vitor Leone, 2010. "From Property Companies to Real Estate Investment Trusts: The Impact of Economic and Property Factors in the UK Commercial Property Returns," Working Papers 2010/4, Nottingham Trent University, Nottingham Business School, Economics Division.
    12. George D. Cashman & David M. Harrison & Hainan Sheng, 2015. "Political Risk and the Cost of Capital in Asia-Pacific Property Markets," International Real Estate Review, Asian Real Estate Society, vol. 18(3), pages 331-364.

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    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

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