IDEAS home Printed from https://ideas.repec.org/a/jre/issued/v3n31988p13-22.html
   My bibliography  Save this article

Interest-Rate Sensitivity of Real Estate Investment Trusts

Author

Abstract

This paper addresses the issue of whether REITs are sensitive to changes in short-term and long-term interest rates. REITs were found to be sensitive to changes in the long-term interest rates in 1973-1979, but in 1980-1985, REITs were sensitive to changes in both short-term and long-term rates. These sources of interest-rate sensitivity were also found to be different for equity and mortgage REITs. Equity REITs are sensitive to changes in expected inflation, whereas mortgage REITs are sensitive to both changes in expected inflation and changes in the real rate.

Suggested Citation

  • K.C. Chen & Daniel D. Tzang, 1988. "Interest-Rate Sensitivity of Real Estate Investment Trusts," Journal of Real Estate Research, American Real Estate Society, vol. 3(3), pages 13-22.
  • Handle: RePEc:jre:issued:v:3:n:3:1988:p:13-22
    as

    Download full text from publisher

    File URL: http://pages.jh.edu/jrer/papers/pdf/past/vol03n03/v03p013.pdf
    File Function: Full text
    Download Restriction: no

    References listed on IDEAS

    as
    1. Mike Miles & Tom Mc Cue, 1982. "Historic Returns and Institutional Real Estate Portfolios," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 10(2), pages 184-199.
    2. W. B. Brueggeman & A. H. Chen & T. G. Thihodeau, 1984. "Real Estate Investment Funds: Performance and Portfolio Considerations," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 12(3), pages 333-354.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Joseph L. Pagliari, Jr. & James R. Webb, 1995. "A Fundamental Examination of Securitized and Unsecuritized Real Estate," Journal of Real Estate Research, American Real Estate Society, vol. 10(4), pages 381-426.
    2. Chien-Yun Chang & Jian-Hsin Chou & Hung-Gay Fung, 2012. "Time dependent behavior of the Asian and the US REITs around the subprime crisis," Journal of Property Investment & Finance, Emerald Group Publishing, vol. 30(3), pages 282-303, April.
    3. Ling T. He, 1998. "Cointegration and Price Discovery between Equity and Mortgage REITs," Journal of Real Estate Research, American Real Estate Society, vol. 16(3), pages 327-338.
    4. Jun Han & Youguo Liang, 1995. "The Historical Performance of Real Estate Investment Trusts," Journal of Real Estate Research, American Real Estate Society, vol. 10(3), pages 235-262.
    5. Joseph T.L. Ooi & Kim-Hiang Liow, 2004. "Risk-Adjusted Performance of Real Estate Stocks: Evidence From Developing Markets," Journal of Real Estate Research, American Real Estate Society, vol. 26(4), pages 371-396.
    6. Arnold, Stephan & Auer, Benjamin R., 2015. "What do scientists know about inflation hedging?," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 187-214.
    7. Hui-Na Lin & Wo-Chiang Lee, 2015. "Threshold Effects in the Relationships of REITs and Other Financial Securities in Developed Countries," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 5(3), pages 426-438, March.
    8. Ling T. He, & James. R. Webb & Neil Myer, 2003. "Interest Rate Sensitivities of REIT Returns," International Real Estate Review, Asian Real Estate Society, vol. 6(1), pages 1-21.
    9. 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.
    10. Yougou Liang & Michael J. Seiler & Arjun Chatrath, 1998. "Are REIT Returns Hedgeable?," Journal of Real Estate Research, American Real Estate Society, vol. 16(1), pages 87-98.
    11. Tsong-Yue Lai & Hin Man Mak & Ko Wang, 2001. "Asset Pricing Model with Short-Sale Restrictions: The Case of Asian Property Markets," International Real Estate Review, Asian Real Estate Society, vol. 4(1), pages 43-56.
    12. Kuan-Min, Wang & Yuan-Ming, Lee & T.T.Binh, Nguyen, 2008. "Asymmetric Inflation Hedge of Housing Return: A Non-linear Vector Error Correction Approach," International Real Estate Review, Asian Real Estate Society, vol. 11(1), pages 65-82.
    13. Elizabeth Yobaccio & Jack H. Rubens & David C. Ketcham, 1995. "The Inflation-Hedging Properties of Risk Assets: The Case of REITs," Journal of Real Estate Research, American Real Estate Society, vol. 10(3), pages 279-296.
    14. Devaney, Michael, 2001. "Time varying risk premia for real estate investment trusts: A GARCH-M model," The Quarterly Review of Economics and Finance, Elsevier, vol. 41(3), pages 335-346.
    15. Chee Seng Cheong & Patrick J. Wilson & Ralf Zurbruegg, 2009. "An analysis of the long-run impact of fixed income and equity market performance on Australian and UK securitised property markets," Journal of Property Investment & Finance, Emerald Group Publishing, vol. 27(3), pages 259-276, April.
    16. Arjun Chatrath & Youguo Liang, 1998. "REITs and Inflation: A Long-Run Perspective," Journal of Real Estate Research, American Real Estate Society, vol. 16(3), pages 311-326.
    17. Cheong, Chee Seng & Gerlach, Richard & Stevenson, Simon & Wilson, Patrick J. & Zurbruegg, Ralf, 2009. "Equity and fixed income markets as drivers of securitised real estate," Review of Financial Economics, Elsevier, vol. 18(2), pages 103-111, April.
    18. Pierpaolo Pattitoni & Barbara Petracci & Massimo Spisni, 2012. "REIT modified duration and convexity," Economics and Business Letters, Oviedo University Press, vol. 1(3), pages 1-7.
    19. Miao Jia, 2016. "The Long-Run Effects of the Fed’s Monetary Policy on the Dynamics among Major Asset Classes," International Journal of Management and Economics, De Gruyter Open, vol. 51(1), pages 9-19, September.
    20. Alexey Akimov & Simon Stevenson & Maxim Zagonov, 2015. "Public Real Estate and the Term Structure of Interest Rates: A Cross-Country Study," The Journal of Real Estate Finance and Economics, Springer, vol. 51(4), pages 503-540, November.
    21. Youguo Liang & James R. Webb, 1995. "Pricing Interest-Rate Risk for Mortgage REITs," Journal of Real Estate Research, American Real Estate Society, vol. 10(4), pages 461-470.
    22. Youguo Liang & Willard McIntosh & James R. Webb, 1995. "Intertemporal Changes in the Riskiness of REITs," Journal of Real Estate Research, American Real Estate Society, vol. 10(4), pages 427-444.
    23. Wu, Pei-Shan & Huang, Chien-Ming & Chiu, Chien-Liang, 2011. "Effects of structural changes on the risk characteristics of REIT returns," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 645-653, October.
    24. Glenn R. Mueller & Keith R. Pauley, 1995. "The Effect of Interest-Rate Movements on Real Estate Investment Trusts," Journal of Real Estate Research, American Real Estate Society, vol. 10(3), pages 319-326.
    25. Christian Pierdzioch & Marian Risse & Rangan Gupta & Wendy Nyakabawo, 2016. "On REIT Returns and (Un-) Expected Inflation: Empirical Evidence Based on Bayesian Additive Regression Trees," Working Papers 201677, University of Pretoria, Department of Economics.

    More about this item

    JEL classification:

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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:jre:issued:v:3:n:3:1988:p:13-22. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (JRER Graduate Assistant/Webmaster). General contact details of provider: http://www.aresnet.org/ .

    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 CitEc recognized a reference but did not link an item in RePEc 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.