IDEAS home Printed from https://ideas.repec.org/p/arz/wpaper/eres2006_151.html
   My bibliography  Save this paper

The Impact Of Structural Changes In The Reit Industry On Reit Returns And Volatility

Author

Listed:
  • Robert D. Campbell
  • Riza Emekter
  • Benjamas Jirasakuldech

Abstract

We examine the dynamic behavior of EREIT returns and volatility during the pre- and post-1991 REIT major organizational and structural changes. We find evidence of non-random walk and asymmetric price change pattern, and increases in the EREIT volatility during the 1990s REITs structural shift. EREITs volatilities are time-varying, persistent, and predictable. There is a positive relationship between expected return and expected risk in EREIT stocks in the pre-1991 and the relationship disappears after 1991. We do not find evidence that negative shocks increase the volatility of EREITs in both periods. Finally, we find that changes in EREIT volatility through time can be explained by changes in conditional volatility of macroeconomic fundamental variables. The findings suggest that EREIT exhibit different return and volatility behavior as REIT market has gone through 1991 major changes. Applying the same tests on Russell 2000, a proxy for small stocks, we find that EREIT and small stocks behave differently during the most recent time period.

Suggested Citation

  • Robert D. Campbell & Riza Emekter & Benjamas Jirasakuldech, 2006. "The Impact Of Structural Changes In The Reit Industry On Reit Returns And Volatility," ERES eres2006_151, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2006_151
    as

    Download full text from publisher

    File URL: https://eres.architexturez.net/doc/oai-eres-id-eres2006-151
    Download Restriction: no
    ---><---

    More about this item

    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

    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:arz:wpaper:eres2006_151. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Architexturez Imprints (email available below). General contact details of provider: https://edirc.repec.org/data/eressea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.