Access the full text.
Sign up today, get DeepDyve free for 14 days.
E. Fama, K. French (2014)
A Five-Factor Asset Pricing ModelS&P Global Market Intelligence Research Paper Series
A. Chatrath, Youguo Liang, Willard Mcintosh (2000)
The Asymmetric REIT-Beta PuzzleThe journal of real estate portfolio management, 6
(1999)
REIT return behavior in advancing and declining markets
JY Campbell, L Hentschel (1992)
No news is good news: an asymmetric model of changing volatility in stock returnsJournal of Financial Economics, 31
B. Jirasakuldech, Robert Campbell, Riza Emekter (2009)
Conditional Volatility of Equity Real Estate Investment Trust Returns: A Pre- and Post-1993 ComparisonThe Journal of Real Estate Finance and Economics, 38
T. Day (1981)
Asset returns and inflation
Jim Clayton, Greg Mackinnon (2002)
The Relative Importance of Stock, Bond and Real Estate Factors in Explaining REIT ReturnsThe Journal of Real Estate Finance and Economics, 27
(2011)
The supply side story: REITs' financing and investment decision in response to the 2007-2009 credit crunch. Working paper
W. Boudry, N. Coulson, J. Kallberg, Crocker Liu (2012)
On the Hybrid Nature of REITsThe Journal of Real Estate Finance and Economics, 44
W. Breen, L. Glosten, R. Jagannathan (1989)
Economic Significance of Predictable Variations in Stock Index ReturnsJournal of Finance, 44
Youguo Liang, Willard Mcintosh, James Webb (2009)
Intertemporal Changes in the Riskiness of REITsJournal of Real Estate Research, 10
F. Diebold, K. Yilmaz (2008)
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity MarketsWiley-Blackwell: Economic Journal
EF Fama, KR French (2015)
A five-factor asset pricing modelJournal of Financial Economics, 116
F. Diebold, K. Yilmaz (2010)
Better to Give than to Receive: Predictive Directional Measurement of Volatility SpilloversMicroeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal
J. Mei, Ahyee Lee (1994)
Is there a real estate factor premium?The Journal of Real Estate Finance and Economics, 9
J. Campbell, Ludger Hentschel (1991)
No News is Good News: An Asymmetric Model of Changing Volatility in Stock ReturnsEconometrics eJournal
C Ghosh, M Miles, CF Sirmans (1996)
Are REITs stocks?Real Estate Finance, 13
Ming‐Long Lee, Ming‐Te Lee, Kevin Chiang (2007)
Real Estate Risk Exposure of Equity Real Estate Investment TrustsThe Journal of Real Estate Finance and Economics, 36
L. Glosten, R. Jagannathan, D. Runkle (1993)
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on StocksJournal of Finance, 48
G. Koop, M. Pesaran, Simon Potter (1996)
Impulse response analysis in nonlinear multivariate modelsJournal of Econometrics, 74
G. Karolyi, A. Sanders (1998)
The Variation of Economic Risk Premiums in Real Estate ReturnsThe Journal of Real Estate Finance and Economics, 17
J. Glascock, Chiuling Lu, Raymond So (2000)
Further Evidence on the Integration of REIT, Bond, and Stock ReturnsThe Journal of Real Estate Finance and Economics, 20
Willard Mcintosh, Youguo Liang, D. Tompkins (2009)
An Examination of the Small-Firm Effect within the REIT IndustryJournal of Real Estate Research, 6
Lynne Sagalyn (1990)
Real Estate Risk and the Business Cycle: Evidence from Security MarketsJournal of Real Estate Research, 5
H.Hashem Pesaran, Y. Shin (1998)
Generalized Impulse Response Analysis in Linear Multivariate ModelsEconomics Letters, 58
Yuichiro Kawaguchi, J. Sa-Aadu, J. Shilling
REIT Stock Price Volatility during the Financial Crisis
F. Myer, James Webb (1994)
Retail Stocks, Retail REITs, and Retail Real EstateJournal of Real Estate Research, 9
Kevin Chiang, Ming‐Long Lee, Craig Wisen (2007)
Another Look at the Asymmetric Reit-Beta PuzzleReal Estate
Crocker Liu, David Hartzell, W. Greig, T. Grissom (1990)
The integration of the real estate market and the stock market: Some preliminary evidenceThe Journal of Real Estate Finance and Economics, 3
(1996)
Are REITs stocks? Real Estate Finance
P. Oppenheimer, T. Grissom (1998)
Frequency Space Correlation Between REITs and Capital Market IndicesJournal of Real Estate Research, 16
Yuming Li, Ko Wang (1995)
The Predictability of REIT Returns and Market SegmentationJournal of Real Estate Research, 10
Crocker Liu, J. Mei (1992)
The predictability of returns on equity REITs and their co-movement with other assetsThe Journal of Real Estate Finance and Economics, 5
Jian Yang, Yinggang Zhou, W. Leung (2010)
Asymmetric Correlation and Volatility Dynamics among Stock, Bond, and Securitized Real Estate MarketsThe Journal of Real Estate Finance and Economics, 45
J Gyourko, DB Keim (1992)
What does the stock market tell us about real estate returns?Journal of the American Real Estate and Urban Economics Association, 20
David Ling, A. Naranjo, Michael Ryngaert (2000)
The Predictability of Equity REIT Returns: Time Variation and Economic SignificanceThe Journal of Real Estate Finance and Economics, 20
Terence Khoo, David Hartzell, Martin Hoesli (1993)
An investigation of the change in real estate investment trust betasReal Estate Economics, 21
J. Glascock, Ran Lu-Andrews (2014)
The Profitability Premium in Real Estate Investment TrustsReal Estate eJournal
Joseph Gyourko, Donald Keim (1992)
What Does the Stock Market Tell Us About Real Estate ReturnsReal Estate Economics, 20
Based on Diebold and Yilmaz’s (International Journal of Forecasting 28:57–66, 2012) methodology, we estimate three return spillover indices in a four-asset system comprising equity REIT (EREIT), mortgage REIT (MREIT), stock, and bond for the sample period from January 1972 to September 2014. We find that the total return spillover risks account for about one-third of the total return variance, on average, in the four-asset system. When we add commercial real estate (CRE) to the system, but for a shorter sample period from February 1998 to September 2014, we estimate an average total return spillover risk of 28.0 %. In an extended Fama-French’s five-factor CAPM framework, we find that the net return spillover risks have significant and negative effects on EREIT and MREIT returns, but positive effects on bond return. We infer that during the period of high oil price volatility from 1978 to 1986, bond market, as a net “receiver” of market risks, increased its risk premiums in response to high spillover risks from other market. However, in the post-subprime crisis period, large spillover risks from the stock market, which is a net “transmitter” of risks, decreased EREIT and MREIT returns. We also find that CRE return is not affected by spillover risks from other markets. Institutional investors should thus not neglect spillover risks when constructing asset allocation strategies that include assets other than CRE.
The Journal of Real Estate Finance and Economics – Springer Journals
Published: Jan 16, 2016
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.