The Hybrid Characteristic of REIT Returns: Evidence from Japanese and U.S. Markets
學年 98
學期 2
出版（發表）日期 2010-06-30
作品名稱 The Hybrid Characteristic of REIT Returns: Evidence from Japanese and U.S. Markets
作品名稱（其他語言）
著者 Su, Hsin-Mei; Huang, Chien-Ming; Pai, Tung-Yueh
單位 淡江大學財務金融學系
出版者
著錄名稱、卷期、頁數 Journal of Real Estate Literature 18(1), p.77-98
摘要 This study investigates whether the behavior of real estate investment trusts (REITs) is more like that of common stocks or bonds by inspecting the conditional variance of the stock market. The analysis indicates that the REITs returns in Japan and the United States exhibit the same hybrid form. This must depend on the state of the market risk as a result of dividing the stock market volatility into a low-level and a high-level regime. When the volatility of market returns lies in a low-level regime, the REIT returns tend toward traditional stock forms, but do not lie in a high-level regime. Our findings help to reconcile the controversy of previous studies with regard to the REITs characteristics. In addition, the interest rate sensitivity of REIT returns in the two countries is significantly different and can be attributed to the different expectations of market investors.
關鍵字
語言 en
ISSN 0927-7544
期刊性質 國外
收錄於
產學合作
通訊作者
審稿制度 否
國別 USA
公開徵稿
出版型式 ,紙本
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