Please enable JavaScript.

Coggle requires JavaScript to display documents.

REITs & BAB (Methodologies (b. SIC: two-digit SIC data (Construction…

- - - - l. Localized and segmented nature of real estate market: REIT and property-related stocks may be more exposed to idiosyncratic risk rather than typical equities (Ooi, Wang, and Webb, 2009; DeLisle, Price and Sirmans, 2013)
      - f. Unsystematic risk is less important in REIT after the 1993 Act: Crain, Cudd and Brown (2000)
        
        Two/three periods analysis
    - - There is a lower level of institutional investor (smaller chance of leverage, which favors the leverage constraint condition of BAB); the level of institutional investor positively related to the returns on REITs because of information transparency (Wang, Erickson, Gau and Chan, 1993)
      - The degree of integration (of exchange-traded real estate companies, including REITs, to the exchange-traded (non-real-estate) stocks has significantly increased during the 1990s (Ling and Naranjo, 1999; Glascock, Lu, and So, 2000)
    - - g. FF3: Colwell and Park (1990), Conover, Friday and Howton (2000) and Peterson and Hsieh (1997)
      - Beta of E-REITs slightly decrease from 1972 to 2002 betas using a single-factor model; but cannot make a conclusion using a three-factor model (Chiang, Lee, and Wisen, 2005)
      - n. Beta is only significant in bull market, but not in bear market; size and value effect are only significant in bear market, but not in bull market (Conover, Friday and Howton, 2000)
      - Capozza and Seguin (2003) REITs with greater insider holdings tend to invest in assets with lower systematic risk.
- - - - Changes in the prices of the economic risks are more important than changes in the betas in explaining the predictable variation in REIT returns (Karolyi and Sanders, 1998)
    - - Vintage REIT returns cannot be fully explained by broad market indexes or from size-based anomalies
        
        After the Omnibus Budget Reconciliation Act of 1993, institutional change made REITs for pension fund. This act increase the link between commons stocks and REITs (Ambrose et al., 1992)
      - Chiang, Jiang and Lee found that idiosyncratic risk of REITs appears to have an upward time trend during the vintage REIT era (1980–1992) and appears to trend downward during the new REIT era (1993–2006)
      - Cakici Erol and Tirtiroglu (2013) define that post-2001 is REIT Maturity Era, because S&P announced the inclusion of REIT into its index (Equity Office Properties into S&P 500 index, October 2001)
    - - Returns on common stocks are more sensitive to the maturity rate spread between short- and long-term treasuries than the credit rate spread between commercial bonds and treasuries, but returns on REITs are more sensitive to credit risk (Swanson, Theis and Casey, 2002)
      - Mortgage REIT returns were sensitive to long-term interest rates from 1973 to 1990, whereas equity REITs were not sensitive to the same interest-rate index (Chen and Tzang, 1988)
    - - Peterson and Hsieh (1997) show that MREIT returns are related to the FF3 and two bond market factors; size and book-to-market can explain the abnormal returns of EREIT
    - - The degree of integration (of exchange-traded real estate companies, including REITs, to the exchange-traded (non-real-estate) stocks has significantly increased during the 1990s (Ling and Naranjo, 1999; Glascock, Lu, and So, 2000)
      - Beta of E-REITs slightly decrease from 1972 to 2002 betas using a single-factor model; but cannot make a conclusion using a three-factor model (Chiang, Lee, and Wisen, 2005)
      - REITs is good to diversify the S&P 500 portfolio since 1990 (S&P 500) (Fei, Ding, and Deng, 2010)
      - Capozza and Seguin (2003) REITs with greater insider holdings tend to invest in assets with lower systematic risk.
    - - Since empirical researches find out REIT returns negatively related to inflation (Gyourko and Linneman, 1988; Goegel and Kim, 1989; Titman and Warga, 1989; Park et al., 1990; Chen et al., 1990; Liu et al.,1997)
      - Amplify that monetary policy has significant lagged effects on current real estate returns (Darrat and Glascock, 1989)