Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/221469
Title: DO REIT RETURNS BEHAVE DIFFERENTLY UNDER DIFFERENT ECONOMIC CONDITIONS?
Authors: CHONG KAH HSIUNG
Keywords: Real Estate
Liow Kim Hiang
2010/2011 RE
Macroeconomic variables
REIT returns
Variance composition
Issue Date: 12-Nov-2010
Citation: CHONG KAH HSIUNG (2010-11-12). DO REIT RETURNS BEHAVE DIFFERENTLY UNDER DIFFERENT ECONOMIC CONDITIONS?. ScholarBank@NUS Repository.
Abstract: This paper aims to investigate the relationship between REIT returns and macroeconomic variables including stock returns, interest rate change and real economic activity in different economic conditions. Macroeconomic variables undertake “orthogonalization” and linear regression is conducted. This study covers a 10-year study period between January 2000 and December 2009. The author extends to examine benefits of diversification in REITs by property type. Empirical result shows presence of strong relationship between REIT returns and both big capitalization stocks returns and small capitalization stock returns across different economic cycles. Interest rate shows rather moderate link with REIT returns. Real economic activity is weak and remote with regards to REIT returns. Increase in systematic risk of REITs is detected especially in recent period. Diversified REITs deliver limited benefits of lower idiosyncratic risk as compared to specialized REITs.
URI: https://scholarbank.nus.edu.sg/handle/10635/221469
Appears in Collections:Bachelor's Theses

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