Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/223730
Title: DEFENSIVENESS OF U.S. EQUITY REITS
Authors: CHIN YUN JIAO
Keywords: Real Estate
Bid-ask spread
Defensive stock
Equity REITs
U.S.
Issue Date: 4-Jan-2010
Citation: CHIN YUN JIAO (2010-01-04T06:13:11Z). DEFENSIVENESS OF U.S. EQUITY REITS. ScholarBank@NUS Repository.
Abstract: This study seeks to investigate the defensiveness of U.S. equity REITs by observing the variation of returns and bid-ask spread behaviours during the market decline. Three periods that are defined as recessions by U.S. National Bureau of Economic Research (NBER) are covered in this study i.e. July 1990 – March 1991 (Sample 1), March 2001 – November 2001 (Sample 2) and December 2007 – December 2008 (Sample 3). The defensiveness of equity REITs is also examined during the stock market decline on September 29, 2008. The main findings of the study are that, REITs were able to generate stable positive returns regardless of the market decline throughout the three periods. REITs’ performance was relatively superior to utilities stocks and non-REIT stocks. The wider percentage spreads of REITs in Sample 1 and 2 are attributed to the price effect. Percentage spreads of REITs in Sample 3 demonstrate a relatively low indication of uncertainty. The magnitude of decline of REITs on September 29 was lower than non-REITs. Additionally, REITs showed the greatest degree of reversal on September 30, 2008 to partially reverse the negative returns on the previous day. Therefore, these findings suggest that equity REIT stocks behaved like defensive stocks in general as they were less prone to the significant declines during market-wide downturn.
URI: https://scholarbank.nus.edu.sg/handle/10635/223730
Appears in Collections:Bachelor's Theses

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