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    Title: Effects of Structural Changes on the Risk Characteristics of REIT Returns
    Authors: Wu, Pei-Shan;Huang, Chien-Ming;Chiu, Chien-Liang
    Contributors: 淡江大學財務金融學系
    Keywords: Structure changes;Real estate investment trusts;Market efficiency
    Date: 2011-10
    Issue Date: 2011-10-01 00:09:08 (UTC+8)
    Abstract: This investigation provides evidence and identifies two important structural changes in the risk characteristics of real estate investment trusts (REITs), namely, the 1993 tax reform and the inclusion of REITs in the mainstream S&P indices in 2001. Using daily data from 1989 to 2008, this study finds that institutional investors tended to increase their investment in REITs following the 1993 tax reforms, and these increases in institutional investment are significantly reducing exposure to interest rate risk, which may result from the benefits of external monitoring. Additionally, the inclusion of REITs in the Standard and Poor's mainstream indices since 2001 has increased the market risk of REITs, led to associated returns behaving more like those of stocks, and improved the market efficiency in processing new information. These observation results demonstrate these two structural changes in the risk characteristics of REIT returns. Finally, the study results confirm that the shape of the distribution of REIT returns varies among sub-samples, indicating that risk management is increasingly important.
    Relation: International Review of Economics & Finance 20(4), pp.645–653
    DOI: 10.1016/j.iref.2010.12.002
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

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