| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w3311 |
| 来源ID | Working Paper 3311 |
| Risk and Return on Real Estate: Evidence from Equity REITs | |
| K.C. Chan; Patric H. Hendershott; Anthony B. Sanders | |
| 发表日期 | 1990-03-01 |
| 出版年 | 1990 |
| 语种 | 英语 |
| 摘要 | We analyze monthly returns on an equally-weighted index of 18 to 23 equity (real property) real estate investment trusts (REITs) that were traded on major stock exchanges over the 1973-87 period. We employ a multifactor Arbitrage Pricing Model using prespecified macroeconomic factors. We also test whether equity REIT returns are related to changes in the discount on closed-end stock funds, which seems plausible given the closed-end nature of REITs. Three factors, and the percentage change in the discount on closed-end stock funds, consistently drive equity REIT returns: unexpected inflation and changes in the risk and term structures of interest rates. The impacts of these variables on equity REIT returns is around 60 percent of the impacts on corporate stock returns generally. As expected, the impacts are greater for more heavily levered REITs than for less levered REITs. Real estate, at least as measured by the return performance of equity REITs, is less risky than stocks generally, but does not offer a superior risk-adjusted return and is not a hedge against unexpected inflation. |
| 主题 | Macroeconomics |
| URL | https://www.nber.org/papers/w3311 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/560599 |
| 推荐引用方式 GB/T 7714 | K.C. Chan,Patric H. Hendershott,Anthony B. Sanders. Risk and Return on Real Estate: Evidence from Equity REITs. 1990. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w3311.pdf（159KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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