Effects of Structural Changes on the Risk Characteristics of REIT Returns
學年 100
學期 1
出版（發表）日期 2011-10-01
作品名稱 Effects of Structural Changes on the Risk Characteristics of REIT Returns
作品名稱（其他語言）
著者 Wu, Pei-Shan; Huang, Chien-Ming; Chiu, Chien-Liang
單位 淡江大學財務金融學系
出版者
著錄名稱、卷期、頁數 International Review of Economics & Finance 20(4), pp.645–653
摘要 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.
關鍵字 Structure changes; Real estate investment trusts; Market efficiency
語言 en
ISSN 1059-0560
期刊性質 國外
收錄於 SSCI
產學合作
通訊作者 Huang, Chien-Ming
審稿制度
國別 NLD
公開徵稿
出版型式 紙本
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