Risk Factors of Real Estate Investment Trusts-The Case of American Market
Date Issued
2008
Date
2008
Author(s)
Huang, Te-Yuan
Abstract
Real Estate Investment Trusts (REITs) have been the most popular investment item in recent years. General investors who don’t have abundant treasury can reach the real estate investment by REITs. Therefore, the research tries to improve the portfolios in risk management and gain a better performance by taking a close look at the relationship between real estate market and capital market.ocusing on expected excess return of different types of assets in the market, this research assumes that risk premium will change with the market status as time goes by, surveys the risk property of REITs in U.S. market from 1990 to 2006 through multi-factor latent variable model, and finds out the conclusion as follow:EITs market has three systemic risk factors and can be identified as follow: stock market, bond market, and real estate market. In other words, the excess returns of REITs are the risk premium from the stock market, bond market, and real estate market. The remuneration performance changes with the real estate price no matter what kind of REITs it is. Though equity REIT、mortgage REIT and small size REIT include three same sets of risk factors, the factors can explain these three kinds of assets in different degrees.his research finds out that: A) the excess return of equity REIT can be explained by the risks of stock market, bond market, and real estate market; B) the performance of return of mortgage REIT is similar to bond market and real estate market while having no connection with the stock market; C) small size REIT can only be explained by the real estate market.
Subjects
real estate investment trusts
risk factor
multi-factor latent variable model
Type
thesis
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