Solvency Risk in REIT Returns
Date Issued
2006
Date
2006
Author(s)
Chang, Ming-Shiow
DOI
en-US
Abstract
This research examines the relationship between solvency risk and the REIT returns. We find that the individual REIT’s solvency risk can not explain the REIT returns. We also find that a solvency state variable explains the REIT returns significantly even at the presence of the market and the book to market (HML) state variables. However, this market-wide solvency state variable becomes insignificant when the size factor (SMB factor) is combined. It implies that market-wide solvency risk is incorporated into the size factor.
Subjects
清償風險
不動產投資信託
solvency risk
REIT
Type
thesis
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