An Investigation on predictors of REITs Returns in America
Date Issued
2006
Date
2006
Author(s)
Kuo, Ting-Yu
DOI
zh-TW
Abstract
In this study, we mainly discuss the predictors of the rate of return of American real estate investment trust (REITs). We totally choose five factors as the predictor and use two kinds of models: The simple linear regression model and the multiple linear regression models to examine the explanation ability of each predictor. The five factors are company size, turnover ratio, book to market ratio (BM), earnings to price ratio (EP), and dividend to price ratio (DP). At the same time, according to three factor model of Fama and French (1993), we examine the relation among excess return of REITs and three factors: market risk premium factor (Rm-Rf) , size premium factor (SMB) and book to market ratio premium factor (HML). Because there was a structure change in the REITs market that occurred after 1990, we will discuss the explanation ability of predictors of the two different sub-periods: pre-1990 and post-1990. The determinations of the expected return of REITs differ in the sub-periods. In the pre-1990 sub-period, only size factor predict expected REITs returns. In the post-1990 sub-period, size factor, turnover ratio, BM ratio, EP ratio, and DP ratio predict expected REITs returns. In the three factor model analysis, the market risk premium, and book to market ratio premium (HML) could predict the excess REITs returns in the post-1990 sub-period. The most important concept is that we find that the explanation ability of the predictors is very different in the two sub-periods. More specially, the explanation ability of predictors in the post-1990 is better than in the pre-1990.
Subjects
Fama and French三因子模型
規模效應
周轉率效應
淨值市值比效應
益本比效應
股利股價比效應
three-factor model
size effect
turnover ratio effect
book to market ratio effect
earnings to price effect
dividend to price ratio effect
Type
thesis
File(s)![Thumbnail Image]()
Loading...
Name
ntu-95-R93724077-1.pdf
Size
23.31 KB
Format
Adobe PDF
Checksum
(MD5):1dbd8450492c69496a62a7d6fe840cc6