The US term structure and return volatility in global REIT markets
Yükleniyor...
Dosyalar
Tarih
2020-09
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Asia University
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
This paper examines the information content of the U.S. term structure of interest rates on the market for real estate investment trusts (REITs) by decomposing the term structure of U.S. Treasury yields into two components that reflect the expectations factor and the maturity premium. We show that the expectations factor component of the U.S yield curve has significant explanatory power over return volatility in REIT stocks, both in the U.S. and globally, even after controlling for stock market trading activity. The expectations factor is generally found to have a positive effect on REIT market volatility, more significantly for the U.S. and Japanese REITs, highlighting the role of global funding conditions (via expected short rates) on return fluctuations in real estate markets. Comparing the findings for the pre-and post-global crisis periods, however, we find that the U.S. term structure has largely lost its explanatory power over global REIT markets, implied by largely insignificant effects during the post-global crisis period. The findings highlight the changing dynamics in REIT investments in the aftermath of the 2018 global credit crunch, possibly due to the slowdown of investmentsin the real estate sector globally, and suggest that investors will have to focus more on the idiosyncratic risk factors that drive these markets.
Açıklama
Anahtar Kelimeler
Real estate investment trusts, Term structure, Volatility
Kaynak
Advances in Decision Sciences
WoS Q Değeri
Scopus Q Değeri
Q3
Cilt
24
Sayı
3
Künye
Demirer, R., Gupta, R., Yüksel, A. & Yüksel, A. (2020). The US term structure and return volatility in global REIT markets. Advances in Decision Sciences, 24(3), 1-25.
