The US term structure and return volatility in global REIT markets

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dc.authorid0000-0002-1840-8085
dc.authorid0000-0002-8716-9049
dc.authorid0000-0001-9428-0426
dc.contributor.authorDemirer, Rızaen_US
dc.contributor.authorGupta, Ranganen_US
dc.contributor.authorYüksel, Aslıen_US
dc.contributor.authorYüksel, Aydınen_US
dc.date.accessioned2020-09-21T06:25:12Z
dc.date.available2020-09-21T06:25:12Z
dc.date.issued2020-09
dc.departmentIşık Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümüen_US
dc.departmentIşık University, Faculty of Economics and Administrative Sciences, Department of Managementen_US
dc.description.abstractThis 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.en_US
dc.description.versionPublisher's Versionen_US
dc.identifier.citationDemirer, 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.en_US
dc.identifier.endpage25
dc.identifier.issn2090-3359
dc.identifier.issn2090-3367
dc.identifier.issue3
dc.identifier.scopus2-s2.0-85090743243
dc.identifier.scopusqualityQ3
dc.identifier.startpage1
dc.identifier.urihttps://hdl.handle.net/11729/2426
dc.identifier.volume24
dc.indekslendigikaynakScopusen_US
dc.institutionauthorYüksel, Aydınen_US
dc.institutionauthorid0000-0001-9428-0426
dc.language.isoenen_US
dc.peerreviewedYesen_US
dc.publicationstatusPublisheden_US
dc.publisherAsia Universityen_US
dc.relation.ispartofAdvances in Decision Sciencesen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectReal estate investment trustsen_US
dc.subjectTerm structureen_US
dc.subjectVolatilityen_US
dc.titleThe US term structure and return volatility in global REIT marketsen_US
dc.typeArticleen_US
dspace.entity.typePublication

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