Impact of economic forces and fundamental variables on REIT returns

References

• Adams, Z., R. Fuss, and F. Schindler. 2015. “The Sources of Risk Spillovers Among US REITs: Financial Characteristics and Regional Proximity.” Real Estate Economics 43 (1): 67–100. doi:10.1111/1540-6229.12060.
   Web of Science ®Google Scholar
• Adrangi, B., A. Chatrath, and K. Raffiee. 2004. “Investment and Hedging Against Inflation.” Journal of Real Estate Portfolio Management 10 (2): 97–112. doi:10.1080/10835547.2004.12089701.
   Google Scholar
• Bai, Q., Q. Chang, and J. L. Glascock. 2011. “The Supply Side Story: REITs Financing and Investment Decision in Response to the 2007-20098 Credit Crunch,” Working Paper, University of Cincinnati.
   Google Scholar
• Bai, J., and P. Perron. 1998. “Estimating and Testing Linear Models with Multiple Structural Changes.” Econometrica 66 (1): 47–78. doi:10.2307/2998540.
   Web of Science ®Google Scholar
• Bai, J., and P. Perron. 2003. “Computation and Analysis of Multiple Structural Change Models.” Journal of Applied Econometrics 18 (1): 1–22. doi:10.1002/jae.659.
   Web of Science ®Google Scholar
• Benjamin, J. D., G. W. Boyle, and C. F. Sirmans. 1990. “Retail Leasing: The Determinants of Shopping Center Rents.” AREUEA Journal 18 (3): 302–312. doi:10.1111/1540-6229.00524.
   Google Scholar
• Benjamin, J. D., P. Chinloy, and G. D. Jud. 2004. “Real Estate versus Financial Wealth in Consumption.” The Journal of Real Estate Finance and Economics 29 (3): 341–354. doi:10.1023/B:REAL.0000036677.42950.98.
   Web of Science ®Google Scholar
• Bianchi, D., M. Guidolin, and F. Ravazzolo. 2013. What Makes Residential Different from Non-Residential REITs? Evidence from Multifactor Asset Pricing Model, Working Paper.
   Google Scholar
• Brady, P. J., and M. E. Conlin. 2004. “The Performance of REIT-Owned Properties and the Impact of REIT Market Power.” The Journal of Real Estate Finance and Economics 28 (1): 81–95. doi:10.1023/A:1026377623983.
   Web of Science ®Google Scholar
• Campbell, S. D., and F. X. Diebold. 2009. “Stock Returns and Expected Business Conditions.” Journal of Business and Economic Statistics 27 (2): 266–278. doi:10.1198/jbes.2009.0025.
   Web of Science ®Google Scholar
• Carhart, M. M. 1997. “On Persistence in Mutual Fund Performance.” The Journal of Finance 52 (1): 57–82. doi:10.1111/j.1540-6261.1997.tb03808.x.
   Web of Science ®Google Scholar
• Chan, S. H., J. Erickson, and K. Wang. 2003. Real Estate Investment Trusts: Structure, Performance and Investment Opportunities. Oxford: Oxford University Press.
   Google Scholar
• Chan, K. C., P. H. Hendershott, and A. B. Sanders. 1990. “Risk and Return on Real Estate: Evidence from Equity Reits.” AREUEA Journal 18 (4): 431–452. doi:10.1111/1540-6229.00531.
   Google Scholar
• Chang, K.-L., N.-K. Chen, and C. K. Y. Leung. 2011. “Monetary Policy, Term Structure and Asset Returns: Comparing REIT Housing and Stock.” Journal of Real Estate Finance and Economics 43 (1–2): 221–257. doi:10.1007/s11146-010-9241-8.
   Web of Science ®Google Scholar
• Chen, L., R. Petkova, and L. Zhang. 2008. “The Expected Value Premium.” Journal of Financial Economics 87 (2): 269–280. doi:10.1016/j.jfineco.2007.04.001.
   Web of Science ®Google Scholar
• Chen, N. F., R. Roll, and S. A. Ross. 1986. “Economic Forces and Stock Markets.” Journal of Business 59 (3): 383–404. doi:10.1086/296344.
   Web of Science ®Google Scholar
• Chow, G. C. 1960. “Tests of Equality Between Sets of Coefficients in Two Linear Regressions.” Econometrica 28 (3): 591–605. doi:10.2307/1910133.
   Web of Science ®Google Scholar
• Chow, G. C., and A. Lin. 1971. “Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series.” The Review of Economics and Statistics 53 (4): 372–375. doi:10.2307/1928739.
   Web of Science ®Google Scholar
• Chui, A. C., S. Titman, and K. C. J. Wei. 2003. “Intra Industry Momentum: The Case of Reits.” Journal of Financial Markets 6 (3): 363–387. doi:10.1016/S1386-4181(03)00002-8.
   Web of Science ®Google Scholar
• Corgel, J. B., and C. Djoganopoulos. 2000. “Equity REIT Beta Estimation.” Financial Analyst Journal 56 (1): 70–79. doi:10.2469/faj.v56.n1.2332.
   Google Scholar
• Cornell, B. 2010. “Economic Growth and Equity Investing.” Financial Analyst Journal 66 (1): 54–64. doi:10.2469/faj.v66.n1.5.
   Web of Science ®Google Scholar
• Fama, E. F. 1981. “Stock Returns and Real Activity, Inflation and Money.” The American Economic Review 71: 545–565.
   Web of Science ®Google Scholar
• Fama, E. F., and K. R. French. 1989. “Business Conditions and Expected Returns on Stocks and Bonds.” Journal of Financial Economics 25 (1): 23–49. doi:10.1016/0304-405X(89)90095-0.
   Web of Science ®Google Scholar
• Fama, E. F., and K. R. French. 1992. “The Cross-Section of Expected Stock Returns.” The Journal of Finance 47 (2): 427–465. doi:10.1111/j.1540-6261.1992.tb04398.x.
   Web of Science ®Google Scholar
• Fama, E. F., and K. R. French. 1993. “Common Risk Factors in the Returns on Stock and Bonds.” Journal of Financial Economics 33 (1): 3–56. doi:10.1016/0304-405X(93)90023-5.
   Web of Science ®Google Scholar
• Fama, E. F., and G. W. Schwert. 1977. “Asset Returns and Inflation.” Journal of Financial Economics 5 (2): 115–146. doi:10.1016/0304-405X(77)90014-9.
   Web of Science ®Google Scholar
• Flannery, M. J., and A. Protopapadakis. 2002. “Macroeconomic Factors Do Influence Aggregate Stock Returns.” The Review of Financial Studies 15 (3): 751–782. doi:10.1093/rfs/15.3.751.
   Web of Science ®Google Scholar
• Franses, P. H., and B. D. Groot. 2013. “Do Commercial Real Estate Prices Have Predictive Content for GDP?” Applied Economics 45 (31): 4379–4384. doi:10.1080/00036846.2013.783681.
   Web of Science ®Google Scholar
• Glascock, J., C. Lu, and R. So. 2000. “Further Evidence on the Integration of REIT, Bond and Stock Returns.” The Journal of Real Estate Finance and Economics 20 (2): 177–194. doi:10.1023/A:1007877321475.
   Web of Science ®Google Scholar
• Glascock, J. L., and L.-A. Ran. 2018. “The Asymmetric Conditional Beta Relations of Reits.” Journal of Real Estate Finance and Economics 57 (2): 231–245. doi:10.1007/s11146-017-9614-3.
   Web of Science ®Google Scholar
• Hansen, B. E. 2001. “The New Econometrics of Structural Change: Dating Breaks in US Labor Productivity.” Journal of Economic Perspectives 15 (4): 117–128. doi:10.1257/jep.15.4.117.
   Web of Science ®Google Scholar
• Hendershott, P., R. Hendershott, and T. Hendershott. 2000. “Will the Internet Reduce Demand for Mall Space.” Real Estate Finance 17: 41–46.
   Google Scholar
• Hoesli, M., C. M. Lizieri, and B. D. Macgregor. 2008. “The Inflation Hedging Characteristics of US and UK Investments.” Journal of Real Estate Finance and Economics 38 (2): 183–206. doi:10.1007/s11146-007-9062-6.
   Web of Science ®Google Scholar
• Hoskins, N., D. Higgins, and R. Cardew. 2004. “Macroeconomic Variables and Real Estate Returns: An International Comparison.” The Appraisal Journal 122: 163–170 .
   Google Scholar
• Hung, S. Y. K., and J. L. Glascock. 2008. “Momentum, Profitability and Market Trends: Evidence from Reits.” Journal of Real Estate Finance and Economics 37 (1): 51–69. doi:10.1007/s11146-007-9056-4.
   Web of Science ®Google Scholar
• Hung, S. Y. K., and J. L. Glascock. 2010. “Volatilities and Momentum Returns in Real Estate Investment Trusts.” Journal of Real Estate Finance and Economics 41 (2): 126–149. doi:10.1007/s11146-008-9165-8.
   Web of Science ®Google Scholar
• Jegadeesh, N., and S. Titman. 1993. “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency.” The Journal of Finance 48 (1): 65–92. doi:10.1111/j.1540-6261.1993.tb04702.x.
   Web of Science ®Google Scholar
• Johnson, T. C. 2002. “Rational Momentum Effects.” The Journal of Finance 57 (2): 565–608. doi:10.1111/1540-6261.00435.
   Web of Science ®Google Scholar
• Kawaguchi, Y.-J.-S.-A., and J. D. Shilling. 2012. “REITs Stock Price Volatility During the Financial Crisis,” Working Paper, University of Iowa.
   Google Scholar
• Kim, H., A. S. Mattila, and Z. Gu. 2002. “Performance of Hotel Real Estate Investment Trusts: A Comparative Study of Jensen Indexes.” International Journal of Hospitality Management 21 (9): 81–97. doi:10.1016/S0278-4319(01)00026-3.
   Google Scholar
• Lee, S. C. 2010. “The Changing Benefits of REITs to the Mixed-Asset Portfolio.” Journal of Real Estate Portfolio Management 16 (3): 201–216. doi:10.1080/10835547.2010.12089876.
   Google Scholar
• Liew, J., and M. Vassalou. 2000. “Can Book-To-Market, Size and Momentum Be Risk Factors That Predict Economic Growth?” Journal of Financial Economics 57 (2): 221–245. doi:10.1016/S0304-405X(00)00056-8.
   Web of Science ®Google Scholar
• Ling, D., and A. Naranjo. 1997. “Economic Risk Factors and Commercial Real Estate Returns.” Journal of Real Estate Finance and Economics 14 (3): 283–307. doi:10.1023/A:1007754312084.
   Web of Science ®Google Scholar
• Ling, D., and A. Naranjo. 2003. “The Dynamics of REIT Capital Flows and Returns.” Real Estate Economics 31 (3): 405–434. doi:10.1111/1540-6229.00071.
   Web of Science ®Google Scholar
• Ling, D. C., J. T. L. Ooi, and R. Xu. 2019. “Asset Growth and Stock Performance: Evidence from REITS.” Real Estate Economics 47 (3): 884–927. doi:10.1111/1540-6229.12186.
   Web of Science ®Google Scholar
• Liu, L., and L. Zhang. 2008. “Momentum Profits, Factor Pricing, and Macroeconomic Risk.” The Review of Financial Studies 21 (6): 2417–2448. doi:10.1093/rfs/hhn090.
   Web of Science ®Google Scholar
• Marshall, M. I., and T. L. Marsh. 2007. “Consumer and Investment Demand for Manufactured Housing Units.” Journal of Housing Economics 16 (1): 59–71. doi:10.1016/j.jhe.2006.09.001.
   Web of Science ®Google Scholar
• McElroy, M. B., E. Burmeister, and K. D. Wall. 1985. “Two Estimates for the APT Model When Factors are Measured.” Economics Letters 19 (3): 271–275. doi:10.1016/0165-1765(85)90035-7.
   Web of Science ®Google Scholar
• Miller, N., I. Peng, and M. Sklarz. 2011. “House Prices and Economic Growth.” Journal of Real Estate Finance and Economics 42 (4): 522–554. doi:10.1007/s11146-009-9197-8.
   Web of Science ®Google Scholar
• Nelsen, C. R., and C. I. Plosser. 1982. “Trends and Random Walk in Macroeconomic Time Series.” Journal of Monetary Economics 10 (2): 139–162. doi:10.1016/0304-3932(82)90012-5.
   Web of Science ®Google Scholar
• Omokolade, A., G. C. Aye, V. Babalos, F. Economou, and R. Gupta. 2016. “Real Estate Returns Predictability Revisited: Novel Evidence from the US REITs Market.” Empirical Economics 51 (3): 1165–1190. doi:10.1007/s00181-015-1037-5.
   Web of Science ®Google Scholar
• Perron, P. 1989. “The Great Crash, the Oil Price Shock and the Unit Root Hypothesis.” Econometrica 57 (6): 1361–1401. doi:10.2307/1913712.
   Web of Science ®Google Scholar
• Perron, P. 1997. “Further Evidence on Breaking Trend Function in Macroeconomic Variables.” Journal of Econometrics 80 (2): 355–385. doi:10.1016/S0304-4076(97)00049-3.
   Web of Science ®Google Scholar
• Peterson, J. D., and C. Hsieh. 1997. “Do Common Risk Factors in the Returns on Stocks and Bonds Explain Returns on Reits?.” Real Estate Economics 25 (2): 321–345. doi:10.1111/1540-6229.00717.
   Web of Science ®Google Scholar
• Petkova, R. 2006. “Do the Fama-French Factors Proxy for Innovation in Predictive Variables.” The Journal of Finance 61 (2): 581–612. doi:10.1111/j.1540-6261.2006.00849.x.
   Web of Science ®Google Scholar
• Plazzi, A., W. Torous, and R. Valkanov. 2008. “The Cross-Sectional Dispersion of Commercial Real Estate Returns and Rent Growth: Time Variation and Economic Fluctuations.” Real Estate Economics 36 (3): 403–449. doi:10.1111/j.1540-6229.2008.00218.x.
   Web of Science ®Google Scholar
• Quan, D. C., and S. Titman. 1999. “Do Real Estate Prices and Stock Prices Move Together? an International Analysis.” Real Estate Economics 27 (2): 183–207. doi:10.1111/1540-6229.00771.
   Web of Science ®Google Scholar
• Roine, J., and D.l Waldenström. 2011 “Common Trends and Shocks to Top Incomes: A Structural Breaks Approach,” The Review of Economics and Statistics 93 (3): 832–846. 10.1162/REST_a_00112
   Web of Science ®Google Scholar
• Schindler, F. 2013. “Predictability and Persistence of the Price Movements of the Sp/case-Shiller House Price Indices.” Journal of Real Estate Finance 46 (1): 44–90. doi:10.1007/s11146-011-9316-1.
   Web of Science ®Google Scholar
• Simpson, M. W., S. Ramchander, and J. R. Webb. 2007. “The Asymmetric Response of Equity REIT Returns to Inflation.” Journal of Real Estate Finance and Economics 34 (4): 513–529. doi:10.1007/s11146-007-9023-0.
   Web of Science ®Google Scholar
• Sing, T.-F., I.-C. Tsai, and M.-C. Chan. 2016. ““Time Varying Betas of US REITs from 1972-2013.” Journal of Real Estate Finance and Economics 52 (1): 50–72. doi:10.1007/s11146-015-9502-7.
   Web of Science ®Google Scholar
• Titman, S., and A. Warga. 1989. “Stock Returns as Predictors of Interest Rates and Inflation.” Journal of Financial and Quantitative Analysis 24 (1): 1–24.
   Web of Science ®Google Scholar
• Vogel, J. H. 1997. “Why the New Conventional Wisdom About REITs is Wrong,” Real Estate Finance.
   Google Scholar
• Zhou, J. 2013. “Extreme Risk Spillover Among International REIT Markets.” Applied Financial Economics 23 (2): 91–103. doi:10.1080/09603107.2012.709600.
   Google Scholar