Interest-Rate Sensitivity of Real Estate Investment Trusts

K.C. Chen and Daniel D. Tzang
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K.C. Chen: Theodore F. Brix Professor California State University-Fresno Fresno, California 93740, http://www.craig.csufresno.edu/dprtmnt/finance/fin-bl.htm
Daniel D. Tzang: Associate Professor of Finance University of the Pacific Stockton, California 95204, http://www1.uop.edu/esb/index.html

Journal of Real Estate Research, 1988, vol. 3, issue 3, 13-22

Abstract: This paper addresses the issue of whether REITs are sensitive to changes in short-term and long-term interest rates. REITs were found to be sensitive to changes in the long-term interest rates in 1973-1979, but in 1980-1985, REITs were sensitive to changes in both short-term and long-term rates. These sources of interest-rate sensitivity were also found to be different for equity and mortgage REITs. Equity REITs are sensitive to changes in expected inflation, whereas mortgage REITs are sensitive to both changes in expected inflation and changes in the real rate.

JEL-codes: L85 (search for similar items in EconPapers)
Date: 1988
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Citations: View citations in EconPapers (44)

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