Intertemporal Changes in the Riskiness of REITs

Youguo Liang, Willard McIntosh and James R. Webb ()
Additional contact information
Youguo Liang: The Yarmouth Group, Inc. 10 East 50th Street New York, New York 10022
Willard McIntosh: Prudential Real Estate Investors 51 JFK Parkway Short Hills, New Jersey 07078, http://www.prudential.com/inst/business/prei/
James R. Webb: Department of Finance and the Real Estate Research Center James J. Nance College of Business Cleveland State University Cleveland, Ohio 44115, http://www.csuohio.edu/finance_department/index.htm

Journal of Real Estate Research, 1995, vol. 10, issue 4, pages 427-444

Abstract: This study investigates the variability in the risk components of REITs over the 1973-1989 period using the cusum test, the cusum of squares test, and the Quandt's log-likelihood ratio method. Four REIT portfolios were formed: an all-REIT portfolio, an equity REIT portfolio, a hybrid REIT portfolio, and a mortgage REIT portfolio. The two-index model was employed and the results indicated that both the market beta and the interest-rate beta of the portfolios were time-varying. In addition, significant shifts in return-generating regimes over time were detected for all four portfolios.

JEL-codes: L85 (search for similar items in EconPapers)
Date: 1995
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