Macroeconomic Variables, Firm-Specific Variables and Returns to REITs

Su-Jane Chen, Chengho Hsieh (), Timothy W. Vines () and Shur-Nuaan Chiou ()
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Su-Jane Chen: Department of Accounting and Finance University of Wisconsin-Eau Claire Eau Claire, Wisconsin 54702, http://www.uwec.edu/Academic/COB/departments/acct/frameaccthome.htm
Chengho Hsieh: Department of Economics and Finance Louisiana State University-Shreveport Shreveport, Louisiana 71115, http://www.lsus.edu/econfin/
Timothy W. Vines: Department of Economics and Finance Louisiana State University-Shreveport Shreveport, Louisiana 71115, http://www.lsus.edu/econfin/
Shur-Nuaan Chiou: Department of Finance National Chung Cheng University Min-Shiung Chia-Yi 621 Taiwan

Journal of Real Estate Research, 1998, vol. 16, issue 3, pages 269-278

Abstract: This study investigates the cross-sectional variation in equity real estate investment trusts (EREITs) returns. A pooled cross-sectional, time-series approach is used as an alternative to the two-step Fama-MacBeth regression. With pooling, more powerful tests can be obtained from the limited sample of EREITs available. Beta does not explain return variation. Size is the sole consistent factor explaining prices. None of the variables of Chen, Roll and Ross (1986) is significant when size and book-to-market variables are included in the model. Only the unanticipated change in term structure is significant in versions of the model that exclude firm-specific variables.

JEL-codes: L85 (search for similar items in EconPapers)
Date: 1998
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