The Performance of REITs in Advancing and Declining Markets Revisited

Stephen Lee

ERES from European Real Estate Society (ERES)

Abstract: The purpose of this paper is to examine the risk-adjusted performance of EREITS and MREITs in advancing (bull) and declining (bear) markets. Fabozzi and Francis (1977) stress however that no one definition of advancing (bull) and declining (bear) exists therefore we use a number of different definitions. The empirical findings show that the risk-adjusted performance EREITs and MREITs differs in the phases of the market. Conclusions that continue to hold under the alternative definitions of advancing and declining markets. Although, advancing and declining markets were evaluated ex-post, the finding that the risk-adjusted performance of EREITs and MREITs perform differently in different phases of the market is of significant importance for the decision-making of portfolio management.

Keywords: Advancing; Declining; EREITs; Factor Models; MREITs (search for similar items in EconPapers)
JEL-codes: R3 (search for similar items in EconPapers)
Date: 2018-01-01
References: Add references at CitEc
Citations:

Downloads: (external link)
https://eres.architexturez.net/doc/oai-eres-id-eres2018-216 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arz:wpaper:eres2018_216

Access Statistics for this paper

More papers in ERES from European Real Estate Society (ERES) Contact information at EDIRC.
Bibliographic data for series maintained by Architexturez Imprints ().