The Conditional CAPM and Time Varying Risk Premium for Equity REITs

Mohammad Najand, Crystal Yan and Elizabeth Fitzgerald

Journal of Real Estate Portfolio Management, 2006, vol. 12, issue 2, 167-176

Abstract: Executive Summary.Given the recent interest in Real Estate Investment Trusts (REITs), this study investigates whether REITs provide investors with a superior risk-return trade off. Utilizing a conditional CAPM, the findings reveal that equity REITs have outperformed the stock market with an average abnormal annual return of 2.25% with a low time-varying beta of around .24 during the June 1995 to December 2003 period. Utilizing time-varying risk premium models for equity REITs with GARCH specifications, the findings reveal that both the ARCH and GARCH effects are significant in the estimated models. In addition, the volatility shocks are quite persistent. The results show that the market returns and the first-order autocorrelation help explain the excess returns of equity REITs. However, the movement of interest rates contributes to equity REIT returns only when the market return is not present in the models.

Date: 2006
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/10835547.2006.12089753 (text/html)
Access to full text is restricted to subscribers.

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:taf:repmxx:v:12:y:2006:i:2:p:167-176

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/repm20

DOI: 10.1080/10835547.2006.12089753

Access Statistics for this article

Journal of Real Estate Portfolio Management is currently edited by Peng Liu and Vivek Sah

More articles in Journal of Real Estate Portfolio Management from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().