The Predictability of Returns on Equity REITs and their Co-movement with Other Assets

Crocker H. Liu and Jianping J. P. Mei
Additional contact information
Crocker H. Liu: New York University, Stern School of Business, Department of Finance, 900 Tisch Hall, New York, NY 10003, USA
Jianping J. P. Mei: New York University, Stern School of Business, Department of Finance, 900 Tisch Hall, New York, NY 10003, USA

Chapter 2 in Asset Pricing, 2003, pp 21-45 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractRecent evidence suggests that the variation in the expected excess returns is predictable and arises from changes in business conditions. Using a multi-factor, latent-variable model with time-varying risk premiums, we decompose excess returns into expected and unexpected excess returns to examine what determines movements in expected excess asset returns and to what extent asset returns move together. We find that expected excess returns for Equity Real Estate Investment Trusts (EREITs) are more predictable than all other assets examined, owing in part to cap rates which contain useful information about the general risk condition in the economy. We also find that the conditional risk premiums (expected excess returns) on EREITs move very closely with those of small cap stocks and much less with those of bonds.

Date: 2003
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789812795618_0002 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789812795618_0002 (text/html)
Ebook Access is available upon purchase.

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:wsi:wschap:9789812795618_0002

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().