Dedicated REIT Mutual Fund Flows and REIT Performance

Dedicated REIT Mutual Fund Flows and REIT Performance

This study examines the effects of weekly and monthly capital flows into the dedicated REIT mutual fund sector on aggregate REIT returns and, simultaneously, the effects of industrylevel REIT returns on subsequent REIT mutual fund flows. The dynamic relation between REIT capital flows and returns is estimated using vector autoregression (VAR) techniques. Unlike static regression techniques, our...

The Determinants of REIT Volatility

This paper focuses on how market risk, economic activities, nancial leverage, in ation shocks and trading activities a ect REIT return volatility using U.S equity REITs data from 1995 to 2009. The ndings suggest that systematic risk positively a ects REIT return volatility, with a higher impact in up markets than in down markets. Dividend Yield (DY) and Return On Average Equity (ROAE) negativel...

REIT Financing Choices: Preparation Matters

Sun, Titman, and Twite (2014) find that risky capital structure characteristics, such as high leverage, a high share of debt due in the near future and a high share of variable-rate debt, significantly reduce the cumulative total returns of US REITs over the 2007-2009 financial crisis. In this paper we show that preparing ahead of the crisis significantly improved the cumulative return over the...

Focus, Transparency and Value: The REIT Evidence

Property Dispositions and REIT Credit Ratings

This paper investigates whether and how property dispositions affect credit ratings of real estate investment trusts (REITs). We use an instrument variable to control the potential endogeneity problem associated with firm’s decision to divest assets and find that property dispositions have a positive effect on REIT corporate credit ratings. We further investigate the underlying channels for thi...