The Determinants of REIT Volatility
نویسنده
چکیده
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) negatively a ect REIT return volatility in up markets. Use of rm leverage increases REIT return volatility due to the scaling e ect of leverage on return dynamics. Loan type matters, with a positive impact of short-term debt use on volatility, possibly capturing roll over risk of short-term debt. Unexpected in ation results in higher REIT return volatility, with larger impacts in down markets and for property sector utilizing short-term lease strategies. A positive correlation exists between trading volume and REIT return volatility, suggesting that increased trading induces REIT return volatility. REIT-ETF constituent stocks feature higher return volatility than non index stocks during the recent nancial and housing crisis. ∗Graaskamp Center for Real Estate, Wisconsin School of Business, University of WisconsinMadison, 975 University Avenue Madison, WI 53706. Email: [email protected] †The author wishes to thank David Barker, Brad Case, Mike Grupe, Pagliari Joseph, Kevin Lindemann, Timothy Riddiough and Lawrence Souza for helpful comments and is grateful to the Real Estate Research Institute for research funding. All remaining errors are, of course, my own.
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تاریخ انتشار 2012