Market States and the Effect on Equity REIT Returns due to Changes in Monetary Policy Stance

Chen, Ming‐Chi; Peng, Chi-Lu; Shyu, So-De; Zeng, Jhih‐Hong

doi:10.1007/s11146-010-9264-1

Cited by 16 publications

(14 citation statements)

References 48 publications

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“…Wu et al (2010) document that REIT stocks have lower systematic risk during market downturns for the period of 2005 to 2009. Chen et al (2012) show that REITs are not sensitive to changes in monetary policy stance in bear markets. In contrast, some studies imply that REITs are more sensitive to the stock market during market downturns.…”

Section: Introductionmentioning

confidence: 86%

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The Price Behavior of REITs Surrounding Extreme Market-Related Events

Glascock

Lu‐Andrews

2015

J Real Estate Finan Econ

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We examine REIT behavior around extreme market-wide price occurrences. In general, we find that REITs that have higher levels of liquidity and that are larger in size tend to impound information more quickly and reverse more speedily after an extreme event. Also, we find that Equity REITs have stronger liquidity effects and Mortgage REITs have stronger size effects. Exante beta is also useful in explaining price behavior. For example, pre-betas are significantly positively related to turnover ratios; while pre-event betas are negatively associated with quoted bid-ask spreads. This implies a high-beta, high-liquidity relation for REIT stocks. Additionally, we find that large REIT stocks have high pre-event betas. Overall, the stronger explanatory variables are liquidity and size in determining price movements around extreme market events for REIT stocks.

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Section: Introductionmentioning

confidence: 86%

“…Studies, such as those by Chen et al (2012), Glascock (1991), and Wu et al (2010), suggest that REIT stocks are defensive, which means that REIT stocks are less sensitive to market downturns. Glascock (1991) documents time-varying, pro-cyclical betas of real estate portfolios.…”

Section: Related Literature and Contributionsmentioning

confidence: 99%

The Price Behavior of REITs Surrounding Extreme Market-Related Events

Glascock

Lu‐Andrews

2015

J Real Estate Finan Econ

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“…In the latter case, the evidence of asymmetries in variance is much weaker. A potentially mistaken assumption that securitised real estate markets are driven by the underlying stock markets explains a lack of significant findings in Chen et al (2012). One the last two findings reveal a counter-cyclical behaviour of the securitised real estate sector when compared to the stock market.…”

Section: Introductionmentioning

confidence: 98%

“…Our Markov-Switching regression analysis augments the recent work by Chen et al (2012) who model U.S. market regimes non-parametrically and assume that the reaction of U.S. REITs to macroeconomic variables is governed by the regime shifts in the S&P500. As a further contribution, we show that the impact of the macroeconomic variable such as interest rates can be modelled within the Dynamic Markov-Switching framework.…”

Section: Introductionmentioning

confidence: 99%

Securitised Real Estate Regime-Switching Behaviour and the Relationship with Market Interest Rates

Akimov¹,

Stevenson²

2013

Proceedings of the 20th Annual European Real Estate Society Conference - Vienna, Austria

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This paper examines the regime-switching behaviour of the six major international securitised real estate markets by utilizing the Dynamic Markov-Switching methodology. Using crises-rich sample period of 1993-2010, we find that the securitised real estate returns can be sufficiently characterised by two distinct regimes of high return-low volatility and low-return high-volatility that are substantially different from the underlying stock markets in terms of the duration and risk-return characteristics of the regimes in each market. The presence of two distinct regimes provides new international evidence on the sector's relationship with interest rates and the fact that securitised real estate reaction to unexpected market interest rate changes is of the asymmetric nature

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“…It is widely recognized that changes in an individual's emotion, such as changes in risk tolerance, influences an investor's decision makings (Yao, Hanna and Montalto 2002;Chen, Peng, Shyu and Zeng 2011;. Past literature, for example, Kahneman and Tversky (1979), Tversky and Kahneman (1992) and Campbell (2006) indicates that investors with lower risk tolerance preferences are less likely to invest in risky assets; in contrast, those with higher risk tolerance are more likely to allocate more risky assets than risk-free assets in their portfolio, implying that changes in the degree of risk-aversion/tolerance determines the investor investment behavior.…”

Section: Introductionmentioning

confidence: 99%

Risk Tolerance, Marketing Information and Investment Decision Makings Under Loss Aversion: Theory and Evidence

Peng

2011

SSRN Journal

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investors have propensity to discipline their depreciated assets and to sell their appreciated assets. Further, I find that CPT investors have less incentive to sell their holdings with higher advertising than ones with lower advertising when facing a paper gain or a paper loss. The empirical evidence indicates that advertising can help funds stem cash outflows, and finds investors are less willing to sell high performing investments with high fund family advertising than investments with low fund family advertising, and are more reluctant to redeem losing mutual funds with high fund family advertising than funds with low fund family advertising. For loser funds, a possible explanation from this study is that advertising seems to re-enforce the efficacy of recent investor decisions and adjust their beliefs to confirm past decisions, thus lets investors have more incentive to continue holding losing funds.For winner funds, this study infers that advertising may signal product quality, increase consumer satisfaction, brand equity and consumer loyalty that lead investors satisfied with their past decisions to have a greater propensity to retain their winning investments.

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Market States and the Effect on Equity REIT Returns due to Changes in Monetary Policy Stance

Cited by 16 publications

References 48 publications

The Price Behavior of REITs Surrounding Extreme Market-Related Events

The Price Behavior of REITs Surrounding Extreme Market-Related Events

Securitised Real Estate Regime-Switching Behaviour and the Relationship with Market Interest Rates

Risk Tolerance, Marketing Information and Investment Decision Makings Under Loss Aversion: Theory and Evidence

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