REIT-Specific and Macroeconomic Determinants of REIT Returns: Evidence from Singapore

Abstract

We examine the determinants of REIT returns in a highly developed trade-oriented market economy - Singapore. For the period from 2004 to 2013, we conduct panel data analyses on the impacts of REIT characteristics and macroeconomic factors on the returns of Singapore Real Estate Investment Trusts (S-REITs). Our results indicate that the returns of S-REITs are affected by the book-to-market value but not earnings per share, the debt-to-equity ratio, or the dividend yield. From the macroeconomic perspective, both local and international economic conditions, including the gross domestic product, inflation rate, exchange rate, and money supply are significantly related to the returns of S-REITs, indicating that the market of S-REITs is an imperfectly integrated one.

BİST gayrimenkul yatırım ortaklıkları endeksi ile konut fiyat endeksi, faiz oranı ve enflasyon ilişkisi: ARDL sınır testi yaklaşımı

“…This result is consistent with the result reached by Nishigaki (2007) for the US market. The results for the effect of inflation are consistent with the findings of studies using different inflation indicators instead of the rental consumer price index used such as Nishigaki (2007), Fang, Chang, Lee, and Chen (2016), Arora, Killins and Gangineni (2019) and Cohen and Burinskas (2020). The findings obtained are similar to the studies of Zügül and Şahin (2015), Fang, Chang, Lee and Chen (2016) and Khan and Siddiqui (2019), which determined the negative effect of interest on REIT share values.…”

Investment Performance and Integration Analysis of Indirect Real Estate and Other Listed Assets

“…Though the non-REITs assets outperformed the REITs. Arora et al (2019) found that economic variables such as money supply, infla on rate, GDP and exchange rate are significant predictors of REITs returns. Tiryaki and Tiryaki (2019) noted that listed assets are posi vely impacted in the short run by exchange rate, consumer price index and changes in industrial produc on.…”