Macroeconomic risks and REITs returns: A comparative analysis
| Autor: | Katlego Kola, Odongo Kodongo |
|---|---|
| Rok vydání: | 2017 |
| Předmět: |
050208 finance
Financial economics Autoregressive conditional heteroskedasticity 05 social sciences Real estate investment trust 0502 economics and business Econometrics Economics Business Management and Accounting (miscellaneous) Positive relationship Portfolio Developed market Volatility (finance) Excess return Emerging markets 050203 business & management Finance |
| Zdroj: | Research in International Business and Finance. 42:1228-1243 |
| ISSN: | 0275-5319 |
| Popis: | We study the relationship between the excess returns of REITs and volatilities of macroeconomic factors in developing markets (Bulgaria and South Africa) and a ‘benchmark’ developed market (USA). As expected, our results generally indicate that conditional volatilities of macroeconomic risks, extracted through the GARCH (1,1) process, are time-varying. GARCH coefficients are largely significant for excess returns and retained principal components implying conditional time-varying volatility. We use the GMM to examine the linkage between volatilities of macroeconomic variables and REITs returns. The general result here is that macroeconomic risk cannot explain excess returns on REITs. However, we document a positive relationship between variability in REITs returns and the real economy for the US. US REITs portfolio managers and investors should be wary of fluctuations in these variables as they may accentuate volatility in REITs returns. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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