Time Varying of Asymmetric Market Risk Premium for Equity REITs and Mortgage REITs
| Autor: | Shi-Hu Li, 李詩惠 |
|---|---|
| Rok vydání: | 2008 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 96 Utilizing the context of the CAPM model, this study investigates whether REITs investment instrument provide investors with a superior investment basis. First, utilizes respectively with stock market index and interest rates for the impact of EREITs and MREITs. Excess returns on market index discriminate between positive and negative. This article investigates difference effect of EREITs and MREITs in positive and negative excess return of stock market index and interest rate. The findings reveal that both market index excess return and interest rate effect are negative significantly with EREITs and MREITs. In addition, excess return on market index and interest rate do not influence simultaneously. The market index excess return factor contains the interest rate factor to affects EREITs and MREITs. Futhermore, the volatility shocks are quite persistent. The results show that two types of EREITs and MREITs are not alike, and the S&P 500 market returns sufficiently helps to explain the excess returns of U.S. EREITs and MREITs. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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