||THE IMPACT OF STRUCTURAL CHANGES IN THE REIT INDUSTRY ON REIT RETURNS AND VOLATILITY
||Campbell, Robert D.; Riza Emekter; Benjamas Jirasakuldech
||We examine the dynamic behavior of EREIT returns and volatility during the pre- and post-1991 REIT major organizational and structural changes. We find evidence of non-random walk and asymmetric price change pattern, and increases in the EREIT volatility during the 1990s REITs structural shift. EREITs volatilities are time-varying, persistent, and predictable. There is a positive relationship between expected return and expected risk in EREIT stocks in the pre-1991 and the relationship disappears after 1991. We do not find evidence that negative shocks increase the volatility of EREITs in both periods. Finally, we find that changes in EREIT volatility through time can be explained by changes in conditional volatility of macroeconomic fundamental variables. The findings suggest that EREIT exhibit different return and volatility behavior as REIT market has gone through 1991 major changes. Applying the same tests on Russell 2000, a proxy for small stocks, we find that EREIT and small stocks behave differently during the most recent time period.
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||random walk; asymmetric price pattern; GARCH; conditional volatility; Macroeconomic volatility
Campbell, Robert D.; Riza Emekter; Benjamas Jirasakuldech (2006).
THE IMPACT OF STRUCTURAL CHANGES IN THE REIT INDUSTRY ON REIT RETURNS AND VOLATILITY . Book of Abstracts: 13th Annual European Real Estate Society Conference in Weimar, Germany,