Macroeconomic Variables, Firm-Specific Variables and Returns to Reits

Posted: 29 Oct 1998

See all articles by Su-Jane Chen

Su-Jane Chen

University of Wisconsin at Eau Claire

Cheng-ho Hsieh

Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration

Timothy W. Vines

Louisiana State University, Baton Rouge

Shur-Nuaan Chiou

National Chung Cheng University

Abstract

This study investigates the cross-sectional variation in equity real estate investment trusts (EREITs) returns. A pooled cross-sectional, time-series approach is used as an alternative to the two-step Fama-MacBeth regression. With pooling, more powerful tests can be obtained from the limited sample of EREITs available. Beta does not explain return variation. Size is the sole consistent factor explaining prices. None of the variables of Chen, Roll and Ross (1986) is significant when size and book-to-market variables are included in the model. Only the unanticipated change in term structure is significant in versions of the model that exclude firm-specific variables.

JEL Classification: E39

Suggested Citation

Chen, Su-Jane and Hsieh, Cheng-ho and Vines, Timothy W. and Chiou, Shur-Nuaan, Macroeconomic Variables, Firm-Specific Variables and Returns to Reits. Available at SSRN: https://ssrn.com/abstract=137629

Su-Jane Chen

University of Wisconsin at Eau Claire ( email )

Eau Claire, WI 54702
United States
715-836-2710 (Phone)
715-836-3582 (Fax)

Cheng-ho Hsieh

Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration ( email )

Baton Rouge, LA 70803-6308
United States

Timothy W. Vines (Contact Author)

Louisiana State University, Baton Rouge ( email )

Baton Rouge, LA 70803
United States
318-797-5241 (Phone)
318-797-5208 (Fax)

Shur-Nuaan Chiou

National Chung Cheng University ( email )

Min-Shiung, Chia-Yi, 621
Taiwan

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