Do Common Risk Factors in the Returns on Stocks and Bonds Explain Returns on Reits?

REAL ESTATE ECONOMICS, Vol. 25 No. 5, Summer 1997

Posted: 6 Jun 1997

See all articles by Cheng-ho Hsieh

Cheng-ho Hsieh

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

James D. Peterson

Charles Schwab Investment Advisory

Abstract

The monthly returns on equity and mortgage real estateinvestment trusts (REITs) are analyzed over the period July1976 to December 1992. The results indicate that riskpremiums on equity REITs are significantly related to riskpremiums on a market portfolio of stocks as well as tothe returns on mimicking portfolios for size and book-to-market equity factors in common stock returns. MortgageREIT risk premiums are significantly related to the threestock market factors and two bond market factors in returns.Mortgage REIT shares also underperform by an average of 6.8%per year.

JEL Classification: R0

Suggested Citation

Hsieh, Cheng-ho and Peterson, James D., Do Common Risk Factors in the Returns on Stocks and Bonds Explain Returns on Reits?. REAL ESTATE ECONOMICS, Vol. 25 No. 5, Summer 1997, Available at SSRN: https://ssrn.com/abstract=9275

Cheng-ho Hsieh

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

Baton Rouge, LA 70803-6308
United States

James D. Peterson (Contact Author)

Charles Schwab Investment Advisory ( email )

211 Main Street, SF211MN-11-107
San Francisco, CA 94105
United States
4156670879 (Phone)

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