REITs Performance and Macroeconomic Factors: A Stochastic Dominance Approach

• Main Authors: Fang-Chi Lin, 林芳綺
• Other Authors: 徐之強, 何耕宇
• Format: Others
• Language: en_US
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/33792950038688768051

碩士 === 國立中央大學 === 產業經濟研究所 === 95 === This paper employs the stochastic dominance tests based on Barret and Donald (2003) to examine whether REITs have better performance than stocks under different macroeconomic conditions. We use monthly returns of FTSE NAREIT US Real Estate Index Series and S&P 500 Index over the period 1972:01-2004:12. The sample period is divided by business cycles and the real interest rates. We find that FTSE NAREIT Composite Index and FTSE NAREIT Equity REITs Index stochastically dominate S&P 500 Index at second and third order either during the whole period or in expansion. However, S&P 500 Index has better performance than FTSE NAREIT Mortgage REITs Index and FTSE NAREIT Hybrid REITs Index in expansion and in the regime with medium real interest rate. Specifically, FTSE NAREIT Equity REITs Index dominates S&P 500 Index in the regimes with low and high real interest rates. Generally speaking, FTSE NAREIT Equity REITs Index is a better choice to invest than S&P 500 Index for risk averse investors with positive skewness preference.