Evidence of Size Effect in EU REIT markets
碩士 === 國立臺灣科技大學 === 財務金融研究所 === 104 === This study examines the size effect in EU REIT markets after the subprime crisis. We utilize the four-factor and five-factor models constructed by Carhart (1997) and Fama and French (2015) to analyze the correlation between REIT sizes and returns. The samples...
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| Format: | Others |
| Language: | en_US |
| Published: |
2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/54969716158807203793 |
| Summary: | 碩士 === 國立臺灣科技大學 === 財務金融研究所 === 104 === This study examines the size effect in EU REIT markets after the subprime crisis.
We utilize the four-factor and five-factor models constructed by Carhart (1997) and
Fama and French (2015) to analyze the correlation between REIT sizes and returns.
The samples are from January 2007 to December 2014 in seven EU countries. The
empirical results show that the size effect in EU REIT markets significantly disappears
in listed REITs but in small REITs after subprime crisis. Our results suggest that REIT
size is not a significant factor to influence listed REIT performances in EU REIT
markets after the subprime crisis.
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