《REITs, Growth Options and Beta》
打印
- 作者
- 来源
- JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS,Vol.55,Issue3,P.370-394
- 语言
- 英文
- 关键字
- Beta; Growth option; Assets-in-place; REITs; REIT Maturity Era; Cost of capital; ASSET PRICE DYNAMICS; CORPORATE-INVESTMENT; SYSTEMATIC-RISK; CROSS-SECTION; RETURNS; DURATION; EQUITY
- 作者单位
- [Tirtiroglu, Dogan] Isik Univ, Dept Business Adm, TR-34980 Istanbul, Turkey. [Thu Ha Nguyen] Monash Univ, Fac Business & Econ, Dept Banking & Finance, POB 197, Melbourne, Vic 3145, Australia. [Tirtiroglu, Ercan] Univ Massachusetts, Charlton Coll Business, N Dartmouth, MA 02742 USA. [Wee, Tan Cheng] HSBC Inst Trust Serv Singapore Ltd, 21 Collyer Quay 03-01 HSBC Bldg, Singapore 049320, Singapore. Tirtiroglu, D (reprint author), Isik Univ, Dept Business Adm, TR-34980 Istanbul, Turkey. E-Mail: dtirtiroglu@hotmail.com; hannah.nguyen@monash.edu; etirtiroglu@umassd.edu; tan.cheng.wee@gmail.com
- 摘要
- Are REITs income stocks, only? Following Myers (1977) and Bernardo et al. (2007), we examine empirically REITs' unlevered betas, betas of growth options, betas of assets-in-place and the difference between the latter two in detail for 1983-2012, and also for three sequential, distinct, and mutually-exclusive REIT sub-periods. We find that, (i) the betas of growth options are larger than those of assets-in-place, (ii) there are differences in these betas across Equity REITs' sub-sectors and sub-periods, (iii) REITs with a high growth profile tend to employ more short-term debt and are mainly listed on NASDAQ, and (iv) the Global Financial Crisis has influenced considerably the beta estimates across all sub-sectors and REIT types. These findings raise a question mark about the 'income stock, only' description of REITs. Our findings have important implications for the cost of capital of REITs and their capital budgeting practices. We discuss them, when appropriate, with numerical examples.