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作者

来源

JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS,Vol.54,Issue4,P.579-604

语言

英文

关键字

Systematic risk; Total return spillovers; Net return spillovers; Own return-spillovers; Asset returns; REITs; Stock; Real estate; VOLATILITY SPILLOVERS; ECONOMIC-SIGNIFICANCE; STOCK RETURNS; ESTATE; BOND

作者单位

[Chiang, Ming-Chu] Natl Yunlin Univ Sci & Technol, Dept Finance, 123 Univ Rd,Sect 3, Touliu 64002, Yunlin, Taiwan. [Sing, Tien Foo] Natl Univ Singapore, Dept Real Estate, 4 Architecture Dr, Singapore 117566, Singapore. [Tsai, I-Chun] Natl Univ Kaohsiung, Dept Finance, 700 Kaohsiung Univ Rd, Kaohsiung 811, Taiwan. Chiang, MC (reprint author), Natl Yunlin Univ Sci & Technol, Dept Finance, 123 Univ Rd,Sect 3, Touliu 64002, Yunlin, Taiwan. E-Mail: mingchuc@yuntech.edu.tw; rststf@nus.edu.sg; ictsai@nuk.edu.tw

摘要

Based on Diebold and Yilmaz's (International Journal of Forecasting 28:57-66, 2012) methodology, we estimate three return spillover indices in a four-asset system comprising equity REIT (EREIT), mortgage REIT (MREIT), stock, and bond for the sample period from January 1972 to September 2014. We find that the total return spillover risks account for about one-third of the total return variance, on average, in the four-asset system. When we add commercial real estate (CRE) to the system, but for a shorter sample period from February 1998 to September 2014, we estimate an average total return spillover risk of 28.0 %. In an extended Fama-French's five-factor CAPM framework, we find that the net return spillover risks have significant and negative effects on EREIT and MREIT returns, but positive effects on bond return. We infer that during the period of high oil price volatility from 1978 to 1986, bond market, as a net "receiver" of market risks, increased its risk premiums in response to high spillover risks from other market. However, in the post-subprime crisis period, large spillover risks from the stock market, which is a net "transmitter" of risks, decreased EREIT and MREIT returns. We also find that CRE return is not affected by spillover risks from other markets. Institutional investors should thus not neglect spillover risks when constructing asset allocation strategies that include assets other than CRE.