http://goo.gl/H184gK
On the Interest
Rate Sensitivity of REITs: Evidence from Twenty Years of Daily Data
Executive Summary
This
study evaluates interest rate sensitivity for equity REITs using a multi-factor
asset pricing model estimated with daily data. We utilize yield changes and, as
an alternative, bond betas, to measure REITs’ sensitivity to interest rate shifts.
We find that the degree of interest rate sensitivity varies over time, has
switched direction and that any “pure” effect is often subsumed in equity REITs
beta against stocks. Despite recent high sensitivity, we conclude that there is
no long-run predictive rule that applies to how equity REIT returns respond to
movements in interest rates.
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