TY - JOUR
T1 - Winner versus Loser
T2 - Time-varying performance and dynamic conditional correlation
AU - Xiao, Zhongyi
AU - Zhao, Peng
AU - Rahnama, Masha
AU - Zhou, Yaling
PY - 2012
Y1 - 2012
N2 - Using multi-factor models in OLS and GARCH-M methodology, this paper provides a cross-sectional and time-series investigation of conditional and unconditional expected returns of real REITs index momentum portfolios against real estate property, large-cap stock small-cap stock, and bond index in USA. The expected returns and dynamic conditional correlations between REITs and those of other financial and tangible assets vary in period 1989-2010. REITs returns exhibit a higher correlation with up move of financial market, but a lower correlation in market downturns. REITs may possibly provide diversification benefits to multi-asset investment portfolio. We find that the performances of momentum returns are different from the NAREIT index, and display asymmetric volatility as well. Additionally, we find evidence that REITs momentum returns are varying between winner and loser by Wald test. The results of regressions also indicate that REITs return exhibits the greater sensitivity to large- and small-cap stock index, and less closely with those of bond and real estate index. The results also suggest that REITs not be viewed as a complete substitute for investment in tangible property of real estate.
AB - Using multi-factor models in OLS and GARCH-M methodology, this paper provides a cross-sectional and time-series investigation of conditional and unconditional expected returns of real REITs index momentum portfolios against real estate property, large-cap stock small-cap stock, and bond index in USA. The expected returns and dynamic conditional correlations between REITs and those of other financial and tangible assets vary in period 1989-2010. REITs returns exhibit a higher correlation with up move of financial market, but a lower correlation in market downturns. REITs may possibly provide diversification benefits to multi-asset investment portfolio. We find that the performances of momentum returns are different from the NAREIT index, and display asymmetric volatility as well. Additionally, we find evidence that REITs momentum returns are varying between winner and loser by Wald test. The results of regressions also indicate that REITs return exhibits the greater sensitivity to large- and small-cap stock index, and less closely with those of bond and real estate index. The results also suggest that REITs not be viewed as a complete substitute for investment in tangible property of real estate.
KW - Dynamic conditional correlation
KW - GARCH-M model
KW - Momentum return
KW - REITs
UR - http://www.scopus.com/inward/record.url?scp=84863554432&partnerID=8YFLogxK
U2 - 10.19030/jabr.v28i4.7042
DO - 10.19030/jabr.v28i4.7042
M3 - Article
AN - SCOPUS:84863554432
VL - 28
SP - 581
EP - 594
JO - Journal of Applied Business Research
JF - Journal of Applied Business Research
SN - 0892-7626
IS - 4
ER -