The Liquidity Effect on REIT Returns:Evidence from Asian Markets

• Main Authors: Jang Nian-Tsz, 張念慈
• Other Authors: 黃琛瑞
• Format: Others
• Language: en_US
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/37365829170391733532

碩士 === 東海大學 === 財務金融學系 === 98 === This paper employs a multifactor model to examine the liquidity effect on REIT returns in Asian markets besides factors that include the property type, issuing size, age, stock returns, and inflation. To differentiate this effect from the short term and to the longer term, this study analyzes daily, weekly, and monthly data. Major findings include: (1) the contemporaneous liquidity effect appears volatile and divergent while the lagged effect becomes more stable and consistent; (2) REITs that invest in retail property essentially brings more stable fixed income and might hence be regarded as a better option for investors; (3) the size effect on REIT returns is only significant in Hong Kong and Singapore, whereas younger REITs seem to outperform older REITs in Singapore, Japan, and Malaysia, and, to a limited extent, in Hong Kong; (4) both contemporaneous and lagged returns of market and construction industry indices are positively correlated with REIT returns; (5) the inflation effect on REIT returns is positive in Thailand, where REITs might be an effective inflation hedge instrument.