Predictability of equity REIT returns: Implications for property tactical asset allocation

Okunev, J; Wilson, PJ

Predictability of equity REIT returns: Implications for property tactical asset allocation

Okunev, J Wilson, PJ

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Publisher:: Asian Real Estate Society
Publication Type:: Journal Article
Citation:: International Real Estate Review, 2008, 11 (2), pp. 29 - 43
Issue Date:: 2008-01

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Field	Value	Language
dc.contributor.author	Okunev, J	en_US
dc.contributor.author	Wilson, PJ	en_US
dc.date.issued	2008-01	en_US
dc.identifier.citation	International Real Estate Review, 2008, 11 (2), pp. 29 - 43	en_US
dc.identifier.issn	1029-6131	en_US
dc.identifier.uri	http://hdl.handle.net/10453/10207
dc.description.abstract	This study presents further evidence of the predictability of excess equity REIT (real estate investment trust) returns. Recent evidence on forecasting excess returns using fundamental variables has resulted in diminishing returns from the 1990s onward. Trading strategies based on these forecasts have not significantly outperformed the buy/hold strategy of the 1990s. We have developed an alternative strategy that is based on the time variation of the risk premium of investors. Our results indicate that it is possible to outperform the buy/hold strategy by modeling the time variation of the risk premium. By modeling the dynamic behavior of the risk premium, we are able to implicitly capture economic risk premiums that are not captured by conventional multi beta asset pricing models.	en_US
dc.publisher	Asian Real Estate Society	en_US
dc.relation.ispartof	International Real Estate Review	en_US
dc.title	Predictability of equity REIT returns: Implications for property tactical asset allocation	en_US
dc.type	Journal Article
utslib.citation.volume	2	en_US
utslib.citation.volume	11	en_US
utslib.for	1504 Commercial Services	en_US
utslib.for	1402 Applied Economics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.consider-herdc	true	en_US
pubs.issue	2	en_US
pubs.volume	11	en_US

Abstract:

This study presents further evidence of the predictability of excess equity REIT (real estate investment trust) returns. Recent evidence on forecasting excess returns using fundamental variables has resulted in diminishing returns from the 1990s onward. Trading strategies based on these forecasts have not significantly outperformed the buy/hold strategy of the 1990s. We have developed an alternative strategy that is based on the time variation of the risk premium of investors. Our results indicate that it is possible to outperform the buy/hold strategy by modeling the time variation of the risk premium. By modeling the dynamic behavior of the risk premium, we are able to implicitly capture economic risk premiums that are not captured by conventional multi beta asset pricing models.

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http://hdl.handle.net/10453/10207