The riskiness of REITs surrounding the October 1997 stock market decline

Glascock, JL; Michayluk, D; Neuhauser, K

The riskiness of REITs surrounding the October 1997 stock market decline

Glascock, JL Michayluk, D

Neuhauser, K

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Publication Type:: Journal Article
Citation:: Journal of Real Estate Finance and Economics, 2004, 28 (4), pp. 339 - 354
Issue Date:: 2004-05-01

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Field	Value	Language
dc.contributor.author	Glascock, JL	en_US
dc.contributor.author	Michayluk, D https://orcid.org/0000-0001-9020-0855	en_US
dc.contributor.author	Neuhauser, K	en_US
dc.date.issued	2004-05-01	en_US
dc.identifier.citation	Journal of Real Estate Finance and Economics, 2004, 28 (4), pp. 339 - 354	en_US
dc.identifier.issn	0895-5638	en_US
dc.identifier.uri	http://hdl.handle.net/10453/9968
dc.description.abstract	Real estate investment trusts (REITs) are viewed as low risk/low return stocks that exhibit defensive stock characteristics. The stock market decline of October 1997 provides all excellent opportunity to examine the riskiness of REITs during high levels of market uncertainty. We find that the decline in REIT stock values was about one-half as large as the decline of non-REIT stocks. Additionally, market uncertainty on the event day was shown with all increased bid-ask spread for all stocks. On the following day when the market decline was partially reversed, the bid-ask spreads continual to increase for non-REIT stocks, but declined for REIT stocks. This suggests that REITs, like defensive stocks in general, are less prone to significant declines during market-wide disturbances. Also, we order stocks based on the standard deviation measures of risk and show that this risk measure explains the cross-section of returns for non-REITs but is not valid for REITs.	en_US
dc.relation.ispartof	Journal of Real Estate Finance and Economics	en_US
dc.relation.isbasedon	10.1023/B:REAL.0000018786.39272.fa	en_US
dc.subject.classification	Finance	en_US
dc.title	The riskiness of REITs surrounding the October 1997 stock market decline	en_US
dc.type	Journal Article
utslib.citation.volume	4	en_US
utslib.citation.volume	28	en_US
utslib.for	1402 Applied Economics	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1504 Commercial Services	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
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
utslib.copyright.status	closed_access
pubs.issue	4	en_US
pubs.publication-status	Published	en_US
pubs.volume	28	en_US

Abstract:

Real estate investment trusts (REITs) are viewed as low risk/low return stocks that exhibit defensive stock characteristics. The stock market decline of October 1997 provides all excellent opportunity to examine the riskiness of REITs during high levels of market uncertainty. We find that the decline in REIT stock values was about one-half as large as the decline of non-REIT stocks. Additionally, market uncertainty on the event day was shown with all increased bid-ask spread for all stocks. On the following day when the market decline was partially reversed, the bid-ask spreads continual to increase for non-REIT stocks, but declined for REIT stocks. This suggests that REITs, like defensive stocks in general, are less prone to significant declines during market-wide disturbances. Also, we order stocks based on the standard deviation measures of risk and show that this risk measure explains the cross-section of returns for non-REITs but is not valid for REITs.

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http://hdl.handle.net/10453/9968