Zhang Wendi, Li Bin, Roca Eduardo
Department of Accounting, Finance and Economics, Griffith Business School, Griffith University, Nathan Campus, Brisbane, Queensland, Australia.
Heliyon. 2023 Jul 20;9(8):e18476. doi: 10.1016/j.heliyon.2023.e18476. eCollection 2023 Aug.
A real estate investment trust (REIT) is a company running a funding pool that allows people to invest in real estate without physical purchase. Since REITs are stock market-traded real estate assets, there is debate as to whether their returns are driven by stock market risk factors. In this regard, this paper examines the impact of the well-established equity market risk factors of momentum, skewness, and kurtosis on the returns of different types of REITs, including mortgage REITs (MREIT), equity REITs (EREIT), and hybrid REITs (HREIT), across five countries-Australia, the UK, the US, Japan, and Canada-during the period 2000-2022, controlling for other well-established factors in the asset pricing literature. The study first adds the skewness and kurtosis to analyze cross-national REIT returns via the Fama-French five-factor model. Next, the cross-national REIT dataset is built for the different periods and then tested for the robustness of the effect of the factors during the COVID-19 period. Findings indicate that the influence of momentum on the return of the REITs is consistently positive across countries and different types of REITs. However, the significance of momentum for different REITs in different countries varies. These results were robust during the COVID-19 period, providing further confirmation that REITs behave less like stocks rather than real estate investments, with significant implications for investors.
房地产投资信托基金（REIT）是一家运营资金池的公司，它允许人们无需实际购买即可投资房地产。由于REIT是在股票市场交易的房地产资产，因此关于其回报是否由股票市场风险因素驱动存在争议。在这方面，本文研究了动量、偏度和峰度等成熟的股票市场风险因素对不同类型REIT回报的影响，这些REIT包括抵押房地产投资信托基金（MREIT）、权益型房地产投资信托基金（EREIT）和混合型房地产投资信托基金（HREIT），研究对象涵盖2000年至2022年期间的五个国家——澳大利亚、英国、美国、日本和加拿大，并控制了资产定价文献中的其他成熟因素。该研究首先通过Fama-French五因素模型加入偏度和峰度来分析跨国REIT回报。接下来，构建不同时期的跨国REIT数据集，然后测试这些因素在新冠疫情期间影响的稳健性。研究结果表明，动量对各国和不同类型REIT回报的影响始终是正向的。然而，动量对不同国家不同REIT的显著性有所不同。这些结果在新冠疫情期间是稳健的，进一步证实了REIT的表现更不像股票，而更像是房地产投资，这对投资者具有重要意义。
