TAILIEUCHUNG - Real Estate Risk Exposure of Equity Real Estate Investment Trusts

It usually looks at cash flow during the hold period of the investment plus the cash flow resulting from the ultimate disposition of the investment property. In these respects it is different from and more sophisticated than Tool Kit #2 Direct Capitalization, which usually limits its focus to annual net incomes without taking into account cash flow, appreciation in value, paying down of mortgages, or ultimate cash flow on disposition. Discounted Cash Flows are the most sophisticated and complicated tools usually encountered when analysing real estate investments, although they are easily calculated with. | Real Estate Risk Exposure of Equity Real Estate Investment Trusts Ming-Long Lee Department of Finance National Yunlin University of Science and Technology Touliu Yunlin 640 Taiwan Ming-Te Lee Department of Accounting Tamkang University Tamsui Taipei 251 Taiwan Kevin . Chiang School of Management University of Alaska Fairbanks Fairbanks AK 99775 USA For PRRES 2005 Conference Correspondence Ming-Long Lee Department of Finance College of Management National Yunlin University 123 Section 3 University Road Douliu Yunlin Taiwan 640. Phone 05 534-2601 ext. 5338 Fax 05 531-2o79 E-mail leeming@. Ming-Long Lee would like to acknowledge support from Taiwan National Science Council grant NSC 93-2416-H-224-015-. Abstract Gloscock Lu and So 2000 show that equity REITs behave more like stocks after 1992. However Clayton and Mackinnon 2003 provide evidence demonstrating that equity REITs become more akin to real estate and less like stocks. Facing the seemingly contradicting evidence produced by the two studies we extend Hsieh and Peterson 2000 and He 2002 to examine the real estate risk exposure of equity REITs. Contrary to Clayton and Mackinnon s 2003 study our results do not support that equity REITs are more like real estate after 1992. Our results appear to consistent with Graff and Young 1997 who conclude that the increased institutional interest has caused REIT return behavior to diverge from the returns on underlying REIT property portfolios. Keywords REIT Real Estate Asset Pricing Real Estate Factor 1 Introduction REITs were created by Congress to allow individual real estate investors to pool their investments in order to enjoy the same benefits as direct investors of large-scale real estate properties Block 2002 . Consistent with the intention Giliberto s 1990 study on REIT pricing reveals a fundamental link between equity REIT and unsecuritized real estate returns. He shows that quarterly Russell-NCREIF and NAREIT returns are significantly positively .

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