Modelling return behaviour of global real estate investment trusts equities
Purpose: This paper aims to contribute to knowledge by investigating the return behaviour of seven global real estate investment trusts (REITs) with respect to the appropriate distributional fit that captures tail and shape characteristics. The study adds to the knowledge of distributional properties of seven global REITs by using the generalised lambda distribution (GLD), which captures fairly well the higher moments of the returns. Design/methodology/approach: This is an empirical study with GLD through three rival methods of fitting tail and shape properties of seven REIT return data from January 2008 to November 2017. A post-Global Financial Crisis (GFC) (from July 2009) period fits from the same methods are juxtaposed for comparison. Findings: The maximum likelihood estimates outperform the methods of moment matching and quantile matching in terms of goodness-of-fit in line with extant literature; for the post-GFC period as against the full-sample period. All three methods fit better in full-sample period than post-GFC period for all seven countries for the Region 4 support dynamics. Further, USA and Singapore possess the strongest and stronger infinite supports for both time regimes. Research limitations/implications: The REITs markets, however, developed, are of wide varied sizes. This makes comparison less than ideal. This is mitigated by a univariate analysis rather than multivariate one. Practical implications: This paper is a reminder of the inadequacy of the normal distribution, as well as the mean, variance, skewness and kurtosis measures, in describing distributions of asset returns. Investors and policymakers may look at the location and scale of GLD for decision-making about REITs. Originality/value: The novelty of this work lies with the data used and the detailed analysis and for the post-GFC sample.
Year of publication: |
2019
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Authors: | Owusu Junior, Peterson ; Tweneboah, George ; Ijasan, Kola ; Jeyasreedharan, Nagaratnam |
Published in: |
Journal of European Real Estate Research. - Emerald, ISSN 1753-9269, ZDB-ID 2468173-8. - Vol. 12.2019, 3 (04.11.), p. 311-328
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Publisher: |
Emerald |
Saved in:
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