We examine the dynamic behavior of Equity Real Estate Investment Trust (EREIT) volatility in a GARCH context 1972-2006 using monthly EREIT returns, and comparing volatility performance for quot;earlyquot; Equity REITs 1972-1992 with that of quot;modernquot; EREITs 1993-2006. Consistent with...

This study tests for the presence of rational speculative bubbles in the Equity REIT industry. We analyze REIT prices using a vector of macroeconomic fundamentals. Using the unit root test and cointegration procedures, we find no evidence of rational bubbles in the REIT market. Tests for...

We examine major sales of real property by public U.S. Real Estate Investment Trusts (REITs) 1992-2002. We find that abnormal shareholder returns are significantly positive, a result that is consistent with findings for conventional firms that sell off real estate. Because REITs do not pay...

The Umbrella Partnership REIT (UPREIT) structure has become the dominant form of organization for U.S. REITs. We examine the utility of this corporate structure from a new perspective, finding evidence that convertible securites issued by UPREITs in payment for properties acquired from private...

We study long-horizon shareholder returns in a comprehensive sample of Real Estate Investment Trust mergers, to test whether or not the anomaly of post-merger underperformance observed in conventional firms applies to the case of REITs. Constructing synthetic benchmark portfolios controlling for...

We examine the dynamic behavior of EREIT returns and volatility during the pre- and post-1991 REIT major organizational and structural changes. We find evidence of non-random walk and asymmetric price change pattern, and increases in the EREIT volatility during the 1990s REITs structural shift....

We examine the dynamic behavior of Equity Real Estate Investment Trust (EREIT) volatility in a GARCH context 1972–2006 using monthly EREIT returns, and comparing volatility performance for “early” Equity REITs 1972–1992 with that of “modern” EREITs 1993–2006. Consistent with...

If security returns are predictable due to rational variations in expected returns, as been argued by Fama and French (1989), then abnormal returns should follow a random walk process. This article investigates whether monthly abnormal returns on four US securities - high-grade corporate bonds,...