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Risk and the Performance of Real Estate Investment Trusts: A Multiple Index Approach
Author(s) -
Titman Sheridan,
Warga Arthur
Publication year - 1986
Publication title -
real estate economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.064
H-Index - 61
eISSN - 1540-6229
pISSN - 1080-8620
DOI - 10.1111/1540-6229.00395
Subject(s) - index (typography) , volatility (finance) , real estate , economics , actuarial science , investment (military) , estate , real estate investment trust , sample (material) , investment performance , econometrics , financial economics , capitalization rate , finance , microeconomics , return on investment , computer science , chemistry , chromatography , production (economics) , politics , world wide web , political science , law
This paper analyzes the returns of a sample of Real Estate Investment Trusts and examines their risk‐adjusted performance using both single index (i.e., CAPM) and multiple index (i.e., APT) models. It is shown that while the performance rankings of the investment trusts are not very sensitive to the risk‐adjustment model, the actual performance measures do sometimes differ substantially. Unfortunately, because of the high volatility of these real estate investments, the differences in investment performance across trusts generally are not statistically significant.