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Articles:
Interest Rate Sensitivities of REIT Returns Authors: Ling T. He, James. R. Webb, F.C. Neil Myer Start Page:1 Abstract:
In order to identify effective interest rate proxies for equity and mortgage
REITs, this study analyzes seven different interest rate proxies that have
been widely used in the REIT literature. They are the monthly holding period
returns on long-term U.S. government bonds and high-grade corporate bonds,
the percentage changes in yields for long-term U.S. government bonds and
high-yield (Baa) corporate bonds, the difference between returns on
long-term U.S. government bonds and T-bill rates, the spread between yields
on high-yield (Baa) corporate bonds and returns on long-term U.S. government
bonds, and the spread between returns on high-grade corporate bonds and
returns on long-term U.S. government bonds. The overall OLS results suggest
that mortgage REITs are sensitive to all proxies, while equity REITs are
significantly affected by only changes in yields on long-term U.S.
government bonds and high-yield corporate bonds. The time variation paths
for sensitivities indicate that all interest rate sensitivities are time
specific. Overall, the changes in yields on high-yield corporate bonds (Baa)
has the strongest explanatory power for returns of equity and mortgage REITs
for most of the 27-year sample |
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