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The Journal of Alternative Investments

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Primary Article

The Linkage of REIT Income- and Price-Returns with Fundamental Economic Variables

David H. Downs, Hung-Gay Fung, Gary A. Patterson and Jot Yau
The Journal of Alternative Investments Summer 2003, 6 (1) 39-50; DOI: https://doi.org/10.3905/jai.2003.319081
David H. Downs
An associate professor of real estate at the Terry College of Business, University of Georgia, Athens, GA.
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  • For correspondence: ddowns@terry.uga.edu
Hung-Gay Fung
The Dr. Y.S. Tsiang Chair Professor at the College of Business Administration, University of Missouri—St. Louis.
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  • For correspondence: fungh@msx.umsl.edu
Gary A. Patterson
An assistant professor of finance at the College of Business Administration, University of South Florida, St. Petersburg, FL.
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  • For correspondence: pattersg@stpt.usf.edu
Jot Yau
An associate professor of finance at the Albers School of Business and Economics, Seattle University, WA.
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  • For correspondence: jyau@seattleu.edu
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Abstract

This article examines the relation between changes in macroeconomic variables and returns of Real Estate Investment Trusts (REITs). Previous studies show that stock prices quickly absorb news from changes in macro-economic variables. This study examines the components of REIT total returns, income- and pricereturns, to gain a more detailed understanding of how macroeconomic variables affect the movement of these returns. Results using monthly data show that changes in macroeconomic variables have a significant impact on the volatility of the income portion of REIT returns and the news shocks from these variables impact income return volatility for more than one month in duration. These findings may assist REIT investors in their approaches to risk-management.

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The Journal of Alternative Investments
Vol. 6, Issue 1
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The Linkage of REIT Income- and Price-Returns with Fundamental Economic Variables
David H. Downs, Hung-Gay Fung, Gary A. Patterson, Jot Yau
The Journal of Alternative Investments Jun 2003, 6 (1) 39-50; DOI: 10.3905/jai.2003.319081

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The Linkage of REIT Income- and Price-Returns with Fundamental Economic Variables
David H. Downs, Hung-Gay Fung, Gary A. Patterson, Jot Yau
The Journal of Alternative Investments Jun 2003, 6 (1) 39-50; DOI: 10.3905/jai.2003.319081
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