Author: Youguo Liang, Willard McIntosh, and James R. Webb

Start Page: 427
End Page: 444
Volume: 10
Issue Number: 4
Year: 1995
Publication: Journal of Real Estate Research

Abstract: This study investigates the variability in the risk components of REITs over the 1973-1989 period using the cusum test, the cusum of squares test, and the Quandt's log-likelihood ratio method. Four REIT portfolios were formed: an all-REIT portfolio, an equity REIT portfolio, a hybrid REIT portfolio, and a mortgage REIT portfolio. The two-index model was employed and the results indicated that both the market beta and the interest-rate beta of the portfolios were time-varying. In addition, significant shifts in return-generating regimes over time were detected for all four portfolios.