This study is to examine if the risk premia of size effect on equity REITs (EREITs) are time-varying by using GARCH family models and to investigate how macroeconomic factors affect the size premia. We investigate the time-varying volatility for size effect by using a sample of publicly traded EREITs with GARCH family models. We also analyze the relationship of conditional volatility between macroeconomic variables and size premia with vector autoregressive (VAR) method. Our main findings are: (1) there is a reverse size effect, and size premia are not stable from July 1995 to December 2006; (2) size premia may be affected by their own conditional variance; (3) we find no leverage effect in size premia on EREITs returns; (4) the variation of size premia is partially resulted from the volatility of term spread in the bond market and the volatility of short-term interest rates, the proxy for monetary policy; (5) the unexpected shock from the fluctuation of term spread in bond market lowers the volatility of size premia on EREITs returns; and (6) the big size EREITs are a good investment when default risk premium fluctuates dramatically.
Keywords: Equity REITs, size effect, GARCH model, VAR, volatility, leverage effect
학회소식
학회소식
[2010년 제 4차] Time-Varying Risk Premia for Size Effects on Equity
작성자 : 관리자
조회수 : 925
게시일 :
2010-12-09