Μπάλιος, Δημήτριος, Επίκουρος Καθηγητής, Τμήμα Οικονομικών Επιστημών, Εθνικό και Καποδιστριακό Πανεπιστήμιο Αθηνών
The purpose of this paper is to initially explore the factors that affect European REITs’ performance and eventually to investigate long-run cointegration and short-run causality between European REITs. The content of the paper will be deployed in two sections:
The First Part will contain a literature review focusing on: 1. REIT regime and its conditions, 2. REITs performance and the factors that affect it, 3. The linkage between Real Estate Securities Markets.
In the Second Part there will be empirical examination, for the period 2006 – 2019, of the following aspects: 1. The factors that affect the annual performance of European REITs, 2. The linkage between real estate securities markets.
Regarding the factors that affect the performance of REITs, a multiple regression model will be proposed, having as a dependent variable the annual yield as well as the returns of NAV, FFO, leverage, systemic risk (beta) and the European stock index. The ultimate goal of this paper is to provide evidence that these five factors significantly affect the annual yield significantly.
With concern to the issue of linkage between real estate securities markets, through weekly closing price observations from 11 European REITs from 9 European countries, the Engle - Granger method will be used to investigate the existence of a long-term cointegration. Moreover, through the Granger-Causality method, the existence of causality will be investigated. This paper provides strong evidence of causality between European REITs as well as evidence of cointegration.
The empirical findings are significant because they supplement the limited literature on European REITs, identifying the factors that affect their performance and the evidence of causality and cointegration. Overall, the objectives of the study seem to be well achieved. As a conclusion, the results appear be beneficial to real estate investors, companies, portfolio managers, institutional investors, policy makers, and could provide useful information on future performance within multiple markets.
European REITs, REITs Performance, REITs Returns, REITs Cointegration, REITs Causality, Real Estate Securities Markets