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政大機構典藏 > 商學院 > 統計學系 > 期刊論文 > Item 140.119/71483

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/71483

Title:	Market States and the Effect on Equity REIT Returns due to Changes in Monetary Policy Stance
Authors:	陳明吉 Chen, Ming-Chi;Chi-Lu Peng;So-De Shyu;Jhih-Hong Zeng
Contributors:	財管系
Keywords:	Real estate investment trust (REIT);Monetary policy;Quantile regression;Macroeconomic factors
Date:	2012
Issue Date:	2014-11-14 18:17:04 (UTC+8)
Abstract:	This study investigates the effect of changes in monetary policy on US equity real estate investment trust (EREIT) returns in lower and higher return ranges during bull, bear, and volatile stock market states using quantile regression. Results show that EREIT returns are sensitive to changes in monetary policy at different EREIT return ranges in different market states. During bull markets, changes in monetary policy have a significant negative impact on EREIT when investors have lower expectations of real estate price increases, but are not effective when investors have higher expectations of real estate price increases. During volatile and bear markets, EREIT returns are not sensitive to changes in monetary policy stance. Results also show that EREIT returns respond positively to stock returns in various states and conditions.
Relation:	Journal of Real Estate Finance and Economics, 45(2), 364-382
Data Type:	article
Appears in Collections:	[統計學系] 期刊論文

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