African Journal of
Business Management

  • Abbreviation: Afr. J. Bus. Manage.
  • Language: English
  • ISSN: 1993-8233
  • DOI: 10.5897/AJBM
  • Start Year: 2007
  • Published Articles: 4194

Full Length Research Paper

Are REITs defensive? Evidence from the U.S.

  Ming-Che Wu1, Yung-Shi Liau2* and Yung-Chang Wang3    
  1Overseas Chinese University, 100 Chiao Kwang Road, Taichung 407, Taiwan. 2Nanhua University, 55, Sec. 1, Nanhua Road, Dalin, Chiayi 62248, Taiwan. 3Chinese Culture University, 55 Hua Kang Road, Yang Ming Shan, Taipei 11114, Taiwan.
Email: [email protected]

  •  Accepted: 26 May 2010
  •  Published: 31 July 2010

Abstract

 

Real estate investment trusts (REITs) are regarded as defensive assets with low risk and returns in the real world. The dynamic conditional correlations bivariate threshold GARCH (DCC-TGARCH) model is employed to test for the defensive property of REITs. The data are collected at daily intervals covering the time period from January 3, 2005 to December 31, 2009. Evidence indicates that, the betas work asymmetrically in the up and down markets as well as that the systematic risk of REITs is lower in the down market. In other words, the four types of REITs act as defensive stocks in the time period under discussion in the sense that REITs have lower downside betas when the market declines.

 

Key words: REITs, defensive, DCC-TGARCH, beta.

Copyright © 2024 Author(s) retain the copyright of this article.

This article is published under the terms of the Creative Commons Attribution License 4.0

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