The predictability of returns on equity REITs and their co-movement with other assets

摘要: Recent evidence suggests that the variation in expected excess returns is predictable and arises from changes business conditions. Using a multifactor latent variable model with time-varying risk premiums, we decompose into unexpected to examine what determines movements for equity REITs are more than all other assets examined, due part cap rates which contain useful information about general condition economy. We also find conditional premiums (expected returns) on EREITs move very closely those of small stocks much less bonds.