Time Varying Risk Premia For Real Estate Investment Trusts: A GARCH-M Model

Time Varying Risk Premia For Real Estate Investment Trusts: A GARCH-M Model

This study employs the generalized autoregressive conditionally heteroskedastic in the mean (GARCH-M) strategy to investigate the return generating process of real estate investment trusts (REIT). The trade-off between excess profits and the conditional variance was positive for both collateral and mortgage REITs but it was significant only for the second option.

Changes in interest rates and their conditional variance were found to be inversely related to the REIT surplus results. The 1986 tax law had a poor impact on the surplus earnings to both REIT industries but the coefficient was significant limited to home-loan REITs. The GARCH-M specification was determined to become more appropriate for the home loan REIT collection than for the profile of collateral REITs.

It offers financial security products (e.g. Life Insurance) and wealth management services (i.e. segregated money, mutual funds and pension products). They sell products to individuals and business. Its web site is Manulife Financial Corp here. Wednesday, February 22, 2017 around 5 pm. This blog is intended for educational purposes only, and it is not to provide investment advice.

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The system of investment management which is utilized in the developed world is risky to a degree for the reason that both investing operations are completed by the same firm. The system works because of the restricted regulation which safeguards the interests of the consumer extremely and stops information being shared between one arm of the business and the other. No system is likely to be completely foolproof against insider working and collusion ever, but the one which is currently in place is safeguarding the operation of investment management.

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