Forecasting the REITs Returns in US: New Evidence from Structural Time Series Model
The purpose of this paper is lo apply the structure time series model to forecast the REITs returns in I IS by using monthly data from January 1994 to November 2009. The primary advantage of this model is not only taking into account trends, seasonal factors and cycle effect but also that reflects the realistic situation of REITs, therefore, to bring about more accurate short-term forecasting. Empirical results indicate that cycle is much more explainable to the returns of industrial REIT and manufactured home REIT because industrial REII and manufactured home RED are lower and stable returns than other Rills. And the impact of shock occurred in September 2008, the industrial REII and manufactured home REITs returns arc slowly decreasing but stable. Eurthermorc, in accordance with the model forecasting results, a directional path was precise forecast from March 2009 to November 2009 period belonging to in-sample forecast. And we also obtain out-of-samplc industrial REII and manufactured home REITs returns in 2010, they are decreasing gradually but stable and low risk relatively. This important information can provide investors with the best investment choice when investors arc in the face of economic shock.
REIT structural time series model cycle effect forecasting
Hui-Cheng Wang Chih-Cheng Chen Ming-Che Wu Iung-Jang Chang-Chien
Ph.D.. Department of Applied Economics. Chung Hsing University. Chinese Taichung Assistant Professor. Department of Finance. MingDao University Changhua. Taiwan Associate Professor. Department of Banking and Risk Management. Overseas Chinese University. Chinese Lecturer. Department of Banking and Risk Management. Overseas Chinese University. Taichung, Taiwan
国际会议
大连
英文
205-209
2011-07-10（万方平台首次上网日期，不代表论文的发表时间）