Empirical Analysis of Multifactor Asset Pricing Models. A Comparison of US and Japanese REITs

Inhaltsverzeichnis (Table of Contents)

• Introduction
  • Rationale and Contributive Factors
  • Objective and Aims
• Literature Review
  • Real Estate Investment Trusts
  • The Capital Asset Pricing Model
  • Stock Return Anomalies
  • Fama-French Three-Factor Model
  • Carhart Four-Factor Model
  • Evidence from the US and Japanese REIT-Market
  • Gap in the Literature
• Empirical Framework
  • The Alternative Factor Model
  • Data Base
  • Methodology
    • Construction of the Risk Factors
    • Construction of the Test Portfolios
    • Regression Models and Evaluation Methods
• Empirical Analysis
  • Descriptive Statistics
  • Regression Results
    • Variation in REIT Returns
    • The Cross-Section of REIT Returns

Zielsetzung und Themenschwerpunkte (Objectives and Key Themes)

This thesis investigates the performance of real estate investment trusts (REITs) in the US and Japanese markets, analyzing their behavior in relation to various asset pricing models. The goal is to assess whether traditional multifactor models adequately explain REIT return variations and identify potential anomalies.

• Performance of REITs in the US and Japanese Markets
• Application of multifactor asset pricing models to REITs
• Evaluation of the effectiveness of existing models in explaining REIT returns
• Identification of potential return anomalies in the REIT market
• Contributions to the understanding of real estate investment in a global context

Zusammenfassung der Kapitel (Chapter Summaries)

The thesis begins with an introduction outlining the rationale and objectives of the study, emphasizing the importance of understanding REIT performance in both US and Japanese markets. Chapter 2 provides a comprehensive literature review, exploring key concepts like REITs, the Capital Asset Pricing Model, stock return anomalies, and multifactor models like the Fama-French and Carhart models. The chapter concludes by highlighting existing gaps in the literature pertaining to REITs and their performance in a global context.

Chapter 3 details the empirical framework, presenting the chosen alternative factor model, the data sources, and the methodology for data analysis. This includes the construction of risk factors, test portfolios, and regression models for evaluating REIT returns. Chapter 4 presents the results of the empirical analysis, starting with descriptive statistics and followed by regression results, focusing on both the variation and cross-section of REIT returns.

Schlüsselwörter (Keywords)

Real Estate Investment Trusts, Multifactor Asset Pricing Models, REIT Returns, US Market, Japanese Market, Fama-French Model, Carhart Model, Stock Return Anomalies, Empirical Analysis, Regression Models, Global Real Estate Investment.