From the Research Desk
Compiled by Brad Case
NAREIT’s Vice President of
Research & Industry Information
Market Rewards REIT Transparency
with Greater Liquidity
From “REIT Auditor Fees and Financial Market Transparency,” by Bartley R. Danielsen, David M. Harrison,
Robert A. Van Ness and Richard S. Warr, published in Real Estate Economics 37: 3, 2009.
Ateam of four economists tudied whether greater spending on audit services
provides a benefit to REITs by
increasing their transparency to
investors. Bartley Danielsen and
Richard Warr of North Carolina
State University, along with
David Harrison of Texas Tech
and Robert Van Ness of the Uni-
versity of Mississippi, found that
investors respond to the enhanced
transparency by increasing the
company’s liquidity.
Bank Credit Facilities
Enable REIT Investments,
Improve Operating Performance
From “Conditional Volatility of Equity Real Estate Investment Trust Returns: A Pre- and Post-1993
Comparison,” by Benjamas Jirasakuldech, Robert D. Campbell, and Riza Emekter, published in
Journal of Real Estate Finance and Economics 38: 2, 2009.
Ateam of three economists investigated the dy- namic volatility of REIT returns, focusing on the factors influencing volatility and comparing
the “modern REIT era” since 1993 with the pre-modern era. Benjamas Jirasakuldech of the University of the
Pacific, Robert Campbell of Hofstra University, and
Riza Emekter of Robert Morris University found that
REIT volatility is driven mainly by volatility in macroeconomic forces, that increases in volatility are less persistent now than in the pre-modern era and that REITs
are substantially less volatile than small-cap stocks.
“Equity REI T conditional variance is con-
ditioned on preceding volatility changes in key
macroeconomic variables. More than one-third
of the fluctuation in equity REIT conditional
variance can be explained by the volatility of just
four macroeconomic variables: the Consumer
Price Index, industrial production, the federal
funds rate and the risk premium.
