Chiuling Lu

Further Evidence on the Integration of REIT, Bond, and Stock Returns

This study examines the integration of REIT, bond, and stock returns. Cointegration and vector autoregressive models are employed to explore the causality and long-run economic linkages among these securities. Our results show that REITs behave more like stocks and less like bonds after the structural changes in the early 1990s. Overall, results suggest that the benefits of diversification by including REITs in multiasset portfolios diminish after 1992.

REIT Returns and Inflation: Perverse or Reverse Causality Effects?

Contrary to the Fisherian theory of interest, previous studies document a negative relationship between REIT (Real Estate Investment Trust) returns and inflation. In this research, we re-examine this perverse inflation behavior by testing for the causal relationships among REIT returns, real activity, monetary policy, and inflation through a vector error correction model. Our results indicate that the observations of REIT returns as perverse inflation hedges are spurious. The observed negative relationship between REIT returns and inflation is in fact a manifestation of the effects of changes in monetary policies. These findings are consistent with Darrat and Glascocks (1989) evidence of monetary effects on REIT returns.

The Relationship Between REITs Returns and Inflation: A Vector Error Correction Approach

Previous studies show that REITs returns and inflation arenegatively related. This paper reexamines this perverse inflation hedgephenomenon by investigating the relationship among REITs returns, realactivities, monetary policy and inflation through a Vector ErrorCorrection Model. Empirical results show that inflation does notGranger-cause REITs returns and that REITs returns signal changes in monetary policy. The observed negative relationship between REITs returnsand inflation is merely a proxy for the more fundamental relationshipbetween REITs returns and other macroeconomic variables.

Excess Return and Risk Characteristics of Asian Exchange Listed Real Estate

This study examines the behavior of the excess returns of publicly-listed real estate firms whose shares are traded in Japan, Taiwan, Hong Kong, South Korea, Singapore, and Thailand in widely-varying market situations. The results indicate that the publicly-traded stocks of real estate firms in these markets, apart from Taiwan, do not exhibit excess return behavior. In addition, with the exception of South Korea, the risk characteristics of exchange-listed real estate firms are found to vary with differences in market conditions. We also demonstrate that there was no structural shift in return behavior around the Asian crisis.

Wealth effects of the Basle Accord on small banks

This paper examines the share price reactions of small commercial banks to the announcement of the Basle Accord. Previous studies document that large banks have negative price reactions to the announcement of the accord. Findings here show that small banks have positive share price reactions. Our overall evidence gives some support to the notion that small banks had excessive capital before the Basle Accord, and the Accord created wealth effects in the banking industry.

Price Discovery in the Taipei Residential Real Estate Market

The price discovery process of the Taipei residential real estate market is examined. Using data from the Ta-An District of Taipei City, empirical evidence indicates that there exists a causal relationship between rental rates and property prices. Results here suggest that the two real estate markets are linked together; hence investors and end users can use price information in one market to predict future movements of the other market.