An empirical examination of market performance, risk features, and risk determinants of hotel real estate investment trusts (REITs).

摘要

The objectives of this study were to examine the risk-adjusted performance of hotel real estate investment trusts (REITs) and to investigate the risk features of hotel REITs. Specifically, the study examined the risk-adjusted performance of hotel REITs compared with that of the overall market and other REIT sectors. Moreover, the study investigated the relative weight of systematic and unsystematic risk in hotel REIT stocks and analyzed the determinants of systematic risk.; The sample of 183 REITs whose shares were traded on the New York Stock Exchange (NYSE), American Stock Exchange (AMEX), or National Association of Securities Dealers Automated Quotations (NASDAQ) system over the period of 1993--1999 was collected for data analysis. The sample included 19 hotel, 24 office, 18 industrial, 38 residential, 16 healthcare, 47 retail, and 21 diversified REITs.; The monthly return for each REIT firm, measured as the percentage change in stock price plus dividend yield, was obtained from the Center for Research in Security Prices (CRSP), Graduate School of Business at the University of Chicago. The monthly return on the equally weighted NYSE Index was also derived from the CRSP file and used as a proxy of the market portfolio return. In addition, the monthly return on the 30-day U.S. Treasury Bill was derived from the CRSP file and used as a proxy for the risk-free rate.; The Jensen Index and t-test were employed to examine the risk-adjusted performance of each of the seven REIT sectors relative to that of the market portfolio. Additionally, a one-way analysis of variance (ANOVA) and Tukey multiple comparison method were employed to test whether the mean risk-adjusted returns differed among the seven REIT sectors. To analyze the risk features of hotel REITs, total risk, measured by the variance of stock return, for each hotel REIT firm was decomposed into systematic risk and unsystematic risk. With the estimated beta as the dependent variable and the seven financial ratios (quick ratio, debt ratio, return on equity, assets turnover ratio, dividend payout, capitalization, and annual growth in total assets) as the independent variables in cross-firm multiple regression, the impacts of these variables on beta were examined. The beta of each hotel REIT firm was estimated based on the characteristic line.; The results indicated that hotel REITs' risk-adjusted performance was similar to that of the market portfolio. Moreover, as a portfolio, hotel REIT sector underperformed office, industrial, and diversified REIT sector. In terms of individual stock performance, the average performance of hotel REITs was inferior to those of office, industrial, residential, and diversified REITs but similar to healthcare and retail REITs for the period examined. The study also revealed that the stock volatility due to unsystematic risk of a hotel REIT firm was far greater than the volatility due to systematic risk. Finally, systematic risk or beta was found to correlate positively with debt leverage and growth but negatively with size. On the other hand, quick ratio, return on equity, assets turnover ratio, and dividend payout failed to have a significant impact on beta. (Abstract shortened by UMI.)