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THREE ESSAYS
ON
REAL ESTATE RISK AND RETURN
by
Peng Fei
_____________________________________________________________________
A Dissertation Presented to the
FACULTY OF THE GRADUATE SCHOOL
UNIVERSITY OF SOUTHERN CALIFORNIA
In Partial Fulfillment of the
Requirements for the Degree
DOCTOR OF PHILOSOPHY
(PLANNING)
August 2009
Copyright 2009 Peng Fei
Object Description
| Title | Three essays on real estate risk and return |
| Author | Fei, Peng |
| Author email | pfei@usc.edu; feipengfp@gmail.com |
| Degree | Doctor of Philosophy |
| Document type | Dissertation |
| Degree program | Planning / Real Estate Development |
| School | School of Policy, Planning, and Development |
| Date defended/completed | 2008-12-03 |
| Date submitted | 2009 |
| Restricted until | Restricted until 07 Jul. 2010. |
| Date published | 2010-07-07 |
| Advisor (committee chair) | Deng, Yongheng |
| Advisor (committee member) |
Redfearn, Christian L. Hsiao, Cheng |
| Abstract | This dissertation consists of three essays addressing different aspects of real estate risk and return. First two essays concern the securitized real estate, namely the Real Estate Investment Trusts (REITs). The third one focuses on the private (unsecuritized) real estate.; Essay 1, “Idiosyncratic Risk and the Cross-section of Expected REITs Returns” investigates the inter-temporal relationship between idiosyncratic volatility and the cross-section of expected REITs returns by introducing new measures of aggregate idiosyncratic risk: the PCA approach which is based on random matrix theory and the procedure of principal component analysis and the portfolio approach which is based on mean-variance portfolio theory and the concept of gain from portfolio diversification. The results show that conditional aggregate idiosyncratic volatility in REITs is a significant factor in explaining the cross-sectional returns of REITs stocks.; Essay 2, “Correlation and Volatility Dynamics in REIT Returns” explicitly examines correlation dynamics among REIT, direct real estate and stock asset classes and investigate the presence of asymmetric responses in conditional variances and correlations by utilizing the multivariate asymmetric dynamic conditional correlation (AD-DCC) GARCH model. The findings in this essay actually resolve the debate by academics and industry practitioners on the role of REITs in mixed asset portfolios, questioning whether REITs actually provide exposure to the private real estate asset class or simply represent additional exposure to common stocks. More importantly, this essay documents a significant linkage between these correlations and REITs returns while the patterns are distinguishable for different type of REITs.; Essay 3, “Persistence of U.S. Housing Returns: A Markov Chain Analysis” analyzes the magnitude and stability of housing return persistence in the U.S. housing market by adopting the Markov chain approach in both time series and cross-section manners. The dynamics of housing returns are modeled by Markov chain processes that estimate transitional probabilities from one state to another via a maximum likelihood estimation method (MLE), and then the stationary of this transitional probability is tested using the likelihood ratio test (LRT). |
| Keyword | real estate; volatility; Markov Chain; return; risk |
| Language | English |
| Part of collection | University of Southern California dissertations and theses |
| Publisher (of the original version) | University of Southern California |
| Place of publication (of the original version) | Los Angeles, California |
| Publisher (of the digital version) | University of Southern California. Libraries |
| Provenance | Electronically uploaded by the author |
| Type | texts |
| Legacy record ID | usctheses-m2332 |
| Rights | Fei, Peng |
| Repository name | Libraries, University of Southern California |
| Repository address | Los Angeles, California |
| Repository email | http://www.usc.edu/isd/libraries/services/ask_a_librarian/email/ |
| Filename | etd-Fei-2922 |
| Archival file | uscthesesreloadpub_Volume14/etd-Fei-2922.pdf |
Description
| Title | Page 1 |
| Full text | THREE ESSAYS ON REAL ESTATE RISK AND RETURN by Peng Fei _____________________________________________________________________ A Dissertation Presented to the FACULTY OF THE GRADUATE SCHOOL UNIVERSITY OF SOUTHERN CALIFORNIA In Partial Fulfillment of the Requirements for the Degree DOCTOR OF PHILOSOPHY (PLANNING) August 2009 Copyright 2009 Peng Fei |
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