Date of Award


Degree Type


Degree Name


Degree Program

Financial Economics


Economics and Finance

Major Professor

Naka, Atsuyuki; Wei, Peihwang Philip

Second Advisor

Miestchovich, Ivan Jr.

Third Advisor

Varela, Oscar

Fourth Advisor

Morris, Michael D.S.


The first essay of this dissertation investigates the relationship between downside risk and returns of real estate investment trusts (REITs) and assesses the performance of real estate mutual funds (REMFs). We measure the asymmetric risk through downside and upside betas and through the measures incorporated higher moments such as coskewness and Leland's beta. We do not find significant contemporary relationship between the asymmetric risk and returns of REITs. There are only a small portion of REITs reacting to up and down market conditions differently. We find weak evidence that this asymmetric movement of REITs to market may be due to small and value components embedded in REITs. We evaluate the performance of real estate mutual funds (REMFs) from the asymmetric risk perception. According to our results, most of REMFs do not outperform the market. The downside risk helps to explain some of the abnormal returns associated with REMFs. However, the evaluation may be sensitive to the choices of the model and the market index being used. The second essay examines the liquidity of Asian REITs. We use various measures to assess the liquidity of JREITs and SREITs. The overall evidence indicates that the liquidity of JREITs is greater than that of SREITs. Comparing to non-REIT stocks, JREITs are less liquid than Japanese common stocks while there is no significant difference in liquidity between SREITs and Singaporean common stocks. There is also strong evidence that US REITs have smaller spreads and are traded more often than both JREITs and SREITs. We also find that the primary determinants of JREIT spreads are turnover and return volatility. The secondary factors that affect the spread of JREITs are life and property holdings. The dominant factors affecting SREITs' spreads are price, return volatility, and life. The significance of life suggests that there is a learning effect existed in both JREIT and SREIT markets in 2005.


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