%0 Conference Paper %B 16th Annual European Real Estate Society Conference %D 2009 %T Return of REITs and Expected Growth of Yield on Direct Real Estate Market %A Xu, Yishuang %X "This study examines the hypothesis about the relationship between the returns of REITs and that of direct real estate. As an indirect investment vehicle, REIT (real estate investment trust) shall perform under the influence of the underlying real estate investment. And there were plenty of research exploring the relationship between the two markets. However, evidence for the relationship between the return of REIT and that of underlying real estate investment is barely found (for example, Giliberto(1990), Liu and Mei(1992), Myer and Webb(1994), Ghosh et al.(1998), Glascock et al.(2000), Clayton and Mackinnon(2003), Pagliari et al.(2005) and so on). That may because that previous studies on this research question focused on ex-post capital or rental growths. The study contents that the return of REITs shall be related to the expected growth of yield in the corresponding direct real estate markets. Under the Gordon Growth Model and CIR Model of Term Structure, the expected growth of yield on direct real estate market is derived and proxied by several variables from financial market in the empirical test. In this way, the test by the regression models on the returns of four local REITs in Hong Kong provides evidence to the hypothesis. This new perspective will guide the research into a new phase and contribute a more concrete understanding of the relationship between REITs and direct real estate investment market. The result will be of interest to the investors of REITs such as investment banks, shareholders, and fund managers, etc. The implication of this study will contribute to a more concrete understanding of the relationship between direct and indirect real estate market by the case of REITs. It will be of interest to the investors of REITs such as investment banks, shareholders, and fund managers, etc. In addition, findings in this study shed lights on the further exploration of the expectations of direct real estate market."" %B 16th Annual European Real Estate Society Conference %S ERES: Conference %C Stockholm, Sweden %G eng %3 RePEc:arz:wpaper:eres2009_111 %! Conference 2009 %& Doctoral sessions %R 10.15396/eres2009_111