Hitotsubashi Trade/Urban Economics Workshop – Omokolade Akinsomi (The University of the Witwatersrand)
2025/06/03
Omokolade Akinsomi (The University of the Witwatersrand)
日時：6月 3日 (火) 10:30–12:00
場所：1st Collaboration Laboratory(第一共同研究室), 12F, Engineering Bldg. 14, The University of Tokyo, 7-3-1 Hongo, Bunkyo-ku, Tokyo
タイトル: Can Prudence and Moderation explain why investors simultaneously love and hate REITs?
概要：In this paper, we examine whether investors’ preference for higher-order moments in asset returns is priced into the performance of Real Estate Investment Trust (REIT) stocks. Using the universe of REIT stocks from 1993 to 2022, we explore the dynamics of the total, systematic, and idiosyncratic skewness, and kurtosis in REIT returns. We find that REIT stocks with high idiosyncratic and total skewness generate significantly higher returns than those with low idiosyncratic and total skewness. REIT stocks with average systematic skewness appear to be more desirable than those with extremely high and low systematic skewness. REIT stocks with high idiosyncratic, systematic, and total kurtosis are associated with lower returns than those having lower idiosyncratic, systematic, and total kurtosis. We find that preferences for higher-order moments in REIT stocks appear to be motivated by the lottery-insurance paradox, in which investors desire positive firm-specific asymmetric pay-off from their REIT holdings, while simultaneously rejecting tail risks and systematic comovement of their REIT exposure with the broader equity market.
本ワークショップは、東京大学連携研究機構 不動産イノベーション研究センター（CREI）および一橋大学Trade and Urban Seminarとの共催になります。