本研究探討新冠疫情（COVID-19）流行期間對美國不動產投資信託(REITs)的影響，並試圖進一步了解形塑REITs各產業別表現的因素。疫情對不動產的影響甚大，導致租金與股息收入的下降，以及整體資產價值價值的貶損。然而，過去的研究並未針對REITs產業間的差異進行充分探討。因此，本研究旨在了解新冠疫情對各別REIT產業風險溢酬的影響，以及其相對於市場風險溢酬的表現，並發掘相對優勢或劣勢的產業別，再分析導致此結果的關鍵因素。然而，出乎意料的是，研究結果顯示公司運營風險與疫情後的超額報酬之間並無顯著的關聯。同樣地，本研究也發現流動性和疫情後的超額報酬及特定REIT產業別的績效表現之間也無顯著關聯。以上結果與本研究最初的期望不同，表示在疫情期間，REITs的超額報酬及績效表現乃受到其他因素的影響。

This study examines the influence of the COVID-19 pandemic on US Real Estate Investment Trusts (REITs) and explores the factors that shape the performance of each REIT industry. The pandemic's impact on the real estate sector has been substantial, resulting in decreased rental revenue, dividends, and property values. Prior research has not adequately considered the variations among different REIT industries. Therefore, this research aims to investigate the effects of COVID-19 on the risk premium of each REIT industry relative to market risk premium, identify superior and inferior performing sectors, and analyze the significance of metrics both before and after the pandemic. Unexpectedly, our findings indicate that there is no statistically significant relationship between the firm’s operational risks and post-pandemic excess returns. Similarly, we found no significant association between liquidity and post-pandemic excess returns, as well as the management performance of specific REIT industries. These results differ from our initial expectations, suggesting that other factors may account for the connection between these variables and the excess returns and performance of particular REIT property types during the pandemic.

1.0 Introduction 4
1.1 Research Background 4
1.2 Research Gap and Purpose 6
1.3 Research Questions and Paper Structure 8
2.0 Literature Review 9
2.1 Pricing Models 9
2.2 REITs Characteristics across Various Industries 10
2.3 REITs under the impact of COVID-19 12
3.0 Data Analysis 13
3.1 Returns of Listed Equity REIT 13
3.2 Asset-pricing Variables 16
3.3 Firm Accounting Variables 17
4.0 Hypotheses, Models, and Testing Strategies 18
4.1 Hypothesis 18
4.2 Models and Testing Strategies 20
5.0 Empirical Results 24
6.0 Conclusions 47
APPENDIX 49
Appendix A. Industry Classification for the Whole Sample 49
Appendix B. Descriptive Statistics of S&P 500 & Each REIT Industry Before & After COVID-19 53
Appendix C. Descriptive Statistics of Model Results 54
References 57

Akinsomi, O. (2021). How resilient are REITs to a pandemic? The COVID-19 effect. Journal of Property Investment & Finance, 39(1), 19-24.

Alhenawi, Y. (2011). The determinants of capital structure in real estate investment trusts. The Global Journal of Finance and Economics, 8(2), 119-128.

Al-Jassar, S. A., & Moosa, I. A. (2019). The effect of quantitative easing on stock prices: a structural time series approach. Applied Economics, 51(17), 1817-1827.

Cai, Y., & Xu, K. (2022). Net Impact of COVID-19 on REIT Returns. Journal of Risk and Financial Management, 15(8), 359.

Case, B., & Wachter, S. M. (2011). Inflation and real estate investments. U of Penn, Inst for Law & Econ Research Paper, (11-33).

Chiang, K. C. (2015). What drives REIT prices? The time-varying informational content of dividend yields. Journal of Real Estate Research, 37(2), 173-190.

Cotter, J., & Roll, R. (2015). A comparative anatomy of Residential REITs and private real estate markets: Returns, risks and distributional characteristics. Real Estate Economics, 43(1), 209-240.

Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of financial economics, 33(1), 3-56.

Fama, E. F., & French, K. R. (2004). The capital asset pricing model: Theory and evidence. Journal of economic perspectives, 18(3), 25-46.

Jun, S. G., Marathe, A., & Shawky, H. A. (2003). Liquidity and stock returns in emerging equity markets. Emerging Markets Review, 4(1), 1-24.

Kallberg, J. G., Liu, C. H., & Srinivasan, A. (2003). Dividend pricing models and REITs. Real Estate Economics, 31(3), 435-450.

Kim, H. (2001). An empirical examination of market performance, risk features, and risk determinants of hotel real estate investment trusts (REITs). The Pennsylvania State University.

Kloosterman, R. M. (2009). The Inflation-hedging characteristics of real estate investment trusts. Master of Econmics & Business, Erasmus Universiteit Rotterdam.

Krewson-Kelly, S., & Mueller, G. R. (2020). Educated REIT investing: the ultimate guide to understanding and investing in real estate investment trusts. John Wiley & Sons.

Letdin, M., Sirmans, C. S., Sirmans, G. S., & Zietz, E. N. (2019). Explaining REIT returns. Journal of Real Estate Literature, 27(1), 1-25.

Li, Y., & Wang, K. (1995). The predictability of REIT returns and market segmentation. Journal of Real Estate Research, 10(4), 471-482.

Liang, Y., & McIntosh, W. (1998). REIT style and performance. Journal of Real Estate Portfolio Management, 4(1), 69-78.

Ling, D. C., Wang, C., & Zhou, T. (2020). A first look at the impact of COVID-19 on commercial real estate prices: Asset-level evidence. The Review of Asset Pricing Studies, 10(4), 669-704.

Milcheva, S. (2022). Volatility and the cross-section of real estate equity returns during Covid-19. The Journal of Real Estate Finance and Economics, 65(2), 293-320.

Mull, S. R., & Soenen, L. A. (1997). US REITs as an asset class in international investment portfolios. Financial Analysts Journal, 53(2), 55-61.

Newell, G., & Fischer, F. (2009). The role of Residential REITs in REIT portfolios. Journal of Real Estate Portfolio Management, 15(2), 129-139.

Nijboer, W. (2021). Risk of Retail real estate during the Covid-19 pandemic (Doctoral dissertation).

Penman, S. H., Richardson, S. A., & Tuna, I. (2007). The book‐to‐price effect in stock returns: accounting for leverage. Journal of accounting research, 45(2), 427-467.

Peterson, J. D., & Hsieh, C. H. (1997). Do common risk factors in the returns on stocks and bonds explain returns on REITs?. Real Estate Economics, 25(2), 321-345.

Phuoc, L. T. (2018). Jensen's alpha estimation models in capital asset pricing model. The Journal of Asian Finance, Economics and Business, 5(3), 19-29.

Tiwari, A. K., André, C., & Gupta, R. (2020). Spillovers between US real estate and financial assets in time and frequency domains. Journal of Property Investment & Finance, 38(6), 525-537.