Date of Completion
Equity REITs, cost of capital, cost of equity
Dr. Carmelo Giaccotto
Dr. Chinmoy Ghosh
Dr. Gim Seow
Field of Study
Doctor of Philosophy
This dissertation consists of three essays examining issues related to Equity Real Estate Investment Trusts (REITs) cost of capital. In the first essay, we examine the cost of capital characteristics of Equity REITs using firm-level data utilizing both single-factor and multi-factor cost of capital model. We find that while the evidences of time-varying risk loadings are inconclusive, the choice of estimation method in distant forecast appears to play a role. In addition, we confirm that there is a wide variation in cost of equity estimates at the firm level. In the second essay, we model market risk loading explicit dynamic over time. We find that explicit modeling of market risk loading obtains a lower distant forecast error for about half of our sample. In addition, within the subset of firms that obtains an improved forecast, we find that a random walk market risk dynamic obtains the lowest distant forecast error. In the third essay, we incorporate cross-sectional information to improve firm-level cost of capital estimates. Our results suggest that incorporating cross-sectional information have only a mild effect on cost of capital uncertainty. At the same time however, incorporating cross-sectional information appears to lower multi-factor cost of capital estimates and weakens Equity REITs size and book-to-market exposure at the firm level.
Arifin, Iskandar Aditya, "Three Essays on Equity REITs Cost of Capital" (2013). Doctoral Dissertations. 146.