Purpose

This paper aims to analyse the risk and excess returns of the Spanish real estate investment trusts (S-REITs) using various methods, though focusing primarily on the Fama-French three-factor (FF3) model, over the period from 2007Q3 to 2017Q2.

Design/methodology/approach

The autoregressive distributed lag model is used for the empirical analysis to test long-term stable relationships between variables.

Findings

The findings indicate that the FF3 model is suitable for the S-REITs market, better explaining the S-REITs’ returns variation than the traditional single-index capital asset pricing model (CAPM) and the Carhart four-factor model. The empirical evidence is reasonably consistent with the FF3 model; the values for the market, size and value are highly statistically significant over the analysis period, with 68.7% variation in S-REITs’ returns explained by the model. In the long run, the market factor has less explanatory power than the size and value factors; the positive long-term multiplier of the size factor indicates that small S-REIT companies have higher returns, along with higher risk, while the negative multiplier of the value indicator suggests that S-REITs portfolios prefer to allocate growth REITs with low book-to-market ratios. The empirical findings from a modified FF3 model, which additionally incorporates Spain’s gross domestic product (GDP) growth rate, two consumer price index (CPI) macro-factors and three dummy variables, indicates that GDP growth rate and CPI also affect S-REITs’ yields, while investment funds with capital calls have a small influence on S-REITs’ returns.

Practical implications

The regression results of the standard and extended FF3 model can help researchers understand S-REITs’ risk and return through a general stock pattern. Potential investors are given more information to consider the new Spanish investment vehicle before making a decision.

Originality/value

The paper uses standard techniques but applies them for the first time to the S-REIT market.

中文翻译：

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应用 Fama 和法国三因素模型分析西班牙 REITs 的风险/回报：ARDL 方法

目的

本文旨在使用各种方法分析西班牙房地产投资信托 (S-REIT) 的风险和超额收益，但主要关注 Fama-French 三因子 (FF3) 模型，从 2007 年第三季度到 2017 年第二季度。

设计/方法/方法

自回归分布滞后模型用于实证分析以检验变量之间的长期稳定关系。

发现

研究结果表明，FF3 模型适用于 S-REITs 市场，比传统的单一指数资本资产定价模型 (CAPM) 和 Carhart 四因子模型更好地解释了 S-REITs 的回报变化。经验证据与FF3模型合理一致；在分析期间，市场、规模和价值的价值在统计上非常显着，模型解释了 S-REITs 回报的 68.7% 变化。从长远来看，市场因素的解释力小于规模和价值因素；规模因子的正长期乘数表明小型 S-REIT 公司具有更高的回报和更高的风险，而价值指标的负乘数表明 S-REITs 投资组合更倾向于配置低账面比的增长型 REITs - 市场比率。

实际影响

标准和扩展 FF3 模型的回归结果可以帮助研究人员通过一般股票模式了解 S-REITs 的风险和回报。在做出决定之前，潜在投资者将获得更多信息以考虑新的西班牙投资工具。

原创性/价值

该论文使用标准技术，但首次将其应用于 S-REIT 市场。