News Article

Millen Presents New Paper at Global Conference

01 July 2008 -

Millen Group is pleased to announce the presentation of “Variance Decomposition of REIT Returns” to the 2008 ERES Conference. The paper seeks to answer the question of what drives REIT returns.

Based on a number of stock and bond market factors, Millen’s research found that the variance of the REIT returns is mostly due to movements in the dividend yields. This finding was also consistent across different estimation methodologies.

Further, Millen’s research also indicated that there was a fundamental change in REIT pricing between 1972 and 2007. This could be due to the increased sophistication of REIT investors.

The ERES presentation slides and the paper's abstracts can be found in the "Related Files" Section.


 

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Related Files :
Variance_Decomposition _Slides.pdf - Slides
Variance_Decomposition_Abstract.pdf - Abstract