International Journal of Business and Social Science

ISSN 2219-1933 (Print), 2219-6021 (Online) DOI: 10.30845/ijbss

Real Estate Investment Performance: the Test of the Impact of Additional Interest Rate Information from CIR Model
Aekkachai Nittayagasetwat, Jiroj Buranasiri

To explain the performance of real estate investment in capital market better, this study incorporated Cox–Ingersoll–Ross model (CIR model) into the test of interest rate proxies which affected the return of the investment in Equity Real Estate Investment Trusts (Equity REITs). The information on current short-term rate, long-run interest rate, interest rate volatility, and interest rate reversion were counted through the CIR’s predicted term structure of interest which is used as a part of interest rate proxies to explain Equity REIT’s return. The regression analysis showed that the additional information in CIR model does not improve explanatory power of the OLS. The result suggested that capital market gave no value to the additional information provided by CIR model or CIR’s interest rate information might have already be counted in the traditional interest rate information.

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