Abstract
In this study, it is determined whether changes in a set of financial and macroeconomic state variables explain the variations in the conditional systematic, idiosyncratic, and total skewness of six aggregate Real Estate Investment Trust (REIT) indices. The findings suggest that variations in the idiosyncratic skewness of REIT indices can be explained by monthly changes in the CBOE volatility index (VIX), term spread, unemployment, and industrial production. Contemporaneous variations in the systematic skewness of aggregate REIT indices can be explained by changes in the VIX index, default spread, and private consumption. Two crisis dummy variables, defined as the technology bubble of 2000 (TCD) and the financial crisis of 2007 (FCD), are also considered. The technology bubble has a dampening effect on systematic skewness while the opposite is the case for the financial crisis dummy. Quantile regression is employed in order to determine the robustness of the results. The evidence shows that the findings are robust to various quantile specifications for the distributions of the skewness measures.
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