The long-term growth rate of Real Estate Investment Trusts: The impact of macroeconomic and company specific variables

This thesis examines macroeconomic and company specific factors that determines the long-term growth rate of Real Estate Investment Trusts (REITs). The study employs quarterly panel data of 229 US REITs for the period of 199201 to 201104 resulting in 7,140 observations. The analysis applies the firm fixed effects estimator and variance decompositions. The long-term growth rate is found to be positively related to inflation, valuation effects, performance and size; and negatively related to economic growth and profitability. The study identifies economic growth (among macroeconomic factors) and size (among company specific factors) the most important influences on the long-term growth rate of US REITs. The study further provides information that the market determined an average long-term growth of 0.4% on a quarterly basis in the period under observation