<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>1665-5346</journal-id>
<journal-title><![CDATA[Revista mexicana de economía y finanzas]]></journal-title>
<abbrev-journal-title><![CDATA[Rev. mex. econ. finanz]]></abbrev-journal-title>
<issn>1665-5346</issn>
<publisher>
<publisher-name><![CDATA[Instituto Mexicano de Ejecutivos de Finanzas A.C.]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S1665-53462019000200169</article-id>
<article-id pub-id-type="doi">10.21919/remef.v14i2.320</article-id>
<title-group>
<article-title xml:lang="en"><![CDATA[The Real Estate Investment Trusts Industry and the Financial Crisis: Modeling Volatility (1985-2016)]]></article-title>
<article-title xml:lang="es"><![CDATA[La industria de fideicomisos de inversión inmobiliaria y la crisis financiera: modelando la volatilidad (1985-2016)]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Santillán-Salgado]]></surname>
<given-names><![CDATA[Roberto J.]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
<xref ref-type="aff" rid="Aaf"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Valencia-Herrera]]></surname>
<given-names><![CDATA[Humberto]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Tecnológico de Monterrey EGADE Business School ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<aff id="Af2">
<institution><![CDATA[,University of Texas  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>USA</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>06</month>
<year>2019</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>06</month>
<year>2019</year>
</pub-date>
<volume>14</volume>
<numero>2</numero>
<fpage>169</fpage>
<lpage>188</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S1665-53462019000200169&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S1665-53462019000200169&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S1665-53462019000200169&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract This work measures the sensitivity of the residual volatility of the risk premiums of various Real Estate Investment Trusts (REITs) sectors to systemically important economic events between January 2, 1985, and December 30, 2016. To this end, the residual yields of the REITs are calculated and, with them, a GARCH (1,1) model is estimated, with dummy variables that identify eleven sub-periods delimited by systemic events that occurred in the American economy. The volatility of residual yields is found to decrease with the S P500 risk premium, and increases only for some sectors with increases in Treasury Bond yields (T-Bills). Similarly, residual yield volatility increased in some periods (e.g., after the Black Monday crash, the low-quality mortgage crisis, and the Great Recession), but did not during the period of stock market collapse caused by companies in the &#8220;new economy&#8221; (known as the dot-com bubble). Knowledge of these stylized facts opens up new risk management possibilities for those investors considering in including these alternative investments in their portfolios.]]></p></abstract>
<abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen Este trabajo mide la sensibilidad de la volatilidad residual de las primas de riesgo de varios sectores de Fondos de Inversión de Bienes Raíces (REITs) a eventos económicos de importancia sistémica, entre el 2 de enero de 1985, y el 30 de diciembre de 2016. Con tal fin, se calculan los rendimientos residuales de los REITs, y con ellos se estima un modelo GARCH(1,1), con variables dummy que identifican once subperiodos delimitados por eventos sistémicos que se presentaron en la economía americana. Se encuentra que la volatilidad de los rendimientos residuales disminuye con el premio por riesgo del S P500; y aumenta sólo para algunos sectores con aumentos de los rendimientos de los bonos del tesoro (T-Bills). De manera similar, la volatilidad residual de los rendimientos aumentó en algunos periodos (e.g., posterior al crash del lunes-negro, crisis de las hipotecas de baja calidad, y la Gran Recesion), pero no lo hizo durante el periodo del colapso bursátil originado por las empresas de la &#8220;nueva economía&#8221; (conocida como la crisis de las dot.com). El conocimiento de estos hechos estilizados abre nuevas posibilidades de administración de riesgos para aquellos inversionistas que consideran incluir estas inversiones alternativas en sus portafolios.]]></p></abstract>
<kwd-group>
<kwd lng="en"><![CDATA[REITs]]></kwd>
<kwd lng="en"><![CDATA[Volatility of Returns]]></kwd>
<kwd lng="en"><![CDATA[GARCH]]></kwd>
<kwd lng="en"><![CDATA[G10]]></kwd>
<kwd lng="en"><![CDATA[G11]]></kwd>
<kwd lng="en"><![CDATA[G19]]></kwd>
<kwd lng="es"><![CDATA[Fibras]]></kwd>
<kwd lng="es"><![CDATA[volatilidad de retornos]]></kwd>
<kwd lng="es"><![CDATA[GARCH]]></kwd>
<kwd lng="es"><![CDATA[G10]]></kwd>
<kwd lng="es"><![CDATA[G11]]></kwd>
<kwd lng="es"><![CDATA[G19]]></kwd>
</kwd-group>
</article-meta>
</front><back>
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