Abstract

The growth of big data analytics, cloud computing and 5G communication promotes the expansion of Pan-infrastructure REITs market. Despite previous studies confirmed the value-added role of pan-infrastructure REITs in a mixed-asset portfolio at the framework of mean-variance optimization, the anti-recession characteristics and stock-bond mixed feature of pan-infrastructure REITs is still scarcely investigated until now. In this paper, targeting at the U.S. and Japanese pan-infrastructure REITs market, we employ the capital asset price model (CAPM) and Sharpe model to conduct an empirical research to clarify the aforementioned issue, and the corresponding results indicate that in U.S. REITs market, the return style of new-infrastructure REITs corporation whose underlying asset covering data center, communication tower reveals the substantial anti-volatility characteristics under the increasing macroeconomic uncertainty, while the industrial REITs and infrastructure REITs corporation which belongs to the public utility sub-sector has revealed the completely opposite trend that the stock constituents account for a higher percentage of its return style, simultaneously. On the other hand, the results from horizontal comparison also suggest that the pan-infrastructure REITs corporation in Japan has more remarkable defensive characteristics with higher ratio of bond constituents than that in U.S. Such results uncover the impact of sectoral effect and market distinction on the stock price performance and return style of relevant pan-infrastructure REITs corporation in various countries and are also beneficial to the risk control activity of institutional investors.

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