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Paper eres2005_105:
REIT Returns and Pricing: Another Look at the Stock Market Factor

id eres2005_105
authors Anderson, Randy I.; Jim Clayton; Greg MacKinnon and Rajneesh Sharma
year 2005
title REIT Returns and Pricing: Another Look at the Stock Market Factor
source Book of Abstracts: 2005 European Real Estate Society conference in association with the International Real Estate Society
summary The explosive growth in REITs over the past decade suggests that they provide an important alternative investment vehicle. Since REITs are a representation of the real estate market, they should theoretically provide similar diversification benefits of holding direct real estate in a portfolio. Even though in the long run REIT performance may be governed by real estate fundamentals, investigations in the return dynamics of REITs show that they do not necessarily move in tandem with the private real estate market, but rather exhibit properties similar to common stocks. This study examines the return dynamics of REITs using different models. While we find that REIT returns have a significant real estate factor, we show that the most significant determinant of REIT return performance is the returns of small cap value stocks. We also find that REITs behave more like small cap value stocks than small cap growth stocks or large stocks. In addition, we find a decline in the explanatory power of large stocks.
series ERES:conference
type normal paper
discussion No discussions. Post discussion ...
session Session C2
last changed 2008/11/01 09:47
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