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Paper eres2011_221:
Are Reits Real Estate? Evidence from Sector Level Data

id eres2011_221
authors Hoesli, Martin; Oikarinen, Elias
year 2011
title Are Reits Real Estate? Evidence from Sector Level Data
source 18th Annual European Real Estate Society Conference in Eindhoven, the Netherlands
summary The aim of this study is to examine whether securitized real estate returns reflect direct real estate returns or general stock market returns. In contrast to previous research, which has generally relied on overall real estate market indices and neglected the potential long-term dynamics, our econometric evaluation is based on sector level data for the U.S and aims to cater for both the short-term and long-term dynamics of the assets. The use of sector level data is likely to yield more accurate results regarding the linkages between direct and securitized real estate. In addition to the real estate and stock market indices, the analysis includes a number of fundamental variables that are expected to influence real estate and stock returns significantly. We estimate vector error-correction models and investigate the forecast error variance decompositions and impulse responses of the assets. Both the variance decompositions and impulse responses suggest that the long-run REIT market performance is much more closely related to the direct real estate market than to the general stock market. Consequently, REITs and direct real estate should be relatively good substitutes in a long-horizon investment portfolio.
keywords REITs, direct real estate, dynamics, portfolio allocation
series ERES:conference
content file.pdf (385,088 bytes)
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session A1: Finance and Investment (I)
last changed 2014/10/21 21:51
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