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A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics |
Cotter, John; Roll, Richard
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Real Estate Investment Trusts (REITs) are the only truly liquid assets related to real estate investments. We study the behavior of U.S. REITs over the past three decades and document their return characteristics. REITs have somewhat less market risk than equity; their betas against a broad market index average about .65. Decomposing their covariances into principal components reveals several strong factors. REIT characteristics differ to some extent from those of the S&P/Case-Shiller (SCS) residential real estate indexes. This is partly attributable to methods of index construction. Our examination of REITs suggests that investment in real estate is far more risky than what might be inferred from the widely-followed SCS series.
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Keyword(s):
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Real estate investment trusts; Risk--Econometric models |
Publication Date:
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2009 |
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Type:
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Working paper |
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Peer-Reviewed:
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No |
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Language(s):
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English |
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Institution:
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University College Dublin |
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Publisher(s):
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University College Dublin. School of Business. Centre for Financial Markets; University College Dublin. Geary Institute |
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File Format(s):
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application/pdf |
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Related Link(s):
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http://www.ucd.ie/bankingfinance/docs/wp/WP-10-02.pdf |
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First Indexed:
2012-08-25 05:19:18 Last Updated:
2017-04-25 23:34:58 |
