The Long-Run Dynamics between Direct and Securitized Real Estate

Elias Oikarinen*, Martin Hoesli, Camilo Serrano

*Tämän työn vastaava kirjoittaja

Tutkimustuotos: LehtiartikkeliArticleScientificvertaisarvioitu

Abstrakti

This study presents evidence of cointegration between securitized (NAREIT) and direct (NCREIF) real estate total return indices. Since the two real estate indices are cointegrated with one another but not with the stock market, real estate investment trusts (REITs) and direct real estate are likely to have similar long-term diversification benefits in a stock portfolio. Only direct real estate is found to currently adjust towards the cointegrating relation, with NAREIT returns leading NCREIF returns. However, the results show evidence of the predictability of NAREIT returns during the 1980s. Additionally, a large and long-lasting deviation from the long-run relation between NAREIT and NCREIF is identified at the beginning of the "new REIT era."

AlkuperäiskieliEnglanti
Sivut73-103
Sivumäärä31
JulkaisuJOURNAL OF REAL ESTATE RESEARCH
Vuosikerta33
Numero1
TilaJulkaistu - 2011
OKM-julkaisutyyppiA1 Julkaistu artikkeli, soviteltu

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