Equity Real Estate Investment Trusts and Real Estate Returns

S. Michael Giliberto
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S. Michael Giliberto: Salomon Brothers, Inc. One New York Plaza 41st Floor New York, New York 10004, http://www.salomon.com/

Journal of Real Estate Research, 1990, vol. 5, issue 2, 259-264

Abstract: Some investors view equity real estate investment trusts (EREITs) as partial substitutes for conventional real estate investments, although the correlation between EREIT and real estate returns is insignificant. However, this study finds that the residuals from regressions of both real estate series on financial asset returns are significantly correlated. This supports the notion that there is a common factor (or factors) associated with real estate that affects both sets of returns. In addition, lagged values of the EREIT residuals help explain variations in the conventional unsecuritized real estate return residuals.

JEL-codes: L85 (search for similar items in EconPapers)
Date: 1990
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Citations: View citations in EconPapers (71)

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