The Historical Performance of Real Estate Investment Trusts

Jun Han and Youguo Liang
Additional contact information
Jun Han: CIGNA Investment Management 900 Cottage Grove Road S314 Hartford, Connecticut 06152-2314, http://www.cigna.com/
Youguo Liang: Department of Finance College of Business Administration Cleveland State University Cleveland, Ohio 44115, http://www.csuohio.edu/finance_department/index.htm

Journal of Real Estate Research, 1995, vol. 10, issue 3, pages 235-262

Abstract: This empirical study investigates the performance of Real Estate Investment Trusts (REITs). Although many people have studied REIT performance, their findings on the long-term performance of REITs are generally inconclusive. The objectives of this study are: (1) to evaluate the long-term (1970-1993) performance of REITs; (2) to examine the stability of REIT performance over time; and (3) to investigate the sensitivity of a specific performance measure, the Jensen index, to two general performance benchmarks and two REIT samples. The results indicate that the performance of the REIT portfolios was consistent with the security market line for the 1970-1993 period. However, REIT performance varied over the period. This study also found that the use of the unrepresentative S&P 500 index as a performance benchmark tends to overstate REIT performance. Finally, survivor REITs in general performed better than the overall REIT population.

JEL-codes: L85 (search for similar items in EconPapers)
Date: 1995
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