The Predictability of REIT Returns and Market Segmentatio

Yuming Li () and Ko Wang ()
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Yuming Li: School of Business Administration University of Michigan Ann Arbor, Michigan 48109 and Department of Finance California State University, Fullerton Fullerton, California 92634, http://www.bus.umich.edu/andhttp://business.fullerton.edu/finance

Journal of Real Estate Research, 1995, vol. 10, issue 4, pages 471-482

Abstract: Recent research suggests that real estate returns are more predictable than the returns of other assets and that the real estate market is segmented from the general stock market. This study examines these two issues empirically using a multifactor asset pricing model that allows for time-varying risk premiums. The results indicate that, in a general two-factor asset pricing framework, the REIT market is integrated with the general stock market. Furthermore, no evidence can be found that REIT returns are more predictable than the returns of other stocks.

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